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ETFs

iMGP DBi Managed Futures Strategy ETF

DBMF
$—
Today’s Change
— (—)

Snapshot
*

Inception Date
May 8, 2019
Expense Ratio
0.85%
Type
Global Hedge Fund
Fund Owner
iMGP Global Partner
Volume (1m avg. daily)
$11,678,276
AUM
$904,554,241
Associated Index
None
Inverse/Leveraged
No
Passive/Active
Active
Fractionable on Composer
No
Prospectus
View

Top 10 Holdings

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Derivatives offset
230.75%
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TREASURY BILL
100%
Invest with DBMF
Trade DBMF Options

What is DBMF?

The Fund is a non-diversified actively-managed exchange-traded fund ( ETF ) that does not seek to replicate the performance of a specific index. Rather, the Fund seeks to achieve its objective by: (i) investing its assets pursuant to managed futures strategy (described below); (ii) allocating up to 10% of its total assets in its wholly-owned subsidiary (the Subsidiary ), which is organized under the laws of the Cayman Islands, is advised by the Sub-Adviser (as defined herein), and will comply with the Fund s investment objective and investment policies; and (iii) investing directly in select debt instruments for cash management and other purposes. The Fund s managed futures strategy employs long and short positions in derivatives, primarily futures contracts and forward contracts, across the broad asset classes of equities, fixed income, currencies and, through the Subsidiary, commodities. Fund positions in those contracts are determined based on a proprietary, quantitative model the Dynamic Beta Engine that seeks to identify the main drivers of performance by approximating the current asset allocation of a selected pool of the largest commodity trading advisor hedge funds ( CTA ),

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3M
6M
YTD
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3Y
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DBMF
Performance Measures**

for the time period May 8, 2019 to Dec 4, 2025

Returns

1M Trailing Return: 2.2%

The percent change in the value over the most recent 1-month period.

3M Trailing Return: 9.6%

The percent change in the value over the most recent 3-month period.

Measures of Risk or Volatility

Max Drawdown: -20.4%

The greatest percent loss from peak to trough in value over the time period.

Standard Deviation: 12.3%

The typical amount that daily returns vary from the mean of the returns over the time period, standardized to a period of a year.

Measures of Risk-Adjusted Performance

Sharpe Ratio: 0.69

The annualized arithmetic mean of the daily returns divided by the annualized standard deviation of the daily returns for the selected time period.

Calmar Ratio: 0.40

The annualized return divided by the max drawdown for the selected time period.

ETFs related toDBMF

ETFs correlated to DBMF include TBX, PST, KMLM

DBMF
Manager Directed Portfolios - iMGP DBi Managed Futures Strategy ETF
TBX
ProShares Trust - ProShares Short 7-10 Year Treasury -1x Shares
PST
Invesco Capital Management LLC - PowerShares UltraShort Lehman 7-10 + Year Treasury ProShares -2X Sh
KMLM
KraneShares Trust - KFA Mount Lucas Managed Futures Index Strategy ETF
TMV
Direxion Shares ETF Trust - Direxion Daily 20+ Year Treasury Bear -3X Shares
TBT
Invesco Capital Management LLC - PowerShares UltraShort Lehman 20+ Year Treasury ProShares 2x Shares
TTT
ProShares Trust - ProShares UltraPro Short 20+ Year Treasury -3x Shares
TBF
ProShares Trust - ProShares Short 20+ Year Treasury -1x Shares
CTA
Simplify Exchange Traded Funds - Simplify Managed Futures Strategy ETF
GLL
ProShares Trust - ProShares UltraShort Gold -2x Shares
DUST
Direxion Shares ETF Trust - Direxion Daily Gold Miners Index Bear -2X Shares

What is ETF correlation?

Correlation is a measure of the strength of the relationship between two ETFs. It quantifies the degree to which prices of the two ETFs typically move together.

Here, correlation is measured over the past year with the Pearson correlation coefficient (Pearon’s r), which ranges from -1 to 1.

Using ETF correlations in portfolio and strategy construction

ETF correlations can help you create investing strategies and portfolios. Use them to:

  • •Build a diversified portfolio from uncorrelated or inversely correlated ETFs with the aim of minimizing portfolio risk.
  • •Compare correlated or related ETFs to find one with a lower expense ratio or higher trading volume.
  • •Create an investing strategy that hedges an ETF with an uncorrelated or inversely correlated ETF.

Trading Strategies
Related toDBMF

BEAST MODE - v2 fund surfing custom plus TQQQ custom | SHARED

Category

Tactical rotation, leveraged tech, inverse hedges, volatility filters, trend + mean reversion, Treasuries, managed futures

OOS Cumulative Return

548.06%

V 1.0.0 | 🦠 Dividend Slime | 🧪 Proteus 🧬 | Daily | BT March 30 2022 | 2934% AR, 9.7% MD, 48.5 std. dev, 7.36 Sharpe (Dec13-2022)

Category

Daily tactical, leveraged ETFs, trend following, mean reversion, volatility hedging, managed futures, regime switching

OOS Cumulative Return

360.73%

Create your own algorithmic trading strategy with DBMF using Composer

FAQ

DBMF is a Global Hedge Fund ETF. The Fund is a non-diversified actively-managed exchange-traded fund ( ETF ) that does not seek to replicate the performance of a specific index. Rather, the Fund seeks to achieve its objective by: (i) investing its assets pursuant to managed futures strategy (described below); (ii) allocating up to 10% of its total assets in its wholly-owned subsidiary (the Subsidiary ), which is organized under the laws of the Cayman Islands, is advised by the Sub-Adviser (as defined herein), and will comply with the Fund s investment objective and investment policies; and (iii) investing directly in select debt instruments for cash management and other purposes. The Fund s managed futures strategy employs long and short positions in derivatives, primarily futures contracts and forward contracts, across the broad asset classes of equities, fixed income, currencies and, through the Subsidiary, commodities. Fund positions in those contracts are determined based on a proprietary, quantitative model the Dynamic Beta Engine that seeks to identify the main drivers of performance by approximating the current asset allocation of a selected pool of the largest commodity trading advisor hedge funds ( CTA ),

Yes, DBMF is actively managed. In an actively managed fund, the fund manager makes decisions about how funds are invested. A passively managed fund typically tries to track or follow a market index.

No, DBMF is not passively managed. It is actively managed. A passively managed fund typically tries to track or follow a market index. In an actively managed fund, the fund manager makes decisions about how funds are invested.

The 1-month return on DBMF is 0.0318%. This is the percent change in the value of DBMF over the most recent 1-month period. The 3-month return on DBMF is 0.0374%. This is the percent change in the value of DBMF over the most recent 3-month period.

The standard deviation of DBMF for the past year is 0.1416%. Standard deviation is the typical amount that the daily returns vary from the mean of the returns over the time period, standardized to a period of a year.

ETFs similar to DBMF include PFF, PGF, and PGX.

ETFs correlated to DBMF include TBX, PST, and KMLM.

ETFs that are inversely correlated to DBMF include IBTI, IBTJ, and IBTH.

Disclaimers

*

We show information directly obtained from our data provider, Xignite. Data shown here is provided by Xignite, an unaffiliated third party. Composer believes the information shown here is reliable, but has not been verified and there is no guarantee that the information is accurate.

**

We show information based on calculations performed by Composer using data from our provider. Information provided here is based on calculations performed by Composer using data sourced from Xignite, an unaffiliated third party. Composer believes this information is reliable, but has not verified the data and there is no guarantee that the calculations are accurate.