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Video iMGP DBi Managed Futures Strategy ETF Update with Andrew Beer | Year-End 2023

Interviewee: Andrew Beer (DBi)
Interviewer: Mike Pacitto
Date: January 17, 2024


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.

This is our year-end 2023 wrap-up / 2024 year ahead video update, but we’re still going to keep it concise and we hope you’ll find this time well-spent. December was an interesting month to cap off an interesting year – challenging for managed futures, but most everything else performed to varying degrees of positivity, with a powerful close to what was another highly-correlated year for risk assets, both equities and fixed income. But as always, we’re committed to the long game and the need to deliver real diversification to portfolios with what we believe is a superior mousetrap in the managed futures space.

So Andrew let’s get started with your comments on performance, positioning, markets in general – and a broader perspective with some thought-provoking points along the way.


Thanks, Mike

2024 was a very frustrating year.  We ended the year down over 8% — largely caught on the wrong side of the Everything Rally that began in early November when Powell suddenly and unexpectedly flipped from hawkish to uber dovish.  We came in behind both the SocGen CTA Index (hereinafter the “Hedge Fund Index”) and the Morningstar US Trend Systematic Category (hereinafter the “Morningstar Category”).  This is very rare for us.  If you look at the upper left, you’ll see that we outperformed by 500 to 600 bps in 2021, outperformed again in 2022 (especially relative to mutual funds to the tune of 600 to 700 bps), but underperformed last year.  For those familiar with our longer term track record, you’ll recall that we also outperformed – sometimes by a wide margin – in 2016, 2017, 2018 and 2019. 

So it’s atypical for us to underperform like this, and frustrating to do so during a down market for the space like last year.  That said, and to be very clear, from a replication perspective, we are not concerned about this:  variations like this are natural, our correlations remain high, and we know from multiple models and sources that we are accurately capturing the core positions across the industry.  Those of you who attended our zoominar in December saw a lot of data on this first hand.  We never argue that replication is a perfect copy – rather we say that it’s the best way we’ve found to efficiently get exposure to the overall space.

On the macro front, 2023 was a very humbling year for strategists, but a terrific year for investors.  Most major consensus themes failed to play out:  an early taper, bonds would outperform equities, Europe would outperform the US, recession by June, value would outperform growth.  To the shock of grizzled macro experts, Powell may have pulled off a remarkable feat:  the Immaculate Landing.  Inflation appears to be subsiding without the dreaded recession.  So he pivoted in early November, the markets took off, then investors raced to rebalance their portfolios before year end, which then added fuel to the melt up fire.  We had an Everything Rally, a beautiful Sea of Green.  So this has been wonderful news for investors short term but raises serious questions about diversification, which we’ll discuss in a second.  The speed and magnitude of the rise certainly feels to me like the market got ahead of itself, so we’ll see if there’s a bit of a hangover in January.  In any event.

On the positioning front, we are out of the inflation trade – it took several weeks, but right now are modestly long the back end.  We also are long US and (to a lesser extent) international developed markets with a hedge in emerging markets.  After several volatile months in commodity land, we’re flattish both crude oil and gold.  Finally, we have some spread trades on the currency markets.

With that, next slide please.

A theme today is what we call the Sea of Red or Green – the idea that stocks and bonds and most asset classes have been moving in tandem.  Here’s the first one:  2022 was a Sea of Red.  Unless you were in managed futures or commodities and a few other areas, there really was no place to hide.  So while we didn’t have the 40-50% equity drawdown like we saw during the GFC, bonds failed to serve as a buffer and it was a historically bad year for 60/40 portfolios.  In essence, as we have argued, the cornerstone of diversification in multi-asset portfolios was upended.  We have good charts on this on our website,, where we walk through how we entered a Brave New World on the asset allocation front in early 2022.

Next slide please.

And here’s the same chart for 2023.  A Sea of Green.  But note that by the end of October, the picture was more mixed – bonds were still in the hole.  But the wild rally in the last eight weeks of the year meant pretty much everything ended up.  The winners of 2022 – managed futures and commodities – were down. 

Next slide please.

But here’s the whole picture:  2022 and 2023 together.  This encapsulates both the onset on the hiking cycle and the market’s relief rally at the apparent end of it.  DBMF and managed futures mutual funds were up 10-12%, while equities – including the Nasdaq, which soared 55% last year – just climbed back into green over the past several weeks.  Some equity categories – small caps and emerging markets – are still down a lot.  Bonds are down across the board.  And REITS have been clobbered.  A 60/40 portfolio with the S&P 500 and Bloomberg Agg was down slightly, and those with more diversified equity portfolios likely down more.  So let’s not let two great months at year end mask how difficult the preceding 22 months were for allocators.

Next slide please.

And here’s the jaw dropper.  This shows the correlation of all those asset classes to the S&P 500 last year.  We expect other equity categories to have correlations of 0.8 or 0.9, but bonds?  Bonds broadly had a correlation of 0.84, corporate bonds and high yield were around 0.9.  REITS and liquid alts were there as well.  So we’ve essentially been in that dreaded market environment where if feels like “everything (or almost everything) has a correlation of one.”  Meanwhile, managed futures had a resoundingly negative correlation to the S&P, and hence bonds and hence the rest of your portfolios. 

Hence, while we are frustrated with 2023, any strategy that was serving as a hedge to equities – with a negative correlation – should have been down last year when the S&P 500 soared 26%.  It’s math.

Next slide please.

From a practical perspective, this is supposed to be the point of diversification: to provide lower volatility for clients.  So what if an allocator had decided to go from a 60/40 portfolio to a 50/30/20 portfolio of S&P 500, Bloomberg Agg and managed futures at the start of the hiking cycle?  Here’s that comparison using the SocGen CTA index – the benchmark for the space.  Rather than down slightly, the portfolio would have been in the green, volatility would have dropped by a quarter, and the max drawdown would have dropped by 40%. So this is our point, that managed futures potentially offers a high “diversification bang-for-the-buck.”

One more slide on this topic:

Here’s the same chart but extended back two decades.  As you can see, the stalwart 60/40 portfolio does go through periods where volatility has risen a great deal – the metaphor of clients strapped onto a roller coaster.  CTAs are practically built to help smooth that ride over time.  As we say, if you have a statistical bone in your body and build model portfolios, in our opinion the question is not whether you should include managed futures, but how much you should allocate.

On to the next slide.

And hence this is why we like to say that DBMF can serve as the Third Leg of the Asset Allocation Stool.  Here’s performance since inception versus stocks and bonds.  We’ve generated over 800 bps of alpha per annum relative to the S&P 500 with modestly negative correlation.  When stocks and bonds were rising in 2019 through 2021, we were making money.  When stocks and bonds went south in 2022, we had our best year.  When the markets reversed, we gave back some of those gains. 

For long term investors, we think the use case and diversification benefits are very clear. 

And by the way, as a final point, let’s put that 800 bps per annum of alpha in context.  The Bloomberg Agg has generated negative alpha of 323 bps per annum over the same period.  That Wilshire index of liquid hedge fund strategies is at negative 295 bps per annum.  Again, this the point about “bang for the buck.”

Which brings us to the next slide, please.

Finally, here’s our standard chart on volatility adjusted positioning.  We’ve seen big moves in positioning over the past three months – not surprising given the moves in the markets.  As noted, and starting on the left, we flattened our exposure to commodities.  In currencies, we’ve maintained the same directional exposure – long Euro and short yen – but with smaller position sizes today.  In rates, we dialed out of the bet on rising – or sustained higher – rates, and are modestly long duration through a yield curve flattener.  And finally, we have built up a spread trade on the S&P 500 versus emerging markets.

And this is what managed futures – aka CTAs (commodity trading advisors) – do.  The inflation trade was one of the great alpha generators of the past decade, but all great trades come to an end.  We can quibble about whether CTAs held the trade for too long, but the simple conclusion is that this was one of the most valuable places to put capital during the sometimes brutal market conditions of the past two years.  But when it’s clear the big trade is over – and I personally think that is what Powell was saying in both November and December – it’s time to move on and hunt for the next opportunity.  And that’s where we are today, and where we’ll be in a year or five years from now.

As a final a semi-related matter, I plan to start posting charts or interesting data on a more regular basis on LinkedIN and twitter this year – things like the jaw dropper on correlations — so please do connect with me there if you’re interested.

With that, I’ll hand the baton back to Mike.


Thanks Andrew.

Let’s wrap here with a simple long-term performance update. While we lagged in 2023, in terms of annualized results DBMF continues to outperform versus both the SocGen CTA Index and the Morningstar category, beating the former by over 140 basis points annualized and the latter by over 330 basis points annualized. Upon request, we can also provide performance numbers prior to the ETF, utilizing historical performance from the SMA version of the strategy.

So to sum it up, why DBMF? The strategy seeks to deliver highly-correlated outperformance versus the index – which we have done historically – while keeping fees low and single-manager risk mitigated via our disciplined replication approach. All in a liquid, easy to implement ETF.

In closing, 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: 

Until next time – from DBi and from iMGP – thanks for spending time with us.


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