DGZ vs. ISMF
DGZ (DB Gold Short Exchange Traded Notes) and ISMF (iShares Managed Futures Active ETF) are both exchange-traded funds - DGZ is a Inverse Commodities fund tracking the Deutsche Bank Liquid Commodity Index - Optimum Yield Gold Excess Return (-100%), while ISMF is a Systematic Trend fund actively managed by iShares. DGZ is passively managed, while ISMF is actively managed. Over the past year, DGZ returned -7.69% vs 21.23% for ISMF. At a correlation of -0.32, they often move in opposite directions. DGZ charges 0.75%/yr vs 0.80%/yr for ISMF.
Performance
DGZ vs. ISMF - Performance Comparison
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Returns By Period
In the year-to-date period, DGZ achieves a 13.79% return, which is significantly higher than ISMF's 6.41% return.
DGZ
- 1D
- 4.60%
- 1M
- 27.91%
- YTD
- 13.79%
- 6M
- 21.33%
- 1Y
- -7.69%
- 3Y*
- -14.24%
- 5Y*
- -9.28%
- 10Y*
- -7.12%
ISMF
- 1D
- -0.32%
- 1M
- -1.43%
- YTD
- 6.41%
- 6M
- 6.43%
- 1Y
- 21.23%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
DGZ vs. ISMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
DGZ DB Gold Short Exchange Traded Notes | 13.79% | -26.39% |
ISMF iShares Managed Futures Active ETF | 6.41% | 11.53% |
Correlation
The correlation between DGZ and ISMF is -0.35, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.35 |
Correlation (All Time) Calculated using the full available price history since Mar 13, 2025 | -0.32 |
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Return for Risk
DGZ vs. ISMF — Risk / Return Rank
DGZ
ISMF
DGZ vs. ISMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DB Gold Short Exchange Traded Notes (DGZ) and iShares Managed Futures Active ETF (ISMF). 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.
| DGZ | ISMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.80 | ||
| Sortino ratioReturn per unit of downside risk | -3.29 | ||
| Omega ratioGain probability vs. loss probability | 1.05 | 1.57 | -0.52 |
| Calmar ratioReturn relative to maximum drawdown | -0.20 | 5.41 | -5.61 |
| Martin ratioReturn relative to average drawdown | -0.35 | 18.15 | -18.49 |
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Drawdowns
DGZ vs. ISMF - Drawdown Comparison
The maximum DGZ drawdown since its inception was -86.32%, which is greater than ISMF's maximum drawdown of -4.23%. Use the drawdown chart below to compare losses from any high point for DGZ and ISMF.
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Drawdown Indicators
| DGZ | ISMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -86.32% | -4.23% | -82.09% |
Max Drawdown (1Y)Largest decline over 1 year | -38.32% | -3.94% | -34.38% |
Max Drawdown (3Y)Largest decline over 3 years | -59.54% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -61.54% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -71.49% | — | — |
Current DrawdownCurrent decline from peak | -80.51% | -1.81% | -78.70% |
Average DrawdownAverage peak-to-trough decline | -57.80% | -1.28% | -56.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 22.24% | 1.17% | +21.07% |
Volatility
DGZ vs. ISMF - Volatility Comparison
DB Gold Short Exchange Traded Notes (DGZ) has a higher volatility of 45.91% compared to iShares Managed Futures Active ETF (ISMF) at 1.79%. This indicates that DGZ's price experiences larger fluctuations and is considered to be riskier than ISMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DGZ | ISMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 45.91% | 1.79% | +44.12% |
Volatility (6M)Calculated over the trailing 6-month period | 58.66% | 6.35% | +52.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 69.62% | 7.97% | +61.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 36.50% | 7.73% | +28.77% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 28.17% | 7.73% | +20.44% |
DGZ vs. ISMF - Expense Ratio Comparison
DGZ has a 0.75% expense ratio, which is lower than ISMF's 0.80% expense ratio.
Dividends
DGZ vs. ISMF - Dividend Comparison
DGZ has not paid dividends to shareholders, while ISMF's dividend yield for the trailing twelve months is around 5.86%.
| Position | TTM | 2025 |
|---|---|---|
DGZ DB Gold Short Exchange Traded Notes | 0.00% | 0.00% |
ISMF iShares Managed Futures Active ETF | 5.86% | 6.23% |
Frequently Asked Questions
DGZ and ISMF have a correlation of -0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DGZ has higher volatility (45.91%) compared to ISMF (1.79%). In terms of maximum drawdown, DGZ dropped -86.32% vs ISMF's -4.23%.
On 1-year performance, ISMF leads with 21.23% vs -7.69% for DGZ. On fees, DGZ is cheaper at 0.75% per year. On volatility, ISMF has been the lower-risk option at 1.79%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, ISMF has performed better with a 21.23% return vs -7.69%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DGZ is cheaper with a 0.75% expense ratio, compared with 0.80% for ISMF.
ISMF has the higher dividend yield at 5.86%, compared with 0.00% for DGZ.
DGZ is categorized as Inverse Commodities, while ISMF is Systematic Trend. They also come from different issuers: Deutsche Bank and iShares. Their fees differ too: 0.75% for DGZ and 0.80% for ISMF.
ISMF currently has the higher Sharpe Ratio (2.69 vs -0.11), 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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