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Video DBMF in Four Minutes

Speaker: Mike Pacitto
Date: October 9, 2023

SLIDE 1

Hi there, I’m Mike Pacitto with iM Global Partner.

This is a quick introduction to DBMF, the ticker for the iMGP DBi Managed Futures ETF.  It was launched by my firm, iM Global Partner, in 2019 after previously existing in separate account form, to help advisors and investment professionals to diversify portfolios of stocks and bonds.

DBMF is a ground-breaking ETF that has the potential to bring the diversification benefits of a formerly exclusive, often expensive but very compelling strategy – managed futures – to all investors in a low expense, efficient wrapper with an index-plus design that seeks to mitigate single manager risk.

SLIDE 2

First, what is “managed futures”?  There are three things to know. 

It’s a nimble hedge fund strategy that’s been around for over fifty years. 

Managers build computer models to detect “waves” in the markets – for instance, is crude oil going to keep going up?  Or are equities going to keep going down? 

And third, it’s diversified – or hedged – across all the major asset classes:  global equities, interest rates, commodities and foreign exchange markets.

SLIDE 3

We think managed futures is an incredibly valuable diversifier to stocks and bonds — the ideal strategy to anchor the third leg of the asset allocation stool. 

Here are four key statistics: 

since the 2000s, managed futures hedge funds delivered returns that were better than bonds and nearly as good as stocks; but they did this with roughly zero correlation to either;

they went up during the three major bear markets of the past 23 years; and they control risk.

The max drawdown, believe it or not, is less than that of bonds and a fraction that of stocks).

The incredible thing about these stats is that they are AFTER their high embedded hedge fund fees.

SLIDE 4

Our partner, DBi, did a deep dive on the space in 2015 and asked an obvious question. If these hedge fund returns are so compelling AFTER fees, would it be possible to COPY the strategy cheaply, extracting most of the fees? And if so, can we deliver those diversification benefits in an efficient, low-cost ETF. Essentially, enhancing the proposition for investors. In a nutshell, that’s the DBMF story.

And the short answer to the question is, yes – or DBi gets pretty close.  DBMF is an expert in hedge fund replication, which simply means that they use their own quantitative tools and models to figure out what leading hedge funds are doing, then copy it as cheaply and efficiently as possible. 

SLIDE 5

Since launch, DBMF has materially outperformed the Morningstar US Trend Systematic Category with a correlation of around 0.9. It has also outperformed the Soc Gen CTA Index.

SLIDE 6

It has delivered this outperformance with its simple, elegant “one-two” punch approach of one) eliminating single manager risk through its replication approach and two) extracting fees from the underlying index while maintaining an expense ratio much lower than its competitors. DBMF is designed to be your index-plus solution to get exposure to the space.  

SLIDE 7

When you put it all together, like with managed futures hedge funds, DBMF potentially can deliver “diversification bang-for-the-buck” while avoiding single manager selection risk and keeping fee drag low. This chart shows DBMF vs stocks and bonds since launch.  From inception through the third quarter of 2023, DBMF has returned around 51% with negative correlation to the S&P 500, alongside a gain of over 20% in 2022 in an extremely challenging year, with over 1000 bps a year of alpha.  Bonds, meanwhile, have returned approximately zero since 2019.

SLIDE 8

To sum it up, DBMF seeks to provide efficient “index-plus” exposure to this once expensive, opaque category.  It’s a fully transparent ETF with an expense ratio of 0.85%. DBi and iMGP are bringing the indexing revolution to hedge funds and specifically with the DBMF ETF, managed futures.

SLIDE 9

To learn more, please visit www.dbmf.com or email us at team@imgpfunds.com.

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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.imgpfunds.com. Read it carefully before investing.

iMGP DBi Managed Futures Strategy ETF Risks: Investing involves risk. Principal loss is possible. 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.

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.

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