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Commentary iMGP DBi Managed Futures Strategy ETF First Quarter 2024 Commentary

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

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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.


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 Equities72%
US Equities19%
Emerging Market Equities-3%
Fixed Income-121%
Top 5 Holdings
US 2 Yr Treasury-97%
US 10 Yr Treasury-33%


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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