FAAR vs. DBMF
Compare and contrast key facts about First Trust Alternative Absolute Return Strategy ETF (FAAR) and iM DBi Managed Futures Strategy ETF (DBMF).
FAAR and DBMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FAAR is an actively managed fund by First Trust. It was launched on May 18, 2016. DBMF is an actively managed fund by Litman Gregory Capital Partners LLC. It was launched on May 8, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FAAR or DBMF.
Performance
FAAR vs. DBMF - Performance Comparison
Returns By Period
In the year-to-date period, FAAR achieves a 3.70% return, which is significantly lower than DBMF's 7.03% return.
FAAR
3.70%
-0.68%
-1.33%
1.81%
5.61%
N/A
DBMF
7.03%
-2.53%
-7.71%
3.21%
6.34%
N/A
Key characteristics
| FAAR | DBMF | |
|---|---|---|
| Sharpe Ratio | 0.23 | 0.19 |
| Sortino Ratio | 0.39 | 0.32 |
| Omega Ratio | 1.04 | 1.04 |
| Calmar Ratio | 0.11 | 0.11 |
| Martin Ratio | 0.78 | 0.38 |
| Ulcer Index | 2.40% | 5.42% |
| Daily Std Dev | 8.34% | 11.10% |
| Max Drawdown | -16.65% | -20.39% |
| Current Drawdown | -12.97% | -12.11% |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
FAAR vs. DBMF - Expense Ratio Comparison
FAAR has a 0.95% expense ratio, which is higher than DBMF's 0.85% expense ratio.
Correlation
The correlation between FAAR and DBMF is 0.19, 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
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.
Dividends
FAAR vs. DBMF - Dividend Comparison
FAAR's dividend yield for the trailing twelve months is around 3.23%, less than DBMF's 5.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
FAAR First Trust Alternative Absolute Return Strategy ETF | 3.23% | 3.20% | 5.82% | 6.49% | 3.04% | 1.02% | 0.58% | 2.83% |
DBMF iM DBi Managed Futures Strategy ETF | 5.24% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% |
Drawdowns
FAAR vs. DBMF - Drawdown Comparison
The maximum FAAR drawdown since its inception was -16.65%, 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.
Volatility
FAAR vs. DBMF - Volatility Comparison
First Trust Alternative Absolute Return Strategy ETF (FAAR) has a higher volatility of 3.16% compared to iM DBi Managed Futures Strategy ETF (DBMF) at 2.33%. 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.