MFTFX vs. DBMF
Compare and contrast key facts about Arrow Managed Futures Stragegy Fund (MFTFX) and iM DBi Managed Futures Strategy ETF (DBMF).
MFTFX is managed by Arrow Funds. It was launched on Apr 28, 2010. 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: MFTFX or DBMF.
Key characteristics
| MFTFX | DBMF | |
|---|---|---|
| YTD Return | 4.20% | 7.67% |
| 1Y Return | -2.33% | 3.45% |
| 3Y Return (Ann) | 8.83% | 5.34% |
| 5Y Return (Ann) | 6.97% | 6.52% |
| Sharpe Ratio | -0.30 | 0.09 |
| Sortino Ratio | -0.26 | 0.20 |
| Omega Ratio | 0.97 | 1.03 |
| Calmar Ratio | -0.26 | 0.06 |
| Martin Ratio | -0.51 | 0.20 |
| Ulcer Index | 12.85% | 5.39% |
| Daily Std Dev | 22.05% | 11.35% |
| Max Drawdown | -35.70% | -20.39% |
| Current Drawdown | -22.00% | -11.59% |
Correlation
The correlation between MFTFX and DBMF is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
MFTFX vs. DBMF - Performance Comparison
In the year-to-date period, MFTFX achieves a 4.20% return, which is significantly lower than DBMF's 7.67% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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MFTFX vs. DBMF - Expense Ratio Comparison
MFTFX has a 1.54% expense ratio, which is higher than DBMF's 0.85% expense ratio.
Risk-Adjusted Performance
MFTFX vs. DBMF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Arrow Managed Futures Stragegy Fund (MFTFX) 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
MFTFX vs. DBMF - Dividend Comparison
MFTFX has not paid dividends to shareholders, while DBMF's dividend yield for the trailing twelve months is around 5.21%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
MFTFX Arrow Managed Futures Stragegy Fund | 0.00% | 11.76% | 41.05% | 2.31% | 0.00% | 20.02% | 7.84% | 2.12% | 9.36% | 1.20% |
DBMF iM DBi Managed Futures Strategy ETF | 5.21% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
MFTFX vs. DBMF - Drawdown Comparison
The maximum MFTFX drawdown since its inception was -35.70%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for MFTFX and DBMF. For additional features, visit the drawdowns tool.
Volatility
MFTFX vs. DBMF - Volatility Comparison
Arrow Managed Futures Stragegy Fund (MFTFX) has a higher volatility of 6.41% compared to iM DBi Managed Futures Strategy ETF (DBMF) at 2.35%. This indicates that MFTFX'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.