The distinctive feature of the iMGP DBi Managed Futures Fund is that DBi is not running a conventional standalone trend-following model. Instead, the strategy uses hedge fund replication to approximate the aggregate positioning of a basket of leading managed futures managers. The aim is therefore to capture the common return drivers of the CTA peer group rather than depend on the signal architecture of a single manager.
AltETF tracks the USD reference ETF share class. Across all ETF share classes, the strategy had approximately £243m in assets as of 10 September 2026.
The process starts with the recent realised performance of a representative group of managed futures funds. DBi then adjusts those returns for estimated hedge fund fees and expenses to approximate the underlying pre-fee strategy returns. A multi-factor model is used to infer the exposures that best explain that performance across the principal futures markets, including equities, fixed income, currencies and commodities. Those estimated exposures are then implemented through highly liquid futures contracts, with the portfolio subsequently adjusted as new return data alters the model’s assessment of the peer group’s positioning.
This creates an important distinction for allocators. The fund is systematic, but it is not simply another trend model: its portfolio is indirectly informed by the collective positioning of other CTA managers. DBi describes the objective as capturing the major positions of a selection of CTAs while reducing the dispersion associated with selecting an individual manager. The resulting exposure should therefore be considered closer to a dynamically replicated managed-futures peer group than a traditional single-manager CTA mandate.
Implementation is comparatively straightforward once the target exposures have been estimated. The strategy uses listed futures rather than allocating directly to underlying hedge funds, which provides daily liquidity and avoids incentive fees at the underlying-manager level. The SG CTA Index is used as a reference comparator, but the fund is actively managed and DBi’s portfolio construction is not constrained by that index. For due diligence, the central question is therefore less whether DBi can identify individual trends correctly and more whether its factor model can continue to recover the economically important exposures embedded across the broader CTA universe.