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 8.34%/yr vs -13.25%/yr for GXDW. Their 0.12 correlation means their historical movements had little consistent relationship. 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 11.19% return, which is significantly higher than GXDW's -3.37% return.
DBMF
- 1D
- 0.26%
- 1M
- 1.95%
- 6M
- 6.88%
- YTD
- 11.19%
- 1Y
- 28.45%
- 3Y*
- 9.09%
- 5Y*
- 8.34%
- 10Y*
- —
- ALL TIME*
- 9.17%
GXDW
- 1D
- -1.04%
- 1M
- -8.67%
- 6M
- -7.01%
- YTD
- -3.37%
- 1Y
- -8.01%
- 3Y*
- -5.28%
- 5Y*
- -13.25%
- 10Y*
- —
- ALL TIME*
- -0.58%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $63.53M | $54.84M | $51.08M | |
| $66.28K | $83.18K | $192.33K |
DBMF vs. GXDW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 11.19% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 0.94% |
GXDW Global X Dorsey Wright Thematic ETF | -3.37% | 3.52% | -3.55% | 10.26% | -48.08% | 3.21% | 61.07% | 4.74% |
Correlation
The correlation between DBMF and GXDW is 0.42, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.42 |
Correlation (3Y) Balances recent behavior with more history. | 0.23 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.04 |
Correlation (All Time) Calculated using the full available price history since Nov 4, 2019 | 0.12 |
Over the past year, DBMF and GXDW have become more correlated (0.42) than their long-term average of 0.12, 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.
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 | GXDW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.50 | ||
| Sortino ratioReturn per unit of downside risk | +3.10 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 0.97 | +0.47 |
| Calmar ratioReturn relative to maximum drawdown | 4.54 | -0.34 | +4.87 |
| Martin ratioReturn relative to average drawdown | 15.42 | -0.78 | +16.20 |
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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% | -29.14% | +23.04% |
Max Drawdown (3Y)Largest decline over 3 years | -15.60% | -29.14% | +13.54% |
Max Drawdown (5Y)Largest decline over 5 years | -20.39% | -61.17% | +40.78% |
Current DrawdownCurrent decline from peak | -1.81% | -61.80% | +59.99% |
Average DrawdownAverage peak-to-trough decline | -6.48% | -43.41% | +36.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.79% | 12.56% | -10.77% |
Volatility
DBMF vs. GXDW - Volatility Comparison
The current volatility for iMGP DBi Managed Futures Strategy ETF (DBMF) is 2.31%, while Global X Dorsey Wright Thematic ETF (GXDW) has a volatility of 13.48%. 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 | 2.31% | 13.48% | -11.17% |
Volatility (6M)Calculated over the trailing 6-month period | 9.81% | 25.74% | -15.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.68% | 31.49% | -18.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.44% | 28.73% | -16.29% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.36% | 30.13% | -17.77% |
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 5.11%, more than GXDW's 1.55% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 5.11% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% |
GXDW Global X Dorsey Wright Thematic ETF | 1.55% | 1.40% | 1.08% | 1.99% | 1.48% | 1.56% | 0.48% | 0.31% |
Frequently Asked Questions
DBMF and GXDW have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GXDW has higher volatility (13.48%) compared to DBMF (2.31%). In terms of maximum drawdown, DBMF dropped -20.39% vs GXDW's -67.81%.
On 5-year performance, DBMF leads with 8.34% vs -13.25% for GXDW. On fees, GXDW is cheaper at 0.50% per year. On volatility, DBMF has been the lower-risk option at 2.31%. 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 8.34% return vs -13.25%. 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 5.11%, compared with 1.55% for GXDW.
They also come from different issuers: iMGP and Global X. Their fees differ too: 0.85% for DBMF and 0.50% for GXDW.
DBMF currently has the higher Sharpe Ratio (2.18 vs -0.31), 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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