ASMF vs. DBMF

Last updated Jun 23, 2026

ASMF (Virtus AlphaSimplex Managed Futures ETF) and DBMF (iMGP DBi Managed Futures Strategy ETF) are both Systematic Trend funds. Both are actively managed. Over the past year, ASMF returned 18.20% vs 27.61% for DBMF. A 0.77 correlation means they provide meaningful diversification when combined. ASMF charges 0.80%/yr vs 0.85%/yr for DBMF.

Performance

ASMF vs. DBMF - Performance Comparison

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

Returns By Period

In the year-to-date period, ASMF achieves a 8.93% return, which is significantly lower than DBMF's 10.77% return.

ASMF

• 1D: 0.33%
• 1M: -0.27%
• YTD: 8.93%
• 6M: 9.19%
• 1Y: 18.20%
• 3Y*: —
• 5Y*: —
• 10Y*: —

DBMF

• 1D: 0.13%
• 1M: -0.42%
• YTD: 10.77%
• 6M: 10.08%
• 1Y: 27.61%
• 3Y*: 9.24%
• 5Y*: 8.43%
• 10Y*: —

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

ASMF vs. DBMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024
ASMF Virtus AlphaSimplex Managed Futures ETF	8.93%	1.16%	-3.65%
DBMF iMGP DBi Managed Futures Strategy ETF	10.77%	13.85%	-6.43%

Correlation

The correlation between ASMF and DBMF is 0.79, 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	0.79
Correlation (All Time) Calculated using the full available price history since May 16, 2024	0.77

The correlation between ASMF and DBMF has been stable across timeframes, ranging from 0.77 to 0.79 - a consistent structural relationship.

Return for Risk

ASMF vs. DBMF — Risk / Return Rank

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

ASMF

ASMF Risk / Return Rank: 54
ASMF Sharpe Ratio Rank: 47
ASMF Sortino Ratio Rank: 45
ASMF Omega Ratio Rank: 47
ASMF Calmar Ratio Rank: 74
ASMF Martin Ratio Rank: 55

DBMF

DBMF Risk / Return Rank: 78
DBMF Sharpe Ratio Rank: 72
DBMF Sortino Ratio Rank: 67
DBMF Omega Ratio Rank: 82
DBMF Calmar Ratio Rank: 85
DBMF Martin Ratio Rank: 83

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.

ASMF vs. DBMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus AlphaSimplex Managed Futures ETF (ASMF) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	ASMF	DBMF	Difference
Sharpe ratio: Return per unit of total volatility	1.60	2.24	-0.63
Sortino ratio: Return per unit of downside risk	2.20	2.94	-0.73
Omega ratio: Gain probability vs. loss probability	1.30	1.47	-0.17
Calmar ratio: Return relative to maximum drawdown	3.64	4.55	-0.91
Martin ratio: Return relative to average drawdown	9.20	16.25	-7.05

ASMF vs. DBMF - Sharpe Ratio Comparison

The current ASMF Sharpe Ratio is 1.60, which is comparable to the DBMF Sharpe Ratio of 2.24. The chart below compares the historical Sharpe Ratios of ASMF 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.

Drawdowns

ASMF vs. DBMF - Drawdown Comparison

The maximum ASMF drawdown since its inception was -15.31%, smaller than the maximum DBMF drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for ASMF and DBMF.

Drawdown Indicators

	ASMF	DBMF	Difference
Max Drawdown Largest peak-to-trough decline	-15.31%	-20.39%	+5.08%
Max Drawdown (1Y) Largest decline over 1 year	-5.02%	-6.10%	+1.08%
Max Drawdown (3Y) Largest decline over 3 years	—	-15.60%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-20.39%	—
Current Drawdown Current decline from peak	-1.75%	-1.46%	-0.29%
Average Drawdown Average peak-to-trough decline	-7.48%	-6.55%	-0.93%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.98%	1.70%	+0.28%

Volatility

ASMF vs. DBMF - Volatility Comparison

Virtus AlphaSimplex Managed Futures ETF (ASMF) has a higher volatility of 3.06% compared to iMGP DBi Managed Futures Strategy ETF (DBMF) at 2.85%. This indicates that ASMF'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

	ASMF	DBMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.06%	2.85%	+0.21%
Volatility (6M) Calculated over the trailing 6-month period	9.60%	10.05%	-0.45%
Volatility (1Y) Calculated over the trailing 1-year period	11.43%	12.42%	-0.99%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.99%	12.52%	-1.53%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.99%	12.40%	-1.41%

ASMF vs. DBMF - Expense Ratio Comparison

ASMF has a 0.80% expense ratio, which is lower than DBMF's 0.85% expense ratio.

Dividends

ASMF vs. DBMF - Dividend Comparison

ASMF's dividend yield for the trailing twelve months is around 0.20%, less than DBMF's 5.17% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
ASMF Virtus AlphaSimplex Managed Futures ETF	0.20%	0.22%	1.66%	0.00%	0.00%	0.00%	0.00%	0.00%
DBMF iMGP DBi Managed Futures Strategy ETF	5.17%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%

Frequently Asked Questions

Can I hold both ASMF and DBMF in my portfolio?

ASMF and DBMF have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ASMF or DBMF?

ASMF has higher volatility (3.06%) compared to DBMF (2.85%). In terms of maximum drawdown, ASMF dropped -15.31% vs DBMF's -20.39%.

Which ETF is better, ASMF or DBMF?

On 1-year performance, DBMF leads with 27.61% vs 18.20% for ASMF. On fees, ASMF is cheaper at 0.80% per year. On volatility, DBMF has been the lower-risk option at 2.85%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ASMF or DBMF?

Over the 1-year period, DBMF has performed better with a 27.61% return vs 18.20%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ASMF or DBMF?

ASMF is cheaper with a 0.80% expense ratio, compared with 0.85% for DBMF.

Which ETF pays a higher dividend yield, ASMF or DBMF?

DBMF has the higher dividend yield at 5.17%, compared with 0.20% for ASMF.

What is the main difference between ASMF and DBMF?

They also come from different issuers: Virtus and iM Global Partners. Their fees differ too: 0.80% for ASMF and 0.85% for DBMF.

Which has better risk-adjusted returns?

DBMF currently has the higher Sharpe Ratio (2.24 vs 1.60), 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.