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

Interviewee: Andrew Beer (DBi)
Interviewer: Mike Pacitto
Date: March 11, 2025

View Slides

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:

We’re calling our February 2025 edition, “Strap in for Volatility,” and as of the recording of this video that volatility has not abated – more around this theme when I hand the baton over very shortly here.  

Slide 3/4:

At the end of our standard update, I’ll be sharing a sneak-peak of some new value-add content we’re developing around managed futures and the effect of adding DBMF to a traditional portfolio, but for now let’s get to commentary for the month that was February – over to you Andrew!

Andrew:

Slide 5:

Thank you, Mike. 

Last month, I said, “strap in, peoples.”  Well there it is.  Trump’s disruption machine caused a rapid shift in sentiment – forget fears of an over-juiced economy and bond market tantrum; by month end people were talking about a recession as businesses hunker down through the daily policy shifts and fears that something really big might really break filtered into market expectations.  Hence economically sensitive stocks, like small caps, were hammered and, as rates dropped, bonds soared.

CTAs overall were not well positioned for this, having lined up behind the Trump Trade – basically, long equities, short bonds, long the dollar and long gold.  Hence my point about how Trump himself trampled the Trump Trade.  Last month, we talked about how “CTAs love (most) chaos,” and last month clearly fell into the exception category.  They tend to be good at finding contrarian trades when the world is truly changing, but can get wrong footed when sentiment flip flops – like the second half of last year.

In all this, DBMF ended the month down 2.3%, in line with the SocGen CTA Index (hereinafter the “Hedge Fund Index”) and the Morningstar US Trend Systematic Category (hereinafter the “Morningstar Category”). As you can see on the left, year to date, we’re slightly ahead of the hedge fund index and slightly behind the average mutual fund and ETF.

[next slide] 6

This slide shows year to date performance of DBMF versus the SGCTA, Morningstar category and Bloomberg US Agg.  The right side of the chart says it all:  take a look at how bond returns spiked in February when recession fears drove down rates.  Then take a look at how CTAs declined.  It shows clearly how CTAs were betting on sticky inflation or even a bond market tantrum – we’ll have to see this month or over the coming weeks if this was another sentiment driven head fake or represented a real inflection point.

Next slide, please. 7

This one obvsiously doesn’t change as much month to month.  However, we keep it in here to remind advisors that a longer term focus is particularly important with a strategy like ours.  There will be plenty of bumps along the road, but the longer term thesis remains intact:  DBMF is a way to potentially outperform hedge funds and more expensive mutual funds in a client friendly ETF.

With that in mind, 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.  Our thesis, if you were able to join our last zoominar, is that replication is a systematic, repeatable investment process with structural alpha.  If interested, contact Mike and he can share both a longer track record of our live performance and, for capital markets assumptions and benchmarking, the index SocGen built using replication engine, which goes back to 2002.

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 February.  The broad positioning at the end of the month was still the core Trump trade:  long equities (although with an interesting overweight in non-US developed markets), long the USD against the Euro, bets on higher rates and long gold as an inflation hedge.  If markets continue to be volatile, I expect to see some rotations over the coming weeks as weaker trend positions are jettisoned in favor of new opportunities.

Which brings us to the next slide. 9

Here is contribution by factor.  Like the prior chart, this one tells the story of shorting Treasuries across the board at the moment market sentiment shifted in the wrong direction.  Frustrating, but it happens.  Trends are not smooth – they are full of reversals, subject to flighty shifts in sentiment along the way.  Outside of bonds, it was pretty much one step forward and one step back.

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

Mike:

Slide 10

Thanks Andrew – in the spirit of keeping our eye on the long-term diversifying benefits of adding DBMF to a traditional portfolio, typically in the alts sleeve, this slide is a sneak peak of some new content we have coming out soon around the potential benefits of adding managed futures and DBMF to a 60/40 allocation.

As you can see here, over the period of 2019 to 2025, adding DBMF has raised absolute returns historically while simultaneously improving risk-adjusted metrics like Sharpe and Information ratios – and lowering the volatility by dropping a portfolio’s standard deviation. Essentially our argument is that if you’re allocating to alternatives, you need to have managed futures in that bucket. And DBMF is designed as an institutional-grade choice to achieve that exposure.

Slide 11

More to come on this project, now onto longer-term performance — DBMF’s annualized return since inception including the tough month that was Feburary 2025 is now 6.93%, ahead of the Soc Gen CTA index by over 210 basis points annualized, and ahead of the Morningstar Systematic Trend Average by over 360 basis points.

The AGG came back strong in February, but long-term outperformance against it by DBMF remains well intact – DBMF outperforming by over 580 basis points annualized.

Slide 12/13:

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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