Key Takeaways
- • iM Global Partner announced on November 29, 2022 that it will launch the iMGP DBi Managed Futures Fund, a new UCITS sub-fund of the Luxembourg-domiciled iMGP SICAV, with its partner Dynamic Beta investments (DBi) acting as sub-manager.
- • The fund seeks to replicate the pre-fee, pre-trading-cost returns of 20 leading managed futures hedge funds in a daily-priced UCITS wrapper, giving European investors access to the strategy without investing directly in hedge funds.
- • The strategy's US counterpart, the DBi Managed Futures Strategy ETF (DBMF), grew its assets under management by more than 1,000% over the past 12 months, from around USD 60 million to more than USD 1 billion, and posted a 1-year return of 24.5% as at November 25, 2022, per Bloomberg.
- • The fund rebalances weekly, using quantitative models to estimate the factor weights of targeted funds and gaining exposure through liquid index futures.
Summary
iM Global Partner announced it will launch the iMGP DBi Managed Futures Fund, a new UCITS sub-fund of the Luxembourg-domiciled iMGP SICAV, in partnership with Dynamic Beta investments. The launch is intended to give European investors access to managed futures, a strategy the firm describes as increasingly popular. Jamie Hammond, iM Global Partner's Deputy CEO and Head of International Distribution, said European clients had asked whether the firm would launch a UCITS version of its US-domiciled ETF, and the new fund is the response, offering daily pricing within the UCITS structure.
Dynamic Beta investments (DBi), described as a pioneer in hedge fund index replication, has been appointed sub-manager of the fund. The fund seeks to replicate the pre-fee, pre-trading-cost returns of 20 leading managed futures hedge funds, split across different sub-strategies, to reduce single-manager risk. It does not invest directly in hedge funds. Instead, DBi uses quantitative models to estimate the current factor weights of the targeted funds and invests in index futures to seek similar exposures. The portfolio is rebalanced weekly.
Andrew Beer, Co-Portfolio Manager of the fund at Dynamic Beta investments, said managed futures offer significant diversification potential, particularly in an inflationary environment, and that the vehicle was designed to address high fees and expenses and single-manager risk in the space. Philippe Uzan, iM Global Partner Deputy CEO and CIO Global Asset Management, said the DBi Managed Futures Strategy ETF delivered positive returns in each of the six months in 2022 where global bonds and equities were both negative, and posted returns of 1.8% in 2020 and 11.2% in 2021 when traditional assets were in bull markets, per Bloomberg data as of November 25, 2022.
The US-listed DBMF has grown into the largest managed futures ETF in the industry, according to the release, and has been available to US investors for more than three years. The release notes that past performance does not predict future returns and that returns may be affected by currency fluctuations.
Dynamic Beta investments (DBi), described as a pioneer in hedge fund index replication, has been appointed sub-manager of the fund. The fund seeks to replicate the pre-fee, pre-trading-cost returns of 20 leading managed futures hedge funds, split across different sub-strategies, to reduce single-manager risk. It does not invest directly in hedge funds. Instead, DBi uses quantitative models to estimate the current factor weights of the targeted funds and invests in index futures to seek similar exposures. The portfolio is rebalanced weekly.
Andrew Beer, Co-Portfolio Manager of the fund at Dynamic Beta investments, said managed futures offer significant diversification potential, particularly in an inflationary environment, and that the vehicle was designed to address high fees and expenses and single-manager risk in the space. Philippe Uzan, iM Global Partner Deputy CEO and CIO Global Asset Management, said the DBi Managed Futures Strategy ETF delivered positive returns in each of the six months in 2022 where global bonds and equities were both negative, and posted returns of 1.8% in 2020 and 11.2% in 2021 when traditional assets were in bull markets, per Bloomberg data as of November 25, 2022.
The US-listed DBMF has grown into the largest managed futures ETF in the industry, according to the release, and has been available to US investors for more than three years. The release notes that past performance does not predict future returns and that returns may be affected by currency fluctuations.
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