VMOT vs. DBMF
Compare and contrast key facts about Alpha Architect Value Momentum Trend ETF (VMOT) and iM DBi Managed Futures Strategy ETF (DBMF).
VMOT and DBMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VMOT is a passively managed fund by EMPIRICAL FINANCE LLC that tracks the performance of the Alpha Architect Value Momentum Trend Index. It was launched on May 3, 2017. DBMF is an actively managed fund by Litman Gregory Capital Partners LLC. It was launched on May 8, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VMOT or DBMF.
Key characteristics
| VMOT | DBMF | |
|---|---|---|
| YTD Return | 17.78% | 7.79% |
| 1Y Return | 28.96% | 1.29% |
| 3Y Return (Ann) | 0.93% | 5.39% |
| 5Y Return (Ann) | 4.01% | 6.56% |
| Sharpe Ratio | 1.51 | 0.13 |
| Sortino Ratio | 2.06 | 0.24 |
| Omega Ratio | 1.33 | 1.03 |
| Calmar Ratio | 1.20 | 0.08 |
| Martin Ratio | 11.92 | 0.26 |
| Ulcer Index | 2.55% | 5.54% |
| Daily Std Dev | 20.15% | 11.38% |
| Max Drawdown | -34.71% | -20.39% |
| Current Drawdown | -3.61% | -11.49% |
Correlation
The correlation between VMOT and DBMF is 0.28, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
VMOT vs. DBMF - Performance Comparison
In the year-to-date period, VMOT achieves a 17.78% return, which is significantly higher than DBMF's 7.79% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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VMOT vs. DBMF - Expense Ratio Comparison
VMOT has a 1.75% expense ratio, which is higher than DBMF's 0.85% expense ratio.
Risk-Adjusted Performance
VMOT vs. DBMF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect Value Momentum Trend ETF (VMOT) and iM 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.
Dividends
VMOT vs. DBMF - Dividend Comparison
VMOT's dividend yield for the trailing twelve months is around 3.51%, less than DBMF's 5.20% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
VMOT Alpha Architect Value Momentum Trend ETF | 3.51% | 4.13% | 2.24% | 0.81% | 0.00% | 1.76% | 0.92% | 0.81% |
DBMF iM DBi Managed Futures Strategy ETF | 5.20% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% |
Drawdowns
VMOT vs. DBMF - Drawdown Comparison
The maximum VMOT drawdown since its inception was -34.71%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for VMOT and DBMF. For additional features, visit the drawdowns tool.
Volatility
VMOT vs. DBMF - Volatility Comparison
Alpha Architect Value Momentum Trend ETF (VMOT) has a higher volatility of 3.64% compared to iM DBi Managed Futures Strategy ETF (DBMF) at 2.36%. This indicates that VMOT'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.