DBMF Commentary PDF Download

During the quarter, the iMGP DBi Managed Futures Strategy ETF was up 7.71% at NAV and 7.87% at market price versus the SG CTA Index’s gain of 7.42%.

Gross Expense Ratio: 0.85%

All sub-advisor returns are net of the management fees that each sub-advisor charges the fund*

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. Performance data current to the most recent month end may be obtained by calling 888-898-1041.

Quarterly Review

Even before the Iran war, the cracks were spreading in the market ice. Extreme price volatility tells us that the market’s crystal ball is broken—the macro outcomes are uncomfortably binary. Major asset classes have been acting like meme stocks: gold soars 100% in a year then drops 15% in a matter of days, Korean equities rise 150% then drop 18% in 48 hours, bitcoin doubles then drops in half, etc. AI is starting to look like a random killing machine for once stable industries, whose stocks episodically drop en masse when a new AI agent is released. Private credit has gone from must have asset class to roach motel. Bond market vigilantes seem poised for the next fiscal shoe to drop.

In general, this environment has been very good for hedge funds. They were early and right about the recovery in equities post-Liberation Day, the simultaneous rotation into non-US developed and emerging markets equities, a broader theme of de-dollarization and downward pressure on the yen.

The outbreak of war and, especially, the disruption of global energy flows upended many of these trades. In fact, March proved to be one of the most difficult months in years for hedge funds. Due to extreme price volatility, a small difference in positioning can lead to exceptionally wide dispersion among managers.

 Positioning

The Fund gained 7.71% net during the first quarter. Performance this quarter was driven primarily by strength in commodities and equities, while currencies and rates detracted. Commodities contributed positively overall, led by gains in crude oil, where the strategy benefited from its long positioning amid the escalation of the Iran conflict, which supported higher oil prices. While the strategy maintained a long position, gold reversed a significant portion of its earlier gains in March, resulting in a slightly negative contribution. Equities also added to performance, driven by long exposure to international markets, with both MSCI EAFE and MSCI Emerging Markets contributing positively, while the short S&P 500 position was modestly additive. In contrast, currencies were a headwind, with losses in EUR/USD and JPY/USD exposures. Rates also detracted from returns, driven by weakness in longer-duration exposures, particularly in the 30-year Treasury, while shorter-duration positions were largely flat.