QTR vs. DBMF
Compare and contrast key facts about Global X NASDAQ 100 Tail Risk ETF (QTR) and iM DBi Managed Futures Strategy ETF (DBMF).
QTR and DBMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. QTR is a passively managed fund by Global X that tracks the performance of the NASDAQ-100 Quarterly Protective Put 90 Index. It was launched on Aug 25, 2021. 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: QTR or DBMF.
Key characteristics
| QTR | DBMF | |
|---|---|---|
| YTD Return | 17.05% | 9.30% |
| 1Y Return | 30.81% | -0.20% |
| 3Y Return (Ann) | 8.09% | 6.84% |
| Sharpe Ratio | 1.89 | -0.06 |
| Sortino Ratio | 2.61 | 0.00 |
| Omega Ratio | 1.33 | 1.00 |
| Calmar Ratio | 2.18 | -0.04 |
| Martin Ratio | 8.22 | -0.11 |
| Ulcer Index | 3.58% | 5.75% |
| Daily Std Dev | 15.59% | 11.47% |
| Max Drawdown | -31.72% | -20.39% |
| Current Drawdown | -3.10% | -10.25% |
Correlation
The correlation between QTR and DBMF is -0.04. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
QTR vs. DBMF - Performance Comparison
In the year-to-date period, QTR achieves a 17.05% return, which is significantly higher than DBMF's 9.30% 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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QTR vs. DBMF - Expense Ratio Comparison
QTR has a 0.60% expense ratio, which is lower than DBMF's 0.85% expense ratio.
Risk-Adjusted Performance
QTR vs. DBMF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X NASDAQ 100 Tail Risk ETF (QTR) 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
QTR vs. DBMF - Dividend Comparison
QTR's dividend yield for the trailing twelve months is around 0.55%, less than DBMF's 5.13% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|
QTR Global X NASDAQ 100 Tail Risk ETF | 0.55% | 0.53% | 0.36% | 1.90% | 0.00% | 0.00% |
DBMF iM DBi Managed Futures Strategy ETF | 5.13% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% |
Drawdowns
QTR vs. DBMF - Drawdown Comparison
The maximum QTR drawdown since its inception was -31.72%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for QTR and DBMF. For additional features, visit the drawdowns tool.
Volatility
QTR vs. DBMF - Volatility Comparison
Global X NASDAQ 100 Tail Risk ETF (QTR) has a higher volatility of 4.00% compared to iM DBi Managed Futures Strategy ETF (DBMF) at 2.17%. This indicates that QTR'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.