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Mike:

Slide 1-3:

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.

Slide 4:

Well, we’re half way through the year – and to say it has been a unique six months is an understatement. Consider that from the Liberation Day bottom to the end of Q2 we’ve seen an over 30% move in the S&P and an over 40% move in the Nasdaq. When you think you’ve seen it all, the market comes up with a new storyline and twist you’d never bet on happening.

Equally amazing has been the incredible dispersion we’ve seen this year in managed futures strategies.

The bar chart you’re looking at here is YTD 2025 performance of every strategy in the Morningstar® systematic trend category – both mutual fund and ETF – with a track record going back to at least the beginning of the year. The Soc Gen CTA index is in there too.

First off, the dispersion between the top and bottom performer in the space is over 33%. This is truly historic. I haven’t checked, but doubtful most asset classes and investment categories have seen this kind of variance. Many established brand name managed futures strategies have been badly hurt by the unprecedented whipsaws of markets this year, alongside their reliance on complexity and more volatile esoteric underlying holdings.

Second, as it pertains to DBMF, we believe this year further makes the strong case for replication and simplicity. DBMF has outperformed both the Morningstar® category and the SocGen CTA index by over 400 and over 700 basis points respectively this year, which we’ll delineate further in the video.

But there’s another interesting thing in this chart. Notice that the Morningstar® ETF peer group median did much better than the Morningstar® mutual fund peer group median. And most of the ETFs in the space are much simpler in design – and lower in cost – than their mutual fund peers. Food for thought as our business continues to evolve.

So with that set-up, this month’s update is called “A Repeatable Investment Process with Structural Alpha Around Efficiency – or – Consistent Index-Plus Performance while Avoiding Blow-Ups!” It’s a long title and a bit of an homage to Dr. Strangelove and the inimitable film director Stanley Kubrick who was born this month in 1928. With that, I hand it over to you Andrew.

Andrew:

Slide 5:

Thank you, Mike.

Last month, I said the markets had liberated themselves from Liberation Day.  By the end of June, they were decidedly Risk On.  Granted, there’s been a lot of positive news:  the economy is strong, the Ai frenzy continues, we have a pregnant pause on the trade war front, and the war in the Middle East did not escalate.  So equites staged a historically fast – bungee like – rebound from the lows.  That said, it does feel a bit like the market is ignoring some big risks – for instance, whether we get a bond market tantrum, a re-escalation of trade wars after the pause end, or a new flare up in the Middle East.  We’ll have to wait and see.

In any event, the last bullet point is about the Evidence-Based View on Replication.  I’m going to hold off on this until the next slide.  First, performance.  On the left side of the page, you can see that DBMF rose 2.7%, well ahead of both the SocGen CTA Index (hereinafter the “Hedge Fund Index”) and Morningstar Category.  We’ll drill down on this in two pages.  But first, next slide please.

[next slide] 6

There has been an important shift in thinking about replication.  As you’ll see in the data, you really cannot make the argument anymore that replication is a cheap knock off, an oversimplification or excessively risky.  Rather, replication is now viewed as a repeatable investment process with structural alpha around efficiency.  In other words, we are picking up on the same signal that drives returns and alpha generation at the leading hedge funds that comprise the Soc Gen CTA Index – Major Themes like the direction of interest rates – and we’re seeking to implement those signals with greater efficiency through replication.  We will be expanding on these empirical conclusions in upcoming zoominars and webinars.   And with that, let’s move to the next slide on YTD performance.

7

As Mike covered, the first half marks one of the best periods of outperformance relative to active managers.  Here is a line chart that shows performance versus the SGCTA, Morningstar category of 40 Act funds and Bloomberg US Agg.  This clearly has been a very difficult year for the space, but what is notable is that, other than a brief period of underperformance in March when the Euro spiked, DBMF has been able to avoid the major drivers of losses across the space, which in many cases have been compounded by statistical innovations like vol controls or more esoteric and illiquid contracts.  The past year or so has been a good reminder that “alpha drivers” can generate negative alpha, including in periods when you hope or expect them to help drive returns or mitigate losses.

Next slide, please. 8

Now turning to our inception to date, DBMF has outperformed the hedge fund index by nearly 300 bps per annum and tripled the returns of the Morningstar Category over six plus years.  Note that over this period we have made no changes to the model or instruments we trade.  This is what we mean by a repeatable investment process with structural alpha.

Next slide, please. 9

Here’s our slide on volatility-adjusted positioning.  The green bars are the volatility adjusted exposure of our ten futures contracts, and the red dots are positioning at the end of March.  The obvious conclusion is that, well, the world changed a lot during the second quarter, and so CTAs adjusted their positioning which flowed through to our portfolio.  The broad positioning is that we are now aligned with a somewhat more growth-friendly world view:  modestly long commodities, equities and a yield curve steepener.  In contrast to earlier this year, we are now short the US dollar against the Euro.

And now for year to date contribution. 10

As noted last month, the story this year is relatively simple:  long gold was the big winner, while short the Euro was the big loser.  You can see the choppiness in other markets, which shows up as modest gains and losses across all other positions.  Hence we ended the first half flattish, which I consider to be a major victory given the treacherous market conditions.

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 June 2025 is now 6.69%, ahead of the Soc Gen CTA index by 325 basis points annualized, and ahead of the Morningstar Systematic Trend Average by over 440 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 540 basis points annualized.

Slide 11:

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]