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Commentary iMGP DBi Managed Futures Strategy ETF First Quarter 2023 Commentary

During the quarter, the iMGP DBi Managed Futures Strategy ETF declined 9.31% at NAV and 9.65% at market price versus the SG CTA Index benchmark’s 5.21% loss.

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

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

During January and February, the markets fiercely debated whether the Fed would need to keep hiking rates – not just to further tamp down inflation but to restore its credibility. By early March, the “too hot” camp was winning again: the market expected the Fed to hike 50 bps and peak rates would soon touch 6%. Then on March 9, SVB suddenly collapsed, which kicked off an overnight run on regional banks, and soon the decade-long train wreck at Credit Suisse came to an ignominious end. Something big finally had “broken” and, in the blink of an eye, central banks were back in triage mode – effectively guaranteeing trillions of unsecured deposits and providing emergency credit. Treasuries staged a historic rally and various legs of the inflation trade – value vs. growth, non-US vs. US, Euro vs. yen – sharply reversed. By month end, by some measures the bond market was signaling an imminent recession and 200 bps of rate cuts in the next year or two; stock markets were oddly unfazed and rose as well.

The head snapping shift in the “consensus” view underscores three points. First, we are indeed living in highly uncertain times: several long-term tailwinds (free money, globalization, geopolitical stability, etc.) are now headwinds. No one seems to have an accurate playbook on precisely how these complicated, intertwined “big shifts” will reverberate through the economy and markets. Will inflation remain stubbornly high? Will deglobalization reverse corporate profit expansion? Will government profligacy be curtailed, not by prudence but by bond vigilantes? Will widespread antipathy toward free market capitalism constrain innovation and growth? Are bedrock institutions – e.g. democracy, the judiciary – at risk? So given the difficulty of long-term forecasts, most market strategists revert to questions – e.g. will the Fed will hike 25 bps or not? — that are easier to predict but largely irrelevant over a longer time horizon. Minute shifts in near-term assumptions are extrapolated over the horizon, and the market tail wags the dog. Further, we mostly worry about what we can see, but the real shocks are when new risks suddenly, alarmingly materialize – COVID related lockdowns or bank-run-by-smartphone. Through the breathless hysteria of media coverage, it can take time to process both the real scope and magnitude of the issue, but also the policy or private market response.

We believe this uncertainty will benefit hedge funds. The first eighteen months of the inflation trade highlighted the diversification value of strategies that can take, and hold, bold contrarian positions. The extreme valuation disparities of the last decade are likely to revert, and hence benefit investors unbeholden to benchmarks. March did show that it’s not always easy: some of 2022’s hedge fund heroes (i.e. managed futures funds) walked into the Silicon Valley Bank (SVB) propeller. Hence, we opt for diversification across strategies and, synthetically, managers. As more things are likely to break, we continue our attempt to minimize risks – most prominently, counterparty, illiquidity – that are easily ignored during good times but can be damaging in a world of rolling crises.

Portfolio Positioning

A sudden banking crisis caused significant uncertainty which led investors into safe haven investments, especially treasuries. Due to this, the short interest rate positions, as well as a short in the Japanese Yen versus the U.S. Dollar, detracted from performance. The Credit Suisse failure led to a volatile quarter for the Euro, however, a well-timed increase in exposure towards the end of February led to gains. Commodity swings whipsawed positioning in crude oil and gold due to market participants torn between a hard or soft landing from the rate hikes. Equity asset classes were highly correlated during the quarter. A large rally in January due to hints about the end of the hiking cycle was reversed in February from the banking crisis. As contagion fears abated, the rally picked up in March. The volatility caused swings in positioning which further contributed to losses. The portfolio is more balanced today as the short positions in rates have been reduced.

Portfolio Characteristics

Net Asset Class Exposure (%)
US Equities-7%
International Developed Equities22%
Emerging Market Equities-8%
Fixed Income-168%
Top 5 Holdings
2 Yr Treasury-50%
30 Yr Treasury-18%
Ultra 30 Yr Treasury-17%


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The funds’ investment objectives, risks, charges, and expenses must be considered carefully before investing. The statutory and summary prospectuses contain this and other important information about the investment company, and it may be obtained by calling 1-800-960-0188, or visiting Read it carefully before investing.

Investing involves risk. Principal loss is possible. 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 funds. Brokerage commissions will reduce returns. The Fund is “non-diversified,” so it may invest a greater percentage of its assets in the securities of a single issuer. As a result, a decline in the value of an investment in a single issuer could cause the Fund’s overall value to decline to a greater degree than if the Fund held a more diversified portfolio.

The Fund should be considered highly leveraged and is suitable only for investors with high tolerance for investment risk. Futures contracts and forward contracts can be highly volatile, illiquid and difficult to value, and changes in the value of such instruments held directly or indirectly by the Fund may not correlate with the underlying instrument or reference assets, or the Fund’s other investments. Derivative instruments and futures contracts are subject to occasional rapid and substantial fluctuations. Taking a short position on a derivative instrument or security involves the risk of a theoretically unlimited increase in the value of the underlying instrument. Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. Exposure to foreign currencies subjects the Fund to the risk that those currencies will change in value relative to the U.S. Dollar. By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary’s investments. Fixed income securities, or derivatives based on fixed income securities, are subject to credit risk and interest rate risk.

A commission may apply when buying or selling an ETF.

Diversification does not eliminate the risk of experiencing investment losses.

The SG CTA Index is an index published by Société Générale that is designed to reflect the performance of a pool of Commodity Trading Advisor (CTAs) selected from larger managers that employ systematic managed futures strategies. The index is reconstituted annually.

The Morningstar Systematic Trend Category includes funds that mainly implement trend-following, price-momentum strategies by trading long and short liquid global futures, options, swaps and foreign exchange contracts.  Strategies invest across geographies and assets including equities, fixed income, commodities , currencies and more.

One basis point (bps) is a value equal to one one-hundredth  of a percent (1/100 of 1%)

Index performance is not illustrative of fund performance.  An investment cannot be made directly in an index. 

iM Global Partner Fund Management, LLC  has ultimate responsibility for the performance of the IMGP Funds due to its responsibility to oversee the funds’ investment managers and recommend their hiring, termination, and replacement.

The iMGP Funds are Distributed by ALPS Distributors, Inc.  LGE000203exp. 7/31/2023