DBMF vs. VOO
Compare and contrast key facts about iM DBi Managed Futures Strategy ETF (DBMF) and Vanguard S&P 500 ETF (VOO).
DBMF and VOO 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. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DBMF or VOO.
Performance
DBMF vs. VOO - Performance Comparison
Returns By Period
In the year-to-date period, DBMF achieves a 7.03% return, which is significantly lower than VOO's 24.51% return.
DBMF
7.03%
-2.53%
-7.71%
3.21%
6.34%
N/A
VOO
24.51%
0.61%
11.38%
32.00%
15.30%
13.12%
Key characteristics
| DBMF | VOO | |
|---|---|---|
| Sharpe Ratio | 0.19 | 2.64 |
| Sortino Ratio | 0.32 | 3.53 |
| Omega Ratio | 1.04 | 1.49 |
| Calmar Ratio | 0.11 | 3.81 |
| Martin Ratio | 0.38 | 17.34 |
| Ulcer Index | 5.42% | 1.86% |
| Daily Std Dev | 11.10% | 12.20% |
| Max Drawdown | -20.39% | -33.99% |
| Current Drawdown | -12.11% | -2.16% |
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DBMF vs. VOO - Expense Ratio Comparison
DBMF has a 0.85% expense ratio, which is higher than VOO's 0.03% expense ratio.
Correlation
The correlation between DBMF and VOO is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
DBMF vs. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iM DBi Managed Futures Strategy ETF (DBMF) and Vanguard S&P 500 ETF (VOO). 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. VOO - Dividend Comparison
DBMF's dividend yield for the trailing twelve months is around 5.24%, more than VOO's 1.26% 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% |
VOO Vanguard S&P 500 ETF | 1.26% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
DBMF vs. VOO - Drawdown Comparison
The maximum DBMF drawdown since its inception was -20.39%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for DBMF and VOO. For additional features, visit the drawdowns tool.
Volatility
DBMF vs. VOO - Volatility Comparison
The current volatility for iM DBi Managed Futures Strategy ETF (DBMF) is 2.33%, while Vanguard S&P 500 ETF (VOO) has a volatility of 4.09%. This indicates that DBMF experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.