View as:
View as:

Video Video: iMGP DBi Managed Futures Strategy ETF Update with Andrew Beer | March 2025

Interviewee: Andrew Beer (DBi)
Interviewer: Mike Pacitto
Date: April 11, 2025

View Slides

Mike:

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 Strategy ETF– ticker: DBMF.

Slide 2:

With everything going on and the market environment changing so rapidly, we’re calling this edition “From Animal Spirits to Pins and Needles.”

Slide 3:

And at the end of the update, I’ll be sharing some really compelling information from an article on managed futures that appeared in Barron’s just a couple of weeks ago — but for now, let’s get to commentary for the month that was March 2025 – over to you Andrew!

Andrew:

Slide 4:

Thank you, Mike. 

Well, I’m writing this a day after Trump announced a sledgehammer of global tariffs, and the markets are not happy.  But today, I’m going to concentrate on what happened in March and the first quarter.  As a heads up, on April 24, Mike is hosting another zoominar where we will review the strategy and, of course, provide an update, so please carve out time to join if you can.  Also, as always, please do not hesitate to reach out if you want to speak live, even if just to compare war stories.

On the portfolio side, CTAs continued to get hurt by the unwind of the Trump trade – as discussed previously, long equities, short bonds, long the dollar and long gold.  In March, DBMF modestly underperformed the SocGen CTA Index (hereinafter the “Hedge Fund Index”) and the Morningstar US Trend Systematic Category (hereinafter the “Morningstar Category”) and were slightly behind both year to date. 

Anyway, it’s getting wild out there.  Trump keeps shattering norms and the entire world – and markets – are trying to figure out how on earth this will all play out.  It’s not just the Trump disruption machine, but also the second and third order effects – such as the wild spike in the Euro last month when Germany and other nations decided to ramp up defense spending and, quite possibly, break out of decades of economic malaise.  The animal spirits of last Fall has been replaced by a sense of pins and needles.  So, as I keep saying, strap in, peoples.  This is a good time to remain liquid and diversify.

[next slide] 5

This slide shows year to date performance of DBMF versus the SGCTA, Morningstar category and Bloomberg US Agg.  March was wild on the macro front.  Our portfolio had a meaningfully larger peak to trough drawdown relative to the hedge fund index – a reflection of our concentration in the Euro – but had largely recovered by month end.  There is a long-standing debate among allocators as to whether investing in more and more futures contracts improves diversification and risk-adjusted returns.  That tends to be more relevant for actual CTAs than replication.  One counterargument is that in a true market meltdown, liquidity tends to evaporate in those secondary and tertiary positions and can exacerbate losses.  Given the macro backdrop, we might have a good opportunity to test this thesis over the coming months.

Next slide, please. 6

Now turning to our inception to date performance, DBMF has outperformed the hedge fund index and, by a wider margin, the Morningstar Category since launch in 2019.  Our drumbeat is that replication is a systematic, repeatable investment process with structural alpha – with alpha based on efficiency and lower fees.  Alpha is scarce, and we want our client to get more of it.  As noted, please feel free to contact Mike and he can share both a longer track record of our live performance and, for capital markets assumptions and benchmarking, the index SocGen built using replication engine, which goes back to 2002.

Next slide, please. 7

Here’s our slide on volatility-adjusted positioning.  The red dots are from the end of December, and the green bars are the end of March.  As you can see, the portfolio has been in flux – not at all surprising given the market volatility.  During the quarter, the big moves, from left to right, were to increase long exposure to gold, cut back on a large short Euro position (which helped last Fall but has hurt performance this year), cut back on bets on rising long term rates and recession fears mount, and shifted to favor non-US stocks over US stocks – perhaps an early sign of a reversion to the mean of valuations or end of the American Exceptionalism trade.

Which brings us to the next slide. 8

Here is contribution by factor.  Two bars say it all:  we made money on the long gold position, but were definitely on the wrong side of the spike in the Euro.  The rest of the portfolio was comparatively uneventful.  A quick word about these markets:  price moves are extreme these days.  It’s impossible to tell in the moment if they’re driven by shifts in fundamentals or frantic unwinds in crowded trades.  Moreover, small variations in positioning (eg our overweight Euro relative to the hedge fund index) can lead to wide differences in pnl over short periods of time.  Given this, my expectation is that we’ll see wide dispersion among CTA hedge funds and mutual funds over the coming months – which may reinforce our argument that replication can be an effective way to reduce single manager risk.

And, with that, I’ll pass the baton back to Mike.

Mike:

Slide 9

Thanks Andrew –

So as I mentioned, there was a very interesting article that appeared in the March 22nd edition of Barron’s titled “Managed Futures are Hot – You Can Manage Without Them.” While that title wasn’t so favorable, the data within and the copy around it was actually quite positive for managed futures and incredibly supportive of DBMF and our low-fee, replication approach. I’ll explain.

Starting by quoting the article: Quote: “There’s an index of popular managed futures strategies from SocGen that goes back to 2000. Morningstar found that it had returned 4.8% a year, versus 5.9% for global stocks and 3.9% for global bonds. That’s impressive, even if global stocks haven’t done nearly as well as US stocks in recent decades – and if high managed futures fees can erase the edge over bonds.” Unquote.

Now our clients know the core approach behind DBMF – that it seeks to deliver the pre-fee returns of that SocGen index, which is fully loaded with the underlying costs of its components. And since inception, DBMF has delivered almost 200 basis points of outperformance against that index. By extracting most of those fees, DBMF has sought to deliver much more of the value of what the managed futures asset class can provide for investors – that three-punch combination that alternatives should provide – absolute return, alpha-generation and no correlation to traditional asset classes.

If you choose to extrapolate, or back-calculate, pre-fee managed futures performance when building models alongside capital market assumptions, knowing that past performance is not a guarantee of future results, we believe that you’ll find DBMF remains one of the most compelling value-add alternative investments allocators can add to a traditional portfolio.

Slide 10

Okay so wrapping up with long-term performance numbers — DBMF’s annualized return since inception including the month that was March 2025 is now 6.53%, ahead of the Soc Gen CTA index by 194 basis points annualized, and ahead of the Morningstar Systematic Trend Average by 349 basis points.

The AGG came back further in March, but long-term outperformance against it by DBMF remains well intact – DBMF outperforming by over 540 basis points annualized.

Slide 11:

Thanks as always to 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: team@imgpfunds.com 

Related

Stay Informed

iMGP Funds emails provide investors a way to stay in touch with us and receive information regarding the funds and investment principles in general. Topics may include updates on the funds and managers, further insights into our investment team’s processes, and commentary on various aspects of investing.

DISCLOSURE

The Fund’s 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 800-960-0188 or visiting www.partnerselectfunds.com. Read it carefully before investing.
iMGP DBi Managed Futures Strategy ETF Risks: Investing involves risk. Principal loss is possible. 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.
Diversification does not assure a profit nor protect against loss in a declining market.
Index Definitions | Industry Terms and Definitions
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 DBi Managed Futures Strategy ETF is distributed by ALPS Distributors, Inc. iMGP, DBi and ALPS are unaffiliated.
LGE000465 exp. 3/31/2028