MFUT vs. IMF

Last updated Jun 23, 2026

MFUT (Cambria Chesapeake Pure Trend ETF) and IMF (Invesco Managed Futures Strategy ETF) are both Systematic Trend funds. Both are actively managed. Over the past year, MFUT returned 31.57% vs 20.76% for IMF. At a 0.45 correlation, their price movements are largely independent. MFUT charges 1.18%/yr vs 0.65%/yr for IMF.

Performance

MFUT vs. IMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Chesapeake Pure Trend ETF (MFUT) and Invesco Managed Futures Strategy ETF (IMF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MFUT achieves a 16.76% return, which is significantly higher than IMF's 12.34% return.

MFUT

• 1D: 0.34%
• 1M: -2.24%
• YTD: 16.76%
• 6M: 15.94%
• 1Y: 31.57%
• 3Y*: —
• 5Y*: —
• 10Y*: —

IMF

• 1D: 0.29%
• 1M: -1.42%
• YTD: 12.34%
• 6M: 12.88%
• 1Y: 20.76%
• 3Y*: —
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

MFUT vs. IMF - Yearly Performance Comparison

	2026 (YTD)	2025
MFUT Cambria Chesapeake Pure Trend ETF	16.76%	6.67%
IMF Invesco Managed Futures Strategy ETF	12.34%	-8.17%

Correlation

The correlation between MFUT and IMF is 0.53, 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	0.53
Correlation (All Time) Calculated using the full available price history since Mar 19, 2025	0.45

The correlation between MFUT and IMF has been stable across timeframes, ranging from 0.45 to 0.53 - a consistent structural relationship.

Return for Risk

MFUT vs. IMF — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MFUT

MFUT Risk / Return Rank: 66
MFUT Sharpe Ratio Rank: 68
MFUT Sortino Ratio Rank: 58
MFUT Omega Ratio Rank: 74
MFUT Calmar Ratio Rank: 71
MFUT Martin Ratio Rank: 60

IMF

IMF Risk / Return Rank: 73
IMF Sharpe Ratio Rank: 62
IMF Sortino Ratio Rank: 56
IMF Omega Ratio Rank: 69
IMF Calmar Ratio Rank: 92
IMF Martin Ratio Rank: 84

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

MFUT vs. IMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Chesapeake Pure Trend ETF (MFUT) and Invesco Managed Futures Strategy ETF (IMF). 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.

	MFUT	IMF	Difference
Sharpe ratio: Return per unit of total volatility	2.14	2.01	+0.13
Sortino ratio: Return per unit of downside risk	2.66	2.61	+0.05
Omega ratio: Gain probability vs. loss probability	1.42	1.39	+0.02
Calmar ratio: Return relative to maximum drawdown	3.43	5.81	-2.37
Martin ratio: Return relative to average drawdown	10.44	16.81	-6.37

MFUT vs. IMF - Sharpe Ratio Comparison

The current MFUT Sharpe Ratio is 2.14, which is comparable to the IMF Sharpe Ratio of 2.01. The chart below compares the historical Sharpe Ratios of MFUT and IMF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

MFUT vs. IMF - Drawdown Comparison

The maximum MFUT drawdown since its inception was -29.28%, which is greater than IMF's maximum drawdown of -15.29%. Use the drawdown chart below to compare losses from any high point for MFUT and IMF.

Drawdown Indicators

	MFUT	IMF	Difference
Max Drawdown Largest peak-to-trough decline	-29.28%	-15.29%	-13.99%
Max Drawdown (1Y) Largest decline over 1 year	-9.23%	-3.59%	-5.64%
Current Drawdown Current decline from peak	-5.13%	-2.33%	-2.80%
Average Drawdown Average peak-to-trough decline	-16.29%	-8.32%	-7.97%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.03%	1.24%	+1.79%

Volatility

MFUT vs. IMF - Volatility Comparison

Cambria Chesapeake Pure Trend ETF (MFUT) has a higher volatility of 3.52% compared to Invesco Managed Futures Strategy ETF (IMF) at 2.46%. This indicates that MFUT's price experiences larger fluctuations and is considered to be riskier than IMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MFUT	IMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.52%	2.46%	+1.06%
Volatility (6M) Calculated over the trailing 6-month period	12.83%	9.16%	+3.67%
Volatility (1Y) Calculated over the trailing 1-year period	14.84%	10.41%	+4.43%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.39%	12.39%	+1.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.39%	12.39%	+1.00%

MFUT vs. IMF - Expense Ratio Comparison

MFUT has a 1.18% expense ratio, which is higher than IMF's 0.65% expense ratio.

Dividends

MFUT vs. IMF - Dividend Comparison

MFUT has not paid dividends to shareholders, while IMF's dividend yield for the trailing twelve months is around 0.90%.

Position	TTM	2025	2024
IMF Invesco Managed Futures Strategy ETF	0.90%	1.01%	0.00%
MFUT Cambria Chesapeake Pure Trend ETF	0.00%	0.00%	0.33%

Frequently Asked Questions

Can I hold both MFUT and IMF in my portfolio?

MFUT and IMF have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MFUT or IMF?

MFUT has higher volatility (3.52%) compared to IMF (2.46%). In terms of maximum drawdown, MFUT dropped -29.28% vs IMF's -15.29%.

Which ETF is better, MFUT or IMF?

On 1-year performance, MFUT leads with 31.57% vs 20.76% for IMF. On fees, IMF is cheaper at 0.65% per year. On volatility, IMF has been the lower-risk option at 2.46%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, MFUT or IMF?

Over the 1-year period, MFUT has performed better with a 31.57% return vs 20.76%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, MFUT or IMF?

IMF is cheaper with a 0.65% expense ratio, compared with 1.18% for MFUT.

Which ETF pays a higher dividend yield, MFUT or IMF?

IMF has the higher dividend yield at 0.90%, compared with 0.00% for MFUT.

What is the main difference between MFUT and IMF?

They also come from different issuers: Cambria and Invesco. Their fees differ too: 1.18% for MFUT and 0.65% for IMF.

Which has better risk-adjusted returns?

MFUT currently has the higher Sharpe Ratio (2.14 vs 2.01), 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.