DBMF vs. IMF

Last updated Jun 4, 2026

DBMF (iMGP DBi Managed Futures Strategy ETF) and IMF (Invesco Managed Futures Strategy ETF) are both Systematic Trend funds. Both are actively managed. Over the past year, DBMF returned 31.40% vs 20.55% for IMF. A 0.60 correlation means they provide meaningful diversification when combined. DBMF charges 0.85%/yr vs 0.65%/yr for IMF.

Performance

DBMF vs. IMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iMGP DBi Managed Futures Strategy ETF (DBMF) and Invesco Managed Futures Strategy ETF (IMF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DBMF achieves a 12.42% return, which is significantly lower than IMF's 14.07% return.

DBMF

• 1D: 0.03%
• 1M: 2.35%
• YTD: 12.42%
• 6M: 14.20%
• 1Y: 31.40%
• 3Y*: 10.81%
• 5Y*: 8.46%
• 10Y*: —

IMF

• 1D: 0.01%
• 1M: 0.95%
• YTD: 14.07%
• 6M: 18.34%
• 1Y: 20.55%
• 3Y*: —
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

DBMF vs. IMF - Yearly Performance Comparison

	2026 (YTD)	2025
DBMF iMGP DBi Managed Futures Strategy ETF	12.42%	16.66%
IMF Invesco Managed Futures Strategy ETF	14.07%	-7.96%

Correlation

The correlation between DBMF and IMF is 0.62, 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	0.62
Correlation (All Time) Calculated using the full available price history since Mar 20, 2025	0.60

The correlation between DBMF and IMF has been stable across timeframes, ranging from 0.60 to 0.62 - a consistent structural relationship.

Return for Risk

DBMF vs. IMF — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DBMF

DBMF Risk / Return Rank: 83
DBMF Sharpe Ratio Rank: 78
DBMF Sortino Ratio Rank: 73
DBMF Omega Ratio Rank: 87
DBMF Calmar Ratio Rank: 88
DBMF Martin Ratio Rank: 87

IMF

IMF Risk / Return Rank: 69
IMF Sharpe Ratio Rank: 59
IMF Sortino Ratio Rank: 54
IMF Omega Ratio Rank: 64
IMF Calmar Ratio Rank: 91
IMF Martin Ratio Rank: 78

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DBMF vs. IMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iMGP DBi Managed Futures Strategy ETF (DBMF) and Invesco Managed Futures Strategy ETF (IMF). 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	IMF	Difference
Sharpe ratio: Return per unit of total volatility	2.59	1.99	+0.61
Sortino ratio: Return per unit of downside risk	3.39	2.60	+0.79
Omega ratio: Gain probability vs. loss probability	1.55	1.39	+0.16
Calmar ratio: Return relative to maximum drawdown	5.17	5.75	-0.58
Martin ratio: Return relative to average drawdown	19.07	15.12	+3.94
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DBMF vs. IMF - Sharpe Ratio Comparison

The current DBMF Sharpe Ratio is 2.59, which is higher than the IMF Sharpe Ratio of 1.99. The chart below compares the historical Sharpe Ratios of DBMF and IMF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	DBMF	IMF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.59	1.99	+0.61
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.68	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.77	0.33	+0.44

Drawdowns

DBMF vs. IMF - Drawdown Comparison

The maximum DBMF drawdown since its inception was -20.39%, which is greater than IMF's maximum drawdown of -15.10%. Use the drawdown chart below to compare losses from any high point for DBMF and IMF.

Drawdown Indicators

	DBMF	IMF	Difference
Max Drawdown Largest peak-to-trough decline	-20.39%	-15.10%	-5.29%
Max Drawdown (1Y) Largest decline over 1 year	-6.10%	-3.59%	-2.51%
Max Drawdown (3Y) Largest decline over 3 years	-15.60%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-20.39%	—	—
Current Drawdown Current decline from peak	0.00%	-0.83%	+0.83%
Average Drawdown Average peak-to-trough decline	-6.59%	-8.41%	+1.82%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.65%	1.36%	+0.29%

Volatility

DBMF vs. IMF - Volatility Comparison

iMGP DBi Managed Futures Strategy ETF (DBMF) and Invesco Managed Futures Strategy ETF (IMF) have volatilities of 2.12% and 2.08%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DBMF	IMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.12%	2.08%	+0.04%
Volatility (6M) Calculated over the trailing 6-month period	9.76%	8.91%	+0.85%
Volatility (1Y) Calculated over the trailing 1-year period	12.17%	10.45%	+1.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.52%	12.48%	+0.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.41%	12.48%	-0.07%

DBMF vs. IMF - Expense Ratio Comparison

DBMF has a 0.85% expense ratio, which is higher than IMF's 0.65% expense ratio.

Dividends

DBMF vs. IMF - Dividend Comparison

DBMF's dividend yield for the trailing twelve months is around 5.09%, more than IMF's 0.89% 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%
IMF Invesco Managed Futures Strategy ETF	0.89%	1.01%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both DBMF and IMF in my portfolio?

DBMF and IMF have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DBMF or IMF?

DBMF has higher volatility (2.12%) compared to IMF (2.08%). In terms of maximum drawdown, DBMF dropped -20.39% vs IMF's -15.10%.

Which ETF is better, DBMF or IMF?

On 1-year performance, DBMF leads with 31.40% vs 20.55% for IMF. On fees, IMF is cheaper at 0.65% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DBMF or IMF?

Over the 1-year period, DBMF has performed better with a 31.40% return vs 20.55%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DBMF or IMF?

IMF is cheaper with a 0.65% expense ratio, compared with 0.85% for DBMF.

Which ETF pays a higher dividend yield, DBMF or IMF?

DBMF has the higher dividend yield at 5.09%, compared with 0.89% for IMF.

What is the main difference between DBMF and IMF?

They also come from different issuers: iM Global Partners and Invesco. Their fees differ too: 0.85% for DBMF and 0.65% for IMF.

Which has better risk-adjusted returns?

DBMF currently has the higher Sharpe Ratio (2.59 vs 1.99), 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.