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Hedge Funds

This Managed Futures ETF Competes With Mutual Fund Peers

Managed futures are drawing eyes and flows in the first half of 2022, with no slowing in sight. In a market driven by volatility and uncertainty, they have been a bright spot of performance and opportunity for portfolios this year.

The iMGP DBi Managed Futures Strategy ETF (DBMF) is the top performing managed futures ETF on the market and currently has assets under management greater than some of its mutual fund peers. The year-to-date return for the fund is currently 26.11% according to the DBMF website and the fund has an AUM currently of $394.3 million per FactSet.

Image courtesy of Dynamic Beta investments, data as of the end of June 2022

DBMF’s AUM has increased 458% between the end of 2021 and the end of June 2022 — this includes performance-based increases, according to Viral Solanki, CFA and director of trading at Dynamic Beta investments, the sub-advisor for the fund, in a communication to VettaFi.

DBMF is a managed futures fund designed to capture performance no matter how equity markets are moving. The fund seeks long-term capital appreciation by investing in some of the most liquid U.S.-based futures contracts in a strategy utilized by hedge funds.

DBMF allows for the diversification of portfolios across asset classes that are uncorrelated to traditional equities or bonds. It is an actively managed fund that uses long and short positions within derivatives, mostly futures contracts, and forward contracts. These contracts span domestic equities, fixed income, currencies, and commodities (via its Cayman Islands subsidiary).

The position that the fund takes within domestic managed futures and forward contracts is determined by the Dynamic Beta Engine. This proprietary, quantitative model attempts to ascertain how the largest commodity-trading advisor hedge funds have their allocations. It does so by analyzing the trailing 60-day performance of CTA hedge funds and then determining a portfolio of liquid contracts that would mimic the hedge funds’ performance (not the positions).

DBMF takes long positions in derivatives with exposures to asset classes, sectors, or markets that are anticipated to grow in value and takes short positions in derivatives with exposures expected to fall in value. Under normal market conditions, the fund seeks to maintain volatility between 8%–10% annually.

DBMF has a management fee of 0.85% and an additional 10 bps for other expenses listed in the prospectus.

For more news, information, and strategy, visit the Managed Futures Channel.

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