Key Takeaways
- • DBi has launched Europe's first ETF designed to replicate the performance of managed futures hedge funds, the Paris-listed iMGP DBi Managed Futures Fund R USD ETF, according to a report by the FT.
- • The ETF carries an expense ratio of 0.75% and is modelled on DBMF, the $1.1bn US-listed iMGP DBi Managed Futures Strategy ETF, with a London listing expected to follow.
- • US managed futures ETFs have grown tenfold since 2020 to $2.9bn across nine funds, per the report, while CTAs managed $339bn at the end of 2024 according to BarclayHedge.
- • Since inception, DBMF has returned an average annual 7.3%, versus 5.3% for the SG CTA Index, which the report attributes partly to hedge fund fee drag.
Summary
DBi has launched what is described as Europe's first exchange-traded fund designed to replicate the performance of managed futures hedge funds, at a lower cost than the hedge fund vehicles it tracks. According to a report by the Financial Times, the Paris-listed iMGP DBi Managed Futures Fund R USD ETF is modelled on DBMF, the $1.1bn iMGP DBi Managed Futures Strategy ETF listed in the US. A London listing is expected to follow. The fund carries an expense ratio of 0.75%.
The launch comes amid growing investor interest in managed futures and trend-following strategies. BlackRock recently entered the US market with its own managed futures ETF, and Invesco and Fidelity have filed plans for similar funds. Andrew Beer, co-founder of DBi and co-manager of the fund, said that "managed futures ETFs are becoming a major force in the US" and described the strategy as "one of the few alternative strategies with clear diversification benefits."
Managed futures have traditionally been dominated by hedge funds, which charge higher fees and restrict access to institutional investors. According to BarclayHedge, CTAs managed $339bn in assets at the end of 2024, although asset growth has stalled over the past decade. Mutual funds and ETFs have eroded that dominance: according to Morningstar, US-domiciled managed futures mutual funds hold $15.2bn, up 20% since 2020, while European counterparts manage $13.2bn. US managed futures ETFs have grown from a small base to $2.9bn across nine funds. AQR, Winton, Man AHL, Pimco and Deka are among the major providers of systematic trend-following UCITS funds in Europe.
JPMorgan previously ran a similar ETF in Europe but closed it in 2020. The report notes that the only comparable alternative currently available is Kronos Strategy ETP Securities, which focuses solely on US equity futures. DBMF seeks to replicate the pre-fee performance of a representative basket of managed futures hedge funds, including those run by AHL and AQR. It uses an algorithm to estimate CTA positioning from daily performance and executes trades via futures on gold, oil, the yen, the euro, US Treasuries and the S&P 500. Since inception, DBMF has delivered an average annual return of 7.3%, compared with 5.3% for the SG CTA Index, which the report says is weighed down by higher hedge fund fees.
The launch comes amid growing investor interest in managed futures and trend-following strategies. BlackRock recently entered the US market with its own managed futures ETF, and Invesco and Fidelity have filed plans for similar funds. Andrew Beer, co-founder of DBi and co-manager of the fund, said that "managed futures ETFs are becoming a major force in the US" and described the strategy as "one of the few alternative strategies with clear diversification benefits."
Managed futures have traditionally been dominated by hedge funds, which charge higher fees and restrict access to institutional investors. According to BarclayHedge, CTAs managed $339bn in assets at the end of 2024, although asset growth has stalled over the past decade. Mutual funds and ETFs have eroded that dominance: according to Morningstar, US-domiciled managed futures mutual funds hold $15.2bn, up 20% since 2020, while European counterparts manage $13.2bn. US managed futures ETFs have grown from a small base to $2.9bn across nine funds. AQR, Winton, Man AHL, Pimco and Deka are among the major providers of systematic trend-following UCITS funds in Europe.
JPMorgan previously ran a similar ETF in Europe but closed it in 2020. The report notes that the only comparable alternative currently available is Kronos Strategy ETP Securities, which focuses solely on US equity futures. DBMF seeks to replicate the pre-fee performance of a representative basket of managed futures hedge funds, including those run by AHL and AQR. It uses an algorithm to estimate CTA positioning from daily performance and executes trades via futures on gold, oil, the yen, the euro, US Treasuries and the S&P 500. Since inception, DBMF has delivered an average annual return of 7.3%, compared with 5.3% for the SG CTA Index, which the report says is weighed down by higher hedge fund fees.
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