Key Takeaways
- • The iMGP DBi Managed Futures Strategy ETF (DBMF), a $895.5 million fund managed by Andrew Beer of Dynamic Beta Investments, delivered a 21.5% return in 2022 when U.S. equities declined nearly as much, positioning it as one of the top-performing ETFs during a severe market downturn.
- • DBMF's outperformance was driven by early positioning in the inflation trade, specifically through long crude oil exposure, short Treasury positions during rising rate environments, and short yen bets as the dollar strengthened—trades identified and executed by the 20 hedge funds the strategy tracks.
- • The fund's core investment thesis positions managed futures as "the single most valuable thing you can put next to a 60/40 portfolio," addressing a long-standing gap in the ETF marketplace where investors have faced limited and underperforming options.
- • DBMF targets advisors and institutions that previously experienced poor managed futures outcomes through either single-manager concentration risk or extended periods of near-zero returns net of fees, offering a diversified, rules-based alternative to traditional hedge fund investing.
Summary
The iMGP DBi Managed Futures Strategy ETF (DBMF) emerged as a significant market performer in 2022, delivering a 21.5% return while broad U.S. equity indices suffered near-equivalent losses. Managed by Andrew Beer, founder of Dynamic Beta Investments, the $895.5 million fund stood out during a year when traditional 60/40 portfolios and equity-heavy allocations experienced sharp declines.
Beer's investment approach diverges from conventional hedge fund positioning. Rather than claiming superior security selection or market timing ability, DBMF explicitly replicates strategies identified across 20 tracked hedge funds, executing them at a significantly lower cost through an ETF structure. This systematic replication model circumvents single-manager risk while capturing alpha generated by proven trend-following and macro-focused traders during volatile market cycles.
The fund's 2022 outperformance rested on early and sustained positioning in the inflation trade complex. Holdings included long crude oil exposure during the commodity rally following Russia's invasion of Ukraine, short Treasury positions maintained throughout the year as the Federal Reserve aggressively raised rates, and short yen positions that profited from sustained dollar strength. These directional bets, identified early and held through decisive moves, generated the bulk of annual gains—a fundamental advantage of systematic managed futures strategies during inflationary regimes when traditional bonds and equities compress simultaneously.
Beer identified a persistent structural gap in the ETF market for managed futures exposure. Institutional and advisory investors frequently expressed interest in the strategy in theory but encountered poor outcomes in practice, typically driven by two factors: concentrated exposure to underperforming single managers, or extended multi-year periods where managed futures strategies generated minimal net-of-fee returns. DBMF's diversified, low-cost structure directly addresses these historical pain points, appealing to advisors seeking genuine diversification benefits without the manager selection and performance persistence challenges that have plagued traditional hedge fund allocations.
Beer's investment approach diverges from conventional hedge fund positioning. Rather than claiming superior security selection or market timing ability, DBMF explicitly replicates strategies identified across 20 tracked hedge funds, executing them at a significantly lower cost through an ETF structure. This systematic replication model circumvents single-manager risk while capturing alpha generated by proven trend-following and macro-focused traders during volatile market cycles.
The fund's 2022 outperformance rested on early and sustained positioning in the inflation trade complex. Holdings included long crude oil exposure during the commodity rally following Russia's invasion of Ukraine, short Treasury positions maintained throughout the year as the Federal Reserve aggressively raised rates, and short yen positions that profited from sustained dollar strength. These directional bets, identified early and held through decisive moves, generated the bulk of annual gains—a fundamental advantage of systematic managed futures strategies during inflationary regimes when traditional bonds and equities compress simultaneously.
Beer identified a persistent structural gap in the ETF market for managed futures exposure. Institutional and advisory investors frequently expressed interest in the strategy in theory but encountered poor outcomes in practice, typically driven by two factors: concentrated exposure to underperforming single managers, or extended multi-year periods where managed futures strategies generated minimal net-of-fee returns. DBMF's diversified, low-cost structure directly addresses these historical pain points, appealing to advisors seeking genuine diversification benefits without the manager selection and performance persistence challenges that have plagued traditional hedge fund allocations.
Go deeper than the headline
Research every firm in this story, track the ones that matter and get the daily briefing — free for 7 days.