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

For the last few months we’ve been talking about this year’s manager and strategy dispersion in managed futures. It has been historically big.

Actually we’ve been talking about this manager dispersion issue for a long time, as it was one of the key problems DBi was looking to solve for when they began – and we believe it is now one of DBMF’s most compelling advantages.

But this year dispersion has become so pronounced that we’ve updated a couple slides around the topic  because people in the CTA world are talking about it more than ever now, mostly because they have to, and so many allocators have taken notice.

(Mike) Slide 4:

So let’s take a look first at what’s been going on in 2025. What see here is every single manager and strategy in the Morningstar Systematic Trend category – aka, managed futures – and their performance year to date.

Incredibly, the variance from top to bottom performer has been almost 32%, with almost half of them – 14 out of 29 – negative, and 4 strategies down in the negative teens – and just imagine that kind of dispersion in any other asset class – high yield bonds, large cap equities, etc.

Now take a look at the performance of DBMF versus what an allocator to managed futures would most likely compare us to. Moving right to left, the Soc Gen CTA Index – aka, the largest 20 managed futures hedge funds – down 2.41%. Mutual funds, down less. But ETFs, with more entrants coming into the space and sometimes maligned for let’s just say “lacking sophistication,” well ahead of hedge funds and the majority of competing strategies.

As our clients know, and as Andrew wrote about in the paper he did for Hedge Nordic called “The Awkward Problem with Managed Futures ETFs,” we believe the ETF vehicle works very well in capturing what the asset class should deliver to portfolios. In fact, we believe it’s the optimal vehicle for most investors, with some exceptions like separate accounts and swaps, which we’re always happy to talk about with folks who prefer those even lower cost vehicles.

(Mike) Slide 5:

Now all that’s nice, but it’s also quite recent.

So let’s zoom out and take a look at DBMF versus all of the strategies that have been around since DBMF incepted in 2019.

To be fair, there was only one other managed futures ETF at that time, so the ETF peer group median doesn’t tell you much.

What this really is, is a plug for lower fees and structural costs with a replication model in an ETF vehicle – in other words, DBMF.

Take a look at DBMF versus hedge funds and the Morningstar Mutual Fund peer group. The low friction approach has solved very nicely for the dispersion problem over a longer period of time – and along those lines, solved for the frustration of many allocators to this asset class who really don’t want to deal with re-underwriting an investment due to manager underperformance.

Our alpha-generation is delivered to clients by making the beta of the space investible and refining away as much of the expense drag as possible. We think this is a big advancement and ultimately, a win for allocators and investors.

And we have a lot of research and data on all this, so if you’d like to talk more about it please do reach out as we’d love to share it.

Okay all that said, let me hand it over now to Andrew to get more specific about DBMF’s recent performance, positioning and other color points on macro and markets –

(Andrew) Slide 6:

Thanks, Mike.

We’ve been talking about this macro environment – from extreme fear post Liberation Day, to a collective sigh of relief, to risk on, to frothy.  Today, the market is all in on the “Run it hot” trade – basically, that the Trump administration jawbone the Fed to keep rates low and let the economy grow faster, which will drive up equities but at the risk of more inflation.  Interestingly, CTAs embraced this trade early and, if you look at the left columns, had a banner month in September.

The second macro theme is that “things are bending but not breaking.”  If you’d surveyed economists two years ago and laid out a list of what’s happened since then – to name just a few, uncharted economic disruption from Ai, a global trade war, a direct challenge to the Fed’s independence, a bizarre expansion of government industrial policy, etc. – not a single one would have predicted the S&P 500 would be up over 14%, the economy would be fine, the inflation genie would be largely in the bottle, etc.  So the bull case is that the system, the market structure, is more resilient than the alarmists claimed.  Of course, that always is the interpretation until something, somewhere starts to spiral out of control.  So enjoy the current ride, but remain vigilant.

Now over in CTA land, DBMF jumped nearly 6% last month, and both the SocGen CTA Index and Morningstar Category were up 3-4%.  Which brings me to the final bullet point:  a decade after we started replicating the best and brightest hedge funds, the evidence is strong, and growing stronger, that we discovered a way to extract the highly valuable CTA signal, and simply deliver is much more efficiently.  That’s the structural alpha argument that resonates more and more with sophisticated allocators.

(Andrew) Slide 7:

Here’s our year to date performance.  We’re now up 6.38% this year, and are outperforming the SocGen CTA Index by 904 bps, and the Morningstar category by 666 bps.  Remember, this is after meaningfully outperforming both in 2024, so the last 18 months has been a very validating period for replication.  There are three points worth making on this chart.  The first is that replication outperformed during the post-Liberation Day drawdown because more complex features among leading CTAs generated negative alpha.  Second, drawdowns and recoveries do happen often enough with the strategy that allocators should think about how to condition clients to hold through more difficult periods.  Third, mutual funds are outperforming hedge funds this year – if this continues, it will further undermine the narrative that you need to invest in actual hedge funds, with higher fees, to get the most benefit from the space.  On our end, we find that today mutual fund data is just as valuable as hedge fund data for extracting the CTA signal.

(Andrew) Slide 8:

Here’s our inception to date performance from 2019.  Over more than six years, we’ve added more than 300 bps of returns relative to managed futures hedge funds as represented by the SocGen CTA Index  with more than double the Sharpe ratio and a correlation approaching 0.9.  Our strategy track record shows similar performance back to mid 2016.  Back to my point about mutual funds versus hedge funds: the primary reason for underperformance over this time period is lower vol targets during the spike in 2022.  In other periods, performance is comparable.  Hence, our argument that, in most circumstances serious allocators really have little reason to deal with the headaches of investing in a hedge fund.

(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 September, and the red dots are positioning at the end of June.  This chart tells a great story about CTAs.  By the end of June and after the chaos of the second quarter, risk had been cut across most major themes.  Then during the third quarter, CTAs built confidence in the key elements of the “run it hot” trade:  longer gold and oil (inflation hedges), a dollar recovery (back in the yen short after the whipsaws in the Euro this year), rates will remain low (jawboning works, no tantrum), and very bullish equities.

(Andrew) Slide 10:

Here’s year to date contribution.  Clearly, long gold has been the most consistent driver of performance.  More recently, we had gains on the equity front.  Rates, of course, have been a mixed bag.  The dog has been the Euro position where we were short into the spike after the “Europe rearms” trade and the fear of flight from US assets, then cut risk before the reversal.  As mentioned, we’re back in the yen short, which was a key driver of alpha during 2022. The good news is that by the end of September, the portfolio was up 6.28% for the year.  Overall, I’ll take it.

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

(Mike) Slide 11:

Thanks Andrew –

Quick teaser for next month’s video update — we’re going to be talking about something we don’t often discuss, but the time is right – tax loss carryforwards and tax-loss harvesting as it pertains to managed futures.

Okay let’s wrap up with long-term performance numbers for DBMF –– annualized return since inception including the month that was August 2025 is now 7.46%, ahead of the Soc Gen CTA index by over 320 basis points annualized, and ahead of the Morningstar Systematic Trend Average by over 430 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 590 basis points annualized. Noteworthy also that we’ve climbed above the AGG YTD 2025 by 15 bps – and this has been a pretty good year for bonds.

(Mike) Slide 12:

We like to say that DBMF is the institutional-grade, fiduciary choice for the most efficient way to access the managed futures asset class – and to that point, DBMF continues to grow nicely, now over $1.5B in the ETF and over $3.7B managed by DBi in total including other vehicles and related strategies – for that confidence placed we thank our clients, and our prospective clients.

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]