DBMF vs. MCD

Last updated Jul 26, 2026

DBMF (iMGP DBi Managed Futures Strategy ETF) is Systematic Trend fund actively managed by iM Global Partners, while MCD (McDonald's Corporation) is a stock. Over the past 5 years, DBMF returned 8.70%/yr vs 4.10%/yr for MCD. Their 0.04 correlation means their historical movements had little consistent relationship.

Performance

DBMF vs. MCD - Performance Comparison

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

Returns By Period

In the year-to-date period, DBMF achieves a 12.95% return, which is significantly higher than MCD's -12.30% return.

DBMF

• 1D: -0.25%
• 1M: 3.44%
• 6M: 7.95%
• YTD: 12.95%
• 1Y: 27.97%
• 3Y*: 10.07%
• 5Y*: 8.70%
• 10Y*: —
• ALL TIME*: 9.43%

MCD

• 1D: 0.75%
• 1M: 0.08%
• 6M: -13.32%
• YTD: -12.30%
• 1Y: -9.14%
• 3Y*: -0.95%
• 5Y*: 4.10%
• 10Y*: 10.72%
• ALL TIME*: 13.94%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
DBMF iMGP DBi Managed Futures Strategy ETF	$48.88M	$50.74M	$48.74M
MCD McDonald's Corporation	$1.15B	$1.27B	$1.25B

DBMF vs. MCD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
DBMF iMGP DBi Managed Futures Strategy ETF	12.95%	13.85%	7.24%	-8.94%	21.61%	11.49%	1.80%	10.51%
MCD McDonald's Corporation	-12.30%	7.89%	0.14%	15.06%	0.51%	27.79%	11.30%	1.54%

Correlation

The correlation between DBMF and MCD is -0.16, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.16
Correlation (3Y) Balances recent behavior with more history.	-0.07
Correlation (5Y) Shows whether the relationship held over a longer period.	-0.07
Correlation (All Time) Calculated using the full available price history since May 8, 2019	0.04

The correlation between DBMF and MCD shifts across timeframes, from -0.16 (1 year) to 0.04 (all time), reflecting how their relationship changes across market environments.

Return for Risk

DBMF vs. MCD — Risk / Return Rank

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

DBMF

DBMF Risk / Return Rank: 91
DBMF Sharpe Ratio Rank: 90
DBMF Sortino Ratio Rank: 88
DBMF Omega Ratio Rank: 92
DBMF Calmar Ratio Rank: 93
DBMF Martin Ratio Rank: 92

MCD

MCD Risk / Return Rank: 28
MCD Sharpe Ratio Rank: 27
MCD Sortino Ratio Rank: 24
MCD Omega Ratio Rank: 25
MCD Calmar Ratio Rank: 35
MCD Martin Ratio Rank: 31

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. MCD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iMGP DBi Managed Futures Strategy ETF (DBMF) and McDonald's Corporation (MCD). 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	MCD	Difference
Sharpe ratio: Return per unit of total volatility	2.21	-0.44	+2.65
Sortino ratio: Return per unit of downside risk	2.91	-0.52	+3.43
Omega ratio: Gain probability vs. loss probability	1.45	0.94	+0.51
Calmar ratio: Return relative to maximum drawdown	4.59	-0.36	+4.95
Martin ratio: Return relative to average drawdown	15.59	-0.81	+16.40

DBMF vs. MCD - Sharpe Ratio Comparison

The current DBMF Sharpe Ratio is 2.21, which is higher than the MCD Sharpe Ratio of -0.44. The chart below compares the historical Sharpe Ratios of DBMF and MCD, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

DBMF vs. MCD - Drawdown Comparison

The maximum DBMF drawdown since its inception was -20.39%, smaller than the maximum MCD drawdown of -73.20%. Use the drawdown chart below to compare losses from any high point for DBMF and MCD.

Drawdown Indicators

	DBMF	MCD	Difference
Max Drawdown Largest peak-to-trough decline	-20.39%	-73.20%	+52.81%
Max Drawdown (1Y) Largest decline over 1 year	-6.10%	-21.99%	+15.89%
Max Drawdown (3Y) Largest decline over 3 years	-15.60%	-21.99%	+6.39%
Max Drawdown (5Y) Largest decline over 5 years	-20.39%	-21.99%	+1.60%
Max Drawdown (10Y) Largest decline over 10 years	—	-36.90%	—
Current Drawdown Current decline from peak	-0.25%	-21.41%	+21.16%
Average Drawdown Average peak-to-trough decline	-6.49%	-14.90%	+8.41%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.79%	9.81%	-8.02%

Volatility

DBMF vs. MCD - Volatility Comparison

The current volatility for iMGP DBi Managed Futures Strategy ETF (DBMF) is 2.42%, while McDonald's Corporation (MCD) has a volatility of 7.94%. This indicates that DBMF experiences smaller price fluctuations and is considered to be less risky than MCD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DBMF	MCD	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.42%	7.94%	-5.52%
Volatility (6M) Calculated over the trailing 6-month period	9.96%	14.13%	-4.17%
Volatility (1Y) Calculated over the trailing 1-year period	12.66%	18.01%	-5.35%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.43%	17.57%	-5.14%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.37%	20.53%	-8.16%

Dividends

DBMF vs. MCD - Dividend Comparison

DBMF's dividend yield for the trailing twelve months is around 5.03%, more than MCD's 2.78% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DBMF iMGP DBi Managed Futures Strategy ETF	5.03%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%	0.00%	0.00%	0.00%
MCD McDonald's Corporation	2.78%	2.35%	2.34%	2.10%	2.15%	1.96%	2.35%	2.39%	2.36%	2.23%	2.97%	2.91%

Frequently Asked Questions

Can I hold both DBMF and MCD in my portfolio?

DBMF and MCD have a correlation of -0.16, 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 MCD?

MCD has higher volatility (7.94%) compared to DBMF (2.42%). In terms of maximum drawdown, DBMF dropped -20.39% vs MCD's -73.20%.

Which has better risk-adjusted returns?

DBMF currently has the higher Sharpe Ratio (2.21 vs -0.44), 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.