Key Takeaways
- • The iMGP DBi Managed Futures Strategy ETF (DBMF) captured the largest inflows among all managed futures ETFs in 2022, attracting $349.5 million year-to-date through August 16, 2022, with a corresponding return of 21.92% for the same period.
- • DBMF replicates the performance of the 20 largest managed futures hedge funds by taking long and short positions via futures contracts across equities, commodities, currencies, and fixed income, generating "crisis alpha" during periods of market volatility.
- • Andrew Beer, founder and managing member of Dynamic Beta Investments and co-portfolio manager of DBMF alongside Mathias Mamou-Mani, emphasizes that fee reduction is the most reliable path to outperformance, positioning DBMF's low expense ratio as a competitive advantage in the hedge fund replication space.
- • Liquid alternatives, particularly managed futures strategies offered through ETFs and mutual funds with daily liquidity, have experienced significant institutional inflows in 2022 as traditional 60/40 equity-bond portfolios have underperformed.
- • DBMF's strategy provides uncorrelated diversification to traditional equities and bonds, capitalizing on demand for alternative investment exposure within institutional portfolios seeking portfolio resilience during market dislocations.
Summary
Managed futures strategies have emerged as a leading segment within the liquid alternatives space during 2022, as institutional investors and advisors have sought portfolio diversification away from struggling traditional 60/40 equity-fixed income allocations. Within this category, the iMGP DBi Managed Futures Strategy ETF (DBMF) has achieved outsize traction, capturing $349.5 million in year-to-date inflows through August 16, 2022—the highest for any managed futures ETF—while delivering a year-to-date return of 21.92% over the same period.
DBMF, managed by Andrew Beer (founder and managing member of Dynamic Beta Investments) and Mathias Mamou-Mani (co-portfolio manager and head of risk at Dynamic Beta Investments), employs a transparent replication strategy centered on the 20 largest managed futures hedge funds. The fund executes long and short positions through futures contracts across multiple asset classes—equities, commodities, currencies, and fixed income—designed to capture the performance characteristics of top-tier trend-following managers. This approach has gained institutional acceptance for its delivery of "crisis alpha" during volatile market environments and its portfolio diversification benefits relative to traditional securities.
Beer's core investment thesis centers on fee efficiency as the primary driver of outperformance in hedge fund replication. In remarks to Forbes, Beer stated: "No one has figured out how to pick which hedge fund's going to do well, just like they haven't figured out how to pick which stock is going to do well. The most reliable way to outperform is by cutting fees." This philosophy directly addresses a persistent structural advantage of ETF-based alternatives over traditional hedge fund vehicles, positioning DBMF's competitive cost structure as material differentiator in capital allocation decisions.
The fund's 2022 performance reflects broader institutional recognition of managed futures as a resilient alternative strategy. As traditional equity-bond portfolios have experienced significant drawdowns, liquid alternatives have captured substantial asset inflows, with managed futures strategies demonstrating particular strength. DBMF's $349.5 million year-to-date inflow represents a decisive vote of confidence from institutional allocators seeking both daily liquidity and meaningful portfolio diversification properties during periods of sustained market stress.
DBMF, managed by Andrew Beer (founder and managing member of Dynamic Beta Investments) and Mathias Mamou-Mani (co-portfolio manager and head of risk at Dynamic Beta Investments), employs a transparent replication strategy centered on the 20 largest managed futures hedge funds. The fund executes long and short positions through futures contracts across multiple asset classes—equities, commodities, currencies, and fixed income—designed to capture the performance characteristics of top-tier trend-following managers. This approach has gained institutional acceptance for its delivery of "crisis alpha" during volatile market environments and its portfolio diversification benefits relative to traditional securities.
Beer's core investment thesis centers on fee efficiency as the primary driver of outperformance in hedge fund replication. In remarks to Forbes, Beer stated: "No one has figured out how to pick which hedge fund's going to do well, just like they haven't figured out how to pick which stock is going to do well. The most reliable way to outperform is by cutting fees." This philosophy directly addresses a persistent structural advantage of ETF-based alternatives over traditional hedge fund vehicles, positioning DBMF's competitive cost structure as material differentiator in capital allocation decisions.
The fund's 2022 performance reflects broader institutional recognition of managed futures as a resilient alternative strategy. As traditional equity-bond portfolios have experienced significant drawdowns, liquid alternatives have captured substantial asset inflows, with managed futures strategies demonstrating particular strength. DBMF's $349.5 million year-to-date inflow represents a decisive vote of confidence from institutional allocators seeking both daily liquidity and meaningful portfolio diversification properties during periods of sustained market stress.
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