VGLT vs. DBMF
VGLT (Vanguard Long-Term Treasury ETF) and DBMF (iMGP DBi Managed Futures Strategy ETF) are both exchange-traded funds - VGLT is a Government Bonds fund tracking the Bloomberg U.S. Long Treasury Index, while DBMF is a Systematic Trend fund actively managed by iM Global Partners. VGLT is passively managed, while DBMF is actively managed. Over the past 5 years, VGLT returned -5.66%/yr vs 7.92%/yr for DBMF. At a correlation of -0.20, they often move in opposite directions. VGLT charges 0.03%/yr vs 0.85%/yr for DBMF.
Performance
VGLT vs. DBMF - Performance Comparison
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Returns By Period
In the year-to-date period, VGLT achieves a -1.16% return, which is significantly lower than DBMF's 10.45% return.
VGLT
- 1D
- -0.40%
- 1M
- -1.25%
- YTD
- -1.16%
- 6M
- -1.18%
- 1Y
- 4.15%
- 3Y*
- -0.94%
- 5Y*
- -5.66%
- 10Y*
- -1.28%
DBMF
- 1D
- 0.68%
- 1M
- 0.59%
- YTD
- 10.45%
- 6M
- 12.63%
- 1Y
- 29.05%
- 3Y*
- 10.02%
- 5Y*
- 7.92%
- 10Y*
- —
VGLT vs. DBMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
VGLT Vanguard Long-Term Treasury ETF | -1.16% | 5.35% | -6.28% | 3.27% | -29.34% | -4.98% | 17.57% | 10.65% |
DBMF iMGP DBi Managed Futures Strategy ETF | 10.45% | 13.85% | 7.24% | -8.94% | 21.61% | 11.49% | 1.80% | 10.67% |
Correlation
The correlation between VGLT and DBMF is 0.09, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.09 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.22 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.35 |
Correlation (All Time) Calculated using the full available price history since May 9, 2019 | -0.20 |
The correlation between VGLT and DBMF shifts across timeframes, from -0.35 (5 years) to 0.09 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
VGLT vs. DBMF — Risk / Return Rank
VGLT
DBMF
VGLT vs. DBMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Long-Term Treasury ETF (VGLT) 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.
| VGLT | DBMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.88 | ||
| Sortino ratioReturn per unit of downside risk | -2.33 | ||
| Omega ratioGain probability vs. loss probability | 1.08 | 1.50 | -0.41 |
| Calmar ratioReturn relative to maximum drawdown | 0.60 | 4.78 | -4.19 |
| Martin ratioReturn relative to average drawdown | 1.53 | 17.53 | -16.00 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| VGLT | DBMF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.48 | 2.36 | -1.88 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.39 | 0.63 | -1.02 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.09 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.18 | 0.75 | -0.57 |
Drawdowns
VGLT vs. DBMF - Drawdown Comparison
The maximum VGLT drawdown since its inception was -46.18%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for VGLT and DBMF.
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Drawdown Indicators
| VGLT | DBMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -46.18% | -20.39% | -25.79% |
Max Drawdown (1Y)Largest decline over 1 year | -7.01% | -6.10% | -0.91% |
Max Drawdown (3Y)Largest decline over 3 years | -17.68% | -15.60% | -2.08% |
Max Drawdown (5Y)Largest decline over 5 years | -40.98% | -20.39% | -20.59% |
Max Drawdown (10Y)Largest decline over 10 years | -46.18% | — | — |
Current DrawdownCurrent decline from peak | -37.30% | -1.75% | -35.55% |
Average DrawdownAverage peak-to-trough decline | -15.08% | -6.58% | -8.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.72% | 1.66% | +1.06% |
Volatility
VGLT vs. DBMF - Volatility Comparison
The current volatility for Vanguard Long-Term Treasury ETF (VGLT) is 2.50%, while iMGP DBi Managed Futures Strategy ETF (DBMF) has a volatility of 2.94%. This indicates that VGLT 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.
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Volatility by Period
| VGLT | DBMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.50% | 2.94% | -0.44% |
Volatility (6M)Calculated over the trailing 6-month period | 5.96% | 10.01% | -4.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.71% | 12.38% | -3.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.57% | 12.56% | +2.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.82% | 12.43% | +1.39% |
VGLT vs. DBMF - Expense Ratio Comparison
VGLT has a 0.03% expense ratio, which is lower than DBMF's 0.85% expense ratio.
Dividends
VGLT vs. DBMF - Dividend Comparison
VGLT's dividend yield for the trailing twelve months is around 4.64%, 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% |
VGLT Vanguard Long-Term Treasury ETF | 4.64% | 4.44% | 4.33% | 3.33% | 2.84% | 1.82% | 2.15% | 2.46% | 2.71% | 2.55% | 2.69% | 3.21% |
Frequently Asked Questions
VGLT and DBMF have a correlation of 0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DBMF has higher volatility (2.94%) compared to VGLT (2.50%). In terms of maximum drawdown, VGLT dropped -46.18% vs DBMF's -20.39%.
On 5-year performance, DBMF leads with 7.92% vs -5.66% for VGLT. On fees, VGLT is cheaper at 0.03% per year. On volatility, VGLT has been the lower-risk option at 2.50%. 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 7.92% return vs -5.66%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VGLT is cheaper with a 0.03% expense ratio, compared with 0.85% for DBMF.
DBMF has the higher dividend yield at 5.18%, compared with 4.64% for VGLT.
VGLT is categorized as Government Bonds, while DBMF is Systematic Trend. They also come from different issuers: Vanguard and iM Global Partners. Their fees differ too: 0.03% for VGLT and 0.85% for DBMF.
DBMF currently has the higher Sharpe Ratio (2.36 vs 0.48), 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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