DBMF vs. FXF
DBMF (iMGP DBi Managed Futures Strategy ETF) and FXF (Invesco CurrencyShares® Swiss Franc Trust) are both exchange-traded funds - DBMF is a Systematic Trend fund actively managed by iM Global Partners, while FXF is a Currency fund tracking the Swiss Franc. DBMF is actively managed, while FXF is passively managed. Over the past 5 years, DBMF returned 8.70%/yr vs 1.83%/yr for FXF. Their -0.11 correlation means they have often moved in opposite directions in the past. DBMF charges 0.85%/yr vs 0.40%/yr for FXF.
Performance
DBMF vs. FXF - Performance Comparison
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Returns By Period
In the year-to-date period, DBMF achieves a 12.95% return, which is significantly higher than FXF's -3.50% return.
DBMF
- 1D
- -0.25%
- 1M
- 3.44%
- 6M
- 7.95%
- YTD
- 12.95%
- 1Y
- 27.97%
- 3Y*
- 10.07%
- 5Y*
- 8.70%
- 10Y*
- —
- ALL TIME*
- 9.43%
FXF
- 1D
- -0.17%
- 1M
- -1.09%
- 6M
- -4.81%
- YTD
- -3.50%
- 1Y
- -3.38%
- 3Y*
- 1.52%
- 5Y*
- 1.83%
- 10Y*
- 1.08%
- ALL TIME*
- 1.60%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $48.88M | $50.74M | $48.74M | |
| $2.99M | $3.23M | $5.41M |
DBMF vs. FXF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 12.95% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.51% |
FXF Invesco CurrencyShares® Swiss Franc Trust | -3.50% | 14.04% | -7.46% | 9.63% | -2.29% | -4.08% | 8.18% | 4.42% |
Correlation
The correlation between DBMF and FXF is 0.11, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.11 |
Correlation (3Y) Balances recent behavior with more history. | -0.11 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.22 |
Correlation (All Time) Calculated using the full available price history since May 8, 2019 | -0.11 |
The correlation between DBMF and FXF shifts across timeframes, from -0.22 (5 years) to 0.11 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
DBMF vs. FXF — Risk / Return Rank
DBMF
FXF
DBMF vs. FXF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iMGP DBi Managed Futures Strategy ETF (DBMF) and Invesco CurrencyShares® Swiss Franc Trust (FXF). 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 | FXF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.68 | ||
| Sortino ratioReturn per unit of downside risk | +3.55 | ||
| Omega ratioGain probability vs. loss probability | 1.45 | 0.93 | +0.52 |
| Calmar ratioReturn relative to maximum drawdown | 4.59 | -0.48 | +5.07 |
| Martin ratioReturn relative to average drawdown | 15.59 | -1.15 | +16.75 |
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Drawdowns
DBMF vs. FXF - Drawdown Comparison
The maximum DBMF drawdown since its inception was -20.39%, smaller than the maximum FXF drawdown of -35.58%. Use the drawdown chart below to compare losses from any high point for DBMF and FXF.
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Drawdown Indicators
| DBMF | FXF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.39% | -35.58% | +15.19% |
Max Drawdown (1Y)Largest decline over 1 year | -6.10% | -7.15% | +1.05% |
Max Drawdown (3Y)Largest decline over 3 years | -15.60% | -8.52% | -7.08% |
Max Drawdown (5Y)Largest decline over 5 years | -20.39% | -11.99% | -8.40% |
Max Drawdown (10Y)Largest decline over 10 years | — | -15.04% | — |
Current DrawdownCurrent decline from peak | -0.25% | -21.23% | +20.98% |
Average DrawdownAverage peak-to-trough decline | -6.49% | -20.83% | +14.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.79% | 2.98% | -1.19% |
Volatility
DBMF vs. FXF - Volatility Comparison
iMGP DBi Managed Futures Strategy ETF (DBMF) has a higher volatility of 2.42% compared to Invesco CurrencyShares® Swiss Franc Trust (FXF) at 1.75%. This indicates that DBMF's price experiences larger fluctuations and is considered to be riskier than FXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DBMF | FXF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.42% | 1.75% | +0.67% |
Volatility (6M)Calculated over the trailing 6-month period | 9.96% | 5.46% | +4.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.66% | 7.39% | +5.27% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.43% | 8.31% | +4.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.37% | 7.57% | +4.80% |
DBMF vs. FXF - Expense Ratio Comparison
DBMF has a 0.85% expense ratio, which is higher than FXF's 0.40% expense ratio.
Dividends
DBMF vs. FXF - Dividend Comparison
DBMF's dividend yield for the trailing twelve months is around 5.03%, while FXF has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 5.03% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% |
FXF Invesco CurrencyShares® Swiss Franc Trust | 0.00% | 0.00% | 0.03% | 0.02% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
DBMF and FXF have a correlation of 0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DBMF has higher volatility (2.42%) compared to FXF (1.75%). In terms of maximum drawdown, DBMF dropped -20.39% vs FXF's -35.58%.
On 5-year performance, DBMF leads with 8.70% vs 1.83% for FXF. On fees, FXF is cheaper at 0.40% per year. On volatility, FXF has been the lower-risk option at 1.75%. 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 8.70% return vs 1.83%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
FXF is cheaper with a 0.40% expense ratio, compared with 0.85% for DBMF.
DBMF has the higher dividend yield at 5.03%, compared with 0.00% for FXF.
DBMF is categorized as Systematic Trend, while FXF is Currency. They also come from different issuers: iM Global Partners and Invesco. Their fees differ too: 0.85% for DBMF and 0.40% for FXF.
DBMF currently has the higher Sharpe Ratio (2.21 vs -0.47), 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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