Data as of Nov 4, 2026.
DBMF vs KMLM: Correlation to the S&P 500
Over the year to Nov 4, 2026, KMLM moved less with the S&P 500 than DBMF: correlation −0.12 against +0.26.
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Net assets: $5.2bn on Nov 3, 2026 for iMGP DBi Managed Futures Strategy ETF, and $586m on Nov 4, 2026 for KraneShares Mount Lucas Managed Futures Index Strategy ETF.
DBMF in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, DBMF −0.35%.
KMLM in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, KMLM +0.18%.
Pair scorecard
DBMF costs 0.05 points a year less; their one-year returns differ by 2.0 points; DBMF is 8.7 times larger.
| Measure | DBMF | KMLM |
|---|---|---|
| Return | ||
| Total return, 1 year | +18.5% | +16.5% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 0.85% | 0.90% |
| Net assets, as of Nov 3, 2026 | $5.2bn | $595m |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | +0.23: about 0.23% for each 1% | −0.12: about 0.12% for each 1% |
| Its average week when the S&P 500 fell | fell 0.35% | rose 0.18% |
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
Dec 11, 2020 to Oct 30, 2026 · 307 weekly returnsFrom Dec 2020 to Oct 2026, DBMF returned more: +80.4% to +55.0%. DBMF swung less: 11.0% to 13.4%. DBMF fell less at its worst: −19.9% to −27.6%.
Full scorecard
9 measures, with how each is measured Open ↓
| Measure | DBMF | KMLM | Edge | How it is measured |
|---|---|---|---|---|
| Return | ||||
| Total return | +80.4% | +55.0% | DBMF | Price change plus distributions, reinvested. |
| Annualized | +10.5% | +7.7% | DBMF | Total return as a yearly rate. |
| Price return | +28.8% | +21.2% | DBMF | Price change alone, distributions left out. |
| Risk | ||||
| Volatility | 11.0% | 13.4% | DBMF | Spread of weekly returns, annualized. Lower is steadier. |
| Downside deviation | 7.6% | 9.2% | DBMF | Like volatility, counting only weeks below the Treasury bill rate. |
| Max drawdown | −19.9% | −27.6% | DBMF | Deepest fall from a high to the low after it. |
| Risk-adjusted | ||||
| Sharpe | 0.66 | 0.37 | DBMF | Return above Treasury bills per unit of volatility. |
| Sortino | 0.95 | 0.54 | DBMF | Return above Treasury bills per unit of downside deviation. |
| Calmar | 0.53 | 0.28 | DBMF | Annualized return divided by the max drawdown. |
Computed by ETFIQ from Tiingo daily prices and ETFIQ's distribution records, 307 weekly returns. Cash rate: the 13-week Treasury bill.
Window by window
| Total return | ||
|---|---|---|
| Window | DBMF | KMLM |
| 3 months | +3.0% | +3.0% |
| 6 months | +4.4% | +0.6% |
| 1 year | +18.5% | +16.5% |
| 3 years | +31.9% | −0.7% |
| Since launchNot the same days: DBMF May 2019 · KMLM Dec 2020 | +92.9% | +49.0% |
Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
DBMF and KMLM 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 KMLM’s −0.12. In the 26 weeks the index fell, by 1.07% a week on average, DBMF averaged −0.35% and KMLM +0.18%. Over the same weeks, DBMF finished 14.3 percentage points ahead of cash and KMLM finished 12.9 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.
KMLM
KMLM is a managed futures fund. Over the year to Nov 4, 2026, its weekly returns had a correlation of −0.12 with the S&P 500’s and a beta of −0.12, so for each 1% the index moved it moved about 0.12% the other way. In the same weeks KMLM rose 0.18% on average, a down-week capture of −16.3%. Over the same 52 weeks KMLM returned +16.6% and a Treasury bill fund +3.7%, so it finished 12.9 percentage points ahead of cash.
Questions people ask
- Which moved less with the S&P 500, DBMF or KMLM?
- Over the 52 weeks to Nov 4, 2026, DBMF’s weekly returns had a correlation of +0.26 with the S&P 500 and KMLM’s −0.12, so KMLM moved less with the index.
- Which did better when the S&P 500 fell, DBMF or KMLM?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, DBMF averaged −0.35% and KMLM +0.18%, so KMLM 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 KMLM, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/dbmf-vs-kmlm
ETFIQ. (Nov 4, 2026). DBMF against KMLM. Retrieved from https://etfiq.com/compare/alternatives/dbmf-vs-kmlm
[DBMF against KMLM (ETFIQ, Nov 4, 2026)](https://etfiq.com/compare/alternatives/dbmf-vs-kmlm)
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