DBi’s Post

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Andrew Beer and his team at DBi, which is part of asset management network iM Global Partner, believe that trend-following managed futures are the most valuable diversifier for a portfolio of stocks and bonds. Since 2000, the SG CTA Index has demonstrated strong relative returns, low correlation to equities and bonds, and the ability to deliver positive returns during periods of market stress. Attracted by these return properties, Beer and Mathias Mamou-Mani have designed a strategy – available via both a U.S.-listed ETF and a Europe-domiciled UCITS structure – that replicates the performance of the world’s leading trend-following managers in a more cost-efficient and accessible manner, while also addressing the issue of single-manager risk. The replication strategy involves identifying the core positions of a representative basket of top trend-following managers and then investing in the most liquid futures contracts to achieve comparable exposure. “We are not building our own models to compete with these experts because they are all incredibly smart,” contends Andrew Beer. “Yet, when you look at the space statistically, none of them is consistently smarter than everybody else.” Therefore, DBi’s replication approach aims to mirror the positions of the 20 “all-stars” in the SG CTA index by analyzing approximately four weeks of average daily net returns.