DBMF-October-2025-Monthly-Performance-Video-Deck

(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 October 2025 update on the iM Global Partner DBi Managed Futures Strategy ETF– ticker: DBMF.

No long introduction this month – but after Andrew’s update, I will be touching on some year-end tax distribution information that should be of interest to existing clients and prospective clients considering DBMF – but for now, let’s get right to DBMF’s recent performance, positioning and other color points on macro and markets from Andrew – over to you –

(Andrew) Slide 5:

Thanks, Mike.

To start with the macro themes, it’s risk on. Trump’s Run It Hot strategy is working (so far): equities are melting up, bond yields are in check, and gold is having a great decade’s worth of returns this year. To add to this mix, as you’ll see, the yen trade is back – basically, a bet that the US will grow faster with higher real rates than Japan.  And finally, we’ll talk a bit about alpha in the CTA space, concentration of portfolios in replication vs more complicated models, and why DBMF has outperforming by so much this year.

On the performance front, to pivot to the left side of the page, DBMF jumped nearly 4% last month and nearly 10% over the past two months, dramatically outperforming both the SocGen CTA Index and Morningstar Category in October and, as I’ll show you on the next slide, year to date.  As noted during the past few videos, CTAs were early and contrarian in the Run It Hot, which has paid off over the past sixty days.

(Andrew) Slide 6:

Here’s our year to date performance.  We’re now up 10.34% this year on a NAV basis, and are outperforming the SocGen CTA Index by over 1100 bps, and the Morningstar category by over 900 bps.  We believe there are three reasons for this.  More sensitive risk controls and shorter models were headfaked badly by Trump after Liberation Day – our modest slowness meant we bounced when they did not.  Second, liquidity dried up in noncore markets, and hence derisking and repositioning was more costly that normal.  And lastly, our concentration in major markets – I’ll show you the yen move shortly – has helped more than hurt us.  To summarize it, alpha in the CTA space can be negative, and we believe that the embrace of more and more complexity in the space has cost investors risk adjusted returns.

(Andrew) Slide 7:

Here’s our inception to date performance from 2019.  Over more than six years, we’ve added more than the projected 300 bps of returns relative to the SocGen CTA Index with more than double the Sharpe ratio and a correlation approaching 0.9.  The most fascinating thing these days is whether the greater than forecast outperformance is a structural issue:  that our efficiency advantage has increased, not decreased over time.  We think it has, but it will take a few years of live performance to validate such a conclusion.  In any event, we’re thrilled that it’s been working better through the difficult periods of 2024 and this year.

(Andrew) Slide 8:

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 October, and the red dots are positioning at the end of September.  Moving from left to right, we cut our long exposure in crude oil, have maintained the same long USD – short yen position, have gained more conviction that long term rates will not rise, and pulled back on equity risk – which I’m sure is a relief to many of our clients.  Insert smiley face emoji.  As noted earlier, this risk on positioning is reflective of the market-wide Run It Hot trade, which CTAs spotted early one.

(Andrew) Slide 9:

Here’s contribution for October.  Gold continues to add to performance, but the big winner last month was the short yen trade.  I’d like to talk about his for a minute because it highlights a powerful feature of the strategy:  a limited memory.  Just several months ago, strategists were panicking about a loss of confidence in US assets, a downward spiral in the US dollar, and the end of the American Exceptionalism trade.  A human strategy who had gone on the record in June might have had a difficult time reversing course when the alarmism died down.  CTA models, however, just look for evidence in the markets – someone is betting that the consensus is wrong – and acting on it.  This trade has been very contrarian and clearly worked last month.

Moving across the portfolio, we treaded water in rates and, not surprisingly, gained a bit of performance in equities.

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

(Mike) Slide 10:

Thanks Andrew –

So as we close in on year end – with the standard caveat that we are not tax advisors nor is any of this tax advice – let’s do a quick primer on the mechanics of how DBMF distributes income and potential capital gains, and then talk about DBMF’s 2025 distributions alongside some other important information about how DBMF is positioned going forward.

First off, the strategy is collateralized with short-term fixed income – mostly T-Bills – and that throws off an ordinary income distribution every quarter, making for a smoother and more bond-like income stream.

Gains (and losses) from the underlying contracts are treated as a combination of short and long term – with the exception being commodities, which for DBMF are represented by gold and oil, and treated as ordinary income due to current US tax rules.

All of the distributions, outside of the underlying collateral, are realized at year-end.

(Mike) Slide 11:

So for year-end 2025, due mostly to the generational run in gold, DBMF will be seeing a year-end ordinary income distribution ranging from $1.28-1.40. This includes the quarterly income distribution from the underlying collateral as well.

The ex/record date is December 30, and the payable date is December 31. Meaning, if you were planning to implement DBMF but want to avoid that distribution, you’d want to buy on or after December 30^th. Remember that the ex-dividend date is the first day a stock or ETF trades without they buyer receiving that stated dividend, and the ex and record dates have been merged and are now the same date.

You can see on this slide we have the link where you can pull down distribution information for DBMF, and it will be updated in early December with the precise amounts.

Now in the good news category around taxes and distributions, DBMF actually has embedded short-term and long-term tax loss carryforwards. On the bottom of this slide you can see those amounts, which are as of the end of Q2 2025.

This means not only will we not be seeing any cap gains distributions for DBMF this year, but those carry-forwards will also absorb future capital gains into the future until they’re exhausted.

If you have any questions around any of this information, let us know and we’ll be happy to provide more information.

(Mike) Slide 12:

So let’s wrap up with long-term performance numbers for DBMF –– annualized return since inception including the month that was October 2025 is now 7.99%, ahead of the Soc Gen CTA index by over 365 basis points annualized, and ahead of the Morningstar Systematic Trend Average by over 475 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 640 basis points annualized.

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]