iMGP DBi Managed Futures Strategy ETF

10-Year Study

DBMF.US · · US · ETF

Executive Summary: iMGP DBi Managed Futures Strategy ETF has compounded at 9.0% annually over the last 10 years, with a maximum drawdown of 17.3% and an annualized volatility of 12.6%.

1Y CAGR
+29.9%
3Y CAGR
+9.8%
5Y CAGR
+7.8%
10Y CAGR
+9.0%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
17.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.46
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.73
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
11.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · +21.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · -8.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
86%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.07.8-4.20.9————————8.4%
20251.2-2.3-1.60.0-0.22.7-0.51.35.83.91.91.113.8%
20242.43.65.44.4-1.02.3-3.7-3.11.2-4.31.0-0.87.2%
2023-3.20.7-7.31.00.63.4-0.40.34.6-0.4-5.2-2.9-8.9%
20220.43.17.110.6-1.03.5-3.62.75.81.0-8.80.421.6%
2021-0.14.42.92.22.9-1.30.7-2.6-0.14.2-2.40.411.5%
20201.0-2.11.32.2-3.1-1.93.6-0.6-3.0-0.00.74.01.8%
2019—————1.32.27.5-1.5-1.10.70.09.2%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 12.6%. The dominant macroeconomic risk driver is LQD.US, accounting for 31.1% of variance. Idiosyncratic stock-specific factors contribute 26.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-05-0110000
2019-06-0110133.861934728871
2019-07-0110355.492399364723
2019-08-0111130.48254779504
2019-09-0110960.319071444777
2019-10-0110836.487825848131
2019-11-0110915.180970349762
2019-12-0110917.987175047469
2020-01-0111027.488864740933
2020-02-0110794.275342416679
2020-03-0110934.824403233702
2020-04-0111177.232723929164
2020-05-0110832.129252594246
2020-06-0110629.366036564252
2020-07-0111008.143964271641
2020-08-0110937.8097273802
2020-09-0110609.125538851007
2020-10-0110608.22994160706
2020-11-0110685.490130518372
2020-12-0111114.600623335682
2021-01-0111101.58461005696
2021-02-0111594.70045257514
2021-03-0111932.997384856048
2021-04-0112200.840667279654
2021-05-0112553.526861946671
2021-06-0112389.990805201629
2021-07-0112481.759669464911
2021-08-0112151.702231828333
2021-09-0112135.223242539674
2021-10-0112640.937152956069
2021-11-0112340.852369750308
2021-12-0112391.961119138316
2022-01-0112441.457793487218
2022-02-0112828.116976941355
2022-03-0113735.058452646788
2022-04-0115189.090431439045
2022-05-0115040.182463011835
2022-06-0115563.808318307201
2022-07-0115006.567713122291
2022-08-0115414.90034987999
2022-09-0116303.571641808867
2022-10-0116462.092353987795
2022-11-0115006.567713122291
2022-12-0115069.020694266983
2023-01-0114582.412858388165
2023-02-0114691.138363803542
2023-03-0113614.391650645428
2023-04-0113748.97006316946
2023-05-0113826.64819746128
2023-06-0114302.867105310295
2023-07-0114251.101584610058
2023-08-0114297.672641295392
2023-09-0114960.295188851607
2023-10-0114903.335204136465
2023-11-0114126.8523936329
2023-12-0113722.520091231507
2024-01-0114058.070525297637
2024-02-0114569.516258075304
2024-03-0115362.716883799243
2024-04-0116032.265383375328
2024-05-0115876.968821274613
2024-06-0116238.610988381117
2024-07-0115633.545490369344
2024-08-0115152.788889817657
2024-09-0115330.893328397597
2024-10-0114676.868514383292
2024-11-0114829.478284752158
2024-12-0114716.274793117036
2025-01-0114890.677429755324
2025-02-0114547.544272357094
2025-03-0114310.330415676535
2025-04-0114310.330415676535
2025-05-0114287.641952163165
2025-06-0114673.524951339215
2025-07-0114605.101321901533
2025-08-0114798.968271974973
2025-09-0115655.398063121695
2025-10-0116263.030939899454
2025-11-0116572.60905389107
2025-12-0116753.639110134576
2026-01-0117428.322367242636
2026-02-0118789.630178044732
2026-03-0118001.504603369835
2026-04-0118162.71210728061
Annual Return Matrix
YearAnnual Return
20200.018008213889238345
20210.11492635130053608
20220.21603195405400188
2023-0.08935554807139878
20240.07241779901058587
20250.13844293788061357
20260.08410548823948694
Total Factor Risk
0.12556806108324906
VTI.US Exposure
0.006553748071689813
VEA.US Exposure
0.025691708461918917
VWO.US Exposure
0.02230399056603063
QQQ.US Exposure
0.016490608140386078
VTV.US Exposure
0.0013237335159946005
IJR.US Exposure
-0.0002558881819404483
QUAL.US Exposure
0.006617101410564395
SHV.US Exposure
0.007041284675299457
TLT.US Exposure
-0.031644148203530516
LQD.US Exposure
0.3113427027930865
HYG.US Exposure
-0.003954533961983422
GLD.US Exposure
0.027994442264656055
USO.US Exposure
0.03335042464348738
VNQ.US Exposure
-0.0010907885105863678
BTC-USD.CC Exposure
0.01662843257081399
CPER.US Exposure
0.001000368917578654
VIX.INDX Exposure
0.017335414337559082
UUP.US Exposure
0.2807821491173961
TIP.US Exposure
0.00008974069951838922
Idiosyncratic Exposure
0.26239950867206063
Value Score
41
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
63.5
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.6%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →22.4x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →5.29%
Market Cap$459.5B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$71
Avg Yield on Cost
0.71%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$71.050.71%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-0.1%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+10.3%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
3.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
-0.05
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iMGP DBi Managed Futures Strategy ETF a high-risk investment?

iMGP DBi Managed Futures Strategy ETF (DBMF.US) has an annualized volatility of 12.6% and experienced a maximum drawdown of 17.3% over the last 10 years. Its primary macro risk driver is LQD.US.

What is the 10-year return of DBMF.US?

Over the past 10 years, DBMF.US has generated a Compound Annual Growth Rate (CAGR) of 9.0%. It has had a positive return in 86% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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