DBMF vs. VTWAX

Last updated Jun 9, 2026

DBMF (iMGP DBi Managed Futures Strategy ETF) and VTWAX (Vanguard Total World Stock Index Fund Admiral Shares) are both funds - DBMF is a Systematic Trend fund actively managed by iM Global Partners, while VTWAX is a Global Equities fund tracking the FTSE Global All Cap Index. DBMF is actively managed, while VTWAX is passively managed. Over the past 5 years, DBMF returned 7.92%/yr vs 10.37%/yr for VTWAX. At a 0.19 correlation, their price movements are largely independent. DBMF charges 0.85%/yr vs 0.09%/yr for VTWAX.

Performance

DBMF vs. VTWAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iMGP DBi Managed Futures Strategy ETF (DBMF) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DBMF achieves a 10.45% return, which is significantly higher than VTWAX's 9.24% return.

DBMF

• 1D: 0.68%
• 1M: 0.59%
• YTD: 10.45%
• 6M: 12.63%
• 1Y: 29.05%
• 3Y*: 10.02%
• 5Y*: 7.92%
• 10Y*: —

VTWAX

• 1D: -3.03%
• 1M: -0.80%
• YTD: 9.24%
• 6M: 10.08%
• 1Y: 24.85%
• 3Y*: 19.75%
• 5Y*: 10.37%
• 10Y*: —

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

DBMF vs. VTWAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
DBMF iMGP DBi Managed Futures Strategy ETF	10.45%	13.85%	7.24%	-8.94%	21.61%	11.49%	1.80%	10.67%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	9.24%	22.43%	16.43%	21.85%	-18.02%	18.17%	16.67%	11.60%

Correlation

The correlation between DBMF and VTWAX is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.41
Correlation (3Y) Calculated over the trailing 3-year period	0.29
Correlation (5Y) Calculated over the trailing 5-year period	0.11
Correlation (All Time) Calculated using the full available price history since May 9, 2019	0.19

Over the past year, DBMF and VTWAX have become more correlated (0.41) than their long-term average of 0.19, meaning their price movements have been converging.

DBMF vs. VTWAX - Sectors Allocation Comparison

Sectors	DBMF	VTWAX
Technology	29.8%	27.8%
Healthcare	12.7%	8.1%
Financial Services	12.5%	15.9%
Consumer Cyclical	11.0%	9.5%
Communication Services	8.6%	8.3%
Industrials	8.4%	12.0%
Consumer Defensive	6.1%	4.8%
Energy	3.9%	4.3%
Real Estate	2.5%	2.4%
Utilities	2.3%	2.7%
Basic Materials	2.2%	4.2%

Return for Risk

DBMF vs. VTWAX — Risk / Return Rank

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

DBMF

DBMF Risk / Return Rank: 84
DBMF Sharpe Ratio Rank: 81
DBMF Sortino Ratio Rank: 77
DBMF Omega Ratio Rank: 88
DBMF Calmar Ratio Rank: 89
DBMF Martin Ratio Rank: 88

VTWAX

VTWAX Risk / Return Rank: 52
VTWAX Sharpe Ratio Rank: 51
VTWAX Sortino Ratio Rank: 46
VTWAX Omega Ratio Rank: 49
VTWAX Calmar Ratio Rank: 53
VTWAX Martin Ratio Rank: 63

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. VTWAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iMGP DBi Managed Futures Strategy ETF (DBMF) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). 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.

	DBMF	VTWAX	Difference
Sharpe ratio: Return per unit of total volatility	2.36	2.03	+0.33
Sortino ratio: Return per unit of downside risk	3.08	2.75	+0.33
Omega ratio: Gain probability vs. loss probability	1.50	1.37	+0.13
Calmar ratio: Return relative to maximum drawdown	4.78	2.69	+2.10
Martin ratio: Return relative to average drawdown	17.53	11.96	+5.57
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DBMF vs. VTWAX - Sharpe Ratio Comparison

The current DBMF Sharpe Ratio is 2.36, which is comparable to the VTWAX Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of DBMF and VTWAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	DBMF	VTWAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.36	2.03	+0.33
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.63	0.66	-0.03
Sharpe Ratio (All Time) Calculated using the full available price history	0.75	0.74	+0.01

Drawdowns

DBMF vs. VTWAX - Drawdown Comparison

The maximum DBMF drawdown since its inception was -20.39%, smaller than the maximum VTWAX drawdown of -34.20%. Use the drawdown chart below to compare losses from any high point for DBMF and VTWAX.

Drawdown Indicators

	DBMF	VTWAX	Difference
Max Drawdown Largest peak-to-trough decline	-20.39%	-34.20%	+13.81%
Max Drawdown (1Y) Largest decline over 1 year	-6.10%	-9.64%	+3.54%
Max Drawdown (3Y) Largest decline over 3 years	-15.60%	-16.43%	+0.83%
Max Drawdown (5Y) Largest decline over 5 years	-20.39%	-26.40%	+6.01%
Current Drawdown Current decline from peak	-1.75%	-3.46%	+1.71%
Average Drawdown Average peak-to-trough decline	-6.58%	-5.30%	-1.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.66%	2.16%	-0.50%

Volatility

DBMF vs. VTWAX - Volatility Comparison

The current volatility for iMGP DBi Managed Futures Strategy ETF (DBMF) is 2.94%, while Vanguard Total World Stock Index Fund Admiral Shares (VTWAX) has a volatility of 4.45%. This indicates that DBMF experiences smaller price fluctuations and is considered to be less risky than VTWAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DBMF	VTWAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.94%	4.45%	-1.51%
Volatility (6M) Calculated over the trailing 6-month period	10.01%	10.34%	-0.33%
Volatility (1Y) Calculated over the trailing 1-year period	12.38%	12.78%	-0.40%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.56%	15.77%	-3.21%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.43%	18.22%	-5.79%

DBMF vs. VTWAX - Expense Ratio Comparison

DBMF has a 0.85% expense ratio, which is higher than VTWAX's 0.09% expense ratio.

Dividends

DBMF vs. VTWAX - Dividend Comparison

DBMF's dividend yield for the trailing twelve months is around 5.18%, more than VTWAX's 1.61% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
DBMF iMGP DBi Managed Futures Strategy ETF	5.18%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	1.61%	1.80%	1.92%	2.06%	2.17%	1.79%	1.64%	2.28%

Frequently Asked Questions

Can I hold both DBMF and VTWAX in my portfolio?

DBMF and VTWAX have a correlation of 0.41, 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 VTWAX?

VTWAX has higher volatility (4.45%) compared to DBMF (2.94%). In terms of maximum drawdown, DBMF dropped -20.39% vs VTWAX's -34.20%.

Which has better risk-adjusted returns?

DBMF currently has the higher Sharpe Ratio (2.36 vs 2.03), 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.