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Commentary iMGP DBi Managed Futures Strategy ETF Third Quarter 2022 Commentary

During the quarter, the iMGP DBi Managed Futures Strategy ETF gained 5.36% at NAV and 4.75%  at market price versus the SG CTA Index benchmark’s 4.09% gain. Year-to-date, the ETF gained 33.01% at NAV and 31.57% at market price versus the benchmark’s 26.11% return.

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

In the third quarter, reality set in.  The 2010s will likely be remembered as unique and anomalous:  a period where a decade of monetary easing – and then an unprecedented fiscal splurge – drove many asset prices to unsustainable levels.  Inflation appears entrenched and central banks – especially the Fed – are responding in kind.  The fracturing of the geopolitical landscape adds fuel to the fire through supply disruption and deglobalization.  As we have been writing about since early 2021, this is a once-in-a-decade regime shift.  Dan Loeb noted that signs of the shift – sometimes subtle, sometimes obvious – are all around us; it’s time for a new playbook, he said.  Stan Druckenmiller, whose call on inflation in early 2021 ranks among the best of the past decade, says this is the most difficult environment he has seen in his career.

The regime shift rippled through markets last quarter.  The MSCI World declined -6.2% and is down -25.4% for the year; the Bloomberg Global Agg Bond index dropped in tandem and is down -19.9% year to date.  The Fed is slamming on the brakes:  the 2-year Treasury yield – at 0.7% in January and 2.9% in June – now stands at 4.2%.  The dollar soared higher – up an astonishing 20% and 14% versus the Yen and Euro, respectively – causing cracks to spread through the markets.  As noted in prior letter, hedge funds overall de-risked early and put on inflation hedges in the first half, which helped to preserve capital during the quarter.

Performance and Portfolio Positioning

Managed futures hedge funds have been in “crash protection” mode since early this year, and it paid off in the third quarter.  As rates rose, the Fund made money from short positions in Treasuries; as the dollar strengthened, short positions in the Euro and Yen added to prior gains; and short positions in non-US developed and emerging markets were rewarded.  Commodities, a big money maker earlier in the year, was more muted but also contributed modestly to performance.  Year to date, the Fund has outperformed equity and bond markets by over 50%[1] and, in our view, cements the position that managed futures can be an incredibly valuable hedge during a protracted drawdown in traditional assets.

The Fund’s positions shift regularly, in line with the target hedge funds.  This quarter, we saw a material long position in crude oil dialed back as the supercycle thesis buckled; a meaningful reduction in the short position in the Yen, by far the single biggest profit generator this year; a ramp up in a short position in the Euro; a reduction then reloading of a short position in Treasuries; and a reduction in short equity exposure.  At quarter end, the portfolio maintains a diversified set of positions to potentially benefit from ongoing turmoil in markets, including further increases in interest rates, a stronger dollar as the Fed hikes faster than others, global geopolitical turmoil continues and a decline in (non-US) equity markets.

Portfolio Characteristics

Net Asset Class Exposure (%)
US Equities1%
International Developed Equities-9%
Emerging Market Equities-2%
Fixed Income-96%
Top 5 Holdings
2 Yr Treasury-23%

The Fund performance is measured by market price. Equity markets refer to the MSCI World Net Index and Bond markets refer to the Bloomberg Global Aggregate Index.[1]

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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.

The 10-year Treasury yield is the current rate Treasury notes would pay investors if they bought them today. The 10-year Treasury yield is closely watched as an indicator of broader investor confidence.

The Supercycle thesis was a prediction that certain commodity prices, most prominently crude oil, would have a protracted cycle of growth fueled by sustained demand in the global economy.

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.

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 IMGPFunds 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.  LGE000177exp. 1/31/2023