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QUAL vs. DBMF
Performance
Return for Risk
Drawdowns
Volatility
Dividends

QUAL vs. DBMF

Last updated Jun 13, 2026

QUAL (iShares MSCI USA Quality Factor ETF) and DBMF (iMGP DBi Managed Futures Strategy ETF) are both exchange-traded funds - QUAL is a Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality Index, while DBMF is a Systematic Trend fund actively managed by iM Global Partners. QUAL is passively managed, while DBMF is actively managed. Over the past 5 years, QUAL returned 11.97%/yr vs 8.01%/yr for DBMF. At a 0.16 correlation, their price movements are largely independent. QUAL charges 0.15%/yr vs 0.85%/yr for DBMF.

Performance

QUAL vs. DBMF - Performance Comparison

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

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Returns By Period

In the year-to-date period, QUAL achieves a 9.44% return, which is significantly lower than DBMF's 10.27% return.

QUAL

1D
0.47%
1M
2.14%
YTD
9.44%
6M
9.29%
1Y
22.87%
3Y*
19.30%
5Y*
11.97%
10Y*
14.46%

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)

QUAL vs. DBMF - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
QUAL
iShares MSCI USA Quality Factor ETF		9.44%12.65%22.29%30.88%-20.50%26.94%17.04%14.04%
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 QUAL and DBMF is 0.32, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.32

Correlation (3Y)
Calculated over the trailing 3-year period

0.26

Correlation (5Y)
Calculated over the trailing 5-year period

0.09

Correlation (All Time)
Calculated using the full available price history since May 8, 2019

0.16

The correlation between QUAL and DBMF shifts across timeframes, from 0.09 (5 years) to 0.32 (1 year), reflecting how their relationship changes across market environments.

QUAL vs. DBMF - Sectors Allocation Comparison

Sectors
QUAL
DBMF

Technology

36.5%
29.8%

Financial Services

11.5%
12.5%

Communication Services

11.1%
8.6%

Consumer Cyclical

9.3%
11.0%

Healthcare

9.0%
12.7%

Industrials

8.2%
8.4%

Consumer Defensive

4.9%
6.1%

Energy

4.0%
3.9%

Utilities

1.9%
2.3%

Real Estate

1.8%
2.5%

Basic Materials

1.7%
2.2%

Technology

QUAL
36.5%
DBMF
29.8%

Financial Services

QUAL
11.5%
DBMF
12.5%

Communication Services

QUAL
11.1%
DBMF
8.6%

Consumer Cyclical

QUAL
9.3%
DBMF
11.0%

Healthcare

QUAL
9.0%
DBMF
12.7%

Industrials

QUAL
8.2%
DBMF
8.4%

Consumer Defensive

QUAL
4.9%
DBMF
6.1%

Energy

QUAL
4.0%
DBMF
3.9%

Utilities

QUAL
1.9%
DBMF
2.3%

Real Estate

QUAL
1.8%
DBMF
2.5%

Basic Materials

QUAL
1.7%
DBMF
2.2%

Compare stocks, funds, or ETFs

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iShares MSCI USA Quality Factor ETF

iMGP DBi Managed Futures Strategy ETF

Often compared with QUAL:
QUAL vs. SPHQQUAL vs. SPYQUAL vs. MTUMQUAL vs. USMVQUAL vs. VOOQUAL vs. IVVQUAL vs. SCHD
Often compared with DBMF:
DBMF vs. KMLMDBMF vs. CTADBMF vs. SPYDBMF vs. VOODBMF vs. AQMIXDBMF vs. WTMFDBMF vs. FMF

Return for Risk

QUAL vs. DBMF — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
QUAL
QUAL Risk / Return Rank: 5959
Overall Rank
QUAL Sharpe Ratio Rank: 5959
Sharpe Ratio Rank
QUAL Sortino Ratio Rank: 6060
Sortino Ratio Rank
QUAL Omega Ratio Rank: 5656
Omega Ratio Rank
QUAL Calmar Ratio Rank: 5353
Calmar Ratio Rank
QUAL Martin Ratio Rank: 6767
Martin Ratio Rank
DBMF
DBMF Risk / Return Rank: 8484
Overall Rank
DBMF Sharpe Ratio Rank: 8181
Sharpe Ratio Rank
DBMF Sortino Ratio Rank: 7676
Sortino Ratio Rank
DBMF Omega Ratio Rank: 8787
Omega Ratio Rank
DBMF Calmar Ratio Rank: 8888
Calmar Ratio Rank
DBMF Martin Ratio Rank: 8787
Martin Ratio Rank
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.

QUAL vs. DBMF - Risk-Adjusted Trends Comparison

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

QUALDBMFDifference
Sharpe ratioReturn per unit of total volatility
1.74
2.22

-0.49

Sortino ratioReturn per unit of downside risk
2.46
2.92

-0.46

Omega ratioGain probability vs. loss probability

1.31

1.47

-0.16

Calmar ratioReturn relative to maximum drawdown

2.32

4.50

-2.18

Martin ratioReturn relative to average drawdown

10.60

16.30

-5.70

QUAL vs. DBMF - Sharpe Ratio Comparison

The current QUAL Sharpe Ratio is 1.74, which is comparable to the DBMF Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of QUAL 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.

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Drawdowns

QUAL vs. DBMF - Drawdown Comparison

The maximum QUAL drawdown since its inception was -34.06%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for QUAL and DBMF.

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Drawdown Indicators

QUALDBMFDifference

Max Drawdown

Largest peak-to-trough decline

-34.06%

-20.39%

-13.67%

Max Drawdown (1Y)

Largest decline over 1 year

-9.03%

-6.10%

-2.93%

Max Drawdown (3Y)

Largest decline over 3 years

-18.00%

-15.60%

-2.40%

Max Drawdown (5Y)

Largest decline over 5 years

-28.23%

-20.39%

-7.84%

Max Drawdown (10Y)

Largest decline over 10 years

-34.06%

—

—

Current Drawdown

Current decline from peak

-0.19%

-1.91%

+1.72%

Average Drawdown

Average peak-to-trough decline

-4.10%

-6.56%

+2.46%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.99%

1.68%

+0.31%

Volatility

QUAL vs. DBMF - Volatility Comparison

iShares MSCI USA Quality Factor ETF (QUAL) has a higher volatility of 3.63% compared to iMGP DBi Managed Futures Strategy ETF (DBMF) at 2.71%. This indicates that QUAL'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.

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Volatility by Period

QUALDBMFDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.63%

2.71%

+0.92%

Volatility (6M)

Calculated over the trailing 6-month period

9.43%

10.00%

-0.57%

Volatility (1Y)

Calculated over the trailing 1-year period

12.10%

12.35%

-0.25%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.36%

12.55%

+4.81%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.11%

12.41%

+5.70%

QUAL vs. DBMF - Expense Ratio Comparison

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

Dividends

QUAL vs. DBMF - Dividend Comparison

QUAL's dividend yield for the trailing twelve months is around 0.87%, less than DBMF's 5.19% yield.

PositionTTM20252024202320222021202020192018201720162015
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%
QUAL
iShares MSCI USA Quality Factor ETF		0.87%0.94%1.02%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%

Frequently Asked Questions

QUAL and DBMF have a correlation of 0.32, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

QUAL has higher volatility (3.63%) compared to DBMF (2.71%). In terms of maximum drawdown, QUAL dropped -34.06% vs DBMF's -20.39%.

On 5-year performance, QUAL leads with 11.97% vs 8.01% for DBMF. On fees, QUAL 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.

Over the 5-year period, QUAL has performed better with a 11.97% return vs 8.01%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

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

DBMF has the higher dividend yield at 5.19%, compared with 0.87% for QUAL.

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

DBMF currently has the higher Sharpe Ratio (2.22 vs 1.74), 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.

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