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(Mike) Slide 1-4:

Hi everyone, I’m Mike Pacitto with iM Global Partner, joined by Co-Founder of DBi and Co-Portfolio Manager, Andrew Beer. Thanks for joining our monthly update on the iM Global Partner DBi Managed Futures Strategy ETF– ticker: DBMF.

For this August episode we’re going to channel a recent write-up Andrew did for HedgeNordic called “The Awkward Problem with Managed Futures ETFs.”

It’s a catchy title – and to be clear, it’s not a problem for investors, because we think it’s a positive evolutionary development on that side of the ledger.

But I’ll leave it there and let Andrew color in those lines and more as we dive into the month that was August 2025 in terms of performance, attribution and positioning – over to you Andrew –

(Andrew) Slide 5:

Thanks, Mike.

Well, the macro backdrop is decidedly risk on.  Liberation Day is yesterday’s news.  The brief panic about Ai is a distant memory.  Stocks are melting up and bonds are having a great year, so few are worried – right now, that is – that stocks and bonds keep moving in tandem.  A short aside on that:  every wealth management model was built on the premise that bonds would have a low correlation to stocks and bonds.  Positive correlation plus a big drawdown in 2022 plus higher volatility plus returns below cash mean bonds really ain’t diversifying stocks.  Allocators have two options:  find things that do – like managed futures – or find things where you can pretend it’s not true – private credit.

In CTA land, after the painful whipsaws earlier this year, it feels a bit like things have reverted to normal.  Let’s certainly hope so.  DBMF rose 1.33% last month, slightly ahead of both the SocGen CTA Index and Morningstar Category, and is still outperforming the hedge funds by more than 600 bps year to date.  Since the end of 2023 – so a bit more than a year and a half – DBMF has outperformed the best and brightest hedges funds by a cumulative 1200 basis points.  Let’s drill down into this a bit.

(Andrew) Slide 6:

Here’s a bonus slide from an article I wrote on “The Awkward Problem with Managed Futures ETFs.”  Like DBMF, the average ETF has materially outperformed the average hedge fund or mutual fund in 2024 and 2025.  The chart on the left shows hedge funds, then mutual funds, then ETFs for 2024, and then the same for 2025 through July.  And it’s not isolated:  somewhere between 80% and 90% of ETFs are outperforming.  This upends a cornerstone argument of typical allocators:  more expensive, more complicated products are supposed to outperform.  And yet they’re not.  Our explanation, which I walk through in the article, is that many complicated strategies generate amazing returns in theory, but negative alpha once you factor in implementation costs.  If you didn’t see the article, hit Mike and he’ll get you the link.  And if you want to dig in live, reach out.

(Andrew) Slide 7:

Here’s our year to date performance.  We’ve bounced back after a rough period after Liberation Day.  Both hedge funds and mutual funds went down more and bounced less.  Why?  Most likely from negative alpha from more complicated models and esoteric instruments.  Here’s how could have played out.  A big hedge fund with hundreds of positions starts to see sharp whipsaws across markets.  Those whipsaws appear much worse in less liquid markets.  Sophisticated risk tools flash red, and they start automatically trying to sell positions into an illiquid market.  That’s a great way give up years of returns and crystallize losses.

(Andrew) Slide 8:

Here’s our inception to date performance from 2019.  Over more than six years, we’ve added 300 bps of returns relative to hedge fund with more than double the Sharpe ratio and a correlation approaching 0.9.  Our strategy track record shows similar performance back to mid 2016.  I just don’t think it’s controversial anymore to say that we’re picking up the same signal as large hedge funds but we believe we’re delivering it more efficiently.  This is why we say “fee reduction is the purest form of alpha,” although we should probably modify that to say “efficiency can deliver more alpha to clients.”

(Andrew) Slide 9:

Here’s our slide on volatility-adjusted positioning.  The green bars are the volatility adjusted exposure of our ten futures contracts at the end of August, and the red dots are positioning at the end of June.  This quarter, CTAs have built confidence in this risk on market.  Long exposure to crude oil and gold rose, we reestablished a long dollar position (primarily against the yen), there is slightly more conviction about a drop in yields (presumably the market’s signal about rate cuts), and equity risk has been tactically increased.  Remember, please, that the portfolio is quite dynamic, so if interested in our positioning on a given day, it’s best to check the website or reach out to Mike.

(Andrew) Slide 10:

Here’s year to date contribution.  This really hasn’t changed that much.  We’ve made money in gold and crude oil, we’re wrong-footed by the Euro, have struggled a bit with Treasuries, but got behind equities and made money there.

And, with that, I’ll pass the baton back to Mike.

(Mike) Slide 11:

Thanks Andrew –

Let’s wrap up with long-term performance numbers for DBMF –– annualized return since inception including the month that was August 2025 is now 6.65%, ahead of the Soc Gen CTA index by over 300 basis points annualized, and ahead of the Morningstar Systematic Trend Average by over 410 basis points.

And long-term outperformance against the traditional diversifier for equities – that being bonds as represented by the Bloomberg AGG – remains well intact – DBMF outperforming by over 530 basis points annualized.

(Mike) Slide 12:

I’ll add here in closing that DBMF is now the largest managed futures ETF by AUMs with almost $1.4B – we are positioning the strategy to be the institutional-grade, efficient fiduciary choice for the asset class – and to that point, thanks as always to our clients and to our prospective clients for your confidence and interest in DBMF

If you have more questions about the strategy, would like further information or a call with us please don’t hesitate to reach out – just send us an email at: [email protected]