iM Global Partner's new iMGP DBi Managed Futures Fund seeks to generate long-term capital growth by replicating the pre-fee performance of a representative basket of leading managed futures hedge funds.
Hedge Fund Replication at a Lower Cost
Managed futures hedge funds (also known as CTAs) have a low or zero correlation to other major asset classes, which means they can offer attractive diversification benefits during periods of market stress. Using quantitative models, these funds seek to identify the key trends and trades in financial markets. However, many hedge funds take a large portion of the returns in the form of high management and performance fees. The new iMGP DBi Managed Futures fund, managed by our Partner, DBi, provides exposure to this style of investing by replicating the major positions of a basket of leading CTAs through futures contracts in equities, bonds, commodities and currencies, but with lower fees.
- Seeks to replicate the pre-fee returns of a basket of leading CTAs.
- Takes active positions in 10-15 highly liquid futures contracts.
- Offers lower long-term correlations to the major asset classes.
- Daily liquidity and lower fees than traditional hedge funds (no performance fees).
Investment Process
The fund uses the same time-tested investment strategy as DBMF, a US-listed ETF managed by DBi, offering investors access to the diversification benefits of managed futures in a UCITS structure.
DBi's investment management team selects a representative basket of leading managed futures hedge funds with a view to replicating their performance.
The team then uses a proprietary quantitative model to identify the main return drivers and therefore determine the major positions of these strategies.
Positions are replicated through 10-15 highly liquid futures contracts across equities, fixed income, currencies and commodities. The portfolio is adjusted as needed to reflect position changes over time.
Strategy Performance vs Comparators
DBi's managed futures strategy has demonstrated its ability to meet its objectives since inception and during periods of market stress in equity and bond markets.
Past performance does not predict future returns
| Annualised Performance | 2024 YTD | 1 Year | 3 Years | 5 Years | Since Inception (July 2016) |
|---|---|---|---|---|---|
| DBi Managed Futures Strategy | 11.5% | 2.4% | 28.3% | 39.5% | 5.5% |
| SG CTA Index | 2.5% | -2.8% | 17.8% | 27.4% | 2.6% |
| Bloomberg World Large & Mid Cap Net Return Index | 18.6% | 31.5% | 24.8% | 75.8% | 11% |
| Bloomberg Global Aggregate Index | 4.4% | 10.6% | -0.7% | 2.9% | 1.7% |
Key Highlights
The fund seeks to mitigate three key risks associated with hedge fund investing.
Market Structure
Illiquidity, trade crowding, counterparty
Concentration
Single fund, industry, geography
Human Biases
Selection bias, etc.
Fund Managers
The fund is co-managed by Andrew Beer and Mathias Mamou-Mani at New York-based DBi. They are supported by scientific advisor Matt Grayson, who has 35+ years of experience in mathematics, research and financial modeling.
Andrew Beer
Managing member and co-portfolio manager
Andrew has nearly 30 years of experience in the hedge fund sector. He co-founded Pinnacle Asset Management in 2003 and was a founder of Apex Capital Management, a hedge fund focused on Greater China.
Mathias Mamou-Mani
Managing member and co-portfolio manager
Mathias has 15 years of experience at DBi and its predecessor, overseeing quantitative research, including DBi’s proprietary factor and liquid solution models, risk systems and trade implementation. From 2001 to 2006 he worked as a consultant for the French Ministry of Defence, France Telecom and Lafarge.
Monthly Performance Update
Welcome to our Monthly DBi Fund Performance Update! In this report, we provide an in-depth analysis of the fund's performance over the past month.
Performance Update Video
October 2024
Performance Update
Presentation
Welcome to our Monthly DBi Fund Performance Update! In this report, we provide an in-depth analysis of the fund's performance over the past month.
Portfolio Update
Presentation
Welcome to our Monthly DBi Fund Performance Update! In this report, we provide an in-depth analysis of the fund's performance over the past month.
Past Performance Video Updates
Further reading
Find out more about managed futures and DBi.
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Opinion: Why More Advisors Should Consider Adding Managed Futures to Portfolios
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Andrew Beer Digs Into DBMF's Performance YTD
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Why Trend Following is Essential for any Portfolio
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The Jack Bogle of Hedge Funds
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Replicating Hedge Fund Strategies with Andrew Beer
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Andrew Beer - Replicating Hedge Fund Beta
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ETF 360: Andrew Beer with DBi on DBMF
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Driving Better Client Outcomes: Futureproof your Strategic Asset Allocation
DBi
DBi is the sub-advisor to the iMGP DBi Managed Futures fund. It specializes in building portfolios that aim to outperform leading hedge funds by identifying, and investing in, the key drivers of pre-fee performance.
Investment strategies
DBi focuses on replicating portfolios of leading hedge funds across three categories: multi-strategy, equity hedge and managed futures. It currently manages four UCITS funds, two US ETFs and other vehicles.
Equity Hedge
Leverages the talent and resources of some of the world’s most sophisticated equity long/short hedge funds to deliver equity-like returns with lower risk over time.
Managed Futures
A proven diversifier with low correlation to equities to target capital protection during periods of market stress.
Multi-Strategy
A diversified portfolio that seeks to match or outperform a diversified portfolio of leading hedge funds across event-driven, relative value and equity long/short strategies.
iMGP Stable Return FundUCITS
The iMGP Stable Return fund seeks absolute returns with a volatility close to 5% over a full market cycle replicating leading Managed Futures and Equity hedge funds. With a 65% allocation to Equity Hedge and 35% to Managed Futures, it is an all-weather strategy offering potential protection during periods of market stress.
SEI Liquid Alternative FundUCITS
The SEI Liquid Alternative fund is an award-winning diversified hedge fund solution that targets absolute returns by replicating the core trades of 70 leading hedge funds. Structured as a UCITS fund, it offers daily liquidity, no minimum investment and competitive fees.
iM Global Partner
We are a global asset management network built on trust, respect and integrity, scouring the globe for the most talented investment companies and individuals. Our clients include institutional investors, financial intermediaries and wealth advisory platforms. Founded in 2013, we have US$45 billion in assets under management (as of 30 September 2024) and operate in 11 global locations.
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