BJ vs. DBMF
BJ (BJ's Wholesale Club Holdings, Inc.) is a stock, while DBMF (iMGP DBi Managed Futures Strategy ETF) is Systematic Trend fund actively managed by iMGP. Over the past 5 years, BJ returned 13.22%/yr vs 8.40%/yr for DBMF. Their 0.04 correlation means their historical movements had little consistent relationship.
Performance
BJ vs. DBMF - Performance Comparison
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Returns By Period
In the year-to-date period, BJ achieves a 7.35% return, which is significantly lower than DBMF's 10.36% return.
BJ
- 1D
- -0.46%
- 1M
- 8.38%
- 6M
- 0.89%
- YTD
- 7.35%
- 1Y
- -10.33%
- 3Y*
- 12.42%
- 5Y*
- 13.22%
- 10Y*
- —
- ALL TIME*
- 20.56%
DBMF
- 1D
- 0.20%
- 1M
- 1.19%
- 6M
- 4.62%
- YTD
- 10.36%
- 1Y
- 26.55%
- 3Y*
- 9.05%
- 5Y*
- 8.40%
- 10Y*
- —
- ALL TIME*
- 9.04%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $139.92M | $148.55M | $192.96M | |
| $78.70M | $58.28M | $54.52M |
BJ vs. DBMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
BJ BJ's Wholesale Club Holdings, Inc. | 7.35% | 0.76% | 34.04% | 0.76% | -1.21% | 79.64% | 63.94% | -13.04% |
DBMF iMGP DBi Managed Futures Strategy ETF | 10.36% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.51% |
Correlation
The correlation between BJ and DBMF is 0.02, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.02 |
Correlation (3Y) Balances recent behavior with more history. | 0.06 |
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 | 0.04 |
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Return for Risk
BJ vs. DBMF — Risk / Return Rank
BJ
DBMF
BJ vs. DBMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BJ's Wholesale Club Holdings, Inc. (BJ) 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.
| BJ | DBMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.45 | ||
| Sortino ratioReturn per unit of downside risk | -3.07 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.43 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | -0.45 | 4.37 | -4.82 |
| Martin ratioReturn relative to average drawdown | -0.74 | 14.73 | -15.47 |
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Drawdowns
BJ vs. DBMF - Drawdown Comparison
The maximum BJ drawdown since its inception was -38.76%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for BJ and DBMF.
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Drawdown Indicators
| BJ | DBMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.76% | -20.39% | -18.37% |
Max Drawdown (1Y)Largest decline over 1 year | -22.87% | -6.10% | -16.77% |
Max Drawdown (3Y)Largest decline over 3 years | -30.12% | -15.60% | -14.52% |
Max Drawdown (5Y)Largest decline over 5 years | -30.12% | -20.39% | -9.73% |
Current DrawdownCurrent decline from peak | -19.42% | -2.54% | -16.88% |
Average DrawdownAverage peak-to-trough decline | -12.69% | -6.47% | -6.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 13.99% | 1.81% | +12.18% |
Volatility
BJ vs. DBMF - Volatility Comparison
BJ's Wholesale Club Holdings, Inc. (BJ) has a higher volatility of 7.25% compared to iMGP DBi Managed Futures Strategy ETF (DBMF) at 2.20%. This indicates that BJ'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
| BJ | DBMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.25% | 2.20% | +5.05% |
Volatility (6M)Calculated over the trailing 6-month period | 22.30% | 9.24% | +13.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 30.05% | 12.70% | +17.35% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 32.39% | 12.44% | +19.95% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 37.01% | 12.36% | +24.65% |
Dividends
BJ vs. DBMF - Dividend Comparison
BJ has not paid dividends to shareholders, while DBMF's dividend yield for the trailing twelve months is around 5.15%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
BJ BJ's Wholesale Club Holdings, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DBMF iMGP DBi Managed Futures Strategy ETF | 5.15% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% |
Frequently Asked Questions
BJ and DBMF have a correlation of 0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BJ has higher volatility (7.25%) compared to DBMF (2.20%). In terms of maximum drawdown, BJ dropped -38.76% vs DBMF's -20.39%.
DBMF currently has the higher Sharpe Ratio (2.10 vs -0.35), 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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