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Video iMGP DBi Managed Futures Strategy ETF Update with Andrew Beer | March 2024

Interviewee: Andrew Beer (DBi)
Interviewer: Mike Pacitto
Date: April 5, 2024


Slide 1:

Hi everyone, I’m Mike Pacitto with iM Global Partner, joined by Co-Founder of DBi and Co-Portfolio Manager, Andrew Beer. Thanks for joining our monthly update on the iM Global Partner DBi Managed Futures ETF Strategy – ticker: DBMF.

Slide 2:

It’s been a strong quarter for the strategy, but not necessarily for all the reasons investors may intuitively think. We’ll be diving into this alongside some other points of color along the way over the course of this 10 minute update.

Slide 3:

But before I hand it off to Andrew for his commentary, we’d like to encourage you here to let us know if there are any questions or topics you’d like us to discuss in upcoming videos. We talk to a lot of advisors, allocators and investment professionals about a lot of topics as we’re out and about speaking about the DBMF strategy and the managed futures hedge fund space at large, and we’d love to discuss the things you’d like to talk about for benefit of everyone who watches and listens to these updates.

So if you have anything you’d like us to cover, please drop us a line via email or however you’d like to get in touch with us, and we’ll look to incorporate that into future updates.

Okay Andrew, please take the wheel.


Slide 4:

Thank you, Mike.  And, as always, thanks to everyone for listening in.

In the interest of trying to make these presentations as user friendly as possible, I decided to try to boil down the first quarter into three talking points.  So here they are.  First, after the sharp shift in markets late last year, we pivoted into risk on mode early in the first quarter.  This drove gains and we ended up around 12% net for the first quarter — and as we’ll show in a few slides — more than 200 bps ahead of the SocGen CTA Index (hereinafter the “Hedge Fund Index”) and over 300 bps ahead of the Morningstar US Trend Systematic Category (hereinafter the “Morningstar Category”).  For context, the S&P 500 was up around 11% and the Bloomberg US Agg was down slightly. 

Second, on the macro front, good economic news once again became good news for equities.  When it became clear that the shock Fed hike cycle was over, and that the economy is likely to avoid a recession, and that we sidestepped various macroeconomic landmines, etc etc etc – managed futures funds jettisoned their bearish positioning and pivoted to risk on. 

Lastly, and as a result of this, we saw gains from rising equity markets, but also currencies and commodities.

The overriding point is, as we talked about a few months ago, that managed futures funds will hunt for new opportunities when it’s clear the world has changed – and we’ve followed along, albeit in arguably a more efficient format.

Now let’s drill a bit deeper. 

Next slide, please.

Slide 5:

Here’s our regular chart on Stocks, Bonds and DBMF.  Since inception nearly five years ago, DBMF has returned 9.4% per annum with a negative correlation to both stocks and bonds and over 1000 basis points of annualized alpha to equities. 

To add a little color to the narrative above, here’s something I like about this chart.  If you scan the chart and focus on 2022 and 2023, it’s obvious that we were in crash protection mode:  generally, when equities went down, we’d go up, and vice versa.  But in 2023 the tides began to shift, and you can see periods where we were rising with equities, with the exception of the nasty reversal in rates late in the year.  However, by the beginning of this year we’re out of crash protection mode and making money from various risk on trades, which we’ll discuss more in a few minutes. 

In this context, an interesting question to ask:  after 2022 and in late 2023, how many allocators would have expected managed futures to slightly outperform the S&P in a great quarter for the S&P?  It’s a lesson in one of the key strengths of the strategy – the dispassionate hunt for opportunities in both bad markets and good.  For me, personally, I’ve learned to get comfortable with what can feel like a leap of faith – that the money making opportunities next year or even next quarter or month will often be very different from those today.  I have an example of this coming up.

Next slide please.

Slide 6:

Here’s a first quarter scorecard on performance.  You may recall this format from earlier updates where we talked about Seas of Red and Green over the past few years.  On the left are DBMF, both price and NAV, with the SocGen CTA index and Morningstar Category.  This was one of those quarters where we comfortably outperformed both, despite the hysterical applause that you may have heard about the cocoa markets and some other non-core trades that have been working well.  Equities were up across the board while bonds were flat to down – a big shift from 2022 and 2023 when they all moved in tandem.  It was also a good quarter for commodities and a decent one for liquid alts.

Next slide please.

Slide 7:

Here’s our slide on volatility-adjusted positioning.  I’ve moved it up because it really underscores the point I’ve been making about adaptive dynamism.  The green bars are current positions and the red dots are from year end.  Basically, starting from the left, in three months we’ve gone from flat positioning in commodities to large longs in both crude and gold; with the return of the King Dollar trade, we’ve dialed up shorts in both the euro and yen; we don’t show much conviction in bonds after the insane whipsaws over the past year; and we’ve pivoted from a flattish equity book with a spread trade of US over EM to a heavily long book concentrated in non-US developed markets – eg Japan. 

If you go back a few months ago, we talked about how it felt like the portfolio was in transition.  Today, there is strong conviction in the three of the four major asset classes. 

Which brings us to the next slide.

Slide 8:

Here is the contribution by factor in the first quarter.  If you look to right, you can see that more than half the gains were driven by equity markets – the S&P earlier in the year, then EAFE as that position was dialed up.  But the big surprise is that the single most profitable position has been the short in the yen – CTAs seemed to hold this position as the currency broke to new lows.  Remember also that the yen was the biggest money maker in 2022.  Lastly, you can see that crude oil and gold have positive contributions, a relatively recent and promising development.

So two points to underscore.  First, while I consider us risk on today, it’s not all about equities.  In fact, our beta to the S&P in the first quarter was only around 0.5 – which means a bit more than half of performance came from other sources.  Second, it is impossible to know which asset class will drive returns going forward, so we think it’s better to remain flexible and exposed to all of commodities, currencies, rates and equities.  An amusing story on this front:  in 2021, a sophisticated allocator friend saw that we hadn’t made money on currencies in years and asked why we didn’t just simply eliminate this asset class.  After watching how the yen trade was a key driver of performance in 2022, he basically said, “oh, that’s why.”  And late last year, we were talking about how frustrating the whipsaws had been in equities in both 2022 and 2023.  So I said, “and guess which one will probably work the best in 2024?”  And we both said, half-jokingly, “equities.” 

So the big story here is not one quarter or one pivot, but rather that the strategy is built do this regularly over time.  Who knows what the great trade might be in 2026?  So for long term strategic allocators, my point is that this approach – a nimble, opportunistic macro strategy – has the potential to be a valuable complement over time to model portfolios that, by design, are strategic – and hence slow moving.  Diversification is about embracing different sources of return, and we clearly think managed futures has a role in every multi-asset portfolio.  Hopefully, you can help us spread the word.

With that mini-sermon behind me, I’ll hand the baton back to Mike.


Slide 9:

Thanks Andrew — let’s wrap here as we so often do with our long-term performance comps.

With this solid quarter behind us, DBMF has expanded its outperformance against its two key benchmarks – now ahead of the Soc Gen CTA index by over 180 basis points annualized, and ahead of the Morningstar Systematic Trend Average by over 380 basis points annualized.

Slide 10:

Beyond DBMF’s outperformance against those benchmarks, we believe the managed futures asset class deserves serious consideration for diversified portfolios and along those lines, should be a strategic allocation. To paraphrase Andrew, our goal with DBMF is both to refine the managed futures space with a more efficient, consistent solution, and to expand utilization of managed futures overall by investors.  

Slide 11:

So thanks to all of our clients and to our prospective clients for your confidence and interest in DBMF. If you have more questions about the strategy, would like further information or a call with us please don’t hesitate to reach out – just send us an email at: 


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