Data as of Nov 4, 2026.
DBMF vs FMF: Correlation to the S&P 500
Over the year to Nov 4, 2026, FMF moved less with the S&P 500 than DBMF: correlation +0.16 against +0.26.
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Net assets on Nov 3, 2026: $5.2bn for iMGP DBi Managed Futures Strategy ETF and $298m for First Trust Managed Futures Strategy Fund.
DBMF in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, DBMF −0.35%.
FMF in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, FMF −0.11%.
Pair scorecard
DBMF costs 0.13 points a year less; their one-year returns differ by 7.4 points; DBMF is 17.4 times larger.
| Measure | DBMF | FMF |
|---|---|---|
| Return | ||
| Total return, 1 year | +18.5% | +11.1% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 0.85% | 0.98% |
| Net assets, as of Nov 3, 2026 | $5.2bn | $298m |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | +0.23: about 0.23% for each 1% | +0.11: about 0.11% for each 1% |
| Its average week when the S&P 500 fell | fell 0.35% | fell 0.11% |
How much it diversifies a stock portfolio, ranked against 17 systematic trend alternatives ETFs with a full year. 100 is best. How it is computed
One year of weekly moves against the S&P 500, within one strategy; it ignores what the fund returned. All alternatives ETFs ranked by it →
Risk and return
May 17, 2019 to Oct 30, 2026 · 389 weekly returnsFrom May 2019 to Oct 2026, DBMF returned more: +93.8% to +40.9%. FMF swung less: 7.8% to 11.4%. FMF fell less at its worst: −14.3% to −19.9%.
Full scorecard
9 measures, with how each is measured Open ↓
| Measure | DBMF | FMF | Edge | How it is measured |
|---|---|---|---|---|
| Return | ||||
| Total return | +93.8% | +40.9% | DBMF | Price change plus distributions, reinvested. |
| Annualized | +9.2% | +4.7% | DBMF | Total return as a yearly rate. |
| Price return | +26.5% | +16.2% | DBMF | Price change alone, distributions left out. |
| Risk | ||||
| Volatility | 11.4% | 7.8% | FMF | Spread of weekly returns, annualized. Lower is steadier. |
| Downside deviation | 8.0% | 5.6% | FMF | Like volatility, counting only weeks below the Treasury bill rate. |
| Max drawdown | −19.9% | −14.3% | FMF | Deepest fall from a high to the low after it. |
| Risk-adjusted | ||||
| Sharpe | 0.58 | 0.26 | DBMF | Return above Treasury bills per unit of volatility. |
| Sortino | 0.83 | 0.37 | DBMF | Return above Treasury bills per unit of downside deviation. |
| Calmar | 0.46 | 0.33 | DBMF | Annualized return divided by the max drawdown. |
Computed by ETFIQ from Tiingo daily prices and ETFIQ's distribution records, 389 weekly returns. Cash rate: the 13-week Treasury bill.
Window by window
| Total return | ||
|---|---|---|
| Window | DBMF | FMF |
| 3 months | +3.0% | +1.8% |
| 6 months | +4.4% | −0.1% |
| 1 year | +18.5% | +11.1% |
| 3 years | +31.9% | +20.3% |
| Since launchNot the same days: DBMF May 2019 · FMF Aug 2013 | +92.9% | +28.7% |
Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
DBMF and FMF both run a managed futures strategy. Over the same 52 weeks to Nov 4, 2026, DBMF’s weekly returns had a correlation of +0.26 with the S&P 500 and FMF’s +0.16. In the 26 weeks the index fell, by 1.07% a week on average, DBMF averaged −0.35% and FMF −0.11%. Over the same weeks, DBMF finished 14.3 percentage points ahead of cash and FMF finished 6.9 points ahead of cash.
Client brief:
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DBMF
DBMF is a managed futures fund. ETFIQ measures what every alternatives fund is sold on: whether it moves differently from the stock market. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.26 with the S&P 500’s and a beta of +0.23, so for each 1% the index moved it moved about 0.23% the same way. The S&P 500 fell in 26 of those 52 weeks, by 1.07% on average. In the same weeks DBMF fell 0.35% on average, a down-week capture of 32.9%. Over the same 52 weeks DBMF returned +17.9% and a Treasury bill fund +3.7%, so it finished 14.3 percentage points ahead of cash.
FMF
FMF is a managed futures fund. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.16 with the S&P 500’s and a beta of +0.11, so for each 1% the index moved it moved about 0.11% the same way. In the same weeks FMF fell 0.11% on average, a down-week capture of 9.9%. Over the same 52 weeks FMF returned +10.6% and a Treasury bill fund +3.7%, so it finished 6.9 percentage points ahead of cash.
Questions people ask
- Which moved less with the S&P 500, DBMF or FMF?
- Over the 52 weeks to Nov 4, 2026, DBMF’s weekly returns had a correlation of +0.26 with the S&P 500 and FMF’s +0.16, so FMF moved less with the index.
- Which did better when the S&P 500 fell, DBMF or FMF?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, DBMF averaged −0.35% and FMF −0.11%, so FMF returned more in those weeks.
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How this is computed
It is a place in a set, not a rating or a recommendation.
Every number is an ETFIQ calculation with distributions reinvested.
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ETFIQ, DBMF against FMF, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/dbmf-vs-fmf
ETFIQ. (Nov 4, 2026). DBMF against FMF. Retrieved from https://etfiq.com/compare/alternatives/dbmf-vs-fmf
[DBMF against FMF (ETFIQ, Nov 4, 2026)](https://etfiq.com/compare/alternatives/dbmf-vs-fmf)
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