DBMF vs. FMF
DBMF (iMGP DBi Managed Futures Strategy ETF) and FMF (First Trust Managed Futures Strategy Fund) are both exchange-traded funds - DBMF is a Systematic Trend fund actively managed by iM Global Partners, while FMF is a Hedge Fund fund actively managed by First Trust. Both are actively managed. Over the past 5 years, DBMF returned 8.43%/yr vs 4.57%/yr for FMF. At a 0.41 correlation, their price movements are largely independent. DBMF charges 0.85%/yr vs 0.95%/yr for FMF.
Performance
DBMF vs. FMF - Performance Comparison
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Returns By Period
In the year-to-date period, DBMF achieves a 10.77% return, which is significantly higher than FMF's 8.63% return.
DBMF
- 1D
- 0.13%
- 1M
- -0.42%
- YTD
- 10.77%
- 6M
- 10.08%
- 1Y
- 27.61%
- 3Y*
- 9.24%
- 5Y*
- 8.43%
- 10Y*
- —
FMF
- 1D
- 0.58%
- 1M
- -1.90%
- YTD
- 8.63%
- 6M
- 9.11%
- 1Y
- 19.91%
- 3Y*
- 6.82%
- 5Y*
- 4.57%
- 10Y*
- 2.93%
DBMF vs. FMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 10.77% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.51% |
FMF First Trust Managed Futures Strategy Fund | 8.63% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -2.99% |
Correlation
The correlation between DBMF and FMF is 0.51, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.51 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.42 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.43 |
Correlation (All Time) Calculated using the full available price history since May 8, 2019 | 0.41 |
The correlation between DBMF and FMF has been stable across timeframes, ranging from 0.41 to 0.51 - a consistent structural relationship.
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Return for Risk
DBMF vs. FMF — Risk / Return Rank
DBMF
FMF
DBMF vs. FMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iMGP DBi Managed Futures Strategy ETF (DBMF) and First Trust Managed Futures Strategy Fund (FMF). 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 | FMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.15 | ||
| Sortino ratioReturn per unit of downside risk | -0.09 | ||
| Omega ratioGain probability vs. loss probability | 1.47 | 1.37 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | 4.55 | 5.85 | -1.30 |
| Martin ratioReturn relative to average drawdown | 16.25 | 16.12 | +0.13 |
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Drawdowns
DBMF vs. FMF - Drawdown Comparison
The maximum DBMF drawdown since its inception was -20.39%, smaller than the maximum FMF drawdown of -22.21%. Use the drawdown chart below to compare losses from any high point for DBMF and FMF.
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Drawdown Indicators
| DBMF | FMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.39% | -22.21% | +1.82% |
Max Drawdown (1Y)Largest decline over 1 year | -6.10% | -3.42% | -2.68% |
Max Drawdown (3Y)Largest decline over 3 years | -15.60% | -7.25% | -8.35% |
Max Drawdown (5Y)Largest decline over 5 years | -20.39% | -14.98% | -5.41% |
Max Drawdown (10Y)Largest decline over 10 years | — | -16.89% | — |
Current DrawdownCurrent decline from peak | -1.46% | -2.17% | +0.71% |
Average DrawdownAverage peak-to-trough decline | -6.55% | -9.83% | +3.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.70% | 1.24% | +0.46% |
Volatility
DBMF vs. FMF - Volatility Comparison
iMGP DBi Managed Futures Strategy ETF (DBMF) has a higher volatility of 2.85% compared to First Trust Managed Futures Strategy Fund (FMF) at 2.42%. This indicates that DBMF's price experiences larger fluctuations and is considered to be riskier than FMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DBMF | FMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.85% | 2.42% | +0.43% |
Volatility (6M)Calculated over the trailing 6-month period | 10.05% | 7.22% | +2.83% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.42% | 9.58% | +2.84% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.52% | 10.74% | +1.78% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.40% | 11.65% | +0.75% |
DBMF vs. FMF - Expense Ratio Comparison
DBMF has a 0.85% expense ratio, which is lower than FMF's 0.95% expense ratio.
Dividends
DBMF vs. FMF - Dividend Comparison
DBMF's dividend yield for the trailing twelve months is around 5.17%, more than FMF's 5.06% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 5.17% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% |
FMF First Trust Managed Futures Strategy Fund | 5.06% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
Frequently Asked Questions
DBMF and FMF have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DBMF has higher volatility (2.85%) compared to FMF (2.42%). In terms of maximum drawdown, DBMF dropped -20.39% vs FMF's -22.21%.
On 5-year performance, DBMF leads with 8.43% vs 4.57% for FMF. On fees, DBMF is cheaper at 0.85% per year. On volatility, FMF has been the lower-risk option at 2.42%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, DBMF has performed better with a 8.43% return vs 4.57%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DBMF is cheaper with a 0.85% expense ratio, compared with 0.95% for FMF.
DBMF has the higher dividend yield at 5.17%, compared with 5.06% for FMF.
DBMF is categorized as Systematic Trend, while FMF is Hedge Fund. They also come from different issuers: iM Global Partners and First Trust. Their fees differ too: 0.85% for DBMF and 0.95% for FMF.
DBMF currently has the higher Sharpe Ratio (2.24 vs 2.09), 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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