BRO vs. DBMF
BRO (Brown & Brown, 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, BRO returned 3.65%/yr vs 7.92%/yr for DBMF. At a 0.04 correlation, their price movements are largely independent.
Performance
BRO vs. DBMF - Performance Comparison
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Returns By Period
In the year-to-date period, BRO achieves a -22.05% return, which is significantly lower than DBMF's 8.91% return.
BRO
- 1D
- 2.32%
- 1M
- 6.88%
- YTD
- -22.05%
- 6M
- -23.13%
- 1Y
- -43.80%
- 3Y*
- -1.69%
- 5Y*
- 3.65%
- 10Y*
- 14.25%
DBMF
- 1D
- -0.43%
- 1M
- -2.09%
- YTD
- 8.91%
- 6M
- 8.12%
- 1Y
- 25.13%
- 3Y*
- 8.63%
- 5Y*
- 7.92%
- 10Y*
- —
BRO vs. DBMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
BRO Brown & Brown, Inc. | -22.05% | -21.37% | 44.32% | 25.73% | -18.39% | 49.31% | 21.06% | 23.78% |
DBMF iMGP DBi Managed Futures Strategy ETF | 8.91% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.51% |
Correlation
The correlation between BRO and DBMF is -0.09, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.09 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.05 |
Correlation (All Time) Calculated using the full available price history since May 8, 2019 | 0.04 |
The correlation between BRO and DBMF shifts across timeframes, from -0.09 (1 year) to 0.04 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
BRO vs. DBMF — Risk / Return Rank
BRO
DBMF
BRO vs. DBMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Brown & Brown, Inc. (BRO) 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.
| BRO | DBMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.55 | ||
| Sortino ratioReturn per unit of downside risk | -4.92 | ||
| Omega ratioGain probability vs. loss probability | 0.72 | 1.42 | -0.70 |
| Calmar ratioReturn relative to maximum drawdown | -0.87 | 4.14 | -5.01 |
| Martin ratioReturn relative to average drawdown | -1.41 | 14.62 | -16.03 |
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Drawdowns
BRO vs. DBMF - Drawdown Comparison
The maximum BRO drawdown since its inception was -55.85%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for BRO and DBMF.
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Drawdown Indicators
| BRO | DBMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.85% | -20.39% | -35.46% |
Max Drawdown (1Y)Largest decline over 1 year | -50.51% | -6.10% | -44.41% |
Max Drawdown (3Y)Largest decline over 3 years | -55.85% | -15.60% | -40.25% |
Max Drawdown (5Y)Largest decline over 5 years | -55.85% | -20.39% | -35.46% |
Max Drawdown (10Y)Largest decline over 10 years | -55.85% | — | — |
Current DrawdownCurrent decline from peak | -49.82% | -3.12% | -46.70% |
Average DrawdownAverage peak-to-trough decline | -13.57% | -6.55% | -7.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 31.07% | 1.72% | +29.35% |
Volatility
BRO vs. DBMF - Volatility Comparison
Brown & Brown, Inc. (BRO) has a higher volatility of 8.28% compared to iMGP DBi Managed Futures Strategy ETF (DBMF) at 3.13%. This indicates that BRO'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
| BRO | DBMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.28% | 3.13% | +5.15% |
Volatility (6M)Calculated over the trailing 6-month period | 22.11% | 10.09% | +12.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 28.68% | 12.48% | +16.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 24.91% | 12.53% | +12.38% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.71% | 12.41% | +11.30% |
Dividends
BRO vs. DBMF - Dividend Comparison
BRO's dividend yield for the trailing twelve months is around 1.04%, less than DBMF's 5.25% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRO Brown & Brown, Inc. | 1.04% | 0.77% | 0.53% | 0.67% | 0.74% | 0.54% | 0.73% | 0.82% | 1.11% | 1.08% | 1.12% | 1.41% |
DBMF iMGP DBi Managed Futures Strategy ETF | 5.25% | 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
BRO and DBMF have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRO has higher volatility (8.28%) compared to DBMF (3.13%). In terms of maximum drawdown, BRO dropped -55.85% vs DBMF's -20.39%.
DBMF currently has the higher Sharpe Ratio (2.02 vs -1.53), 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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