DBMF iMGP DBi Managed Futures Strategy ETF

*Unless otherwise stated, data provided by FactSet.

DBMF Fund Description

DBMF aims to emulate the performance of a group of CTA hedge funds. The funds model allocates weights to derivatives selected by the funds active managers.

DBMF Factset Analytics Insight

DBMFs managed futures offering uses hedge-fund replication techniques aiming to imitate the performance of a group of Commodity Trading Advisor (CTA) hedge funds. CTAs use derivatives to invest across asset classes not just commodities. Similarly, DBMF, uses long and short positions in futures and forwards across asset classes to emulate the returns of a group of CTAs. DBMF does not invest directly in hedge funds. Its an actively-managed ETF that can allocate to a Cayman-based subsidiary for the commodity portion of its exposure. (The Cayman arrangement is not uncommon among alternative or commodity ETFs.) Still, the prospectus emphasizes that allocations to asset classes are made by a model and that the active management is largely confined to selecting the most liquid variants of the derivatives needed. The model includes a volatility target.

PERFORMANCE [as of 09/29/22] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
DBMF 6.08% 3.67% 31.26% 34.42% 14.18% -- --
DBMF (NAV) 5.73% 3.98% 32.71% 34.78% 14.04% -- --
No Underlying Index -- -- -- -- -- -- --
N/A -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

DBMF Summary Data

iM
05/08/19
Open-Ended Fund
0.85%
$908.18M
$18.90M
0.11%

DBMF Portfolio Data

Long/Short Broad-based
7.93%
N/A
--

DBMF Index Data

No Underlying Index
Proprietary
Proprietary
N/A

DBMF Portfolio Management

0.85%
--
--
--

DBMF Tax Exposures

20.00% / 39.60%
4.65%
Ordinary income
No

DBMF Fund Structure

Open-Ended Fund
Yes
No
-- / --
N/A
N/A
Low
Daily

DBMF Factset Analytics Block Liquidity

As of 09/30/22
5
4
3
2
1

This measurement shows how easy it is to trade a $1 million USD block of DBMF. DBMF is rated a N/A out of 5.

DBMF Tradability

591,288
$18.90M
502,825
$14.61M
0.11%
$0.04
0.44%
3.95% / -0.58%
None
100.00%
25,000
20.11
0.04%
--
0
$33.74
N/A

DBMF Asset Allocation

Short
Long
Net
--
--

0.00%

--
--

0.00%

--
--

0.00%

--
--

0.00%

DBMF Top 5 Holdings Long

97.01%
2.99%

DBMF Top 5 Holdings Short

--

DBMF Performance Statistics

34.78%
10.56%
-5.00%
0.13
0.16
-1.01
9.01

DBMF Correlations (Daily Returns 12 Mo)

-0.16
-0.62
0.56