USMV vs. DBMF
USMV (iShares MSCI USA Min Vol Factor ETF) and DBMF (iMGP DBi Managed Futures Strategy ETF) are both exchange-traded funds - USMV is a Large Cap Blend Equities fund tracking the MSCI USA Minimum Volatility Index, while DBMF is a Systematic Trend fund actively managed by iM Global Partners. USMV is passively managed, while DBMF is actively managed. Over the past 5 years, USMV returned 7.24%/yr vs 8.01%/yr for DBMF. At a 0.11 correlation, their price movements are largely independent. USMV charges 0.15%/yr vs 0.85%/yr for DBMF.
Performance
USMV vs. DBMF - Performance Comparison
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Returns By Period
In the year-to-date period, USMV achieves a 2.43% return, which is significantly lower than DBMF's 10.27% return.
USMV
- 1D
- 0.43%
- 1M
- 1.43%
- YTD
- 2.43%
- 6M
- 2.34%
- 1Y
- 4.89%
- 3Y*
- 11.35%
- 5Y*
- 7.24%
- 10Y*
- 9.90%
DBMF
- 1D
- 0.26%
- 1M
- -1.31%
- YTD
- 10.27%
- 6M
- 11.24%
- 1Y
- 26.94%
- 3Y*
- 9.64%
- 5Y*
- 8.01%
- 10Y*
- —
USMV vs. DBMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
USMV iShares MSCI USA Min Vol Factor ETF | 2.43% | 7.65% | 15.74% | 10.33% | -9.43% | 20.85% | 5.64% | 12.90% |
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 USMV and DBMF is 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.20 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.17 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since May 8, 2019 | 0.11 |
The correlation between USMV and DBMF shifts across timeframes, from 0.02 (5 years) to 0.20 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
USMV vs. DBMF — Risk / Return Rank
USMV
DBMF
USMV vs. DBMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Min Vol Factor ETF (USMV) 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.
| USMV | DBMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.75 | ||
| Sortino ratioReturn per unit of downside risk | -2.20 | ||
| Omega ratioGain probability vs. loss probability | 1.08 | 1.47 | -0.39 |
| Calmar ratioReturn relative to maximum drawdown | 0.62 | 4.50 | -3.88 |
| Martin ratioReturn relative to average drawdown | 2.06 | 16.30 | -14.24 |
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Drawdowns
USMV vs. DBMF - Drawdown Comparison
The maximum USMV drawdown since its inception was -33.10%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for USMV and DBMF.
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Drawdown Indicators
| USMV | DBMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.10% | -20.39% | -12.71% |
Max Drawdown (1Y)Largest decline over 1 year | -6.46% | -6.10% | -0.36% |
Max Drawdown (3Y)Largest decline over 3 years | -9.36% | -15.60% | +6.24% |
Max Drawdown (5Y)Largest decline over 5 years | -17.93% | -20.39% | +2.46% |
Max Drawdown (10Y)Largest decline over 10 years | -33.10% | — | — |
Current DrawdownCurrent decline from peak | -1.40% | -1.91% | +0.51% |
Average DrawdownAverage peak-to-trough decline | -2.87% | -6.56% | +3.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.95% | 1.68% | +0.27% |
Volatility
USMV vs. DBMF - Volatility Comparison
iShares MSCI USA Min Vol Factor ETF (USMV) and iMGP DBi Managed Futures Strategy ETF (DBMF) have volatilities of 2.70% and 2.71%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| USMV | DBMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.70% | 2.71% | -0.01% |
Volatility (6M)Calculated over the trailing 6-month period | 6.02% | 10.00% | -3.98% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.56% | 12.35% | -3.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.36% | 12.55% | -0.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.51% | 12.41% | +2.10% |
USMV vs. DBMF - Expense Ratio Comparison
USMV has a 0.15% expense ratio, which is lower than DBMF's 0.85% expense ratio.
Dividends
USMV vs. DBMF - Dividend Comparison
USMV's dividend yield for the trailing twelve months is around 1.53%, 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% |
USMV iShares MSCI USA Min Vol Factor ETF | 1.53% | 1.49% | 1.67% | 1.82% | 1.62% | 1.26% | 1.81% | 1.88% | 2.12% | 1.77% | 2.22% | 2.02% |
Frequently Asked Questions
USMV and DBMF have a correlation of 0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DBMF has higher volatility (2.71%) compared to USMV (2.70%). In terms of maximum drawdown, USMV dropped -33.10% vs DBMF's -20.39%.
On 5-year performance, DBMF leads with 8.01% vs 7.24% for USMV. On fees, USMV is cheaper at 0.15% per year. Their volatility is very similar. 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 8.01% return vs 7.24%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
USMV 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 1.53% for USMV.
USMV 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 USMV and 0.85% for DBMF.
DBMF currently has the higher Sharpe Ratio (2.22 vs 0.47), 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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