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Video Video: iMGP DBi Managed Futures Strategy ETF Update with Andrew Beer | January 2025

Interviewee: Andrew Beer (DBi)
Interviewer: Mike Pacitto
Date: February 13, 2025

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Mike:

Slide 1:

Hi everyone, I’m Mike Pacitto with iM Global Partner, joined by Co-Founder of DBi and Co-Portfolio Manager, Andrew Beer. Thanks for joining our monthly update on the iM Global Partner DBi Managed Futures Strategy ETF– ticker: DBMF.

Slide 2:

Welcome to our January 2025 update, which we’re calling CTAs Love (Most) Chaos. Andrew will expand on this title and more around the theme.

Slide 3/4:

My goal for this update is to make it the shortest one we’ve ever done, but still as informative and entertaining as possible – so with that, over to you Andrew!

Andrew:

Slide 5:

Thank you, Mike. 

Well, strap in, peoples.  2025 has started with quite a bang.  Trump has been flooding the zone and we had a mini freakout around DeepSeek and whether hundreds of billions of dollars of planned Ai spending was a bit of a mistake.  More on that in a second.

On the performance front, we finished a pretty wild January up 1.2% on a price basis, ahead of the SocGen CTA Index (hereinafter the “Hedge Fund Index”) and the Morningstar US Trend Systematic Category (hereinafter the “Morningstar Category”). 

On the macro front, we’ve been talking about a return of animal spirits.  CTAs picked up on this early in 2024, although the flips in sentiment starting in July made it difficult to fully capitalize on it.  The big debate right now is whether the manic, combative launch of the second Trump administration will be disruptive in a positive, or chaotically incompetent, way.  Hence, the bullet about Animal Spirits or Animal House.  What we CAN say with confidence is that it’s disruptive – change is afoot, and no one on Planet Earth knows how it will all play out.

Which brings me to the last bullet point:  CTAs Love (Most) Chaos.  By this I mean, CTAs like it when the world changes.  Alpha generation – during the return of inflation, the GFC, etc. – is greatest during regime shifts, when the old playbook is tossed in the dustbin.  I say “most” because, like we saw last year, it still can be difficult to navigate such markets.  If you a professional investors and want to understand more about the nature of alpha generation by CTAs, I’d encourage you to join one of the zoominars Mike puts together, where I’ll showcase some slides I did over the holidays.

[next slide] 6

This slide shows January performance of DBMF versus the SGCTA, Morningstar category and Bloomberg US Agg.  We were firing on all cylinders early in the month, but then gave back most gains during the rates reversal and DeepSeek freakout, then gained some back by month end.  As replicators, this is the pattern we like to see relative to the SGCTA and Morningstar category:  high correlation with some outperformance.  One month does not a year make, but it’s a good start.

Next slide, please. 7

To move to inception to date performance, DBMF has outperformed the target hedge funds and, since the hedge funds have outperformed the mutual fund/ETF peer group, doubled the performance of the Morningstar Category. 

Last year, a hedge fund manager pejoratively referred to replication as a “cheap knock off.”  It’s actually a repeatable investment process with structural alpha.  It’s what sold me – a hedge fund guy – to the idea.  This isn’t the right forum to go into great detail on this, but if interested to hear more, please join that zoominar I mentioned or reach out to Mike to set up a call.

Next slide, please. 8

Here’s our slide on volatility-adjusted positioning.  The red dots are from the end of December, and the green bars are the end of January.  The broad positioning is still the core Trump trade:  long US equities, long the USD, bets on higher rates and long gold as an inflation hedge.  Recent tactical moves have been to increase exposure to crude oil and enter a spread trade between EAFE and Emerging Markets equities.

Which brings us to the next slide. 9

And here is contribution by factor.  Not surprisingly, two of the winners in January were US equities and gold.  Currencies and rates were flattish – essentially two steps forward and two back.  The spread trade between EAFE and EM worked and added some gains, but the timing of the increase in crude exposure cost us.  Again, one month is a short window, but I like the positioning given what I see on the macro front.

And, with that, I’ll pass the baton back to Mike.

Mike:

Slide 10

Thanks Andrew – so last month, before our standard closing performance information, we showed a slide featuring DBMF and managed futures versus other liquid alternatives categories – making the case that managed futures and DBMF provide the most truly alternative attributes and diversification benefits to a portfolio, with no correlation to equities, while delivering meaningful alpha generation.

This month we’ve added a little bar chart and some bullets here to make the DBMF case versus our competitors in the managed futures universe a bit more strongly than we typically do.

You’ll see on that right hand chart that DBMF has delivered more than 2 times the alpha of the Morningstar® universe at large, alongside an expense ratio that’s in the lowest decile of the category. In sum, we believe DBMF provides the most compelling single-line – or institutional-grade — solution for allocators looking for efficient exposure to the managed futures space.

So on to performance, DBMF’s annualized return since inception including the month that was January 2025 is now 7.45%, ahead of the Soc Gen CTA index by over 215 basis points annualized, and ahead of the Morningstar Systematic Trend Average by 380 basis points.

Outperformance against the AGG, the traditional diversifier for the standard 60/40 portfolio and the primary benchmark for DBMF by prospectus, inclusive of dividends for both it and DBMF, is over 670 basis points annualized. Remember that like bonds, DBMF pays a quarterly dividend to shareholders – this is from the underlying collateral of the portfolio.

Slide 11/12:

Okay so thanks as always to our clients and to our prospective clients for your confidence and interest in DBMF

If you have more questions about the strategy, would like further information or a call with us please don’t hesitate to reach out – just send us an email at: [email protected] 

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