Key Takeaways
- • DBMF (iMGP DBi Managed Futures Strategy ETF) tracks a diversified futures-based portfolio with top holdings including 10-Year Treasury Note Futures (9.83% allocation, $462M), MSCI EAFE March 2026 Index Futures (7.51%, $353M), and E-mini S&P 500 Futures (4.86%), designed to generate returns independent of traditional equity and bond market movements.
- • The fund employs a managed futures strategy with up to 20% allocation flexibility, enabling tactical positioning across multiple asset classes and derivatives markets to capture trend-following and diversification benefits.
- • DBMF is positioned as a low-cost, liquid alternative investment vehicle on Euronext Paris, with ISIN LU2951555585 and UCITS ETF regulatory status, offering institutional and retail investors access to systematic managed futures exposure without traditional equity-bond correlation drag.
- • Portfolio composition emphasizes fixed income and equity index futures contracts with meaningful exposure to emerging market derivatives (MSCI EAFE), U.S. equity indices, and currency positions (USD allocation of 5.84%, $274M), reflecting a systematic, rules-based approach to diversification.
Summary
The iMGP DBi Managed Futures Strategy ETF (DBMF) is a UCITS-regulated exchange-traded fund listed on Euronext Paris that implements a systematic managed futures investment strategy designed to deliver returns with minimal correlation to traditional stocks and bonds. The fund is structured as a low-cost, liquid vehicle offering both institutional and retail investors exposure to trend-following strategies across multiple asset classes through derivatives contracts.
The fund's portfolio construction emphasizes diversification across fixed income, equity index, and currency futures. The largest holding is the 10-Year Treasury Note Futures contract, representing 9.83% of total assets ($462 million), followed by MSCI EAFE Index Futures maturing March 2026 at 7.51% ($353 million). Additional material positions include E-mini S&P 500 Futures (4.86%), a separate iMGP DBi Cayman Managed Futures vehicle (5.73%), and a USD cash position (5.84%, $274 million). This composition reflects a systematic allocation strategy across developed market equities, fixed income, and currency exposures.
DBMF's investment mandate permits allocation of up to 20% of assets according to discretionary managed futures strategies, allowing portfolio managers to adapt positioning in response to market conditions while maintaining the core systematic, trend-following framework. The ETF's UCITS structure and listing on a major European exchange (ISIN LU2951555585) provide regulatory compliance and institutional-grade liquidity infrastructure. The fund targets investors seeking alternative sources of return that operate independently of traditional equity and bond market dynamics, positioning managed futures as both a diversification tool and a complementary strategy within multi-asset portfolios.
The fund's portfolio construction emphasizes diversification across fixed income, equity index, and currency futures. The largest holding is the 10-Year Treasury Note Futures contract, representing 9.83% of total assets ($462 million), followed by MSCI EAFE Index Futures maturing March 2026 at 7.51% ($353 million). Additional material positions include E-mini S&P 500 Futures (4.86%), a separate iMGP DBi Cayman Managed Futures vehicle (5.73%), and a USD cash position (5.84%, $274 million). This composition reflects a systematic allocation strategy across developed market equities, fixed income, and currency exposures.
DBMF's investment mandate permits allocation of up to 20% of assets according to discretionary managed futures strategies, allowing portfolio managers to adapt positioning in response to market conditions while maintaining the core systematic, trend-following framework. The ETF's UCITS structure and listing on a major European exchange (ISIN LU2951555585) provide regulatory compliance and institutional-grade liquidity infrastructure. The fund targets investors seeking alternative sources of return that operate independently of traditional equity and bond market dynamics, positioning managed futures as both a diversification tool and a complementary strategy within multi-asset portfolios.
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