SHRIX vs. DBMF

Last updated Jul 25, 2026

SHRIX (Stone Ridge High Yield Reinsurance Risk Premium Fund Class I) and DBMF (iMGP DBi Managed Futures Strategy ETF) are both funds - SHRIX is a Multistrategy fund actively managed by Stone Ridge, while DBMF is a Systematic Trend fund actively managed by iM Global Partners. Both are actively managed. Over the past 5 years, SHRIX returned 9.20%/yr vs 8.70%/yr for DBMF. Their 0.00 correlation means their historical movements had little consistent relationship. SHRIX charges 1.76%/yr vs 0.85%/yr for DBMF.

Performance

SHRIX vs. DBMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Stone Ridge High Yield Reinsurance Risk Premium Fund Class I (SHRIX) 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, SHRIX achieves a 2.85% return, which is significantly lower than DBMF's 12.95% return.

SHRIX

• 1D: 0.00%
• 1M: 0.81%
• 6M: 2.27%
• YTD: 2.85%
• 1Y: 11.55%
• 3Y*: 12.87%
• 5Y*: 9.20%
• 10Y*: —
• ALL TIME*: 5.88%

DBMF

• 1D: -0.25%
• 1M: 3.44%
• 6M: 7.95%
• YTD: 12.95%
• 1Y: 27.97%
• 3Y*: 10.07%
• 5Y*: 8.70%
• 10Y*: —
• ALL TIME*: 9.43%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
DBMF iMGP DBi Managed Futures Strategy ETF	$48.88M	$50.74M	$48.74M
SHRIX Stone Ridge High Yield Reinsurance Risk Premium Fund Class I	$0.00	$0.00	$0.00

SHRIX vs. DBMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
SHRIX Stone Ridge High Yield Reinsurance Risk Premium Fund Class I	2.85%	10.70%	16.73%	21.07%	-3.37%	1.88%	6.86%	3.52%
DBMF iMGP DBi Managed Futures Strategy ETF	12.95%	13.85%	7.24%	-8.94%	21.61%	11.49%	1.80%	10.51%

Correlation

The correlation between SHRIX and DBMF is 0.11, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.11
Correlation (3Y) Balances recent behavior with more history.	-0.00
Correlation (5Y) Shows whether the relationship held over a longer period.	-0.01
Correlation (All Time) Calculated using the full available price history since May 8, 2019	0.00

The correlation between SHRIX and DBMF shifts across timeframes, from -0.01 (5 years) to 0.11 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

SHRIX vs. DBMF — Risk / Return Rank

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

SHRIX

SHRIX Risk / Return Rank: 99
SHRIX Sharpe Ratio Rank: 100
SHRIX Sortino Ratio Rank: 98
SHRIX Omega Ratio Rank: 100
SHRIX Calmar Ratio Rank: 98
SHRIX Martin Ratio Rank: 98

DBMF

DBMF Risk / Return Rank: 91
DBMF Sharpe Ratio Rank: 90
DBMF Sortino Ratio Rank: 88
DBMF Omega Ratio Rank: 92
DBMF Calmar Ratio Rank: 93
DBMF Martin Ratio Rank: 92

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.

SHRIX vs. DBMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Stone Ridge High Yield Reinsurance Risk Premium Fund Class I (SHRIX) 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.

	SHRIX	DBMF	Difference
Sharpe ratio: Return per unit of total volatility	5.03	2.21	+2.82
Sortino ratio: Return per unit of downside risk	5.82	2.91	+2.91
Omega ratio: Gain probability vs. loss probability	4.85	1.45	+3.40
Calmar ratio: Return relative to maximum drawdown	6.33	4.59	+1.74
Martin ratio: Return relative to average drawdown	21.97	15.59	+6.38

SHRIX vs. DBMF - Sharpe Ratio Comparison

The current SHRIX Sharpe Ratio is 5.03, which is higher than the DBMF Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of SHRIX 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

SHRIX vs. DBMF - Drawdown Comparison

The maximum SHRIX drawdown since its inception was -14.34%, smaller than the maximum DBMF drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for SHRIX and DBMF.

Drawdown Indicators

	SHRIX	DBMF	Difference
Max Drawdown Largest peak-to-trough decline	-14.34%	-20.39%	+6.05%
Max Drawdown (1Y) Largest decline over 1 year	-1.87%	-6.10%	+4.23%
Max Drawdown (3Y) Largest decline over 3 years	-6.91%	-15.60%	+8.69%
Max Drawdown (5Y) Largest decline over 5 years	-12.69%	-20.39%	+7.70%
Current Drawdown Current decline from peak	0.00%	-0.25%	+0.25%
Average Drawdown Average peak-to-trough decline	-2.03%	-6.49%	+4.46%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.54%	1.79%	-1.25%

Volatility

SHRIX vs. DBMF - Volatility Comparison

The current volatility for Stone Ridge High Yield Reinsurance Risk Premium Fund Class I (SHRIX) is 0.25%, while iMGP DBi Managed Futures Strategy ETF (DBMF) has a volatility of 2.42%. This indicates that SHRIX experiences smaller price fluctuations and is considered to be less risky than DBMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SHRIX	DBMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.25%	2.42%	-2.17%
Volatility (6M) Calculated over the trailing 6-month period	2.02%	9.96%	-7.94%
Volatility (1Y) Calculated over the trailing 1-year period	2.36%	12.66%	-10.30%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.27%	12.43%	-6.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	6.24%	12.37%	-6.13%

SHRIX vs. DBMF - Expense Ratio Comparison

SHRIX has a 1.76% expense ratio, which is higher than DBMF's 0.85% expense ratio.

Dividends

SHRIX vs. DBMF - Dividend Comparison

SHRIX's dividend yield for the trailing twelve months is around 11.13%, more than DBMF's 5.03% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
DBMF iMGP DBi Managed Futures Strategy ETF	5.03%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%	0.00%
SHRIX Stone Ridge High Yield Reinsurance Risk Premium Fund Class I	11.13%	10.92%	14.34%	12.34%	3.89%	4.61%	6.34%	5.06%	5.09%	0.35%

Frequently Asked Questions

Can I hold both SHRIX and DBMF in my portfolio?

SHRIX and DBMF have a correlation of 0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SHRIX or DBMF?

DBMF has higher volatility (2.42%) compared to SHRIX (0.25%). In terms of maximum drawdown, SHRIX dropped -14.34% vs DBMF's -20.39%.

Which has better risk-adjusted returns?

SHRIX currently has the higher Sharpe Ratio (5.03 vs 2.21), 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.