One of the best performing categories of the exchange-traded fund industry in 2022 eclipsed a key milestone this week, as the iMGP DBi Managed Futures Strategy ETF (DBMF) topped $1 billion in assets under management Managed futures strategies , which go short and long various contracts to make large macro bets, are one of the best performing sectors of funds in 2022. The big swings in stocks and commodities like oil have created something of a target-rich environment for the hedge funds and other vehicles like ETFs that operate in this space. In turn, that has attracted investors who have been desperate to find some way to diversify their portfolios as both the stock and bond markets have been routed. The iMGP DBi fund, which is up about 33% year to date , has seen inflows of more than $900 million this year, according to FactSet. The fund is by far the largest managed futures ETF, according to VettaFi. The iMGP DBi ETF aims to serve as something of an index fund that tracks the positions of a broad group of large managed futures hedge funds, according to Andrew Beer, founder and managing member of Dynamic Beta investments and co-manager of the fund. Beer, who previously worked at Seth Klarman’s Baupost Group, said the purpose of the ETF is not to make his own macro calls but to aggregate hedge fund positions. It uses performance data from hedge funds to derive the positions likely held by large funds in key futures contracts, such as stocks, gold and oil. “They have models to decide whether crude oil is going to go up or down. Our model says how much crude oil do they own or not,” said Beer. Before this year, the ETF’s hedge fund-like strategy and small size made it difficult to attract new investors, Beer said. “The early adopters of this ETF were guys who really loved this space but had had bad experiences,” Beer said. The goal of the fund is to limit the manager-specific risk that could come with investing in a traditional managed futures strategy and also simplify the diversification process for financial advisors, Beer said. “It’s like if you want emerging markets, you don’t want to pick a single stock. You want the space,” Beer said. The fund, which was launched in 2019, also had positive returns in 2020 and 2021. It has a total expense ratio of 0.85%. Beer said its weekly rebalancing and focus on only the largest, most-liquid futures contracts helps to keep transaction fees low.
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