Key Takeaways
- • Andrew Beer, Managing Member of DBi, argues managed futures has evolved beyond its "crisis alpha" reputation, positioning the strategy as a core diversifying allocation rather than pure crisis insurance, per an ETF.com interview with Dave Nadig recorded at the ETF Oasis at Future Proof.
- • Beer cites DBMF, the firm's largest product at roughly $5 billion in assets, which has been available since 2019 and is presented as outperforming most large hedge funds on a net-of-fees basis.
- • Beer contends the traditional stock-bond 60/40 framework has failed as a diversifier, citing a 55% ten-year correlation between the Bloomberg Agg and equities and a 20% drawdown in bonds.
- • Beer says managed futures is the most obvious candidate for a third asset allocation "leg," typically paired with gold, and that managed futures as a category was up 20% in 2022 when stocks and bonds fell together.
- • Beer describes the interview's central question, whether the "terrible until fantastic" perception of managed futures is accurate, as one he answers by conceding the old-school model fits that description and that DBi set out to address it.
Summary
Andrew Beer, Managing Member of DBi, discussed the evolution of managed futures with ETF.com's Dave Nadig at the ETF Oasis at Future Proof. Beer said the strategy earned its "crisis alpha" reputation nearly a decade ago but has since broadened in purpose. He pointed to DBMF, DBi's largest product with about $5 billion in assets, which he said has been in market since 2019 and has outperformed most large hedge funds after fees, with a slightly negative correlation to the S&P 500 and a reported 23% gain in 2022.
On portfolio construction, Beer argued that most advisors now seek a third "leg" beyond stocks and bonds. He said bonds have failed as a diversifier, citing a 55% ten-year correlation between the Bloomberg Aggregate and equities, a return of roughly 70 basis points per year, and a 20% drawdown. He characterized many common diversifiers, including gold, private credit, and crypto, as often highly correlated to stocks or bonds, expensive, or lacking attractive long-term returns. Beer said managed futures, which he described as having close to zero correlation to stocks and bonds over 26 years, is the most natural anchor for that bucket, with gold as a complement.
Beer described managed futures trend-following as systematic positioning across stocks, bonds, currencies and commodities, and said advisors have been gradually reducing bond exposure since 2022, often shifting into private credit. He cited the 2022 period, when stocks and bonds fell together, as evidence for the diversification case, noting managed futures as a category rose 20% that year. On sizing, Beer said investor heterogeneity dominates, and that a combined gold and managed futures allocation may offer the best balance of liquidity and diversification for many clients.
Asked whether the "crisis alpha" perception is accurate, Beer said it is correct for the older managed futures model, and that the firm set out to address that limitation. The interview is a manager's perspective, and the performance figures cited are those stated by Beer and were not independently verified in the source material.
On portfolio construction, Beer argued that most advisors now seek a third "leg" beyond stocks and bonds. He said bonds have failed as a diversifier, citing a 55% ten-year correlation between the Bloomberg Aggregate and equities, a return of roughly 70 basis points per year, and a 20% drawdown. He characterized many common diversifiers, including gold, private credit, and crypto, as often highly correlated to stocks or bonds, expensive, or lacking attractive long-term returns. Beer said managed futures, which he described as having close to zero correlation to stocks and bonds over 26 years, is the most natural anchor for that bucket, with gold as a complement.
Beer described managed futures trend-following as systematic positioning across stocks, bonds, currencies and commodities, and said advisors have been gradually reducing bond exposure since 2022, often shifting into private credit. He cited the 2022 period, when stocks and bonds fell together, as evidence for the diversification case, noting managed futures as a category rose 20% that year. On sizing, Beer said investor heterogeneity dominates, and that a combined gold and managed futures allocation may offer the best balance of liquidity and diversification for many clients.
Asked whether the "crisis alpha" perception is accurate, Beer said it is correct for the older managed futures model, and that the firm set out to address that limitation. The interview is a manager's perspective, and the performance figures cited are those stated by Beer and were not independently verified in the source material.
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