During the quarter, the iMGP DBi Managed Futures Strategy ETF gained 2.51% at NAV and 2.54% at market price versus the SG CTA Index benchmark’s loss of 5.22%. Through the first half of the year, the fund was down 0.14% at NAV and 0.29% at price, compared the benchmark’s 7.61% 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: https://www.imgp.com/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

Last month, we noted that markets had “liberated” themselves from Liberation Day – that is, discounting initial bluster and noise and focusing on macro fundamentals. By the end of the quarter, markets were decidedly “risk on”: equities staged a historically fast rebound from the lows and, across the spectrum, risk assets rose sharply. There was, of course, plenty of good news: the economy remains strong, the AI frenzy continues, the trade war was paused, and war in the Middle East is contained. That said, it does feel that this relief rally could run into headwinds: for instance, a Big Beautiful bond market tantrum, a re-ignition of trade wars, or a new flare up in the Middle East. We’ll have to wait and see.

One observation from the first half of this year: the extreme market moves are causing wider than normal dispersion among managers and strategies. In our case, concentrated exposure to the Euro led to underperformance in Q1, while avoiding non-core markets – certain commodities or single stock shorts, for instance – last quarter led to significant outperformance. The key for allocators and fund selectors is to distinguish whether such variation is driven by systemic issues or noise – especially given that the world today is, indeed, quite noisy.

Performance and Positioning

The Fund increased 2.51% net over the second quarter, with gains driven primarily by commodities and equities. Crude oil rallied sharply in June following geopolitical unrest in the Middle East, while gold benefited from safe-haven flows earlier in the quarter, though momentum faded toward the end. Equities also added positively as macro concerns eased and markets rebounded. The portfolio increased equity exposure during the quarter, emphasizing allocations to U.S. and emerging markets. Currency positioning modestly detracted, as the strategy adjusted to a weaker U.S. dollar. Late in the quarter, the portfolio shifted to a long Euro stance and moved to a neutral position on the Yen. Rates were broadly flat, with gains in the 10-year U.S. Treasury being offset by losses in the short and long end of the curve. Managed futures hedge funds underperformed significantly around the market’s reaction to the “Liberation Day” announcements. Many CTAs were misaligned and unable to participate in the rebound due to discretionary risk overrides. As a result, our replication strategy outperformed the target by over 700 basis points.

Portfolio Characteristics