Video
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 gained 11.98% at NAV and 11.95% at market price versus the SG CTA Index benchmark’s 9.68% gain.
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.
For standardized performance click here: https://imgpfunds.com/im-dbi-managed-futures-strategy-etf/
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
Well, hedge funds are no longer bearish.
In our June letter last year, we described the (rational, we argued) defensive positioning of hedge funds as follows:
Since last Fall, the markets have been like a drunk stumbling across a highway. You watch an eighteen-wheeler barrel down and clench your eyes shut — only to open them seconds later and find that he’s still standing. Then it happens again. And again. And, to your utter surprise, you soon see that he’s standing on the other side. Here we are in mid-2023 and we have been grazed, not flattened, by a long list of economic eighteen wheelers: most recently, a potential regional or global banking crisis, US debt default, profits collapse, and even “recession by June.”
Now by early 2024 the economic world looks downright sunny. The Fed says their shock hiking cycle is over. Economic growth is accelerating. Corporate profits are rising. Governments show few signs of pulling the fiscal reins. Even disturbing social, political, and geopolitical trends – while certainly not abating – have settled into a stable if somewhat depressing equilibrium.
All this has been good for stocks and, as forecasts for rate cuts dwindle, decidedly mixed for bonds. Hedge funds have been adding equity risk because — to borrow from Keynes – when the facts change, they change their minds. As a result, many hedge funds have been participating in this year’s “risk on” market more so than during the episodic relief rallies that began in late 2022.
Of course, as we have discussed, there is a tricky relationship between good news and the markets. Right now, good news is good news, but too much of a good thing, and the cursed inflation genie might try to escape the bottle. Perhaps because of this, and as discussed below, we see fundamental hedge funds as only back at “normal” risk levels, while more nimble trend followers are decidedly all in.
Positioning
The Fund rose 11.98% net over the quarter. After a frustrating 2023, few would have predicted the Q1 resurgence in performance, all while equity markets rose. This underscores the dynamic and adaptive nature of managed futures funds, and a key reason we believe they provide such valuable diversification benefits alongside more strategic allocations. Starting in January, the portfolio quickly pivoted into a sizable long position in equities coupled with bet on a resurgence in the King Dollar trade, which generated profits across nearly all futures contracts. Positioning in rates is relatively hedged and generated essentially flat performance last quarter. The portfolio also quickly shifted into long commodity positions which was accretive to the portfolio.
Portfolio Characteristics
| Net Asset Class Exposure (%) | |
| International Developed Equities | 72% |
| Commodities | 72% |
| US Equities | 19% |
| Emerging Market Equities | -3% |
| Fixed Income | -121% |
| Currencies | -141% |
| Top 5 Holdings | |
| US 2 Yr Treasury | -97% |
| EUR/USD | -77% |
| MSCI EAFE | 72% |
| JPY/USD | -64% |
| US 10 Yr Treasury | -33% |
Related
Video
iMGP DBi Managed Futures Strategy ETF Update with Andrew Beer | September 2023
In this new video update, Andrew Beer covers topics including August performance, portfolio rotations, macro themes and more! MORE