DBMF vs. VPU
DBMF (iMGP DBi Managed Futures Strategy ETF) and VPU (Vanguard Utilities ETF) are both exchange-traded funds - DBMF is a Systematic Trend fund actively managed by iM Global Partners, while VPU is a Utilities Equities fund tracking the MSCI US Investable Market Utilities 25/50 Index. DBMF is actively managed, while VPU is passively managed. Over the past 5 years, DBMF returned 8.70%/yr vs 10.11%/yr for VPU. Their 0.02 correlation means their historical movements had little consistent relationship. DBMF charges 0.85%/yr vs 0.09%/yr for VPU.
Performance
DBMF vs. VPU - Performance Comparison
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Returns By Period
In the year-to-date period, DBMF achieves a 12.95% return, which is significantly higher than VPU's 9.23% 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%
VPU
- 1D
- 0.02%
- 1M
- 0.66%
- 6M
- 9.17%
- YTD
- 9.23%
- 1Y
- 12.20%
- 3Y*
- 13.78%
- 5Y*
- 10.11%
- 10Y*
- 9.11%
- ALL TIME*
- 9.93%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $48.88M | $50.74M | $48.74M | |
| $39.94M | $42.60M | $42.54M |
DBMF vs. VPU - 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% |
VPU Vanguard Utilities ETF | 9.23% | 16.46% | 23.04% | -7.45% | 1.06% | 17.40% | -0.74% | 13.31% |
Correlation
The correlation between DBMF and VPU is 0.14, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.14 |
Correlation (3Y) Balances recent behavior with more history. | 0.07 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.05 |
Correlation (All Time) Calculated using the full available price history since May 8, 2019 | 0.02 |
The correlation between DBMF and VPU shifts across timeframes, from -0.05 (5 years) to 0.14 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
DBMF vs. VPU — Risk / Return Rank
DBMF
VPU
DBMF vs. VPU - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iMGP DBi Managed Futures Strategy ETF (DBMF) and Vanguard Utilities ETF (VPU). 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 | VPU | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.36 | ||
| Sortino ratioReturn per unit of downside risk | +1.67 | ||
| Omega ratioGain probability vs. loss probability | 1.45 | 1.15 | +0.30 |
| Calmar ratioReturn relative to maximum drawdown | 4.59 | 1.41 | +3.18 |
| Martin ratioReturn relative to average drawdown | 15.59 | 2.92 | +12.67 |
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Drawdowns
DBMF vs. VPU - Drawdown Comparison
The maximum DBMF drawdown since its inception was -20.39%, smaller than the maximum VPU drawdown of -46.31%. Use the drawdown chart below to compare losses from any high point for DBMF and VPU.
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Drawdown Indicators
| DBMF | VPU | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.39% | -46.31% | +25.92% |
Max Drawdown (1Y)Largest decline over 1 year | -6.10% | -8.90% | +2.80% |
Max Drawdown (3Y)Largest decline over 3 years | -15.60% | -15.78% | +0.18% |
Max Drawdown (5Y)Largest decline over 5 years | -20.39% | -25.15% | +4.76% |
Max Drawdown (10Y)Largest decline over 10 years | — | -36.42% | — |
Current DrawdownCurrent decline from peak | -0.25% | -1.82% | +1.57% |
Average DrawdownAverage peak-to-trough decline | -6.49% | -7.76% | +1.27% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.79% | 4.28% | -2.49% |
Volatility
DBMF vs. VPU - Volatility Comparison
The current volatility for iMGP DBi Managed Futures Strategy ETF (DBMF) is 2.42%, while Vanguard Utilities ETF (VPU) has a volatility of 4.49%. This indicates that DBMF experiences smaller price fluctuations and is considered to be less risky than VPU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DBMF | VPU | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.42% | 4.49% | -2.07% |
Volatility (6M)Calculated over the trailing 6-month period | 9.96% | 11.68% | -1.72% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.66% | 14.64% | -1.98% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.43% | 17.05% | -4.62% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.37% | 19.15% | -6.78% |
DBMF vs. VPU - Expense Ratio Comparison
DBMF has a 0.85% expense ratio, which is higher than VPU's 0.09% expense ratio.
Dividends
DBMF vs. VPU - Dividend Comparison
DBMF's dividend yield for the trailing twelve months is around 5.03%, more than VPU's 2.59% 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% |
VPU Vanguard Utilities ETF | 2.59% | 2.73% | 3.02% | 3.49% | 2.98% | 2.70% | 3.17% | 2.83% | 3.23% | 3.18% | 3.19% | 3.63% |
Frequently Asked Questions
DBMF and VPU have a correlation of 0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VPU has higher volatility (4.49%) compared to DBMF (2.42%). In terms of maximum drawdown, DBMF dropped -20.39% vs VPU's -46.31%.
On 5-year performance, VPU leads with 10.11% vs 8.70% for DBMF. On fees, VPU is cheaper at 0.09% per year. On volatility, DBMF has been the lower-risk option at 2.42%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, VPU has performed better with a 10.11% return vs 8.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VPU is cheaper with a 0.09% expense ratio, compared with 0.85% for DBMF.
DBMF has the higher dividend yield at 5.03%, compared with 2.59% for VPU.
DBMF is categorized as Systematic Trend, while VPU is Utilities Equities. They also come from different issuers: iM Global Partners and Vanguard. Their fees differ too: 0.85% for DBMF and 0.09% for VPU.
DBMF currently has the higher Sharpe Ratio (2.21 vs 0.85), 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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