What did DBMF do before 2019?

Before Jun 2019 the series is AQMIX's. Those 9.3 years (Feb 2010–May 2019) show 0.8% a year with 9.0% annualized volatility and a worst drawdown of -24.4% (Mar 2015–Feb 2019). The full extended history's worst drawdown is -24.4% (Mar 2015–Feb 2019).

How closely does AQMIX track DBMF?

Over 88 overlapping months (Jun 2019–Sep 2026), AQMIX had a correlation of 0.724 with DBMF, a tracking error of 8.2% a year and a tracking difference of +0.44% a year (grade: category stand-in).

How far back can you test DBMF? To Feb 2010, with AQMIX

Computed by the MarketHeist portfolio engine · Published 2026-10-10 · Updated 2026-10-10 · Data through Sep 2026

DBMF (Managed Futures (Trend)) has its own monthly data from Jun 2019. Spliced with AQMIX it reaches back to Feb 2010, which adds 9.3 years (56% of the extended history comes from proxies). Data through Sep 2026.

What you'd have missed

DBMF's own data starts in Jun 2019; AQMIX extends it to Feb 2010, 9.3 more years.
The extended history's worst drawdown is -24.4% (Mar 2015–Feb 2019), versus -17.3% (Oct 2022–Mar 2023) in the ETF's own years.
AQMIX is a same-category stand-in, not a tracker (correlation 0.72 over 88 months). Read the years before Jun 2019 as a stress test of the category, not as DBMF's history.

How the history is built

DBMF (ETF) Jun 2019 → now

AQMIX (AQR Managed Futures Strategy Fund, mutual fund) used Feb 2010 → May 2019; its own data runs Feb 2010 → now

Feb 2010Sep 2026

Solid bars are the months each fund contributes to the spliced series; the outline shows how far a proxy's own data runs. Each month uses the youngest fund that has data for it; returns are spliced, not prices (dividends reinvested via adjusted close).

How well each proxy tracked DBMF

Proxy	Kind	Months contributed	Overlap with DBMF	Correlation	Tracking error	Tracking difference	Beta	Vol ratio	Grade
AQMIXAQR Managed Futures Strategy Fund	mutual fund	Feb 2010–May 2019112 months	Jun 2019–Sep 202688 months	0.724	8.18%	+0.44%	0.70	0.97	Category stand-in

Statistics are over the months a proxy and DBMF both have data. Tracking error is annualized; tracking difference is the annualized geometric gap (positive: the proxy earned more). Page grade: category stand-in, the worst grade among the proxies that contribute months.

DBMF's own history versus the extended history

	The ETF's own history	Proxy years only	Full extended history
Window	Jun 2019 – Sep 20267.3 years	Feb 2010 – May 20199.3 years	Feb 2010 – Sep 202616.7 years
Growth of $10,000	$19,598	$10,808	$21,182
CAGR	9.6%	0.8%	4.6%
Annualized volatility	11.2%	9.0%	10.1%
Sharpe ratio (risk-free 0%)	0.88	0.14	0.50
Max drawdown	-17.3%Oct 2022 → Mar 2023; recovered Nov 2025	-24.4%Mar 2015 → Feb 2019; not recovered within this window	-24.4%Mar 2015 → Feb 2019; recovered Feb 2022
Worst complete calendar year	2023 (-8.9%)	2018 (-8.9%)	2023 (-8.9%)
Best complete calendar year	2022 (21.6%)	2014 (9.7%)	2022 (21.6%)
Longest underwater (months)	36	50	82
Major declines covered	2	0	2

The columns cover different years, so a higher or lower CAGR is not a verdict on the fund; the point is which market regimes each window includes. Growth of $10,000 is the same one-asset, buy-and-hold calculation the live portfolio app makes.

Growth of $10,000

Log scale, so the early decades are not flattened. Grey is the proxy period; blue is DBMF's own data. Dashed lines mark where each fund's returns begin.

Drawdowns

Decline from the prior peak at month-end, the "underwater" curve.

How DBMF did in each major US stock-market decline since 1985

Decline	S&P 500	DBMF over the same months	Source of those months
1987 crashSep 1987–Nov 1987	-29.8%	not covered	before available data
1998 LTCM sell-offJul 1998–Aug 1998	-15.3%	not covered	before available data
2000–02 dot-com bearSep 2000–Sep 2002	-44.7%	not covered	before available data
2007–09 financial crisisNov 2007–Feb 2009	-50.8%	not covered	before available data
2020 COVID crashJan 2020–Mar 2020	-19.4%	0.2%	ETF
2022 inflation bearJan 2022–Sep 2022	-23.9%	31.6%	ETF

The decline windows are computed, not chosen: every peak-to-trough fall of at least 15% (month-end) in the S&P 500 series since 1985. The fund's figure compounds its monthly returns from the month after the S&P 500's peak through the trough.

DBMF's own five deepest drawdowns (extended history)

Peak	Trough	Depth	Recovery	Source of the decline months
Mar 2015	Feb 2019	-24.4%	Feb 2022	AQMIX
Oct 2022	Mar 2023	-17.3%	Nov 2025	ETF
Apr 2011	Oct 2011	-9.8%	Apr 2013	AQMIX
Dec 2013	Apr 2014	-6.4%	Nov 2014	AQMIX
Apr 2013	Sep 2013	-5.1%	Dec 2013	AQMIX

This covers declines the equity windows miss, such as the bond bear markets of 1994 and 2022.

Caveats

Before Jun 2019 the returns are AQMIX's, after that fund's own costs; the measured gap while both existed is +0.44% a year.
Monthly month-end data: intra-month drawdowns were deeper than shown.
Dividends are reinvested; no taxes or trading costs are modeled.
Our data source's series for AQMIX begins Feb 2010; the fund itself may be older.

Test it yourself

Open DBMF as a one-asset portfolio in the live app, where every number recomputes from fresh data.

Open DBMF (100%) in the portfolio builder →

Used in portfolios: Dragon Portfolio

Used in guides: Dragon

All fund histories →

Frequently asked questions

How far back does DBMF data go?: DBMF (Managed Futures (Trend)) has its own monthly data from Jun 2019. Spliced with AQMIX it reaches back to Feb 2010, which adds 9.3 years (56% of the extended history comes from proxies). Data through Sep 2026.
What did DBMF do before 2019?: Before Jun 2019 the series is AQMIX's. Those 9.3 years (Feb 2010–May 2019) show 0.8% a year with 9.0% annualized volatility and a worst drawdown of -24.4% (Mar 2015–Feb 2019). The full extended history's worst drawdown is -24.4% (Mar 2015–Feb 2019).
How closely does AQMIX track DBMF?: Over 88 overlapping months (Jun 2019–Sep 2026), AQMIX had a correlation of 0.724 with DBMF, a tracking error of 8.2% a year and a tracking difference of +0.44% a year (grade: category stand-in).

Methodology

Source: Yahoo Finance via MarketHeist, monthly adjusted close (dividends reinvested). Months run to the last complete calendar month.
Splice rule: Each month uses the youngest fund that has data for it; returns are spliced, not prices (dividends reinvested via adjusted close).
Numbers: Computed by the MarketHeist portfolio engine as a one-asset, 100% buy-and-hold portfolio, the same calculation the live app makes. Sharpe uses a risk-free rate of 0%. Drawdowns are month-end.
Correlation: Pearson correlation of monthly returns over the months both funds have.
Tracking error: Standard deviation of the monthly return differences (proxy minus DBMF) times the square root of 12.
Tracking difference: Annualized geometric return of the proxy minus that of DBMF over the overlap. Positive means the proxy earned more.
Beta and vol ratio: Beta is the covariance of the proxy with DBMF divided by the variance of DBMF; vol ratio is the proxy's standard deviation divided by DBMF's.
Grades: Close: correlation of at least 0.95 and tracking error of at most 3%. Approximate: tracking error of at most 8% and either a cash-like fund (volatility of at most 3%) or correlation of at least 0.80 with a vol ratio of at most 1.25. Category stand-in: anything weaker.
Generated: 2026-10-10; data through Sep 2026. Reproduce hash of the full extended one-asset portfolio: 9d3ce788c2ee74af

Historical simulation, not investment advice. Past returns, including spliced proxy returns, do not predict future results.