MCD vs. DBMF
MCD (McDonald's Corporation) is a stock, while DBMF (iMGP DBi Managed Futures Strategy ETF) is Systematic Trend fund actively managed by iM Global Partners. Over the past 5 years, MCD returned 4.10%/yr vs 8.70%/yr for DBMF. Their 0.04 correlation means their historical movements had little consistent relationship.
Performance
MCD vs. DBMF - Performance Comparison
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Returns By Period
In the year-to-date period, MCD achieves a -12.30% return, which is significantly lower than DBMF's 12.95% return.
MCD
- 1D
- 0.75%
- 1M
- 0.08%
- 6M
- -13.32%
- YTD
- -12.30%
- 1Y
- -9.14%
- 3Y*
- -0.95%
- 5Y*
- 4.10%
- 10Y*
- 10.72%
- ALL TIME*
- 13.94%
DBMF
- 1D
- -0.25%
- 1M
- 3.44%
- 6M
- 7.95%
- YTD
- 12.95%
- 1Y
- 27.97%
- 3Y*
- 10.07%
- 5Y*
- 8.70%
- 10Y*
- —
- ALL TIME*
- 9.43%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $48.88M | $50.74M | $48.74M | |
| $1.15B | $1.27B | $1.25B |
MCD vs. DBMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
MCD McDonald's Corporation | -12.30% | 7.89% | 0.14% | 15.06% | 0.51% | 27.79% | 11.30% | 1.54% |
DBMF iMGP DBi Managed Futures Strategy ETF | 12.95% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.51% |
Correlation
The correlation between MCD and DBMF is -0.16, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.16 |
Correlation (3Y) Balances recent behavior with more history. | -0.07 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.07 |
Correlation (All Time) Calculated using the full available price history since May 8, 2019 | 0.04 |
The correlation between MCD and DBMF shifts across timeframes, from -0.16 (1 year) to 0.04 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
MCD vs. DBMF — Risk / Return Rank
MCD
DBMF
MCD vs. DBMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for McDonald's Corporation (MCD) 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.
| MCD | DBMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.65 | ||
| Sortino ratioReturn per unit of downside risk | -3.43 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 1.45 | -0.51 |
| Calmar ratioReturn relative to maximum drawdown | -0.36 | 4.59 | -4.95 |
| Martin ratioReturn relative to average drawdown | -0.81 | 15.59 | -16.40 |
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Drawdowns
MCD vs. DBMF - Drawdown Comparison
The maximum MCD drawdown since its inception was -73.20%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for MCD and DBMF.
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Drawdown Indicators
| MCD | DBMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -73.20% | -20.39% | -52.81% |
Max Drawdown (1Y)Largest decline over 1 year | -21.99% | -6.10% | -15.89% |
Max Drawdown (3Y)Largest decline over 3 years | -21.99% | -15.60% | -6.39% |
Max Drawdown (5Y)Largest decline over 5 years | -21.99% | -20.39% | -1.60% |
Max Drawdown (10Y)Largest decline over 10 years | -36.90% | — | — |
Current DrawdownCurrent decline from peak | -21.41% | -0.25% | -21.16% |
Average DrawdownAverage peak-to-trough decline | -14.90% | -6.49% | -8.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.81% | 1.79% | +8.02% |
Volatility
MCD vs. DBMF - Volatility Comparison
McDonald's Corporation (MCD) has a higher volatility of 7.94% compared to iMGP DBi Managed Futures Strategy ETF (DBMF) at 2.42%. This indicates that MCD'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
| MCD | DBMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.94% | 2.42% | +5.52% |
Volatility (6M)Calculated over the trailing 6-month period | 14.13% | 9.96% | +4.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.01% | 12.66% | +5.35% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.57% | 12.43% | +5.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.53% | 12.37% | +8.16% |
Dividends
MCD vs. DBMF - Dividend Comparison
MCD's dividend yield for the trailing twelve months is around 2.78%, less than DBMF's 5.03% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 5.03% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% |
MCD McDonald's Corporation | 2.78% | 2.35% | 2.34% | 2.10% | 2.15% | 1.96% | 2.35% | 2.39% | 2.36% | 2.23% | 2.97% | 2.91% |
Frequently Asked Questions
MCD and DBMF have a correlation of -0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MCD has higher volatility (7.94%) compared to DBMF (2.42%). In terms of maximum drawdown, MCD dropped -73.20% vs DBMF's -20.39%.
DBMF currently has the higher Sharpe Ratio (2.21 vs -0.44), 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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