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Commentary iMGP DBi Managed Futures Strategy ETF Fourth Quarter 2023 Commentary

During the quarter, the iMGP DBi Managed Futures Strategy ETF lost 8.11% at NAV and 8.28% at market price versus the SG CTA Index benchmark’s loss of 5.22%. For the full year, the ETF was down 8.72% at NAV and 8.94% at price, compared to a 3.51% loss for the benchmark.

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

2023 turned out to be a humbling year for macro strategists. The taper is coming a year late, the economy never hit the windshield, and Powell might actually pull off the Immaculate Landing. 

And so, the big surprise is that it turned out to be a great year for investors. Powell’s sudden rhetorical pivot in early November triggered a massive melt up in risk assets. In two months, the MSCI World delivered nearly two thirds of its 23.8% calendar year return, while bonds – down over 3% through October – finished up 5.7%. The Everything Rally appears to have been driven by both the widespread conclusion that the rate hike cycle was over, but also a desperate catch up for investors underweight equities and duration. By year end, the price moves implied far more aggressive easing in 2024 than either Central Banks or economists forecast.

As discussed extensively in these letters, the market consensus is rarely accurate and frustratingly unstable. Contrarian investors who nailed 2022 were often wrong-footed in 2023; assets that soared in 2023 were climbing out of a deep drawdown hole. The lesson of the past several years is that the unexpected happens with alarming regularity, and the spectrum of outcomes is far wider than we expect. Today, as investors breathe a sigh of relief that the worst of the rate hike cycle might be behind us, they soon may have to turn their attention to a laundry list of headwinds, from worsening geopolitical chaos to deepening sociopolitical fragmentation to uncontrolled fiscal largesse to persistent ripple effects from higher rates to things not yet on our plate of worries. In such a world, we encourage diversification and liquidity to help clients weather the coming years.


The Fund lost 8.11% net over the quarter. The portfolio’s performance was negatively affected by positions across all asset classes with the majority of losses driven by rates, particularly 10- and 30-year Treasuries. Exposure to commodities was also detrimental, owing to the geopolitical turmoil and concerns about the oil output levels of major producers around the world. Currencies also detracted, led by the Japanese yen, after the Bank of Japan decided to maintain negative short-term interest rates and gave no hint about near-term changes. Gains in the S&P 500 were the sole positive contributor as the Everything Rally progressed over the quarter, and investors searched for clues on the Federal Reserve’s next policy moves.

Portfolio Characteristics

Net Asset Class Exposure (%)
US Equities28%
International Developed Equities3%
Emerging Market Equities-21%
Fixed Income-59%
Top 5 Holdings
S&P 50029%
MSCI Emerging Markets-22%
2 Yr Treasury-21%


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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, LGE000280 Exp. 12/31/2024