SPHD vs. DBMF
SPHD (Invesco S&P 500® High Dividend Low Volatility ETF) and DBMF (iMGP DBi Managed Futures Strategy ETF) are both exchange-traded funds - SPHD is a Dividend fund tracking the S&P 500 Low Volatility High Dividend Index, while DBMF is a Systematic Trend fund actively managed by iM Global Partners. SPHD is passively managed, while DBMF is actively managed. Over the past 5 years, SPHD returned 6.57%/yr vs 8.18%/yr for DBMF. At a 0.06 correlation, their price movements are largely independent. SPHD charges 0.30%/yr vs 0.85%/yr for DBMF.
Performance
SPHD vs. DBMF - Performance Comparison
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Returns By Period
In the year-to-date period, SPHD achieves a 8.51% return, which is significantly lower than DBMF's 10.48% return.
SPHD
- 1D
- -1.12%
- 1M
- 4.38%
- YTD
- 8.51%
- 6M
- 7.65%
- 1Y
- 12.70%
- 3Y*
- 11.55%
- 5Y*
- 6.57%
- 10Y*
- 7.41%
DBMF
- 1D
- 0.19%
- 1M
- -1.12%
- YTD
- 10.48%
- 6M
- 11.61%
- 1Y
- 27.18%
- 3Y*
- 9.37%
- 5Y*
- 8.18%
- 10Y*
- —
SPHD vs. DBMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 8.51% | 3.41% | 18.08% | 1.32% | 0.58% | 24.98% | -9.98% | 7.82% |
DBMF iMGP DBi Managed Futures Strategy ETF | 10.48% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.51% |
Correlation
The correlation between SPHD and DBMF is 0.12, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.00 |
Correlation (All Time) Calculated using the full available price history since May 8, 2019 | 0.06 |
The correlation between SPHD and DBMF shifts across timeframes, from -0.00 (5 years) to 0.12 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
SPHD vs. DBMF — Risk / Return Rank
SPHD
DBMF
SPHD vs. DBMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) 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.
| SPHD | DBMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.08 | ||
| Sortino ratioReturn per unit of downside risk | -1.19 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.47 | -0.27 |
| Calmar ratioReturn relative to maximum drawdown | 1.74 | 4.48 | -2.74 |
| Martin ratioReturn relative to average drawdown | 4.31 | 16.18 | -11.88 |
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Drawdowns
SPHD vs. DBMF - Drawdown Comparison
The maximum SPHD drawdown since its inception was -41.39%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for SPHD and DBMF.
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Drawdown Indicators
| SPHD | DBMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.39% | -20.39% | -21.00% |
Max Drawdown (1Y)Largest decline over 1 year | -7.33% | -6.10% | -1.23% |
Max Drawdown (3Y)Largest decline over 3 years | -13.29% | -15.60% | +2.31% |
Max Drawdown (5Y)Largest decline over 5 years | -19.50% | -20.39% | +0.89% |
Max Drawdown (10Y)Largest decline over 10 years | -41.39% | — | — |
Current DrawdownCurrent decline from peak | -1.63% | -1.72% | +0.09% |
Average DrawdownAverage peak-to-trough decline | -4.70% | -6.56% | +1.86% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.96% | 1.68% | +1.28% |
Volatility
SPHD vs. DBMF - Volatility Comparison
Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) has a higher volatility of 3.91% compared to iMGP DBi Managed Futures Strategy ETF (DBMF) at 2.68%. This indicates that SPHD'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
| SPHD | DBMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.91% | 2.68% | +1.23% |
Volatility (6M)Calculated over the trailing 6-month period | 7.86% | 10.00% | -2.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.27% | 12.37% | -1.10% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.21% | 12.55% | +1.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.66% | 12.41% | +5.25% |
SPHD vs. DBMF - Expense Ratio Comparison
SPHD has a 0.30% expense ratio, which is lower than DBMF's 0.85% expense ratio.
Dividends
SPHD vs. DBMF - Dividend Comparison
SPHD's dividend yield for the trailing twelve months is around 4.45%, less than DBMF's 5.18% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DBMF iMGP DBi Managed Futures Strategy ETF | 5.18% | 5.91% | 5.75% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% |
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 4.45% | 4.02% | 3.41% | 4.48% | 3.89% | 3.45% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% |
Frequently Asked Questions
SPHD and DBMF have a correlation of 0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPHD has higher volatility (3.91%) compared to DBMF (2.68%). In terms of maximum drawdown, SPHD dropped -41.39% vs DBMF's -20.39%.
On 5-year performance, DBMF leads with 8.18% vs 6.57% for SPHD. On fees, SPHD is cheaper at 0.30% per year. On volatility, DBMF has been the lower-risk option at 2.68%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, DBMF has performed better with a 8.18% return vs 6.57%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPHD is cheaper with a 0.30% expense ratio, compared with 0.85% for DBMF.
DBMF has the higher dividend yield at 5.18%, compared with 4.45% for SPHD.
SPHD is categorized as Dividend, while DBMF is Systematic Trend. They also come from different issuers: Invesco and iM Global Partners. Their fees differ too: 0.30% for SPHD and 0.85% for DBMF.
DBMF currently has the higher Sharpe Ratio (2.21 vs 1.13), 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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