DBMF vs. SHYG
Compare and contrast key facts about iM DBi Managed Futures Strategy ETF (DBMF) and iShares 0-5 Year High Yield Corporate Bond ETF (SHYG).
DBMF and SHYG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DBMF is an actively managed fund by Litman Gregory Capital Partners LLC. It was launched on May 8, 2019. SHYG is a passively managed fund by iShares that tracks the performance of the Markit iBoxx USD Liquid High Yield 0-5 Index. It was launched on Oct 15, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DBMF or SHYG.
Performance
DBMF vs. SHYG - Performance Comparison
Returns By Period
In the year-to-date period, DBMF achieves a 7.03% return, which is significantly lower than SHYG's 7.81% return.
DBMF
7.03%
-2.53%
-7.71%
3.21%
6.34%
N/A
SHYG
7.81%
0.20%
5.38%
11.44%
4.41%
4.27%
Key characteristics
| DBMF | SHYG | |
|---|---|---|
| Sharpe Ratio | 0.19 | 3.26 |
| Sortino Ratio | 0.32 | 5.17 |
| Omega Ratio | 1.04 | 1.65 |
| Calmar Ratio | 0.11 | 6.59 |
| Martin Ratio | 0.38 | 27.64 |
| Ulcer Index | 5.42% | 0.41% |
| Daily Std Dev | 11.10% | 3.50% |
| Max Drawdown | -20.39% | -19.27% |
| Current Drawdown | -12.11% | -0.62% |
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DBMF vs. SHYG - Expense Ratio Comparison
DBMF has a 0.85% expense ratio, which is higher than SHYG's 0.30% expense ratio.
Correlation
The correlation between DBMF and SHYG is -0.04. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Risk-Adjusted Performance
DBMF vs. SHYG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iM DBi Managed Futures Strategy ETF (DBMF) and iShares 0-5 Year High Yield Corporate Bond ETF (SHYG). 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.
Dividends
DBMF vs. SHYG - Dividend Comparison
DBMF's dividend yield for the trailing twelve months is around 5.24%, less than SHYG's 6.76% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DBMF iM DBi Managed Futures Strategy ETF | 5.24% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SHYG iShares 0-5 Year High Yield Corporate Bond ETF | 6.76% | 6.54% | 5.57% | 4.84% | 5.07% | 5.32% | 5.90% | 5.49% | 5.53% | 5.17% | 4.33% | 0.85% |
Drawdowns
DBMF vs. SHYG - Drawdown Comparison
The maximum DBMF drawdown since its inception was -20.39%, which is greater than SHYG's maximum drawdown of -19.27%. Use the drawdown chart below to compare losses from any high point for DBMF and SHYG. For additional features, visit the drawdowns tool.
Volatility
DBMF vs. SHYG - Volatility Comparison
iM DBi Managed Futures Strategy ETF (DBMF) has a higher volatility of 2.33% compared to iShares 0-5 Year High Yield Corporate Bond ETF (SHYG) at 0.92%. This indicates that DBMF's price experiences larger fluctuations and is considered to be riskier than SHYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.