DBMF vs. GXDW
DBMF (iMGP DBi Managed Futures Strategy ETF) and GXDW (Global X Dorsey Wright Thematic ETF) are both Systematic Trend funds. DBMF is actively managed, while GXDW is passively managed. Over the past 5 years, DBMF returned 8.46%/yr vs -7.87%/yr for GXDW. At a 0.11 correlation, their price movements are largely independent. DBMF charges 0.85%/yr vs 0.50%/yr for GXDW.
Performance
DBMF vs. GXDW - Performance Comparison
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Returns By Period
In the year-to-date period, DBMF achieves a 12.42% return, which is significantly lower than GXDW's 25.21% return.
DBMF
- 1D
- 0.03%
- 1M
- 2.35%
- YTD
- 12.42%
- 6M
- 14.20%
- 1Y
- 31.40%
- 3Y*
- 10.81%
- 5Y*
- 8.46%
- 10Y*
- —
GXDW
- 1D
- -2.35%
- 1M
- 8.75%
- YTD
- 25.21%
- 6M
- 20.12%
- 1Y
- 22.25%
- 3Y*
- 6.51%
- 5Y*
- -7.87%
- 10Y*
- —
DBMF vs. GXDW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 12.42% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 1.05% |
GXDW Global X Dorsey Wright Thematic ETF | 25.21% | 3.52% | -3.55% | 10.26% | -48.08% | 3.21% | 61.07% | 4.70% |
Correlation
The correlation between DBMF and GXDW is 0.36, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.36 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.18 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.03 |
Correlation (All Time) Calculated using the full available price history since Nov 5, 2019 | 0.11 |
Over the past year, DBMF and GXDW have become more correlated (0.36) than their long-term average of 0.11, meaning their price movements have been converging.
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Return for Risk
DBMF vs. GXDW — Risk / Return Rank
DBMF
GXDW
DBMF vs. GXDW - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iMGP DBi Managed Futures Strategy ETF (DBMF) and Global X Dorsey Wright Thematic ETF (GXDW). 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 | GXDW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.72 | ||
| Sortino ratioReturn per unit of downside risk | +2.07 | ||
| Omega ratioGain probability vs. loss probability | 1.55 | 1.17 | +0.39 |
| Calmar ratioReturn relative to maximum drawdown | 5.17 | 0.91 | +4.26 |
| Martin ratioReturn relative to average drawdown | 19.07 | 2.15 | +16.91 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DBMF | GXDW | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.59 | 0.88 | +1.72 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.68 | -0.29 | +0.97 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.77 | 0.12 | +0.66 |
Drawdowns
DBMF vs. GXDW - Drawdown Comparison
The maximum DBMF drawdown since its inception was -20.39%, smaller than the maximum GXDW drawdown of -67.81%. Use the drawdown chart below to compare losses from any high point for DBMF and GXDW.
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Drawdown Indicators
| DBMF | GXDW | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.39% | -67.81% | +47.42% |
Max Drawdown (1Y)Largest decline over 1 year | -6.10% | -24.65% | +18.55% |
Max Drawdown (3Y)Largest decline over 3 years | -15.60% | -31.89% | +16.29% |
Max Drawdown (5Y)Largest decline over 5 years | -20.39% | -61.17% | +40.78% |
Current DrawdownCurrent decline from peak | 0.00% | -50.50% | +50.50% |
Average DrawdownAverage peak-to-trough decline | -6.59% | -43.09% | +36.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.65% | 10.35% | -8.70% |
Volatility
DBMF vs. GXDW - Volatility Comparison
The current volatility for iMGP DBi Managed Futures Strategy ETF (DBMF) is 2.12%, while Global X Dorsey Wright Thematic ETF (GXDW) has a volatility of 10.21%. This indicates that DBMF experiences smaller price fluctuations and is considered to be less risky than GXDW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DBMF | GXDW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.12% | 10.21% | -8.09% |
Volatility (6M)Calculated over the trailing 6-month period | 9.76% | 18.97% | -9.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.17% | 25.52% | -13.35% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.52% | 27.63% | -15.11% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.41% | 29.59% | -17.18% |
DBMF vs. GXDW - Expense Ratio Comparison
DBMF has a 0.85% expense ratio, which is higher than GXDW's 0.50% expense ratio.
Dividends
DBMF vs. GXDW - Dividend Comparison
DBMF's dividend yield for the trailing twelve months is around 5.09%, more than GXDW's 1.12% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 5.09% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% |
GXDW Global X Dorsey Wright Thematic ETF | 1.12% | 1.40% | 1.08% | 1.99% | 1.48% | 1.56% | 0.48% | 0.31% |
Frequently Asked Questions
DBMF and GXDW have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GXDW has higher volatility (10.21%) compared to DBMF (2.12%). In terms of maximum drawdown, DBMF dropped -20.39% vs GXDW's -67.81%.
On 5-year performance, DBMF leads with 8.46% vs -7.87% for GXDW. On fees, GXDW is cheaper at 0.50% per year. On volatility, DBMF has been the lower-risk option at 2.12%. 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 8.46% return vs -7.87%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GXDW is cheaper with a 0.50% expense ratio, compared with 0.85% for DBMF.
DBMF has the higher dividend yield at 5.09%, compared with 1.12% for GXDW.
They also come from different issuers: iM Global Partners and Global X. Their fees differ too: 0.85% for DBMF and 0.50% for GXDW.
DBMF currently has the higher Sharpe Ratio (2.59 vs 0.88), 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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