DBi

At The Money: Diversifying with Managed Futures ETFs | Masters in Business [PODCAST]

RLT-Sam — Wed, 04 Mar 2026 15:59:41 +0000

Lots of asset classes promise uncorrelated returns, but few deliver. One that does is managed futures. Sure, they are expensive and spikey, but when all correlations go to 1 – meaning everything is trading in lockstep, as we saw during the GFC and Covid – they seem to be the rare diversifier that works.

Andrew Beer is a hedge fund veteran and founder of Dynamic Beta Investments, a firm focused on hedge-fund replication strategies delivered through low-cost, liquid vehicles like ETFs and mutual funds. His ETF, DBi Managed Futures Strategy (DBMF) attempts to replicate pricier managed futures portfolios.

Each week, “At the Money” discusses an important topic in money management. From portfolio construction to taxes and cutting down on fees, join Barry Ritholtz to learn the best ways to put your money to work.

Listen below!

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Why Managed-Futures Funds Are Here to Stay, Says DBi’s Andrew Beer

RLT-Sam — Mon, 23 Feb 2026 18:42:34 +0000

The year started off with a bang. US President Donald Trump’s threats to take over Greenland and impose related tariffs on European countries rattled markets, sending gold to a record high of almost $5,000 per troy ounce, while the dollar plunged. At the same time, Japanese government bond yields soared as a plan to cut taxes and increase spending triggered anxiety about one of the world’s most heavily indebted governments

Read the full article on Morningstar.

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Top Traders Unplugged – Episode 387 The Cost-Benefit of Being Trendy ft. Andrew Beer & Tom Wrobel [PODCAST]

RLT-Sam — Wed, 18 Feb 2026 15:08:11 +0000

Today, we examine a year that looked chaotic but felt familiar to trend followers. Gold surged, equities rotated globally, and non-US markets quietly gained momentum. Yet beneath strong returns lies a deeper debate about model design, short versus long horizon signals, and whether innovation in liquid alternatives serves investors or sales desks. From AI disruption to product engineering and allocator behavior, this episode explores where systematic strategies truly create value and where structural incentives distort outcomes. In a changing macro regime, clarity of purpose may matter more than ever

Listen below!

The post Top Traders Unplugged – Episode 387 The Cost-Benefit of Being Trendy ft. Andrew Beer & Tom Wrobel [PODCAST] appeared first on DBi.

Round Table Discussion: Managed Futures/CTA

RLT-Sam — Tue, 06 Jan 2026 15:57:54 +0000

Some of the world’s leading CTAs gather in Stockholm to dissect a turbulent year, explore widening strategy dispersion and consider what resilience looks like in an age of political shocks and unstable regimes.

Read the full article on HedgeNordic.

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Excess Returns: Why Most Investors Won’t Buy the Best Diversifier | Andrew Beer on Managed Futures [PODCAST]

DBi — Wed, 10 Dec 2025 21:23:54 +0000

In this episode of Excess Returns, we sit down with Andrew Beer to break down managed futures, hedge fund replication, diversification, and what investors can realistically expect from these alternative strategies. Andrew explains why managed futures can act like a “cloudy crystal ball,” how trend strategies capture major macro shifts, why complexity isn’t always your friend, and how advisors can communicate these concepts to clients. We also explore fees, model portfolios, allocation decisions, global macro themes, and what smart-money positioning looks like heading into 2025.

Listen below!

The post Excess Returns: Why Most Investors Won’t Buy the Best Diversifier | Andrew Beer on Managed Futures [PODCAST] appeared first on DBi.

HedgeNordic: The Awkward Problem with Managed Futures ETFs

RLT-Sam — Mon, 01 Dec 2025 17:04:16 +0000

In both 2024 and 2025 (through July), managed futures ETFs materially outperformed more expensive hedge funds and mutual funds. Cumulatively over the past 19 months, the average ETF has outperformed hedge fund and mutual fund peers by a rather staggering 730 bps and 900 bps, respectively. Through a different lens, 85% of ETFs outperformed in 2024 and 90% are doing so this year.

Read the full article on Hedge Nordic.

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etfexpress: Simplify set to launch index-based DBMF clone

RLT-Sam — Mon, 01 Dec 2025 17:00:47 +0000

The Simplify DBI CTA MF Index ETF will be a cheaper, index-based clone of the original ETF, with fees of 35 basis points, against the original’s 85 basis points, and will be Swap-based rather than trading futures directly.

DBi’s managing member, Andrew Beer, says: “Simplify tells me their vision is to bring the index revolution to a hedge fund strategy with undeniable diversification benefits.” He believes that the Swap route may even bring a further tax efficiency for investors

Read the full article on etfexpress.

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What They’re Only Now Starting to See ft. Andrew Beer [PODCAST]

RLT-Sam — Mon, 01 Dec 2025 16:54:25 +0000

In this week’s Systematic Investor episode, Niels and Andrew Beer explore how a broken 60/40 paradigm is forcing wealth managers into a new world of “other” diversifiers. Andrew reflects on the Goldman Sachs report about private wealth flows, the rise of liquid alts and why big houses are suddenly launching trend ETFs.

Listen below!

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Built to Scale – A Structural Look at DBi’s Approach

RLT-Sam — Tue, 30 Sep 2025 15:37:55 +0000

Executive Summary

The capacity of a strategy is an important question in asset management, often tied to the strategy’s ability to scale without materially impacting returns. Investment strategies, whether in private or public markets, encounter diminishing alpha as assets under management (AUM) grow. However, not all strategies are equally capacity constrained. In this paper, we will outline how our research shows that conventional fund capacity limitations have minimal impact on DBi strategies, and why scaling does not impair the opportunity set.

Key Considerations

Regulatory Limits

A common constraint for funds which invest in futures markets comes from exchange-imposed position limits, which are hard caps that restrict how many contracts a single entity can hold in a given futures market. For many large-scale trading strategies, particularly those with concentrated directional exposures or heavy reliance on niche contracts, these caps are the primary factor restricting capacity.

Hard position limits in contracts like Live Cattle or Lumber impose strict ceilings on the number of contracts a single participant can hold, regardless of their capital base or trading rationale. For a large fund, these caps can quickly become binding capacity constraints. For example, in Live Cattle, the hard cap of ~6,300 contracts translates to roughly $550 million notional exposure¹. Once a fund reaches that position size, it cannot add more risk without breaching exchange rules. This forces portfolio managers to scale back, spread risk into less optimal instruments, or avoid building meaningful exposure in these markets altogether. The result is that such hard-capped products are often impractical for larger funds, even if the market opportunity is attractive, because regulatory limits prevent deploying capital at scale.

By contrast, the contracts DBi utilizes are governed not by hard caps but by reporting thresholds. Reporting allows for much greater flexibility: once a threshold is reached, the exchange may request justification, but does not impose a hard limit on positioning. As a result, DBi is not constrained by regulatory position limits and can continue to build and scale positions as AUM grows.

Liquidity

DBi’s hedge fund replication strategies invest in highly liquid, futures contracts, with deep markets and robust daily volumes, traded on major US exchanges. This structure not only allows for daily liquidity by enabling investors to enter and exit with minimal friction but also supports substantial scalability. The underlying futures markets for equity indices, interest rates, currencies, and commodities can absorb multi-billion-dollar institutional flows, ensuring that DBi can implement large allocations without materially impacting market prices or execution quality. This level of liquidity also translates into meaningful capacity advantages over traditional hedge funds. Because DBi does not utilize less liquid instruments like credit, privates, or esoteric futures markets, our models can scale efficiently while maintaining tight correlations to the targeted hedge fund exposures. The table below shows the instruments DBi trades and the corresponding 30-day average daily volume (ADV).

Shadow Liquidity

When assessing the scalability of a trading strategy, especially one that operates in futures markets, traditional measures of liquidity such as ADV or visible order book depth often provide an incomplete picture. Shadow liquidity refers to the hidden or off-screen liquidity that exists beyond the volume in the futures market itself. Shadow liquidity is important for futures contracts which do not have a reference benchmark.

For example, cattle futures typically exhibit higher on-screen trading volume than S&P 400 MidCap futures, this does not necessarily imply greater true liquidity. While cattle contracts are actively traded, with tight bid/ask spreads in the front months, they lack a standardized reference index, which limits the ability of market makers or institutions to hedge or arbitrage effectively. In contrast, S&P 400 MidCap futures, though less actively traded on screen, are tied to a well-defined benchmark index and are supported by a broader ecosystem of liquidity providers. Institutions can price and hedge these futures against ETFs, index baskets, and swaps, allowing for arbitrage strategies and off-screen liquidity. This structural support creates a hidden layer of liquidity that can absorb larger trades with less slippage, even if it's not reflected in visible volume.

Instruments without a reference benchmark can also exhibit substantial shadow liquidity when there is active arbitrage with related markets. This liquidity is not always visible on-screen but emerges through dynamic linkages with spot, ETF, swap, and forward markets. Take the Australian dollar contract as an example: while it may trade around $5 billion in average daily futures volume, the broader ecosystem, including spot FX, forwards, swaps, and ETFs, supports an estimated $155 billion in total effective liquidity. This cross-market depth allows for execution of large futures positions with less slippage than visible volume would suggest, demonstrating that benchmark-linked pricing isn’t the only path to meaningful off-screen liquidity in futures. The table below presents the estimated daily trading volume of linked markets for deliverable futures for which DBi trades.

Transaction Costs

Liquidity examines the potential scale at which a strategy can operate, but accessing it efficiently is only part of the equation. The real-world cost of interacting with this liquidity particularly as order sizes grow brings transaction costs into focus. Even in highly liquid markets like futures, the manner in which trades are executed can significantly influence realized performance. As a strategy scales, transaction costs become a more prominent consideration. DBi partners with BestEx Research (BER) to give investors access to advanced trading algorithms that minimize implicit costs. After a two-year evaluation of competing solutions in which each algorithm targeted the settlement price, DBi found that BER’s algorithms delivered positive trading alpha versus the two next-best alternatives, and more than 90 basis points annually relative to settlement prices.

Source: DBi, Bloomberg & DBi calculations. Execution evaluation period of February 2021 – December 2022. The y-axis shows an index value of cumulative differences between execution prices and settlement prices. An index level of 100 reflects the starting reference point, with values above or below 100 representing relative differences over time. The chart does not represent actual investment returns, nor should it be interpreted as indicative of future performance.

Conclusion

Fund capacity is a critical consideration in asset management, particularly for strategies whose alpha degrades as assets grow, such as statistical arbitrage, discretionary macro, or capacity-constrained CTAs. DBi’s approach is fundamentally different. The alpha is not derived from short-lived inefficiencies or directional forecasting, but from fee disintermediation by systematically replicating core hedge fund exposures through highly liquid futures contracts. In doing so, we advance our goal to deliver hedge fund like returns with significantly lower cost.

While the precise capacity of any futures-based strategy is difficult to define, especially given the role of shadow liquidity and cross-market depth, we are confident that the capacity of DBi’s strategies is substantially higher. This confidence is grounded not only in theory, but in practice. Unlike traditional CTAs, DBi’s strategies do not require holding hundreds of different markets or forecasting marginal price movements. Instead, we focus on liquid exposures where structural liquidity is both deep and resilient.

Importantly, capacity is not a static metric, it requires ongoing diligence. At DBi, we continuously research and monitor trading impact, market structure, and execution performance to ensure that no degradation occurs as assets grow. This includes systematic reviews of fill quality, slippage versus benchmarks, and observed versus expected market impact.

DBi has carefully struck a balance between selecting factors that are relevant for replication and ensuring the underlying instruments offer sufficient liquidity to support scalable execution. As assets under management scale, DBi’s strategies continue to operate efficiently across the same core instruments, preserving both performance and the investor experience.

Disclosures Past performance does not guarantee future results. This communication is prepared and circulated for informational purposes only and shall not constitute an offer to sell or the solicitation of an offer to purchase any fund or programs. The information herein is not intended to provide, nor should be construed as, financial advice. The information set forth herein is provided for discussion purposes only, does not purport to be complete, is only a summary of key information and does not contain certain material information about the products managed or sub-advised by DBi. Amounts set forth in this communication and any attachments hereto are estimated and unaudited, have not been independently verified and are subject to change. Information and data presented includes information that has been obtained from sources that are believed to be reliable but DBi presents no guarantee as to that reliability.

¹ CME Position Limits and Reportable Levels.

² Currencies estimated using their share of Global FX Volume. Global FX Volume. BIS (2022), total daily FX volume is ~$7.5 trillion.

Crude oil estimated by using the combined futures contract volumes of Brent and WTI and applying a proportional multiplier for spot, OTC, and other markets using Gold’s proxies.

Gold estimated by World Gold Council.

SOFR estimated using CMEand OFR

Treasury interest rates estimated using CME futures volume, SIFMA and Treasury TRACE reports, and applying a proxy multiplier using SOFR for other instruments.

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Multi-Strat Mutual Fund Musical Chairs

DBi — Fri, 26 Sep 2025 13:54:59 +0000

Multi-Strat Mutual Fund Musical Chairs

Multi-strat mutual funds were supposed to offer predictable diversification benefits to wealth managers. Yet uneven results and disappointing overall performance has prompted allocators to shift in and out of funds over time. This graphic shows the evolution of the space over time.

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