Short answer: DBMF (iMGP DBi Managed Futures Strategy ETF) has delivered higher risk-adjusted returns, a lower expense ratio (0.85% vs 0.90%), and smaller drawdowns than KMLM since both launched. KMLM (KraneShares Mount Lucas Managed Futures Index Strategy ETF) offers a purely rules-based passive approach to trend following. The right choice depends on whether you prefer an active hybrid strategy (DBMF) or a transparent rules-based index (KMLM).
The short version
- DBMF (0.85% expense ratio, ~$4.0B AUM, launched May 2019) uses a proprietary “Dynamic Beta Engine” to replicate the performance of the top CTA hedge funds at a lower cost. It has delivered a 5-year annualized return of ~9.3% and a 1-year return of ~28.5%.
- KMLM (0.90% expense ratio, ~$386M AUM, launched Dec 2020) tracks the KFA MLM Index — a rules-based trend-following system across 18+ futures markets. It has delivered a 5-year annualized return of ~6.3% and a 1-year return of ~15.2%.
- Both provide low correlation to stocks and bonds — a key reason retail traders use them to diversify portfolios.
- DBMF has a max drawdown of -17.2% vs KMLM’s -27.5%, and lower volatility (2.9% vs 4.8% monthly).
- Neither ETF is right or wrong — they take different approaches to the same problem: trend-following exposure in an ETF wrapper.
What are managed futures ETFs, and why do retail traders use them?
Managed futures ETFs are public funds that implement trend-following strategies across global futures markets — equities, bonds, currencies, and commodities. They go long in rising markets and short in falling ones, aiming to profit from persistent price trends regardless of direction.
For retail ETF traders, their main appeal is portfolio diversification. Managed futures have historically shown low correlation to both stocks and bonds. In 2022, when the S&P 500 fell ~19% and the Bloomberg Aggregate Bond Index fell ~13%, both DBMF (+21.6%) and KMLM (+30.6%) posted strong positive returns.
How does DBMF work?
DBMF is an actively managed fund. Its sub-advisor, Dynamic Beta Investments (DBi), uses a proprietary quantitative model called the “Dynamic Beta Engine.” This model analyzes the trailing 60-day performance of the largest CTA (commodity trading advisor) hedge funds and constructs a portfolio of liquid futures contracts that aims to replicate their aggregate performance — not their positions, but their results.
This is a meaningful distinction. DBMF does not try to predict which direction a market will move. Instead, it treats the collective wisdom of the CTA industry as the “alpha source” and uses a small number of liquid futures to track that aggregate performance at a fraction of hedge fund fees.
Key facts about DBMF (source: iM Global Partner, August 2026):
| Metric | DBMF |
|---|---|
| Expense ratio | 0.85% |
| AUM | ~$4.0 billion |
| Inception | May 7, 2019 |
| Management | Active (Dynamic Beta Engine) |
| Max drawdown (since inception) | -17.2% |
| 5Y annualized return | ~9.3% |
| 1Y return | ~28.5% |
| YTD 2026 | ~12.8% |
| Dividend yield (TTM) | ~5.0% |
| Correlation to KMLM | 0.50–0.53 |
How does KMLM work?
KMLM is a passive, rules-based fund. It tracks the KFA MLM Index, which is a systematic trend-following strategy developed by Mount Lucas Management, a firm with a decades-long track record in managed futures. The index applies a simple trend signal across a diversified set of futures markets: if the current price is above its moving average, go long; if below, go short.
KMLM’s approach is fully transparent and rules-based — you can see exactly how the index is calculated. The fund equal-weights positions across sectors, including equity indices, fixed income, currencies, and commodities.
Key facts about KMLM (source: KraneShares, August 2026):
| Metric | KMLM |
|---|---|
| Expense ratio | 0.90% |
| AUM | ~$386 million |
| Inception | December 1, 2020 |
| Management | Passive (tracks KFA MLM Index) |
| Max drawdown (since inception) | -27.5% |
| 5Y annualized return | ~6.3% |
| 1Y return | ~15.2% |
| YTD 2026 | ~13.1% |
| Dividend yield (TTM) | ~4.4% |
| Index weight scheme | Equal-weight across sectors |
DBMF vs KMLM: head-to-head comparison
Which has better returns?
Over the period both have been available (since December 2020), DBMF has outperformed on most return metrics. Over 5 years, DBMF’s annualized return of ~9.3% compares to ~6.3% for KMLM (source: PortfoliosLab, data as of August 22, 2026). On a 1-year basis, DBMF’s ~28.5% return nearly doubles KMLM’s ~15.2%.
YTD 2026, however, the two are roughly neck-and-neck: KMLM leads by ~0.3 percentage points (13.1% vs 12.8%).
Which has lower fees?
DBMF is cheaper at 0.85% vs KMLM’s 0.90%. The difference of 0.05 percentage points is modest — on a $10,000 investment, it’s about $5 per year. For most retail traders, this difference alone should not drive the decision.
Which has lower risk?
DBMF has been the lower-risk option across multiple measures. Its max drawdown of -17.2% is significantly less than KMLM’s -27.5%. Its monthly volatility (2.9%) is also lower than KMLM’s (4.8%). On a risk-adjusted basis, DBMF’s Sharpe ratio of 2.23 (trailing 12 months) exceeds KMLM’s 1.27, meaning it delivered more return per unit of risk (source: PortfoliosLab).
Which provides better diversification?
Both provide strong diversification to stocks and bonds — that is the core reason to own any managed futures ETF. Their correlation to each other is only 0.50–0.53, meaning they behave differently even within the same asset class. KMLM’s higher volatility and larger drawdowns give it a more aggressive profile, while DBMF’s smoother ride may be easier to hold during market stress.
When would you choose DBMF over KMLM?
- You want an active approach that adapts. DBMF’s Dynamic Beta Engine adjusts its positioning based on what the top CTA funds are doing. This is a “manager of managers” approach in an ETF wrapper.
- Lower drawdowns matter to you. DBMF’s -17.2% max drawdown is over 10 percentage points better than KMLM’s. For traders who want to set and forget a managed futures allocation, this matters.
- You prefer a larger, more liquid fund. DBMF has ~$4B in AUM and averages ~1.86M shares traded daily — roughly 4x KMLM’s daily volume. Tighter bid-ask spreads and lower tracking error are natural consequences of larger AUM in managed futures.
- You want to track the aggregate CTA industry. DBMF is designed to deliver the average performance of professional CTA hedge funds, making it a “CTA index in an ETF.”
When would you choose KMLM over DBMF?
- You prefer a fully transparent, rules-based strategy. KMLM tracks a published index with a known methodology (the KFA MLM Index). You can see exactly what it trades and how positions are sized.
- You want equal-weight exposure across sectors. KMLM weights its positions equally across equity, fixed income, currency, and commodity futures. This prevents any single sector from dominating the portfolio.
- You believe simple trend-following works over the long term. KMLM’s moving-average crossover approach is the classic trend-following strategy that has been documented in academic literature for decades. There is no “black box” — the logic is straightforward.
- You want to avoid active management risk. KMLM has no manager discretion. The model either gives a long signal or a short signal — there is no human judgment layer.
What do the numbers say about DBMF vs KMLM?
| Metric | DBMF | KMLM | Edge |
|---|---|---|---|
| Expense ratio | 0.85% | 0.90% | DBMF |
| AUM | ~$4.0B | ~$386M | DBMF |
| 5Y annualized return | ~9.3% | ~6.3% | DBMF |
| YTD 2026 return | ~12.8% | ~13.1% | KMLM (slight) |
| 1Y return | ~28.5% | ~15.2% | DBMF |
| Max drawdown | -17.2% | -27.5% | DBMF |
| Volatility (1M) | 2.9% | 4.8% | DBMF |
| Sharpe ratio (1Y) | 2.23 | 1.27 | DBMF |
| Dividend yield (TTM) | ~5.0% | ~4.4% | DBMF |
| Management style | Active | Passive | Depends on preference |
| Inception | May 2019 | Dec 2020 | DBMF (longer track record) |
Can you hold both DBMF and KMLM in the same portfolio?
Yes. Their correlation of 0.50–0.53 means they share roughly half of their price movements. This is moderate enough that holding both provides additional diversification — they tend to zig and zag at different times, even within the same trend-following category. Some traders split their managed futures allocation between the two, using DBMF for the active CTA replication and KMLM for the pure rules-based trend component.
Quick self-check
Test your understanding with these three questions. Click each to reveal the answer.
Question 1: Which ETF has a longer track record — DBMF or KMLM?
DBMF launched in May 2019, while KMLM launched in December 2020. DBMF also has a live track record going back ~10 years through its predecessor SMA structure — roughly 4 years of history before converting to an ETF.
Question 2: What is the core difference in how DBMF and KMLM generate their signals?
DBMF uses a proprietary “Dynamic Beta Engine” that analyzes the 60-day performance of top CTA hedge funds and replicates their aggregate returns. KMLM tracks a rules-based index that applies moving-average trend signals to 18+ futures markets. DBMF is active and tries to replicate the “average CTA”; KMLM is passive and follows a published trend-following methodology.
Question 3: Did both ETFs provide positive returns in 2022 when stocks and bonds both fell sharply?
Yes. In 2022, DBMF returned +21.6% and KMLM returned +30.6%, while the S&P 500 fell ~19% and the Bloomberg Aggregate Bond Index fell ~13%. This is the classic “crisis alpha” that makes managed futures a valuable portfolio diversifier.
Frequently asked questions
Which managed futures ETF is better for a beginner — DBMF or KMLM?
For beginners, DBMF is often the more straightforward choice. It has a longer track record, lower drawdowns, and you are buying a single fund that handles the complexity of managed futures exposure. KMLM is also suitable, but its higher volatility and larger drawdowns may test a new investor’s conviction during flat or down periods.
Are DBMF and KMLM correlated to the stock market?
Both have historically shown near-zero or slightly negative correlation to the S&P 500. DBMF has a beta of approximately -0.2 to the S&P 500, and KMLM has a beta of approximately -0.36. This low correlation is the primary reason traders add them to a diversified portfolio — they tend to do well when stocks struggle.
Which ETF has a higher dividend yield?
DBMF has a higher trailing 12-month dividend yield of ~5.0% compared to KMLM’s ~4.4%. However, distributions from managed futures ETFs can vary significantly from year to year depending on realized gains and interest earned on the collateral portfolio (mostly T-bills).
What is the minimum investment for DBMF or KMLM?
Both are ETFs traded on NYSE Arca, so you can buy a single share. At current prices (August 2026), one share of DBMF costs approximately $31 and one share of KMLM costs approximately $29. There is no minimum beyond the price of one share plus any broker commission.
Can I use DBMF or KMLM in a tax-advantaged account like an IRA?
Yes, both ETFs are eligible for all standard account types including IRAs, 401(k) rollovers, and taxable brokerage accounts. Neither distributes a K-1 tax form — they issue standard 1099s, making them suitable for retirement accounts where K-1 income can be administratively problematic.
Educational content only — not financial advice. Past performance does not guarantee future results. Trading involves risk of loss. Read our disclaimer and affiliate disclosure.