DBMF vs. JDJIX

Last updated Apr 4, 2026

Compare and contrast key facts about iM DBi Managed Futures Strategy ETF (DBMF) and JHancock Diversified Macro Fund (JDJIX).

DBMF is an actively managed fund by Litman Gregory Capital Partners LLC. It was launched on May 8, 2019. JDJIX is managed by John Hancock. It was launched on Jul 28, 2019.

Performance

DBMF vs. JDJIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iM DBi Managed Futures Strategy ETF (DBMF) and JHancock Diversified Macro Fund (JDJIX). The values are adjusted to include any dividend payments, if applicable.

DBMF vs. JDJIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
DBMF iM DBi Managed Futures Strategy ETF	8.44%	13.85%	7.24%	-8.94%	21.61%	11.49%	1.80%	5.24%
JDJIX JHancock Diversified Macro Fund	5.53%	-7.68%	2.59%	2.77%	12.26%	-2.19%	-2.24%	1.59%

Returns By Period

In the year-to-date period, DBMF achieves a 8.44% return, which is significantly higher than JDJIX's 5.53% return.

DBMF

• 1D: 0.33%
• 1M: -0.59%
• YTD: 8.44%
• 6M: 15.00%
• 1Y: 28.28%
• 3Y*: 10.31%
• 5Y*: 8.74%
• 10Y*: —

JDJIX

• 1D: 0.23%
• 1M: -0.90%
• YTD: 5.53%
• 6M: 3.01%
• 1Y: -1.71%
• 3Y*: 0.67%
• 5Y*: 2.68%
• 10Y*: —

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

DBMF vs. JDJIX - Expense Ratio Comparison

DBMF has a 0.85% expense ratio, which is lower than JDJIX's 1.39% expense ratio.

JDJIX

JHancock Diversified Macro Fund

DBMF

iM DBi Managed Futures Strategy ETF

Return for Risk

DBMF vs. JDJIX — Risk / Return Rank

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

DBMF

DBMF Risk / Return Rank: 94
DBMF Sharpe Ratio Rank: 93
DBMF Sortino Ratio Rank: 94
DBMF Omega Ratio Rank: 95
DBMF Calmar Ratio Rank: 93
DBMF Martin Ratio Rank: 95

JDJIX

JDJIX Risk / Return Rank: 1
JDJIX Sharpe Ratio Rank: 1
JDJIX Sortino Ratio Rank: 1
JDJIX Omega Ratio Rank: 1
JDJIX Calmar Ratio Rank: 1
JDJIX Martin Ratio Rank: 2

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. JDJIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iM DBi Managed Futures Strategy ETF (DBMF) and JHancock Diversified Macro Fund (JDJIX). 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	JDJIX	Difference
Sharpe ratio Return per unit of total volatility	2.25	-0.53	+2.78
Sortino ratio Return per unit of downside risk	3.05	-0.63	+3.68
Omega ratio Gain probability vs. loss probability	1.48	0.91	+0.56
Calmar ratio Return relative to maximum drawdown	4.38	-0.42	+4.79
Martin ratio Return relative to average drawdown	18.76	-0.61	+19.38
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. JDJIX - Sharpe Ratio Comparison

The current DBMF Sharpe Ratio is 2.25, which is higher than the JDJIX Sharpe Ratio of -0.53. The chart below compares the historical Sharpe Ratios of DBMF and JDJIX, 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	JDJIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.25	-0.53	+2.78
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.69	0.30	+0.39
Sharpe Ratio (All Time) Calculated using the full available price history	0.74	0.19	+0.56

Correlation

The correlation between DBMF and JDJIX is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Dividends

DBMF vs. JDJIX - Dividend Comparison

DBMF's dividend yield for the trailing twelve months is around 5.28%, more than JDJIX's 0.29% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019
DBMF iM DBi Managed Futures Strategy ETF	5.28%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%
JDJIX JHancock Diversified Macro Fund	0.29%	0.31%	0.43%	3.99%	11.26%	3.46%	2.11%	3.79%

Drawdowns

DBMF vs. JDJIX - Drawdown Comparison

The maximum DBMF drawdown since its inception was -20.39%, roughly equal to the maximum JDJIX drawdown of -19.58%. Use the drawdown chart below to compare losses from any high point for DBMF and JDJIX.

Drawdown Indicators

	DBMF	JDJIX	Difference
Max Drawdown Largest peak-to-trough decline	-20.39%	-19.58%	-0.81%
Max Drawdown (1Y) Largest decline over 1 year	-6.10%	-6.36%	+0.26%
Max Drawdown (5Y) Largest decline over 5 years	-20.39%	-19.58%	-0.81%
Current Drawdown Current decline from peak	-3.31%	-14.04%	+10.73%
Average Drawdown Average peak-to-trough decline	-6.70%	-7.29%	+0.59%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.42%	7.11%	-5.69%

Volatility

DBMF vs. JDJIX - Volatility Comparison

iM DBi Managed Futures Strategy ETF (DBMF) has a higher volatility of 4.09% compared to JHancock Diversified Macro Fund (JDJIX) at 1.46%. This indicates that DBMF's price experiences larger fluctuations and is considered to be riskier than JDJIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DBMF	JDJIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.09%	1.46%	+2.63%
Volatility (6M) Calculated over the trailing 6-month period	11.10%	4.94%	+6.16%
Volatility (1Y) Calculated over the trailing 1-year period	12.09%	8.27%	+3.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.66%	8.90%	+3.76%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.48%	9.19%	+3.29%