DBMF vs. CAOS

Last updated Jun 9, 2026

DBMF (iMGP DBi Managed Futures Strategy ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - DBMF is a Systematic Trend fund actively managed by iM Global Partners, while CAOS is a Options Trading fund actively managed by Alpha Architect. Both are actively managed. Over the past 3 years, DBMF returned 10.02%/yr vs 4.15%/yr for CAOS. At a 0.01 correlation, their price movements are largely independent. DBMF charges 0.85%/yr vs 0.63%/yr for CAOS.

Performance

DBMF vs. CAOS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iMGP DBi Managed Futures Strategy ETF (DBMF) and Alpha Architect Tail Risk ETF (CAOS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DBMF achieves a 10.45% return, which is significantly higher than CAOS's 0.81% return.

DBMF

• 1D: 0.68%
• 1M: 0.59%
• YTD: 10.45%
• 6M: 12.63%
• 1Y: 29.05%
• 3Y*: 10.02%
• 5Y*: 7.92%
• 10Y*: —

CAOS

• 1D: -0.09%
• 1M: -0.08%
• YTD: 0.81%
• 6M: 0.65%
• 1Y: 1.88%
• 3Y*: 4.15%
• 5Y*: —
• 10Y*: —

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

DBMF vs. CAOS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
DBMF iMGP DBi Managed Futures Strategy ETF	10.45%	13.85%	7.24%	-7.73%
CAOS Alpha Architect Tail Risk ETF	0.81%	2.55%	5.33%	7.97%

Correlation

The correlation between DBMF and CAOS 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	-0.05
Correlation (All Time) Calculated using the full available price history since Mar 7, 2023	0.01

The correlation between DBMF and CAOS shifts across timeframes, from -0.09 (1 year) to 0.01 (all time), reflecting how their relationship changes across market environments.

DBMF vs. CAOS - Sectors Allocation Comparison

Sectors	DBMF	CAOS
Technology	29.8%	33.1%
Healthcare	12.7%	9.6%
Financial Services	12.5%	12.4%
Consumer Cyclical	11.0%	10.0%
Communication Services	8.6%	10.4%
Industrials	8.4%	8.5%
Consumer Defensive	6.1%	5.4%
Energy	3.9%	4.1%
Real Estate	2.5%	2.0%
Utilities	2.3%	2.6%
Basic Materials	2.2%	1.9%

Return for Risk

DBMF vs. CAOS — Risk / Return Rank

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

DBMF

DBMF Risk / Return Rank: 84
DBMF Sharpe Ratio Rank: 81
DBMF Sortino Ratio Rank: 77
DBMF Omega Ratio Rank: 88
DBMF Calmar Ratio Rank: 89
DBMF Martin Ratio Rank: 88

CAOS

CAOS Risk / Return Rank: 45
CAOS Sharpe Ratio Rank: 39
CAOS Sortino Ratio Rank: 43
CAOS Omega Ratio Rank: 44
CAOS Calmar Ratio Rank: 56
CAOS Martin Ratio Rank: 42

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.

DBMF vs. CAOS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iMGP DBi Managed Futures Strategy ETF (DBMF) and Alpha Architect Tail Risk ETF (CAOS). 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.

	DBMF	CAOS	Difference
Sharpe ratio: Return per unit of total volatility	2.36	1.23	+1.13
Sortino ratio: Return per unit of downside risk	3.08	1.97	+1.11
Omega ratio: Gain probability vs. loss probability	1.50	1.25	+0.25
Calmar ratio: Return relative to maximum drawdown	4.78	2.49	+2.29
Martin ratio: Return relative to average drawdown	17.53	6.17	+11.36
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DBMF vs. CAOS - Sharpe Ratio Comparison

The current DBMF Sharpe Ratio is 2.36, which is higher than the CAOS Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of DBMF and CAOS, 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

	DBMF	CAOS	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.36	1.23	+1.13
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.63	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.75	1.21	-0.46

Drawdowns

DBMF vs. CAOS - Drawdown Comparison

The maximum DBMF drawdown since its inception was -20.39%, which is greater than CAOS's maximum drawdown of -3.60%. Use the drawdown chart below to compare losses from any high point for DBMF and CAOS.

Drawdown Indicators

	DBMF	CAOS	Difference
Max Drawdown Largest peak-to-trough decline	-20.39%	-3.60%	-16.79%
Max Drawdown (1Y) Largest decline over 1 year	-6.10%	-0.76%	-5.34%
Max Drawdown (3Y) Largest decline over 3 years	-15.60%	-3.60%	-12.00%
Max Drawdown (5Y) Largest decline over 5 years	-20.39%	—	—
Current Drawdown Current decline from peak	-1.75%	-1.08%	-0.67%
Average Drawdown Average peak-to-trough decline	-6.58%	-0.90%	-5.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.66%	0.31%	+1.35%

Volatility

DBMF vs. CAOS - Volatility Comparison

iMGP DBi Managed Futures Strategy ETF (DBMF) has a higher volatility of 2.94% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.29%. This indicates that DBMF's price experiences larger fluctuations and is considered to be riskier than CAOS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DBMF	CAOS	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.94%	0.29%	+2.65%
Volatility (6M) Calculated over the trailing 6-month period	10.01%	1.04%	+8.97%
Volatility (1Y) Calculated over the trailing 1-year period	12.38%	1.53%	+10.85%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.56%	4.25%	+8.31%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.43%	4.25%	+8.18%

DBMF vs. CAOS - Expense Ratio Comparison

DBMF has a 0.85% expense ratio, which is higher than CAOS's 0.63% expense ratio.

Dividends

DBMF vs. CAOS - Dividend Comparison

DBMF's dividend yield for the trailing twelve months is around 5.18%, while CAOS has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
CAOS Alpha Architect Tail Risk ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
DBMF iMGP DBi Managed Futures Strategy ETF	5.18%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%

Frequently Asked Questions

Can I hold both DBMF and CAOS in my portfolio?

DBMF and CAOS 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.

Which is riskier, DBMF or CAOS?

DBMF has higher volatility (2.94%) compared to CAOS (0.29%). In terms of maximum drawdown, DBMF dropped -20.39% vs CAOS's -3.60%.

Which ETF is better, DBMF or CAOS?

On 3-year performance, DBMF leads with 10.02% vs 4.15% for CAOS. On fees, CAOS is cheaper at 0.63% per year. On volatility, CAOS has been the lower-risk option at 0.29%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DBMF or CAOS?

Over the 3-year period, DBMF has performed better with a 10.02% return vs 4.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DBMF or CAOS?

CAOS is cheaper with a 0.63% expense ratio, compared with 0.85% for DBMF.

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

DBMF has the higher dividend yield at 5.18%, compared with 0.00% for CAOS.

What is the main difference between DBMF and CAOS?

DBMF is categorized as Systematic Trend, while CAOS is Options Trading. They also come from different issuers: iM Global Partners and Alpha Architect. Their fees differ too: 0.85% for DBMF and 0.63% for CAOS.

Which has better risk-adjusted returns?

DBMF currently has the higher Sharpe Ratio (2.36 vs 1.23), 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.