DBi’s Post

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.

Must read for asset management wonks from Steve Johnson of the Financial Times. Key stats: - US model portfolios are $5.1 Tr going to $11.3 Tr by the end of 2028. - #etfs now comprise 51%. - ETF only portfolios have grown 31% in two years while #mutualfund only portfolios have shrunk 8%. #hedgefund ETFs are essentially a greenfield opportunity. For instance, per the stats above, #cta ETFs, which have arguably greater diversification benefits than any other strategy, represent less than 0.01% of the model world. Similar stats apply to other strategies. Could be quite a decade for the likes of pioneers like Simplify Corey Hoffstein MOUNT LUCAS MANAGEMENT LP Man Group Jerry Parker WisdomTree Asset Management First Trust Bob Elliott And our partners at iM Global Partner Strap in!y ETFs surge to dominant position in US model portfolios https://on.ft.com/3Q4aK02

DUNN Capital Management, LLC, the winner of HedgeWeek Best CTA of 2023 award, and one of the oldest managed futures firms in the industry with a track record stretching back almost 50 years, offers fully systematic, quantitative, and statistical trading strategies. Jenny Kellams the firm’s Director for Investment Strategy discusses some of the current challenges and opportunities in the sector… Read the full article 'Pioneering quantitative techniques while invigorating focus on research and technology' here: https://zurl.co/YOru

💡 Our latest EY research forecasts 15% annual growth for the European ETF market over the next five years, which is predicted to reach over $4.5 trillion by 2030.   I discussed our research, including how AI is reshaping the asset management industry, with Fiona N. in this ETF Express article - reach out to me if you have any questions or would like to discuss the findings in more detail #ETFs #AssetManagement #BetterWorkingWorld

'...the average manager is expected to underperform an index fund because most asset managers underperform index funds... Why can’t advisers and consultants accept the truth about outperformance? Because they fear it will lead to their obsolescence. It is a great irony, therefore, that the opposite is true. Once we let go of the outperformance obsession, we can add extraordinary value for our clients. Clients need us to hone their investment objectives, calibrate their risk tolerance, optimize the deployment of their capital, and maintain strategic continuity. By spending less time on unnecessary tweaks of portfolio allocations, the constant hiring and firing of managers, and unnecessary forays into esoteric asset classes, we can better serve our clients by focusing on what really matters.' https://lnkd.in/gSuVxwwv

Introducing the TCM ETF Model Portfolio. Based on our proprietary technical and macro research along with qualitative analysis on ETFs https://lnkd.in/eNmp8xDh

Performance does persist… but always ask why. "Studies have shown that fund managers with a distinct approach to a given strategy are more likely to display persistence... a convertible arbitrage manager who employs a unique strategy implementation is more likely to display persistence – good or bad" (CAIS, Performance Persistence, 2021). Our takeaway that we see repeated across our emerging manager partnerships: back specialists with distinct strategies that bring a different approach to a common problem. https://lnkd.in/eqjqvssb Stable #legendsoftomorrow #pe #hf #alternatives