AQMIX vs. DBMF

Last updated Jun 3, 2026

AQMIX (AQR Managed Futures Strategy Fund) and DBMF (iMGP DBi Managed Futures Strategy ETF) are both Systematic Trend funds. Over the past 5 years, AQMIX returned 12.55%/yr vs 8.58%/yr for DBMF. A 0.51 correlation means they provide meaningful diversification when combined. AQMIX charges 1.25%/yr vs 0.85%/yr for DBMF.

Performance

AQMIX vs. DBMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy Fund (AQMIX) and iMGP DBi Managed Futures Strategy ETF (DBMF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with AQMIX having a 12.43% return and DBMF slightly lower at 12.38%.

AQMIX

• 1D: 1.32%
• 1M: 1.32%
• YTD: 12.43%
• 6M: 13.93%
• 1Y: 24.36%
• 3Y*: 12.34%
• 5Y*: 12.55%
• 10Y*: 4.95%

DBMF

• 1D: 0.38%
• 1M: 2.88%
• YTD: 12.38%
• 6M: 14.24%
• 1Y: 31.00%
• 3Y*: 10.80%
• 5Y*: 8.58%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

AQMIX vs. DBMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
AQMIX AQR Managed Futures Strategy Fund	12.43%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	-0.09%
DBMF iMGP DBi Managed Futures Strategy ETF	12.38%	13.85%	7.24%	-8.94%	21.61%	11.49%	1.80%	10.67%

Correlation

The correlation between AQMIX and DBMF is 0.50, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.50
Correlation (3Y) Calculated over the trailing 3-year period	0.53
Correlation (5Y) Calculated over the trailing 5-year period	0.53
Correlation (All Time) Calculated using the full available price history since May 9, 2019	0.51

The correlation between AQMIX and DBMF has been stable across timeframes, ranging from 0.50 to 0.53 - a consistent structural relationship.

Return for Risk

AQMIX vs. DBMF — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AQMIX

AQMIX Risk / Return Rank: 90
AQMIX Sharpe Ratio Rank: 90
AQMIX Sortino Ratio Rank: 85
AQMIX Omega Ratio Rank: 80
AQMIX Calmar Ratio Rank: 98
AQMIX Martin Ratio Rank: 97

DBMF

DBMF Risk / Return Rank: 83
DBMF Sharpe Ratio Rank: 78
DBMF Sortino Ratio Rank: 73
DBMF Omega Ratio Rank: 87
DBMF Calmar Ratio Rank: 88
DBMF Martin Ratio Rank: 88

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AQMIX vs. DBMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and iMGP 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.

	AQMIX	DBMF	Difference
Sharpe ratio Return per unit of total volatility	2.94	2.56	+0.38
Sortino ratio Return per unit of downside risk	4.02	3.35	+0.67
Omega ratio Gain probability vs. loss probability	1.53	1.54	-0.02
Calmar ratio Return relative to maximum drawdown	8.49	5.21	+3.28
Martin ratio Return relative to average drawdown	26.42	19.24	+7.18
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AQMIX vs. DBMF - Sharpe Ratio Comparison

The current AQMIX Sharpe Ratio is 2.94, which is comparable to the DBMF Sharpe Ratio of 2.56. The chart below compares the historical Sharpe Ratios of AQMIX and DBMF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	AQMIX	DBMF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.94	2.56	+0.38
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.09	0.69	+0.40
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.48	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.42	0.77	-0.35

Drawdowns

AQMIX vs. DBMF - Drawdown Comparison

The maximum AQMIX drawdown since its inception was -26.52%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for AQMIX and DBMF.

Drawdown Indicators

	AQMIX	DBMF	Difference
Max Drawdown Largest peak-to-trough decline	-26.52%	-20.39%	-6.13%
Max Drawdown (1Y) Largest decline over 1 year	-3.02%	-6.10%	+3.08%
Max Drawdown (3Y) Largest decline over 3 years	-13.57%	-15.60%	+2.03%
Max Drawdown (5Y) Largest decline over 5 years	-13.57%	-20.39%	+6.82%
Max Drawdown (10Y) Largest decline over 10 years	-23.34%	—	—
Current Drawdown Current decline from peak	-1.10%	0.00%	-1.10%
Average Drawdown Average peak-to-trough decline	-10.01%	-6.59%	-3.42%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.97%	1.65%	-0.68%

Volatility

AQMIX vs. DBMF - Volatility Comparison

AQR Managed Futures Strategy Fund (AQMIX) has a higher volatility of 2.56% compared to iMGP DBi Managed Futures Strategy ETF (DBMF) at 2.16%. This indicates that AQMIX's price experiences larger fluctuations and is considered to be riskier than DBMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQMIX	DBMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.56%	2.16%	+0.40%
Volatility (6M) Calculated over the trailing 6-month period	6.60%	9.80%	-3.20%
Volatility (1Y) Calculated over the trailing 1-year period	8.70%	12.18%	-3.48%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.62%	12.53%	-0.91%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.37%	12.42%	-2.05%

AQMIX vs. DBMF - Expense Ratio Comparison

AQMIX has a 1.25% expense ratio, which is higher than DBMF's 0.85% expense ratio.

Dividends

AQMIX vs. DBMF - Dividend Comparison

AQMIX's dividend yield for the trailing twelve months is around 2.01%, less than DBMF's 5.09% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMIX AQR Managed Futures Strategy Fund	2.01%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%
DBMF iMGP DBi Managed Futures Strategy ETF	5.09%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both AQMIX and DBMF in my portfolio?

AQMIX and DBMF have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AQMIX or DBMF?

AQMIX has higher volatility (2.56%) compared to DBMF (2.16%). In terms of maximum drawdown, AQMIX dropped -26.52% vs DBMF's -20.39%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.94 vs 2.56), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.