Data as of Nov 4, 2026.
DBMF vs IMF: Correlation to the S&P 500
Over the year to Nov 4, 2026, DBMF moved less with the S&P 500 than IMF: correlation +0.26 against +0.38.
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Net assets on Nov 3, 2026: $5.2bn for iMGP DBi Managed Futures Strategy ETF and $304m for Invesco Managed Futures Strategy ETF.
DBMF in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, DBMF −0.35%.
IMF in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, IMF −0.14%.
Pair scorecard
IMF costs 0.20 points a year less; their one-year returns differ by 1.6 points; DBMF is 17.1 times larger.
| Measure | DBMF | IMF |
|---|---|---|
| Return | ||
| Total return, 1 year | +18.5% | +20.1% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 0.85% | 0.65% |
| Net assets, as of Nov 3, 2026 | $5.2bn | $304m |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | +0.23: about 0.23% for each 1% | +0.24: about 0.24% for each 1% |
| Its average week when the S&P 500 fell | fell 0.35% | fell 0.14% |
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
Mar 28, 2025 to Oct 30, 2026 · 83 weekly returnsFrom Mar 2025 to Oct 2026, DBMF returned more: +36.8% to +8.0%. DBMF swung slightly less: 8.9% to 9.2%. DBMF fell less at its worst: −5.3% to −13.3%.
Full scorecard
9 measures, with how each is measured Open ↓
| Measure | DBMF | IMF | Edge | How it is measured |
|---|---|---|---|---|
| Return | ||||
| Total return | +36.8% | +8.0% | DBMF | Price change plus distributions, reinvested. |
| Annualized | +21.7% | +4.9% | DBMF | Total return as a yearly rate. |
| Price return | +28.1% | +6.9% | DBMF | Price change alone, distributions left out. |
| Risk | ||||
| Volatility | 8.9% | 9.2% | DBMF (slight) | Spread of weekly returns, annualized. Lower is steadier. |
| Downside deviation | 5.4% | 7.6% | DBMF | Like volatility, counting only weeks below the Treasury bill rate. |
| Max drawdown | −5.3% | −13.3% | DBMF | Deepest fall from a high to the low after it. |
| Risk-adjusted | ||||
| Sharpe | 1.81 | 0.14 | DBMF | Return above Treasury bills per unit of volatility. |
| Sortino | 2.97 | 0.17 | DBMF | Return above Treasury bills per unit of downside deviation. |
| Calmar | 4.12 | 0.37 | DBMF | Annualized return divided by the max drawdown. |
Computed by ETFIQ from Tiingo daily prices and ETFIQ's distribution records, 83 weekly returns. Cash rate: the 13-week Treasury bill.
Window by window
| Total return | ||
|---|---|---|
| Window | DBMF | IMF |
| 3 months | +3.0% | +0.4% |
| 6 months | +4.4% | 0.0% |
| 1 year | +18.5% | +20.1% |
| 3 years | +31.9% | – |
| Since launchNot the same days: DBMF May 2019 · IMF Mar 2025 | +92.9% | +4.3% |
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Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
DBMF and IMF 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 IMF’s +0.38. In the 26 weeks the index fell, by 1.07% a week on average, DBMF averaged −0.35% and IMF −0.14%. Over the same weeks, DBMF finished 14.3 percentage points ahead of cash and IMF finished 15.6 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.
IMF
IMF is a managed futures fund. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.38 with the S&P 500’s and a beta of +0.24, so for each 1% the index moved it moved about 0.24% the same way. In the same weeks IMF fell 0.14% on average, a down-week capture of 13.0%. Over the same 52 weeks IMF returned +19.2% and a Treasury bill fund +3.7%, so it finished 15.6 percentage points ahead of cash.
Questions people ask
- Which moved less with the S&P 500, DBMF or IMF?
- Over the 52 weeks to Nov 4, 2026, DBMF’s weekly returns had a correlation of +0.26 with the S&P 500 and IMF’s +0.38, so DBMF moved less with the index.
- Which did better when the S&P 500 fell, DBMF or IMF?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, DBMF averaged −0.35% and IMF −0.14%, so IMF 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.
Cite this pageCitation, APA and Markdown
ETFIQ, DBMF against IMF, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/dbmf-vs-imf
ETFIQ. (Nov 4, 2026). DBMF against IMF. Retrieved from https://etfiq.com/compare/alternatives/dbmf-vs-imf
[DBMF against IMF (ETFIQ, Nov 4, 2026)](https://etfiq.com/compare/alternatives/dbmf-vs-imf)
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