AMFAX vs. DBMF
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and iM DBi Managed Futures Strategy ETF (DBMF).
AMFAX is managed by BlackRock. It was launched on Jul 30, 2010. DBMF is an actively managed fund by Litman Gregory Capital Partners LLC. It was launched on May 8, 2019.
Performance
AMFAX vs. DBMF - Performance Comparison
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AMFAX vs. DBMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 6.43% | -9.75% | -3.56% | -10.59% | 35.38% | 3.28% | 13.29% | 3.64% |
DBMF iM DBi Managed Futures Strategy ETF | 7.87% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.67% |
Returns By Period
In the year-to-date period, AMFAX achieves a 6.43% return, which is significantly lower than DBMF's 7.87% return.
AMFAX
- 1D
- 0.00%
- 1M
- -1.70%
- YTD
- 6.43%
- 6M
- 10.88%
- 1Y
- 3.13%
- 3Y*
- -3.17%
- 5Y*
- 2.03%
- 10Y*
- 1.54%
DBMF
- 1D
- -0.20%
- 1M
- -3.82%
- YTD
- 7.87%
- 6M
- 15.44%
- 1Y
- 26.29%
- 3Y*
- 9.90%
- 5Y*
- 8.63%
- 10Y*
- —
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AMFAX vs. DBMF - Expense Ratio Comparison
AMFAX has a 1.72% expense ratio, which is higher than DBMF's 0.85% expense ratio.
Return for Risk
AMFAX vs. DBMF — Risk / Return Rank
AMFAX
DBMF
AMFAX vs. DBMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and iM DBi Managed Futures Strategy ETF (DBMF). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| AMFAX | DBMF | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.15 | 2.19 | -2.03 |
Sortino ratioReturn per unit of downside risk | 0.27 | 2.98 | -2.71 |
Omega ratioGain probability vs. loss probability | 1.04 | 1.46 | -0.42 |
Calmar ratioReturn relative to maximum drawdown | 0.08 | 4.25 | -4.17 |
Martin ratioReturn relative to average drawdown | 0.13 | 18.51 | -18.38 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| AMFAX | DBMF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.15 | 2.19 | -2.03 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.15 | 0.68 | -0.54 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.12 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.28 | 0.74 | -0.45 |
Correlation
The correlation between AMFAX and DBMF is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
AMFAX vs. DBMF - Dividend Comparison
AMFAX's dividend yield for the trailing twelve months is around 1.73%, less than DBMF's 5.30% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 1.73% | 1.84% | 1.28% | 0.30% | 32.70% | 5.74% | 3.14% | 4.71% | 1.31% | 0.00% | 0.00% | 4.92% |
DBMF iM DBi Managed Futures Strategy ETF | 5.30% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
AMFAX vs. DBMF - Drawdown Comparison
The maximum AMFAX drawdown since its inception was -36.84%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for AMFAX and DBMF.
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Drawdown Indicators
| AMFAX | DBMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.84% | -20.39% | -16.45% |
Max Drawdown (1Y)Largest decline over 1 year | -13.54% | -6.10% | -7.44% |
Max Drawdown (5Y)Largest decline over 5 years | -36.84% | -20.39% | -16.45% |
Max Drawdown (10Y)Largest decline over 10 years | -36.84% | — | — |
Current DrawdownCurrent decline from peak | -25.04% | -3.82% | -21.22% |
Average DrawdownAverage peak-to-trough decline | -13.54% | -6.70% | -6.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.79% | 1.40% | +7.39% |
Volatility
AMFAX vs. DBMF - Volatility Comparison
The current volatility for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) is 3.94%, while iM DBi Managed Futures Strategy ETF (DBMF) has a volatility of 5.24%. This indicates that AMFAX experiences smaller price fluctuations and is considered to be less risky than DBMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AMFAX | DBMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.94% | 5.24% | -1.30% |
Volatility (6M)Calculated over the trailing 6-month period | 10.02% | 11.10% | -1.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.06% | 12.09% | +0.97% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.68% | 12.66% | +1.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.67% | 12.48% | +0.19% |