AZO vs. DBMF
AZO (AutoZone, Inc.) is a stock, while DBMF (iMGP DBi Managed Futures Strategy ETF) is Systematic Trend fund actively managed by iM Global Partners. Over the past 5 years, AZO returned 12.62%/yr vs 8.70%/yr for DBMF. Their 0.03 correlation means their historical movements had little consistent relationship.
Performance
AZO vs. DBMF - Performance Comparison
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Returns By Period
In the year-to-date period, AZO achieves a -12.80% return, which is significantly lower than DBMF's 12.95% return.
AZO
- 1D
- 1.16%
- 1M
- -3.32%
- 6M
- -20.07%
- YTD
- -12.80%
- 1Y
- -22.60%
- 3Y*
- 5.74%
- 5Y*
- 12.62%
- 10Y*
- 13.96%
- ALL TIME*
- 18.74%
DBMF
- 1D
- -0.25%
- 1M
- 3.44%
- 6M
- 7.95%
- YTD
- 12.95%
- 1Y
- 27.97%
- 3Y*
- 10.07%
- 5Y*
- 8.70%
- 10Y*
- —
- ALL TIME*
- 9.43%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $474.96M | $962.75M | $1.17B | |
| $48.88M | $50.74M | $48.74M |
AZO vs. DBMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
AZO AutoZone, Inc. | -12.80% | 5.92% | 23.84% | 4.84% | 17.64% | 76.84% | -0.49% | 17.33% |
DBMF iMGP DBi Managed Futures Strategy ETF | 12.95% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.51% |
Correlation
The correlation between AZO and DBMF is -0.12, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.12 |
Correlation (3Y) Balances recent behavior with more history. | -0.01 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.02 |
Correlation (All Time) Calculated using the full available price history since May 8, 2019 | 0.03 |
The correlation between AZO and DBMF shifts across timeframes, from -0.12 (1 year) to 0.03 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
AZO vs. DBMF — Risk / Return Rank
AZO
DBMF
AZO vs. DBMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AutoZone, Inc. (AZO) 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.
| AZO | DBMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.02 | ||
| Sortino ratioReturn per unit of downside risk | -3.90 | ||
| Omega ratioGain probability vs. loss probability | 0.88 | 1.45 | -0.57 |
| Calmar ratioReturn relative to maximum drawdown | -0.70 | 4.59 | -5.29 |
| Martin ratioReturn relative to average drawdown | -1.25 | 15.59 | -16.85 |
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Drawdowns
AZO vs. DBMF - Drawdown Comparison
The maximum AZO drawdown since its inception was -46.32%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for AZO and DBMF.
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Drawdown Indicators
| AZO | DBMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -46.32% | -20.39% | -25.93% |
Max Drawdown (1Y)Largest decline over 1 year | -32.86% | -6.10% | -26.76% |
Max Drawdown (3Y)Largest decline over 3 years | -32.86% | -15.60% | -17.26% |
Max Drawdown (5Y)Largest decline over 5 years | -32.86% | -20.39% | -12.47% |
Max Drawdown (10Y)Largest decline over 10 years | -42.14% | — | — |
Current DrawdownCurrent decline from peak | -32.08% | -0.25% | -31.83% |
Average DrawdownAverage peak-to-trough decline | -10.94% | -6.49% | -4.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 18.40% | 1.79% | +16.61% |
Volatility
AZO vs. DBMF - Volatility Comparison
AutoZone, Inc. (AZO) has a higher volatility of 10.42% compared to iMGP DBi Managed Futures Strategy ETF (DBMF) at 2.42%. This indicates that AZO'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.
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Volatility by Period
| AZO | DBMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.42% | 2.42% | +8.00% |
Volatility (6M)Calculated over the trailing 6-month period | 23.39% | 9.96% | +13.43% |
Volatility (1Y)Calculated over the trailing 1-year period | 28.52% | 12.66% | +15.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 24.86% | 12.43% | +12.43% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 26.70% | 12.37% | +14.33% |
Dividends
AZO vs. DBMF - Dividend Comparison
AZO has not paid dividends to shareholders, while DBMF's dividend yield for the trailing twelve months is around 5.03%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
AZO AutoZone, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DBMF iMGP DBi Managed Futures Strategy ETF | 5.03% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% |
Frequently Asked Questions
AZO and DBMF have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AZO has higher volatility (10.42%) compared to DBMF (2.42%). In terms of maximum drawdown, AZO dropped -46.32% vs DBMF's -20.39%.
DBMF currently has the higher Sharpe Ratio (2.21 vs -0.81), 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.
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