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FAAR vs. DBMF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FAAR and DBMF is 0.08, 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.


-0.50.00.51.0
Correlation: 0.1

Performance

FAAR vs. DBMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Alternative Absolute Return Strategy ETF (FAAR) and iM DBi Managed Futures Strategy ETF (DBMF). The values are adjusted to include any dividend payments, if applicable.

20.00%25.00%30.00%35.00%40.00%45.00%50.00%55.00%NovemberDecember2025FebruaryMarchApril
25.33%
46.15%
FAAR
DBMF

Key characteristics

Sharpe Ratio

FAAR:

-0.35

DBMF:

-0.82

Sortino Ratio

FAAR:

-0.39

DBMF:

-1.03

Omega Ratio

FAAR:

0.95

DBMF:

0.87

Calmar Ratio

FAAR:

-0.23

DBMF:

-0.52

Martin Ratio

FAAR:

-1.28

DBMF:

-0.93

Ulcer Index

FAAR:

3.25%

DBMF:

9.26%

Daily Std Dev

FAAR:

11.80%

DBMF:

10.58%

Max Drawdown

FAAR:

-18.03%

DBMF:

-20.39%

Current Drawdown

FAAR:

-14.56%

DBMF:

-13.73%

Returns By Period

In the year-to-date period, FAAR achieves a -3.92% return, which is significantly lower than DBMF's -2.03% return.


FAAR

YTD

-3.92%

1M

-6.50%

6M

-2.21%

1Y

-5.38%

5Y*

5.64%

10Y*

N/A

DBMF

YTD

-2.03%

1M

0.08%

6M

-2.78%

1Y

-10.90%

5Y*

5.05%

10Y*

N/A

*Annualized

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FAAR vs. DBMF - Expense Ratio Comparison

FAAR has a 0.95% expense ratio, which is higher than DBMF's 0.85% expense ratio.


Expense ratio chart for FAAR: current value is 0.95%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FAAR: 0.95%
Expense ratio chart for DBMF: current value is 0.85%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
DBMF: 0.85%

Risk-Adjusted Performance

FAAR vs. DBMF — Risk-Adjusted Performance Rank

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

FAAR
The Risk-Adjusted Performance Rank of FAAR is 77
Overall Rank
The Sharpe Ratio Rank of FAAR is 88
Sharpe Ratio Rank
The Sortino Ratio Rank of FAAR is 77
Sortino Ratio Rank
The Omega Ratio Rank of FAAR is 77
Omega Ratio Rank
The Calmar Ratio Rank of FAAR is 99
Calmar Ratio Rank
The Martin Ratio Rank of FAAR is 33
Martin Ratio Rank

DBMF
The Risk-Adjusted Performance Rank of DBMF is 22
Overall Rank
The Sharpe Ratio Rank of DBMF is 11
Sharpe Ratio Rank
The Sortino Ratio Rank of DBMF is 11
Sortino Ratio Rank
The Omega Ratio Rank of DBMF is 11
Omega Ratio Rank
The Calmar Ratio Rank of DBMF is 22
Calmar Ratio Rank
The Martin Ratio Rank of DBMF is 77
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FAAR vs. DBMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Alternative Absolute Return Strategy ETF (FAAR) and iM DBi Managed Futures Strategy ETF (DBMF). 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.


The chart of Sharpe ratio for FAAR, currently valued at -0.35, compared to the broader market-1.000.001.002.003.004.00
FAAR: -0.35
DBMF: -0.82
The chart of Sortino ratio for FAAR, currently valued at -0.39, compared to the broader market-2.000.002.004.006.008.00
FAAR: -0.39
DBMF: -1.03
The chart of Omega ratio for FAAR, currently valued at 0.95, compared to the broader market0.501.001.502.002.50
FAAR: 0.95
DBMF: 0.87
The chart of Calmar ratio for FAAR, currently valued at -0.23, compared to the broader market0.002.004.006.008.0010.0012.00
FAAR: -0.23
DBMF: -0.52
The chart of Martin ratio for FAAR, currently valued at -1.28, compared to the broader market0.0020.0040.0060.00
FAAR: -1.28
DBMF: -0.93

The current FAAR Sharpe Ratio is -0.35, which is higher than the DBMF Sharpe Ratio of -0.82. The chart below compares the historical Sharpe Ratios of FAAR and DBMF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00NovemberDecember2025FebruaryMarchApril
-0.35
-0.82
FAAR
DBMF

Dividends

FAAR vs. DBMF - Dividend Comparison

FAAR's dividend yield for the trailing twelve months is around 3.42%, less than DBMF's 5.99% yield.


TTM20242023202220212020201920182017
FAAR
First Trust Alternative Absolute Return Strategy ETF
3.42%3.45%3.20%5.82%6.49%3.04%1.02%0.58%2.83%
DBMF
iM DBi Managed Futures Strategy ETF
5.99%5.75%2.91%7.72%10.38%0.86%9.34%0.00%0.00%

Drawdowns

FAAR vs. DBMF - Drawdown Comparison

The maximum FAAR drawdown since its inception was -18.03%, smaller than the maximum DBMF drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for FAAR and DBMF. For additional features, visit the drawdowns tool.


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%NovemberDecember2025FebruaryMarchApril
-14.56%
-13.73%
FAAR
DBMF

Volatility

FAAR vs. DBMF - Volatility Comparison

First Trust Alternative Absolute Return Strategy ETF (FAAR) has a higher volatility of 7.74% compared to iM DBi Managed Futures Strategy ETF (DBMF) at 3.00%. This indicates that FAAR's price experiences larger fluctuations and is considered to be riskier than DBMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%NovemberDecember2025FebruaryMarchApril
7.74%
3.00%
FAAR
DBMF