IDMO vs. DBMF
IDMO (Invesco S&P International Developed Momentum ETF) and DBMF (iMGP DBi Managed Futures Strategy ETF) are both exchange-traded funds - IDMO is a Momentum fund tracking the S&P Momentum Developed ex U.S. & South Korea LargeMidCap Index, while DBMF is a Systematic Trend fund actively managed by iM Global Partners. IDMO is passively managed, while DBMF is actively managed. Over the past 5 years, IDMO returned 15.15%/yr vs 8.76%/yr for DBMF. At a 0.19 correlation, their price movements are largely independent. IDMO charges 0.25%/yr vs 0.85%/yr for DBMF.
Performance
IDMO vs. DBMF - Performance Comparison
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Returns By Period
In the year-to-date period, IDMO achieves a 9.44% return, which is significantly lower than DBMF's 12.63% return.
IDMO
- 1D
- 2.55%
- 1M
- -1.60%
- 6M
- 7.26%
- YTD
- 9.44%
- 1Y
- 21.93%
- 3Y*
- 24.77%
- 5Y*
- 15.15%
- 10Y*
- 12.43%
- ALL TIME*
- 8.98%
DBMF
- 1D
- 1.23%
- 1M
- 1.81%
- 6M
- 9.89%
- YTD
- 12.63%
- 1Y
- 27.85%
- 3Y*
- 9.87%
- 5Y*
- 8.76%
- 10Y*
- —
- ALL TIME*
- 9.40%
IDMO vs. DBMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
IDMO Invesco S&P International Developed Momentum ETF | 9.44% | 42.17% | 12.79% | 20.16% | -12.03% | 14.31% | 22.01% | 12.35% |
DBMF iMGP DBi Managed Futures Strategy ETF | 12.63% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.51% |
Correlation
The correlation between IDMO and DBMF is 0.35, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.35 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.26 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.09 |
Correlation (All Time) Calculated using the full available price history since May 8, 2019 | 0.19 |
The correlation between IDMO and DBMF shifts across timeframes, from 0.09 (5 years) to 0.35 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
IDMO vs. DBMF — Risk / Return Rank
IDMO
DBMF
IDMO vs. DBMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P International Developed Momentum ETF (IDMO) 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.
| IDMO | DBMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.03 | ||
| Sortino ratioReturn per unit of downside risk | -1.15 | ||
| Omega ratioGain probability vs. loss probability | 1.22 | 1.45 | -0.23 |
| Calmar ratioReturn relative to maximum drawdown | 1.79 | 4.59 | -2.80 |
| Martin ratioReturn relative to average drawdown | 6.94 | 15.52 | -8.57 |
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Drawdowns
IDMO vs. DBMF - Drawdown Comparison
The maximum IDMO drawdown since its inception was -39.38%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for IDMO and DBMF.
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Drawdown Indicators
| IDMO | DBMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.38% | -20.39% | -18.99% |
Max Drawdown (1Y)Largest decline over 1 year | -12.31% | -6.10% | -6.21% |
Max Drawdown (3Y)Largest decline over 3 years | -12.65% | -15.60% | +2.95% |
Max Drawdown (5Y)Largest decline over 5 years | -27.07% | -20.39% | -6.68% |
Max Drawdown (10Y)Largest decline over 10 years | -31.34% | — | — |
Current DrawdownCurrent decline from peak | -2.90% | 0.00% | -2.90% |
Average DrawdownAverage peak-to-trough decline | -9.69% | -6.50% | -3.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.17% | 1.80% | +1.37% |
Volatility
IDMO vs. DBMF - Volatility Comparison
Invesco S&P International Developed Momentum ETF (IDMO) has a higher volatility of 6.44% compared to iMGP DBi Managed Futures Strategy ETF (DBMF) at 2.84%. This indicates that IDMO'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.
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Volatility by Period
| IDMO | DBMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.44% | 2.84% | +3.60% |
Volatility (6M)Calculated over the trailing 6-month period | 17.08% | 10.10% | +6.98% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.71% | 12.66% | +6.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.15% | 12.44% | +5.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.91% | 12.38% | +5.53% |
IDMO vs. DBMF - Expense Ratio Comparison
IDMO has a 0.25% expense ratio, which is lower than DBMF's 0.85% expense ratio.
Dividends
IDMO vs. DBMF - Dividend Comparison
IDMO's dividend yield for the trailing twelve months is around 3.65%, less than DBMF's 5.05% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 5.05% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% |
IDMO Invesco S&P International Developed Momentum ETF | 3.65% | 3.71% | 2.24% | 2.89% | 3.66% | 1.81% | 1.63% | 2.78% | 3.27% | 3.08% | 2.18% | 2.52% |
Frequently Asked Questions
IDMO and DBMF 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.
IDMO has higher volatility (6.44%) compared to DBMF (2.84%). In terms of maximum drawdown, IDMO dropped -39.38% vs DBMF's -20.39%.
On 5-year performance, IDMO leads with 15.15% vs 8.76% for DBMF. On fees, IDMO is cheaper at 0.25% per year. On volatility, DBMF has been the lower-risk option at 2.84%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, IDMO has performed better with a 15.15% return vs 8.76%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IDMO is cheaper with a 0.25% expense ratio, compared with 0.85% for DBMF.
DBMF has the higher dividend yield at 5.05%, compared with 3.65% for IDMO.
IDMO is categorized as Momentum, while DBMF is Systematic Trend. They also come from different issuers: Invesco and iM Global Partners. Their fees differ too: 0.25% for IDMO and 0.85% for DBMF.
DBMF currently has the higher Sharpe Ratio (2.21 vs 1.18), 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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