COM vs. DBMF

Last updated Jun 4, 2026

COM (Direxion Auspice Broad Commodity Strategy ETF) and DBMF (iMGP DBi Managed Futures Strategy ETF) are both exchange-traded funds - COM is a Commodities fund tracking the Auspice Broad Commodity ER Index, while DBMF is a Systematic Trend fund actively managed by iM Global Partners. COM is passively managed, while DBMF is actively managed. Over the past 5 years, COM returned 8.28%/yr vs 8.46%/yr for DBMF. At a 0.28 correlation, their price movements are largely independent. COM charges 0.70%/yr vs 0.85%/yr for DBMF.

Performance

COM vs. DBMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Auspice Broad Commodity Strategy ETF (COM) 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, COM achieves a 14.96% return, which is significantly higher than DBMF's 12.42% return.

COM

• 1D: -0.76%
• 1M: -2.14%
• YTD: 14.96%
• 6M: 14.36%
• 1Y: 22.41%
• 3Y*: 7.16%
• 5Y*: 8.28%
• 10Y*: —

DBMF

• 1D: 0.03%
• 1M: 2.35%
• YTD: 12.42%
• 6M: 14.20%
• 1Y: 31.40%
• 3Y*: 10.81%
• 5Y*: 8.46%
• 10Y*: —

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

COM vs. DBMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
COM Direxion Auspice Broad Commodity Strategy ETF	14.96%	7.72%	5.81%	-2.09%	9.17%	28.00%	6.63%	1.03%
DBMF iMGP DBi Managed Futures Strategy ETF	12.42%	13.85%	7.24%	-8.94%	21.61%	11.49%	1.80%	10.67%

Correlation

The correlation between COM and DBMF is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.44
Correlation (3Y) Calculated over the trailing 3-year period	0.37
Correlation (5Y) Calculated over the trailing 5-year period	0.29
Correlation (All Time) Calculated using the full available price history since May 9, 2019	0.28

The correlation between COM and DBMF shifts across timeframes, from 0.28 (all time) to 0.44 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

COM vs. DBMF — Risk / Return Rank

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

COM

COM Risk / Return Rank: 70
COM Sharpe Ratio Rank: 64
COM Sortino Ratio Rank: 60
COM Omega Ratio Rank: 67
COM Calmar Ratio Rank: 87
COM Martin Ratio Rank: 75

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: 87

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.

COM vs. DBMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Auspice Broad Commodity Strategy ETF (COM) 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.

	COM	DBMF	Difference
Sharpe ratio: Return per unit of total volatility	2.16	2.59	-0.43
Sortino ratio: Return per unit of downside risk	2.89	3.39	-0.50
Omega ratio: Gain probability vs. loss probability	1.41	1.55	-0.14
Calmar ratio: Return relative to maximum drawdown	4.95	5.17	-0.22
Martin ratio: Return relative to average drawdown	14.37	19.07	-4.70
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

COM vs. DBMF - Sharpe Ratio Comparison

The current COM Sharpe Ratio is 2.16, which is comparable to the DBMF Sharpe Ratio of 2.59. The chart below compares the historical Sharpe Ratios of COM 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

	COM	DBMF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.16	2.59	-0.43
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.87	0.68	+0.19
Sharpe Ratio (All Time) Calculated using the full available price history	0.72	0.77	-0.05

Drawdowns

COM vs. DBMF - Drawdown Comparison

The maximum COM drawdown since its inception was -15.95%, smaller than the maximum DBMF drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for COM and DBMF.

Drawdown Indicators

	COM	DBMF	Difference
Max Drawdown Largest peak-to-trough decline	-15.95%	-20.39%	+4.44%
Max Drawdown (1Y) Largest decline over 1 year	-4.55%	-6.10%	+1.55%
Max Drawdown (3Y) Largest decline over 3 years	-8.50%	-15.60%	+7.10%
Max Drawdown (5Y) Largest decline over 5 years	-14.02%	-20.39%	+6.37%
Current Drawdown Current decline from peak	-4.55%	0.00%	-4.55%
Average Drawdown Average peak-to-trough decline	-6.28%	-6.59%	+0.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.56%	1.65%	-0.09%

Volatility

COM vs. DBMF - Volatility Comparison

Direxion Auspice Broad Commodity Strategy ETF (COM) has a higher volatility of 4.04% compared to iMGP DBi Managed Futures Strategy ETF (DBMF) at 2.12%. This indicates that COM'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

	COM	DBMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.04%	2.12%	+1.92%
Volatility (6M) Calculated over the trailing 6-month period	8.60%	9.76%	-1.16%
Volatility (1Y) Calculated over the trailing 1-year period	10.41%	12.17%	-1.76%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.60%	12.52%	-2.92%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.77%	12.41%	-2.64%

COM vs. DBMF - Expense Ratio Comparison

COM has a 0.70% expense ratio, which is lower than DBMF's 0.85% expense ratio.

Dividends

COM vs. DBMF - Dividend Comparison

COM's dividend yield for the trailing twelve months is around 2.46%, less than DBMF's 5.09% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
COM Direxion Auspice Broad Commodity Strategy ETF	2.46%	2.99%	3.88%	3.80%	8.59%	10.32%	0.13%	1.09%	2.36%	0.09%
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%

Frequently Asked Questions

Can I hold both COM and DBMF in my portfolio?

COM and DBMF have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, COM or DBMF?

COM has higher volatility (4.04%) compared to DBMF (2.12%). In terms of maximum drawdown, COM dropped -15.95% vs DBMF's -20.39%.

Which ETF is better, COM or DBMF?

On 5-year performance, DBMF leads with 8.46% vs 8.28% for COM. On fees, COM is cheaper at 0.70% per year. On volatility, DBMF has been the lower-risk option at 2.12%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, COM or DBMF?

Over the 5-year period, DBMF has performed better with a 8.46% return vs 8.28%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, COM or DBMF?

COM is cheaper with a 0.70% expense ratio, compared with 0.85% for DBMF.

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

DBMF has the higher dividend yield at 5.09%, compared with 2.46% for COM.

What is the main difference between COM and DBMF?

COM is categorized as Commodities, while DBMF is Systematic Trend. They also come from different issuers: Direxion and iM Global Partners. Their fees differ too: 0.70% for COM and 0.85% for DBMF.

Which has better risk-adjusted returns?

DBMF currently has the higher Sharpe Ratio (2.59 vs 2.16), 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.