DBMF vs. CME
DBMF (iMGP DBi Managed Futures Strategy ETF) is Systematic Trend fund actively managed by iM Global Partners, while CME (CME Group Inc.) is a stock. Over the past 5 years, DBMF returned 8.59%/yr vs 7.36%/yr for CME. At a 0.06 correlation, their price movements are largely independent.
Performance
DBMF vs. CME - Performance Comparison
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Returns By Period
In the year-to-date period, DBMF achieves a 11.26% return, which is significantly higher than CME's -7.62% return.
DBMF
- 1D
- 0.23%
- 1M
- 0.57%
- 6M
- 8.74%
- YTD
- 11.26%
- 1Y
- 26.79%
- 3Y*
- 9.43%
- 5Y*
- 8.59%
- 10Y*
- —
- ALL TIME*
- 9.22%
CME
- 1D
- 0.02%
- 1M
- -0.52%
- 6M
- -9.74%
- YTD
- -7.62%
- 1Y
- -7.30%
- 3Y*
- 13.77%
- 5Y*
- 7.36%
- 10Y*
- 13.48%
- ALL TIME*
- 19.41%
DBMF vs. CME - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 11.26% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.51% |
CME CME Group Inc. | -7.62% | 19.83% | 15.41% | 31.32% | -22.89% | 29.47% | -6.34% | 15.33% |
Correlation
The correlation between DBMF and CME is -0.03, 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 | -0.03 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.01 |
Correlation (All Time) Calculated using the full available price history since May 8, 2019 | 0.06 |
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Return for Risk
DBMF vs. CME — Risk / Return Rank
DBMF
CME
DBMF vs. CME - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iMGP DBi Managed Futures Strategy ETF (DBMF) and CME Group Inc. (CME). 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.
| DBMF | CME | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.46 | ||
| Sortino ratioReturn per unit of downside risk | +3.11 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 0.96 | +0.47 |
| Calmar ratioReturn relative to maximum drawdown | 4.41 | -0.24 | +4.65 |
| Martin ratioReturn relative to average drawdown | 14.93 | -0.73 | +15.65 |
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Drawdowns
DBMF vs. CME - Drawdown Comparison
The maximum DBMF drawdown since its inception was -20.39%, smaller than the maximum CME drawdown of -77.50%. Use the drawdown chart below to compare losses from any high point for DBMF and CME.
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Drawdown Indicators
| DBMF | CME | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.39% | -77.50% | +57.11% |
Max Drawdown (1Y)Largest decline over 1 year | -6.10% | -31.09% | +24.99% |
Max Drawdown (3Y)Largest decline over 3 years | -15.60% | -31.09% | +15.49% |
Max Drawdown (5Y)Largest decline over 5 years | -20.39% | -31.74% | +11.35% |
Max Drawdown (10Y)Largest decline over 10 years | — | -37.36% | — |
Current DrawdownCurrent decline from peak | -1.03% | -22.73% | +21.70% |
Average DrawdownAverage peak-to-trough decline | -6.50% | -20.70% | +14.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.80% | 10.08% | -8.28% |
Volatility
DBMF vs. CME - Volatility Comparison
The current volatility for iMGP DBi Managed Futures Strategy ETF (DBMF) is 2.69%, while CME Group Inc. (CME) has a volatility of 9.30%. This indicates that DBMF experiences smaller price fluctuations and is considered to be less risky than CME based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DBMF | CME | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.69% | 9.30% | -6.61% |
Volatility (6M)Calculated over the trailing 6-month period | 10.05% | 18.97% | -8.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.63% | 22.66% | -10.03% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.45% | 20.49% | -8.04% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.37% | 24.06% | -11.69% |
Dividends
DBMF vs. CME - Dividend Comparison
DBMF's dividend yield for the trailing twelve months is around 5.11%, more than CME's 4.59% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CME CME Group Inc. | 4.59% | 1.83% | 4.48% | 4.58% | 5.05% | 3.00% | 3.24% | 2.74% | 2.42% | 4.20% | 4.90% | 5.41% |
DBMF iMGP DBi Managed Futures Strategy ETF | 5.11% | 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
DBMF and CME have a correlation of -0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CME has higher volatility (9.30%) compared to DBMF (2.69%). In terms of maximum drawdown, DBMF dropped -20.39% vs CME's -77.50%.
DBMF currently has the higher Sharpe Ratio (2.13 vs -0.32), 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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