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DBMF vs. QUAL
Performance
Return for Risk
Drawdowns
Volatility
Dividends

DBMF vs. QUAL

Last updated Jun 13, 2026

DBMF (iMGP DBi Managed Futures Strategy ETF) and QUAL (iShares MSCI USA Quality Factor ETF) are both exchange-traded funds - DBMF is a Systematic Trend fund actively managed by iM Global Partners, while QUAL is a Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality Index. DBMF is actively managed, while QUAL is passively managed. Over the past 5 years, DBMF returned 8.01%/yr vs 11.97%/yr for QUAL. At a 0.16 correlation, their price movements are largely independent. DBMF charges 0.85%/yr vs 0.15%/yr for QUAL.

Performance

DBMF vs. QUAL - Performance Comparison

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

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Returns By Period

In the year-to-date period, DBMF achieves a 10.27% return, which is significantly higher than QUAL's 9.44% return.

DBMF

1D
0.26%
1M
-1.34%
YTD
10.27%
6M
11.24%
1Y
26.94%
3Y*
9.64%
5Y*
8.01%
10Y*
—

QUAL

1D
0.47%
1M
2.14%
YTD
9.44%
6M
9.29%
1Y
22.87%
3Y*
19.30%
5Y*
11.97%
10Y*
14.46%
*Multi-year figures are annualized to reflect compound growth (CAGR)

DBMF vs. QUAL - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
DBMF
iMGP DBi Managed Futures Strategy ETF		10.27%13.85%7.24%-8.94%21.61%11.49%1.80%10.51%
QUAL
iShares MSCI USA Quality Factor ETF		9.44%12.65%22.29%30.88%-20.50%26.94%17.04%14.04%

Correlation

The correlation between DBMF and QUAL is 0.32, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.32

Correlation (3Y)
Calculated over the trailing 3-year period

0.26

Correlation (5Y)
Calculated over the trailing 5-year period

0.09

Correlation (All Time)
Calculated using the full available price history since May 8, 2019

0.16

The correlation between DBMF and QUAL shifts across timeframes, from 0.09 (5 years) to 0.32 (1 year), reflecting how their relationship changes across market environments.

DBMF vs. QUAL - Sectors Allocation Comparison

Sectors
DBMF
QUAL

Technology

29.8%
36.5%

Healthcare

12.7%
9.0%

Financial Services

12.5%
11.5%

Consumer Cyclical

11.0%
9.3%

Communication Services

8.6%
11.1%

Industrials

8.4%
8.2%

Consumer Defensive

6.1%
4.9%

Energy

3.9%
4.0%

Real Estate

2.5%
1.8%

Utilities

2.3%
1.9%

Basic Materials

2.2%
1.7%

Technology

DBMF
29.8%
QUAL
36.5%

Healthcare

DBMF
12.7%
QUAL
9.0%

Financial Services

DBMF
12.5%
QUAL
11.5%

Consumer Cyclical

DBMF
11.0%
QUAL
9.3%

Communication Services

DBMF
8.6%
QUAL
11.1%

Industrials

DBMF
8.4%
QUAL
8.2%

Consumer Defensive

DBMF
6.1%
QUAL
4.9%

Energy

DBMF
3.9%
QUAL
4.0%

Real Estate

DBMF
2.5%
QUAL
1.8%

Utilities

DBMF
2.3%
QUAL
1.9%

Basic Materials

DBMF
2.2%
QUAL
1.7%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

iMGP DBi Managed Futures Strategy ETF

iShares MSCI USA Quality Factor ETF

Often compared with DBMF:
DBMF vs. KMLMDBMF vs. CTADBMF vs. SPYDBMF vs. VOODBMF vs. AQMIXDBMF vs. WTMFDBMF vs. FMF
Often compared with QUAL:
QUAL vs. SPHQQUAL vs. SPYQUAL vs. MTUMQUAL vs. USMVQUAL vs. VOOQUAL vs. IVVQUAL vs. SCHD

Return for Risk

DBMF vs. QUAL — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
DBMF
DBMF Risk / Return Rank: 8484
Overall Rank
DBMF Sharpe Ratio Rank: 8181
Sharpe Ratio Rank
DBMF Sortino Ratio Rank: 7676
Sortino Ratio Rank
DBMF Omega Ratio Rank: 8787
Omega Ratio Rank
DBMF Calmar Ratio Rank: 8888
Calmar Ratio Rank
DBMF Martin Ratio Rank: 8787
Martin Ratio Rank
QUAL
QUAL Risk / Return Rank: 5959
Overall Rank
QUAL Sharpe Ratio Rank: 5959
Sharpe Ratio Rank
QUAL Sortino Ratio Rank: 6060
Sortino Ratio Rank
QUAL Omega Ratio Rank: 5656
Omega Ratio Rank
QUAL Calmar Ratio Rank: 5353
Calmar Ratio Rank
QUAL Martin Ratio Rank: 6767
Martin Ratio Rank
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. QUAL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iMGP DBi Managed Futures Strategy ETF (DBMF) and iShares MSCI USA Quality Factor ETF (QUAL). 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.

DBMFQUALDifference
Sharpe ratioReturn per unit of total volatility
2.22
1.74

+0.49

Sortino ratioReturn per unit of downside risk
2.92
2.46

+0.46

Omega ratioGain probability vs. loss probability

1.47

1.31

+0.16

Calmar ratioReturn relative to maximum drawdown

4.50

2.32

+2.18

Martin ratioReturn relative to average drawdown

16.30

10.60

+5.70

DBMF vs. QUAL - Sharpe Ratio Comparison

The current DBMF Sharpe Ratio is 2.22, which is comparable to the QUAL Sharpe Ratio of 1.74. The chart below compares the historical Sharpe Ratios of DBMF and QUAL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

DBMF vs. QUAL - Drawdown Comparison

The maximum DBMF drawdown since its inception was -20.39%, smaller than the maximum QUAL drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for DBMF and QUAL.

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Drawdown Indicators

DBMFQUALDifference

Max Drawdown

Largest peak-to-trough decline

-20.39%

-34.06%

+13.67%

Max Drawdown (1Y)

Largest decline over 1 year

-6.10%

-9.03%

+2.93%

Max Drawdown (3Y)

Largest decline over 3 years

-15.60%

-18.00%

+2.40%

Max Drawdown (5Y)

Largest decline over 5 years

-20.39%

-28.23%

+7.84%

Max Drawdown (10Y)

Largest decline over 10 years

—

-34.06%

—

Current Drawdown

Current decline from peak

-1.91%

-0.19%

-1.72%

Average Drawdown

Average peak-to-trough decline

-6.56%

-4.10%

-2.46%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.68%

1.99%

-0.31%

Volatility

DBMF vs. QUAL - Volatility Comparison

The current volatility for iMGP DBi Managed Futures Strategy ETF (DBMF) is 2.71%, while iShares MSCI USA Quality Factor ETF (QUAL) has a volatility of 3.63%. This indicates that DBMF experiences smaller price fluctuations and is considered to be less risky than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

DBMFQUALDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.71%

3.63%

-0.92%

Volatility (6M)

Calculated over the trailing 6-month period

10.00%

9.43%

+0.57%

Volatility (1Y)

Calculated over the trailing 1-year period

12.35%

12.10%

+0.25%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

12.55%

17.36%

-4.81%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

12.41%

18.11%

-5.70%

DBMF vs. QUAL - Expense Ratio Comparison

DBMF has a 0.85% expense ratio, which is higher than QUAL's 0.15% expense ratio.

Dividends

DBMF vs. QUAL - Dividend Comparison

DBMF's dividend yield for the trailing twelve months is around 5.19%, more than QUAL's 0.87% yield.

PositionTTM20252024202320222021202020192018201720162015
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%
QUAL
iShares MSCI USA Quality Factor ETF		0.87%0.94%1.02%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%

Frequently Asked Questions

DBMF and QUAL have a correlation of 0.32, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

QUAL has higher volatility (3.63%) compared to DBMF (2.71%). In terms of maximum drawdown, DBMF dropped -20.39% vs QUAL's -34.06%.

On 5-year performance, QUAL leads with 11.97% vs 8.01% for DBMF. On fees, QUAL is cheaper at 0.15% 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, QUAL has performed better with a 11.97% return vs 8.01%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

QUAL is cheaper with a 0.15% expense ratio, compared with 0.85% for DBMF.

DBMF has the higher dividend yield at 5.19%, compared with 0.87% for QUAL.

DBMF is categorized as Systematic Trend, while QUAL is Large Cap Blend Equities. They also come from different issuers: iM Global Partners and iShares. Their fees differ too: 0.85% for DBMF and 0.15% for QUAL.

DBMF currently has the higher Sharpe Ratio (2.22 vs 1.74), 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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