MTUM vs. DBMF

Last updated Jun 13, 2026

MTUM (iShares MSCI USA Momentum Factor ETF) and DBMF (iMGP DBi Managed Futures Strategy ETF) are both exchange-traded funds - MTUM is a Momentum fund tracking the MSCI USA Momentum SR Variant Index, while DBMF is a Systematic Trend fund actively managed by iM Global Partners. MTUM is passively managed, while DBMF is actively managed. Over the past 5 years, MTUM returned 14.96%/yr vs 8.01%/yr for DBMF. At a 0.21 correlation, their price movements are largely independent. MTUM charges 0.15%/yr vs 0.85%/yr for DBMF.

Performance

MTUM vs. DBMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI USA Momentum Factor ETF (MTUM) and iMGP DBi Managed Futures Strategy ETF (DBMF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MTUM achieves a 29.72% return, which is significantly higher than DBMF's 10.27% return.

MTUM

• 1D: 1.69%
• 1M: 5.58%
• YTD: 29.72%
• 6M: 30.51%
• 1Y: 42.02%
• 3Y*: 33.16%
• 5Y*: 14.96%
• 10Y*: 17.15%

DBMF

• 1D: 0.26%
• 1M: -1.34%
• YTD: 10.27%
• 6M: 11.24%
• 1Y: 26.94%
• 3Y*: 9.64%
• 5Y*: 8.01%
• 10Y*: —

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

MTUM vs. DBMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
MTUM iShares MSCI USA Momentum Factor ETF	29.72%	22.15%	32.89%	9.15%	-18.27%	13.36%	29.86%	12.55%
DBMF iMGP DBi Managed Futures Strategy ETF	10.27%	13.85%	7.24%	-8.94%	21.61%	11.49%	1.80%	10.51%

Correlation

The correlation between MTUM and DBMF is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.33
Correlation (3Y) Calculated over the trailing 3-year period	0.26
Correlation (5Y) Calculated over the trailing 5-year period	0.15
Correlation (All Time) Calculated using the full available price history since May 8, 2019	0.21

The correlation between MTUM and DBMF shifts across timeframes, from 0.15 (5 years) to 0.33 (1 year), reflecting how their relationship changes across market environments.

MTUM vs. DBMF - Sectors Allocation Comparison

Sectors	MTUM	DBMF
Technology	44.4%	29.8%
Industrials	15.6%	8.4%
Financial Services	10.4%	12.5%
Communication Services	7.4%	8.6%
Healthcare	6.9%	12.7%
Consumer Cyclical	3.6%	11.0%
Energy	3.5%	3.9%
Consumer Defensive	3.3%	6.1%
Real Estate	1.8%	2.5%
Basic Materials	1.7%	2.2%
Utilities	1.6%	2.3%

Return for Risk

MTUM vs. DBMF — Risk / Return Rank

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

MTUM

MTUM Risk / Return Rank: 73
MTUM Sharpe Ratio Rank: 70
MTUM Sortino Ratio Rank: 66
MTUM Omega Ratio Rank: 70
MTUM Calmar Ratio Rank: 78
MTUM Martin Ratio Rank: 81

DBMF

DBMF Risk / Return Rank: 84
DBMF Sharpe Ratio Rank: 81
DBMF Sortino Ratio Rank: 76
DBMF Omega Ratio Rank: 87
DBMF Calmar Ratio Rank: 88
DBMF Martin Ratio Rank: 87

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.

MTUM vs. DBMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Momentum Factor ETF (MTUM) 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.

	MTUM	DBMF	Difference
Sharpe ratio: Return per unit of total volatility	1.96	2.22	-0.26
Sortino ratio: Return per unit of downside risk	2.62	2.92	-0.30
Omega ratio: Gain probability vs. loss probability	1.36	1.47	-0.11
Calmar ratio: Return relative to maximum drawdown	3.55	4.50	-0.95
Martin ratio: Return relative to average drawdown	13.66	16.30	-2.64

MTUM vs. DBMF - Sharpe Ratio Comparison

The current MTUM Sharpe Ratio is 1.96, which is comparable to the DBMF Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of MTUM and DBMF, 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

MTUM vs. DBMF - Drawdown Comparison

The maximum MTUM drawdown since its inception was -34.08%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for MTUM and DBMF.

Drawdown Indicators

	MTUM	DBMF	Difference
Max Drawdown Largest peak-to-trough decline	-34.08%	-20.39%	-13.69%
Max Drawdown (1Y) Largest decline over 1 year	-11.54%	-6.10%	-5.44%
Max Drawdown (3Y) Largest decline over 3 years	-20.99%	-15.60%	-5.39%
Max Drawdown (5Y) Largest decline over 5 years	-32.28%	-20.39%	-11.89%
Max Drawdown (10Y) Largest decline over 10 years	-34.08%	—	—
Current Drawdown Current decline from peak	-1.55%	-1.91%	+0.36%
Average Drawdown Average peak-to-trough decline	-6.20%	-6.56%	+0.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.99%	1.68%	+1.31%

Volatility

MTUM vs. DBMF - Volatility Comparison

iShares MSCI USA Momentum Factor ETF (MTUM) has a higher volatility of 10.89% compared to iMGP DBi Managed Futures Strategy ETF (DBMF) at 2.71%. This indicates that MTUM'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.

Volatility by Period

	MTUM	DBMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.89%	2.71%	+8.18%
Volatility (6M) Calculated over the trailing 6-month period	18.63%	10.00%	+8.63%
Volatility (1Y) Calculated over the trailing 1-year period	20.87%	12.35%	+8.52%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.94%	12.55%	+8.39%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.20%	12.41%	+8.79%

MTUM vs. DBMF - Expense Ratio Comparison

MTUM has a 0.15% expense ratio, which is lower than DBMF's 0.85% expense ratio.

Dividends

MTUM vs. DBMF - Dividend Comparison

MTUM's dividend yield for the trailing twelve months is around 0.61%, less than DBMF's 5.19% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DBMF iMGP DBi Managed Futures Strategy ETF	5.19%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%	0.00%	0.00%	0.00%
MTUM iShares MSCI USA Momentum Factor ETF	0.61%	0.91%	0.75%	1.35%	1.80%	0.55%	0.83%	1.48%	1.27%	1.02%	1.43%	1.12%

Frequently Asked Questions

Can I hold both MTUM and DBMF in my portfolio?

MTUM and DBMF have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MTUM or DBMF?

MTUM has higher volatility (10.89%) compared to DBMF (2.71%). In terms of maximum drawdown, MTUM dropped -34.08% vs DBMF's -20.39%.

Which ETF is better, MTUM or DBMF?

On 5-year performance, MTUM leads with 14.96% vs 8.01% for DBMF. On fees, MTUM is cheaper at 0.15% per year. On volatility, DBMF has been the lower-risk option at 2.71%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, MTUM or DBMF?

Over the 5-year period, MTUM has performed better with a 14.96% return vs 8.01%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, MTUM or DBMF?

MTUM is cheaper with a 0.15% expense ratio, compared with 0.85% for DBMF.

Which ETF pays a higher dividend yield, MTUM or DBMF?

DBMF has the higher dividend yield at 5.19%, compared with 0.61% for MTUM.

What is the main difference between MTUM and DBMF?

MTUM is categorized as Momentum, while DBMF is Systematic Trend. They also come from different issuers: iShares and iM Global Partners. Their fees differ too: 0.15% for MTUM and 0.85% for DBMF.

Which has better risk-adjusted returns?

DBMF currently has the higher Sharpe Ratio (2.22 vs 1.96), 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.