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iMGP DBi Managed Futures Strategy ETF Update with Andrew Beer | October 2023
In this new video update, Andrew Beer covers topics including September performance, portfolio rotations, macro themes and more! MORE
During the quarter, the iMGP DBi Managed Futures Strategy ETF lost 8.11% at NAV and 8.28% at market price versus the SG CTA Index benchmark’s loss of 5.22%. For the full year, the ETF was down 8.72% at NAV and 8.94% at price, compared to a 3.51% loss for the benchmark.
Performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Short term performance is not a good indication of the fund’s future performance and should not be the sole basis for investing in the fund. Performance data current to the most recent month end may be obtained by visiting www.imgpfunds.com.
Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.
Quarterly Review
2023 turned out to be a humbling year for macro strategists. The taper is coming a year late, the economy never hit the windshield, and Powell might actually pull off the Immaculate Landing.
And so, the big surprise is that it turned out to be a great year for investors. Powell’s sudden rhetorical pivot in early November triggered a massive melt up in risk assets. In two months, the MSCI World delivered nearly two thirds of its 23.8% calendar year return, while bonds – down over 3% through October – finished up 5.7%. The Everything Rally appears to have been driven by both the widespread conclusion that the rate hike cycle was over, but also a desperate catch up for investors underweight equities and duration. By year end, the price moves implied far more aggressive easing in 2024 than either Central Banks or economists forecast.
As discussed extensively in these letters, the market consensus is rarely accurate and frustratingly unstable. Contrarian investors who nailed 2022 were often wrong-footed in 2023; assets that soared in 2023 were climbing out of a deep drawdown hole. The lesson of the past several years is that the unexpected happens with alarming regularity, and the spectrum of outcomes is far wider than we expect. Today, as investors breathe a sigh of relief that the worst of the rate hike cycle might be behind us, they soon may have to turn their attention to a laundry list of headwinds, from worsening geopolitical chaos to deepening sociopolitical fragmentation to uncontrolled fiscal largesse to persistent ripple effects from higher rates to things not yet on our plate of worries. In such a world, we encourage diversification and liquidity to help clients weather the coming years.
Positioning
The Fund lost 8.11% net over the quarter. The portfolio’s performance was negatively affected by positions across all asset classes with the majority of losses driven by rates, particularly 10- and 30-year Treasuries. Exposure to commodities was also detrimental, owing to the geopolitical turmoil and concerns about the oil output levels of major producers around the world. Currencies also detracted, led by the Japanese yen, after the Bank of Japan decided to maintain negative short-term interest rates and gave no hint about near-term changes. Gains in the S&P 500 were the sole positive contributor as the Everything Rally progressed over the quarter, and investors searched for clues on the Federal Reserve’s next policy moves.
Portfolio Characteristics
| Net Asset Class Exposure (%) | |
| US Equities | 28% |
| International Developed Equities | 3% |
| Emerging Market Equities | -21% |
| Currencies | -13% |
| Commodities | -1% |
| Fixed Income | -59% |
| Top 5 Holdings | |
| S&P 500 | 29% |
| JPY/USD | -22% |
| MSCI Emerging Markets | -22% |
| 2 Yr Treasury | -21% |
| SOFR | -21% |
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iMGP DBi Managed Futures Strategy ETF Update with Andrew Beer | September 2023
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