DBMF vs. ABYIX
Compare and contrast key facts about iM DBi Managed Futures Strategy ETF (DBMF) and Abbey Capital Futures Strategy Fund Class I (ABYIX).
DBMF is an actively managed fund by Litman Gregory Capital Partners LLC. It was launched on May 8, 2019. ABYIX is managed by Abbey Capital. It was launched on Jul 1, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DBMF or ABYIX.
Performance
DBMF vs. ABYIX - Performance Comparison
Returns By Period
In the year-to-date period, DBMF achieves a 7.03% return, which is significantly higher than ABYIX's 0.18% return.
DBMF
7.03%
-2.53%
-7.71%
3.21%
6.34%
N/A
ABYIX
0.18%
0.00%
-8.46%
-1.43%
4.75%
3.27%
Key characteristics
| DBMF | ABYIX | |
|---|---|---|
| Sharpe Ratio | 0.19 | -0.22 |
| Sortino Ratio | 0.32 | -0.23 |
| Omega Ratio | 1.04 | 0.97 |
| Calmar Ratio | 0.11 | -0.16 |
| Martin Ratio | 0.38 | -0.34 |
| Ulcer Index | 5.42% | 5.16% |
| Daily Std Dev | 11.10% | 8.22% |
| Max Drawdown | -20.39% | -17.13% |
| Current Drawdown | -12.11% | -9.61% |
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DBMF vs. ABYIX - Expense Ratio Comparison
DBMF has a 0.85% expense ratio, which is lower than ABYIX's 1.79% expense ratio.
Correlation
The correlation between DBMF and ABYIX is 0.64, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
DBMF vs. ABYIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iM DBi Managed Futures Strategy ETF (DBMF) and Abbey Capital Futures Strategy Fund Class I (ABYIX). 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.
Dividends
DBMF vs. ABYIX - Dividend Comparison
DBMF's dividend yield for the trailing twelve months is around 5.24%, more than ABYIX's 2.02% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
DBMF iM DBi Managed Futures Strategy ETF | 5.24% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ABYIX Abbey Capital Futures Strategy Fund Class I | 2.02% | 2.02% | 9.55% | 2.52% | 1.55% | 6.11% | 0.14% | 0.00% | 0.00% | 0.24% | 1.87% |
Drawdowns
DBMF vs. ABYIX - Drawdown Comparison
The maximum DBMF drawdown since its inception was -20.39%, which is greater than ABYIX's maximum drawdown of -17.13%. Use the drawdown chart below to compare losses from any high point for DBMF and ABYIX. For additional features, visit the drawdowns tool.
Volatility
DBMF vs. ABYIX - Volatility Comparison
iM DBi Managed Futures Strategy ETF (DBMF) and Abbey Capital Futures Strategy Fund Class I (ABYIX) have volatilities of 2.33% and 2.25%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.