MFTNX vs. DBMF
Compare and contrast key facts about Arrow Managed Futures Strategy Fund Institutional Class (MFTNX) and iM DBi Managed Futures Strategy ETF (DBMF).
MFTNX is managed by Blackrock. It was launched on Apr 29, 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: MFTNX or DBMF.
Key characteristics
| MFTNX | DBMF | |
|---|---|---|
| YTD Return | 5.99% | 8.94% |
| 1Y Return | -8.21% | -0.18% |
| 3Y Return (Ann) | 9.52% | 6.26% |
| 5Y Return (Ann) | 7.56% | 6.85% |
| Sharpe Ratio | -0.37 | -0.07 |
| Sortino Ratio | -0.36 | -0.02 |
| Omega Ratio | 0.95 | 1.00 |
| Calmar Ratio | -0.44 | -0.05 |
| Martin Ratio | -0.69 | -0.15 |
| Ulcer Index | 14.50% | 5.58% |
| Daily Std Dev | 27.23% | 11.50% |
| Max Drawdown | -35.58% | -20.39% |
| Current Drawdown | -20.84% | -10.55% |
Correlation
The correlation between MFTNX 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
MFTNX vs. DBMF - Performance Comparison
In the year-to-date period, MFTNX achieves a 5.99% return, which is significantly lower than DBMF's 8.94% 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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MFTNX vs. DBMF - Expense Ratio Comparison
MFTNX has a 1.56% expense ratio, which is higher than DBMF's 0.85% expense ratio.
Risk-Adjusted Performance
MFTNX vs. DBMF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Arrow Managed Futures Strategy Fund Institutional Class (MFTNX) 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
MFTNX vs. DBMF - Dividend Comparison
MFTNX's dividend yield for the trailing twelve months is around 11.03%, more than DBMF's 5.15% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
MFTNX Arrow Managed Futures Strategy Fund Institutional Class | 11.03% | 11.69% | 40.52% | 2.53% | 0.00% | 20.10% | 8.43% | 2.28% | 9.35% | 1.46% |
DBMF iM DBi Managed Futures Strategy ETF | 5.15% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
MFTNX vs. DBMF - Drawdown Comparison
The maximum MFTNX drawdown since its inception was -35.58%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for MFTNX and DBMF. For additional features, visit the drawdowns tool.
Volatility
MFTNX vs. DBMF - Volatility Comparison
Arrow Managed Futures Strategy Fund Institutional Class (MFTNX) has a higher volatility of 5.22% compared to iM DBi Managed Futures Strategy ETF (DBMF) at 2.06%. This indicates that MFTNX'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.