FMF vs. DBMF
FMF (First Trust Managed Futures Strategy Fund) and DBMF (iMGP DBi Managed Futures Strategy ETF) are both exchange-traded funds - FMF is a Hedge Fund fund actively managed by First Trust, while DBMF is a Systematic Trend fund actively managed by iM Global Partners. Both are actively managed. Over the past 5 years, FMF returned 4.57%/yr vs 8.43%/yr for DBMF. At a 0.41 correlation, their price movements are largely independent. FMF charges 0.95%/yr vs 0.85%/yr for DBMF.
Performance
FMF vs. DBMF - Performance Comparison
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Returns By Period
In the year-to-date period, FMF achieves a 8.63% return, which is significantly lower than DBMF's 10.77% return.
FMF
- 1D
- 0.58%
- 1M
- -1.90%
- YTD
- 8.63%
- 6M
- 9.11%
- 1Y
- 19.91%
- 3Y*
- 6.82%
- 5Y*
- 4.57%
- 10Y*
- 2.93%
DBMF
- 1D
- 0.13%
- 1M
- -0.42%
- YTD
- 10.77%
- 6M
- 10.08%
- 1Y
- 27.61%
- 3Y*
- 9.24%
- 5Y*
- 8.43%
- 10Y*
- —
FMF vs. DBMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 8.63% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 5.69% | -2.99% |
DBMF iMGP DBi Managed Futures Strategy ETF | 10.77% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.51% |
Correlation
The correlation between FMF and DBMF is 0.51, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.51 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.42 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.43 |
Correlation (All Time) Calculated using the full available price history since May 8, 2019 | 0.41 |
The correlation between FMF and DBMF has been stable across timeframes, ranging from 0.41 to 0.51 - a consistent structural relationship.
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Return for Risk
FMF vs. DBMF — Risk / Return Rank
FMF
DBMF
FMF vs. DBMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) and iMGP 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.
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.
| FMF | DBMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.15 | ||
| Sortino ratioReturn per unit of downside risk | +0.09 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.47 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 5.85 | 4.55 | +1.30 |
| Martin ratioReturn relative to average drawdown | 16.12 | 16.25 | -0.13 |
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Drawdowns
FMF vs. DBMF - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for FMF and DBMF.
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Drawdown Indicators
| FMF | DBMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -20.39% | -1.82% |
Max Drawdown (1Y)Largest decline over 1 year | -3.42% | -6.10% | +2.68% |
Max Drawdown (3Y)Largest decline over 3 years | -7.25% | -15.60% | +8.35% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | -20.39% | +5.41% |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | — | — |
Current DrawdownCurrent decline from peak | -2.17% | -1.46% | -0.71% |
Average DrawdownAverage peak-to-trough decline | -9.83% | -6.55% | -3.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.24% | 1.70% | -0.46% |
Volatility
FMF vs. DBMF - Volatility Comparison
The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 2.42%, while iMGP DBi Managed Futures Strategy ETF (DBMF) has a volatility of 2.85%. This indicates that FMF experiences smaller price fluctuations and is considered to be less risky than DBMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMF | DBMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.42% | 2.85% | -0.43% |
Volatility (6M)Calculated over the trailing 6-month period | 7.22% | 10.05% | -2.83% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.58% | 12.42% | -2.84% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.74% | 12.52% | -1.78% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.65% | 12.40% | -0.75% |
FMF vs. DBMF - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than DBMF's 0.85% expense ratio.
Dividends
FMF vs. DBMF - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 5.06%, less than DBMF's 5.17% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 5.17% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% |
FMF First Trust Managed Futures Strategy Fund | 5.06% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
Frequently Asked Questions
FMF and DBMF have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DBMF has higher volatility (2.85%) compared to FMF (2.42%). In terms of maximum drawdown, FMF dropped -22.21% vs DBMF's -20.39%.
On 5-year performance, DBMF leads with 8.43% vs 4.57% for FMF. On fees, DBMF is cheaper at 0.85% per year. On volatility, FMF 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, DBMF has performed better with a 8.43% return vs 4.57%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DBMF is cheaper with a 0.85% expense ratio, compared with 0.95% for FMF.
DBMF has the higher dividend yield at 5.17%, compared with 5.06% for FMF.
FMF is categorized as Hedge Fund, while DBMF is Systematic Trend. They also come from different issuers: First Trust and iM Global Partners. Their fees differ too: 0.95% for FMF and 0.85% for DBMF.
DBMF currently has the higher Sharpe Ratio (2.24 vs 2.09), 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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