DBMF vs. IEFA
DBMF (iMGP DBi Managed Futures Strategy ETF) and IEFA (iShares Core MSCI EAFE ETF) are both exchange-traded funds - DBMF is a Systematic Trend fund actively managed by iM Global Partners, while IEFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE IMI Index (Net). DBMF is actively managed, while IEFA is passively managed. Over the past 5 years, DBMF returned 8.01%/yr vs 8.10%/yr for IEFA. At a 0.17 correlation, their price movements are largely independent. DBMF charges 0.85%/yr vs 0.07%/yr for IEFA.
Performance
DBMF vs. IEFA - Performance Comparison
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Returns By Period
In the year-to-date period, DBMF achieves a 10.27% return, which is significantly higher than IEFA's 9.51% return.
DBMF
- 1D
- 0.26%
- 1M
- -1.34%
- YTD
- 10.27%
- 6M
- 11.24%
- 1Y
- 26.94%
- 3Y*
- 9.64%
- 5Y*
- 8.01%
- 10Y*
- —
IEFA
- 1D
- 0.18%
- 1M
- 1.09%
- YTD
- 9.51%
- 6M
- 11.08%
- 1Y
- 22.43%
- 3Y*
- 16.31%
- 5Y*
- 8.10%
- 10Y*
- 9.90%
DBMF vs. IEFA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 10.27% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.51% |
IEFA iShares Core MSCI EAFE ETF | 9.51% | 32.08% | 3.26% | 17.95% | -15.24% | 11.63% | 8.18% | 10.54% |
Correlation
The correlation between DBMF and IEFA is 0.38, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.38 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.24 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.08 |
Correlation (All Time) Calculated using the full available price history since May 8, 2019 | 0.17 |
Over the past year, DBMF and IEFA have become more correlated (0.38) than their long-term average of 0.17, meaning their price movements have been converging.
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Return for Risk
DBMF vs. IEFA — Risk / Return Rank
DBMF
IEFA
DBMF vs. IEFA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iMGP DBi Managed Futures Strategy ETF (DBMF) and iShares Core MSCI EAFE ETF (IEFA). 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 | IEFA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.87 | ||
| Sortino ratioReturn per unit of downside risk | +0.95 | ||
| Omega ratioGain probability vs. loss probability | 1.47 | 1.25 | +0.22 |
| Calmar ratioReturn relative to maximum drawdown | 4.50 | 1.83 | +2.68 |
| Martin ratioReturn relative to average drawdown | 16.30 | 6.93 | +9.37 |
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Drawdowns
DBMF vs. IEFA - Drawdown Comparison
The maximum DBMF drawdown since its inception was -20.39%, smaller than the maximum IEFA drawdown of -34.78%. Use the drawdown chart below to compare losses from any high point for DBMF and IEFA.
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Drawdown Indicators
| DBMF | IEFA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.39% | -34.78% | +14.39% |
Max Drawdown (1Y)Largest decline over 1 year | -6.10% | -11.50% | +5.40% |
Max Drawdown (3Y)Largest decline over 3 years | -15.60% | -13.76% | -1.84% |
Max Drawdown (5Y)Largest decline over 5 years | -20.39% | -30.41% | +10.02% |
Max Drawdown (10Y)Largest decline over 10 years | — | -34.78% | — |
Current DrawdownCurrent decline from peak | -1.91% | -0.60% | -1.31% |
Average DrawdownAverage peak-to-trough decline | -6.56% | -6.68% | +0.12% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.68% | 3.03% | -1.35% |
Volatility
DBMF vs. IEFA - Volatility Comparison
The current volatility for iMGP DBi Managed Futures Strategy ETF (DBMF) is 2.71%, while iShares Core MSCI EAFE ETF (IEFA) has a volatility of 5.50%. This indicates that DBMF experiences smaller price fluctuations and is considered to be less risky than IEFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DBMF | IEFA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.71% | 5.50% | -2.79% |
Volatility (6M)Calculated over the trailing 6-month period | 10.00% | 13.11% | -3.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.35% | 15.54% | -3.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.55% | 16.61% | -4.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.41% | 17.31% | -4.90% |
DBMF vs. IEFA - Expense Ratio Comparison
DBMF has a 0.85% expense ratio, which is higher than IEFA's 0.07% expense ratio.
Dividends
DBMF vs. IEFA - Dividend Comparison
DBMF's dividend yield for the trailing twelve months is around 5.19%, more than IEFA's 3.24% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 5.19% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% |
IEFA iShares Core MSCI EAFE ETF | 3.24% | 3.55% | 3.47% | 3.20% | 2.70% | 3.32% | 1.90% | 3.18% | 3.46% | 2.57% | 2.96% | 2.63% |
Frequently Asked Questions
DBMF and IEFA have a correlation of 0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IEFA has higher volatility (5.50%) compared to DBMF (2.71%). In terms of maximum drawdown, DBMF dropped -20.39% vs IEFA's -34.78%.
On 5-year performance, IEFA leads with 8.10% vs 8.01% for DBMF. On fees, IEFA is cheaper at 0.07% per year. On volatility, DBMF has been the lower-risk option at 2.71%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, IEFA has performed better with a 8.10% return vs 8.01%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IEFA is cheaper with a 0.07% expense ratio, compared with 0.85% for DBMF.
DBMF has the higher dividend yield at 5.19%, compared with 3.24% for IEFA.
DBMF is categorized as Systematic Trend, while IEFA is Foreign Large Cap Equities. They also come from different issuers: iM Global Partners and iShares. Their fees differ too: 0.85% for DBMF and 0.07% for IEFA.
DBMF currently has the higher Sharpe Ratio (2.22 vs 1.35), 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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