iMGP DBi Managed Futures Strategy ETF

DBMF

Market cap $1.96B

The iMGP DBi Managed Futures Strategy ETF has delivered nearly 10% gains in two months, outperforming as a low-correlation portfolio diversifier. DBMF's strong 2025 performance can probably be best attributed to long positions in shorter-duration US government bonds. While DBMF isn't a perfect hedge, its uncorrelated returns make it a valuable component in a diversified, risk-adjusted portfolio strategy.

DBMF offers retail investors access to CTA-like strategies, aiming for low cost. While DBMF's returns lag world indices and classic 60-40 portfolios, its negative correlation might be the real added value. And this kind of hedging is built right into the trend-following strategies or derivatives of CTAs.

iMGP DBi Managed Futures Strategy ETF offers diversified futures exposure with low correlation to stocks and bonds, making it a compelling alternative for portfolio risk reduction. Despite recent underperformance, DBMF provides a robust 5.6% yield on a TTM basis and competitive fees compared to peer managed futures strategies. The ETF's active management and liquidity allow for flexible positioning, but investors should expect variable returns and distributions.

Investors should consider applying hedging techniques to their equity portfolio to reduce overall volatility.

Diversifying portfolios with hedging positions can better weather market disruptions compared to solely relying on equities. The iMGP DBi Managed Futures Strategy ETF failed to provide expected support during recent market turmoil for reasons that I explore in this article. Investors should not rely on a single ETF for portfolio protection; combining VIXY, BTAL, and managed futures ETFs like DBMF offers more robust hedging.

Combining a managed futures fund with the S&P 500 and a treasury fund can yield superior risk-adjusted returns compared to a traditional 60/40 portfolio. The iMGP DBi Managed Futures Strategy ETF aims to replicate the performance of leading managed futures hedge funds using a proprietary, quantitative model. DBMF's unique asset allocation process and historical performance make it a strong candidate for diversification, with low correlations to the S&P 500 and US treasuries.

ETFs expanded their market share in recent years by bringing mutual and hedge fund strategies to a wider variety of investors. Taking strategies previously locked behind high entry fees and significant management fees, ETFs work to broaden the investing playing field.

The DBMF ETF has a low expense ratio (0.85%) and has outperformed peers with 7.5% annualized returns since inception, despite periodic blow-ups. Managed Futures strategy offers portfolio diversification, but DBMF's 'Dynamic Beta Engine' can suffer during volatile markets due to its reactionary lag. Looking forward, I am concerned about increased market volatility under President Trump, as he is set to impose significant tariffs on America's trading partners.

Alternatives continue to garner interest and portfolio allocations as investors look beyond stocks and bonds in ongoing volatility. Managed futures, once relegated to a somewhat niche corner of the options and liquid alts market, now enjoy greater investor uptake through ETFs like the iMGP DBi Managed Futures Strategy ETF (DBMF).

DBMF ETF has experienced a significant drawdown, losing over 10% since July 1st, wiping out most YTD gains. I believe DBMF's strategy is flawed because it uses backward-looking regression analysis that leads to crowded macro trades prone to blow-up. DBMF ETF currently has a positive correlation with equities and may not provide the portfolio diversification benefits of other CTA funds.