During the quarter, the iMGP DBi Managed Futures Strategy ETF declined 2.59% at NAV and declined 2.76% at market price versus the SG CTA Index’s 2.52% loss.

Performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Short term performance is not a good indication of the fund’s future performance and should not be the sole basis for investing in the fund. Performance data current to the most recent month end may be obtained by visiting www.imgp.com. 

For standardized performance click here: /im-dbi-managed-futures-strategy-etf/

Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. 

Quarterly Review

Animal Spirits are out. Pins and Needles are in.

We write just after Liberation Day, where the proposed Trump tariffs far exceeded market expectations. The ramifications are rippling through markets. As noted last month, it remains nearly impossible to separate the signal from the noise – e.g. negotiating posture vs bona fide policy beliefs. Further, the range of outcomes is stretched far wider by an administration that appears willing to break things and see what happens – a fundamental shift from the long-standing political Hippocratic Oath of “first do no harm.”

We have no crystal ball on how precisely this all will play out, but share two observations. First, extreme market volatility means small variations in positions will lead to wide dispersion in results. We will see stunning winners and shocking losers across the hedge fund landscape; given the unprecedented nature of recent events and sharp market moves, it will be difficult to separate positioning luck from skill. In terms of this fund, factor volatility will likely drive some short-term variation in performance relative to the target hedge funds, such as our concentration in the US dollar during the recent cross asset unwind.

Second, market liquidity can easily evaporate. Less liquid securities can suffer far greater moves than their liquid brethren, and many instruments (e.g. OTC contracts) can become difficult to price. For these reasons, we invest only in short-term fixed income instruments and US exchange traded futures contracts.

Performance and Positioning

The Fund declined -2.59% net over the first quarter. During the quarter, managed futures hedge funds shifted from US to EAFE equities, which generated modest gains even as equities fell. However, substantial bets on a strong dollar, especially against the Euro, and rising rates drove losses as market sentiment reversed. A maximum long position in gold throughout the latter part of the quarter helped to partially offset losses as the commodity rose nearly 20% in the quarter. Crude oil was whipsawed on worries of global growth which detracted from portfolio performance. Importantly, the performance of the strategy is in line with the target hedge funds which validates that the model is working as expected.

Portfolio Characteristics