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 (DBMF) gained 5.64% at NAV and 5.70% at market price versus the SG CTA Index benchmark’s loss of 2.22%. Through the first half of the year, the fund was up 18.38% at NAV and 18.33% at price, compared the benchmark’s 7.22% 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
If there is anyone on Planet Earth who has consistently nailed the macro environment this decade, we have yet to hear about him or her. Rather, the past several years have been a lesson in unpredictability. Who would have anticipated a global virus and economic shutdown – let alone one followed a few months later by a bullish frenzy in speculative assets? Or that the Fed would slam the brakes with 500 bps of rate hikes, only for the economic train to shrug it off? Or that markets would remain blasé about a rapid deterioration in macroeconomic instability — whether hot or cold wars, political chaos and dysfunction, or socioeconomic fragmentation? Or that so many market canons – the predictive power of an inverted yield curve, the inverse correlation of stocks and bonds, the relationship of growth and value stocks, the bond market’s reaction to profligate government spending, etc. – would falter?
As physicist Niels Bohr pithily said, “it’s difficult to make predictions, especially about the future.” As you know from these letters, we embrace this humility. We live in a world of probabilities, not certainties. This ethos flows through to how and why we built this Fund. We avoid making calls where we believe we have no demonstrable edge: we do not try to predict which hedge fund, let alone strategy, will perform best next year. Likewise, we avoid risks that have limited economic payoff despite large, unpredictable “fat tails” – e.g. illiquid assets in a daily liquid ETF. Instead, we focus on two calls where we believe the odds are strongly in our favor: (a) that efficient pre-fee replication can outperform high-cost hedge funds (and, even more so, their liquid brethren) and (b) that diversification among different strategies can lead to a more stable return profile. To put it succinctly, and to borrow from a hedge fund legend, we focus on what works and try not to do stupid things.
Performance and Positioning
The Fund rose 5.64% net over the quarter. In this quarter the Japanese yen was the top contributor to performance while equities somewhat detracted. During the quarter, we continued to reduce long equity risk, pushed out the duration of the short position in Treasuries, pivoted from short to long the Euro, and have scaled up the long positions in commodities. This year arguably has been a case study in the potential performance drag of non-core positions: numerous markets not only have suffered repeated whipsaws, but allocations to those markets reduced exposure to certain “core” trades (i.e. short the Yen) that worked much better. Hence, the model is “working” as expected — we have maintained high correlations this year and clearly are capturing the broad positioning of the space – but simplicity is turning out to be an important “alpha generator” above and beyond fee and expense savings.
Portfolio Characteristics
| Net Asset Class Exposure (%) | |
| Commodities | 32% |
| International Developed Equities | 25% |
| Emerging Market Equities | 7% |
| US Equities | -23% |
| Currencies | -38% |
| Fixed Income | -145% |
| Top 5 Holdings | |
| US 2 Yr Treasury | -84% |
| JPY/USD | -63% |
| US 10 Yr Treasury | -38% |
| EUR/USD | 25% |
| MSCI EAFE | 25% |
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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