VFMO vs. DBMF

Last updated Jul 22, 2026

VFMO (Vanguard U.S. Momentum Factor ETF) and DBMF (iMGP DBi Managed Futures Strategy ETF) are both exchange-traded funds - VFMO is a Momentum fund actively managed by Vanguard, while DBMF is a Systematic Trend fund actively managed by iM Global Partners. Both are actively managed. Over the past 5 years, VFMO returned 14.05%/yr vs 8.76%/yr for DBMF. At a 0.24 correlation, their price movements are largely independent. VFMO charges 0.13%/yr vs 0.85%/yr for DBMF.

Performance

VFMO vs. DBMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard U.S. Momentum Factor ETF (VFMO) 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, VFMO achieves a 22.98% return, which is significantly higher than DBMF's 12.63% return.

VFMO

• 1D: 3.54%
• 1M: -2.98%
• 6M: 14.72%
• YTD: 22.98%
• 1Y: 35.15%
• 3Y*: 24.97%
• 5Y*: 14.05%
• 10Y*: —
• ALL TIME*: 15.14%

DBMF

• 1D: 1.23%
• 1M: 1.81%
• 6M: 9.89%
• YTD: 12.63%
• 1Y: 27.85%
• 3Y*: 9.87%
• 5Y*: 8.76%
• 10Y*: —
• ALL TIME*: 9.40%

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

VFMO vs. DBMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
VFMO Vanguard U.S. Momentum Factor ETF	22.98%	17.39%	26.14%	16.25%	-12.84%	19.16%	31.36%	9.15%
DBMF iMGP DBi Managed Futures Strategy ETF	12.63%	13.85%	7.24%	-8.94%	21.61%	11.49%	1.80%	10.51%

Correlation

The correlation between VFMO and DBMF is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.43
Correlation (3Y) Calculated over the trailing 3-year period	0.30
Correlation (5Y) Calculated over the trailing 5-year period	0.16
Correlation (All Time) Calculated using the full available price history since May 8, 2019	0.24

The correlation between VFMO and DBMF shifts across timeframes, from 0.16 (5 years) to 0.43 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

VFMO vs. DBMF — Risk / Return Rank

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

VFMO

VFMO Risk / Return Rank: 67
VFMO Sharpe Ratio Rank: 61
VFMO Sortino Ratio Rank: 57
VFMO Omega Ratio Rank: 57
VFMO Calmar Ratio Rank: 82
VFMO Martin Ratio Rank: 78

DBMF

DBMF Risk / Return Rank: 89
DBMF Sharpe Ratio Rank: 88
DBMF Sortino Ratio Rank: 85
DBMF Omega Ratio Rank: 91
DBMF Calmar Ratio Rank: 92
DBMF Martin Ratio Rank: 91

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.

VFMO vs. DBMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Momentum Factor ETF (VFMO) 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.

	VFMO	DBMF	Difference
Sharpe ratio: Return per unit of total volatility	1.52	2.21	-0.70
Sortino ratio: Return per unit of downside risk	2.06	2.91	-0.85
Omega ratio: Gain probability vs. loss probability	1.26	1.45	-0.19
Calmar ratio: Return relative to maximum drawdown	3.21	4.59	-1.37
Martin ratio: Return relative to average drawdown	10.62	15.52	-4.90

VFMO vs. DBMF - Sharpe Ratio Comparison

The current VFMO Sharpe Ratio is 1.52, which is lower than the DBMF Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of VFMO 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

VFMO vs. DBMF - Drawdown Comparison

The maximum VFMO drawdown since its inception was -36.77%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for VFMO and DBMF.

Drawdown Indicators

	VFMO	DBMF	Difference
Max Drawdown Largest peak-to-trough decline	-36.77%	-20.39%	-16.38%
Max Drawdown (1Y) Largest decline over 1 year	-10.98%	-6.10%	-4.88%
Max Drawdown (3Y) Largest decline over 3 years	-24.40%	-15.60%	-8.80%
Max Drawdown (5Y) Largest decline over 5 years	-25.80%	-20.39%	-5.41%
Current Drawdown Current decline from peak	-6.03%	0.00%	-6.03%
Average Drawdown Average peak-to-trough decline	-7.70%	-6.50%	-1.20%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.32%	1.80%	+1.52%

Volatility

VFMO vs. DBMF - Volatility Comparison

Vanguard U.S. Momentum Factor ETF (VFMO) has a higher volatility of 8.48% compared to iMGP DBi Managed Futures Strategy ETF (DBMF) at 2.84%. This indicates that VFMO'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.

Volatility by Period

	VFMO	DBMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.48%	2.84%	+5.64%
Volatility (6M) Calculated over the trailing 6-month period	18.69%	10.10%	+8.59%
Volatility (1Y) Calculated over the trailing 1-year period	23.32%	12.66%	+10.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.98%	12.44%	+9.54%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.69%	12.38%	+11.31%

VFMO vs. DBMF - Expense Ratio Comparison

VFMO has a 0.13% expense ratio, which is lower than DBMF's 0.85% expense ratio.

Dividends

VFMO vs. DBMF - Dividend Comparison

VFMO's dividend yield for the trailing twelve months is around 0.60%, less than DBMF's 5.05% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
DBMF iMGP DBi Managed Futures Strategy ETF	5.05%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%
VFMO Vanguard U.S. Momentum Factor ETF	0.60%	0.82%	0.72%	0.89%	1.72%	0.81%	0.45%	1.22%	0.70%

Frequently Asked Questions

Can I hold both VFMO and DBMF in my portfolio?

VFMO and DBMF have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VFMO or DBMF?

VFMO has higher volatility (8.48%) compared to DBMF (2.84%). In terms of maximum drawdown, VFMO dropped -36.77% vs DBMF's -20.39%.

Which ETF is better, VFMO or DBMF?

On 5-year performance, VFMO leads with 14.05% vs 8.76% for DBMF. On fees, VFMO is cheaper at 0.13% per year. On volatility, DBMF has been the lower-risk option at 2.84%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, VFMO or DBMF?

Over the 5-year period, VFMO has performed better with a 14.05% return vs 8.76%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, VFMO or DBMF?

VFMO is cheaper with a 0.13% expense ratio, compared with 0.85% for DBMF.

Which ETF pays a higher dividend yield, VFMO or DBMF?

DBMF has the higher dividend yield at 5.05%, compared with 0.60% for VFMO.

What is the main difference between VFMO and DBMF?

VFMO is categorized as Momentum, while DBMF is Systematic Trend. They also come from different issuers: Vanguard and iM Global Partners. Their fees differ too: 0.13% for VFMO and 0.85% for DBMF.

Which has better risk-adjusted returns?

DBMF currently has the higher Sharpe Ratio (2.21 vs 1.52), 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.