iM DBi Managed Futures Strategy ETF

C000207161 Fund Overview

iM DBi Managed Futures Strategy ETF is a US ETF managed by Manager Directed Portfolios, categorised as Commodity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US ETF
• Manager: Manager Directed Portfolios
• Category: Commodity
• Assets under management: $53.88M
• 1-year return: 16.8%
• SEC CIK: 0001359057
• SEC series ID: S000064047
• Share class ID: C000207161

C000207161 Investment Objective and Strategy

iM DBi Managed Futures Strategy ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Manager Directed Portfolios.

Investment objective

The iM DBi Managed Futures Strategy ETF (the Fund) seeks long-term capital appreciation.

Principal investment strategy

The Fund is a non-diversified, actively-managed exchange-traded fund (ETF) that seeks to achieve its objective by: (i) investing its assets pursuant to a managed futures strategy (described below); (ii) allocating up to 20% of its total assets in its wholly-owned subsidiary (the Subsidiary), which is organized under the laws of the Cayman Islands, is advised by the Sub-Adviser (as defined herein), and will comply with the Funds investment objective and investment policies; and (iii) investing directly in select debt instruments for cash management and other purposes. The Funds managed futures strategy employs long and short positions in derivatives, primarily futures contracts and forward contracts, across the broad asset classes of equities, fixed income, currencies and, through the Subsidiary, commodities.

Fund positions in those contracts are determined based on a proprietary, quantitative model the Dynamic Beta Engine that seeks to identify the main drivers of performance by approximating the current asset allocation of a selected pool of the largest commodity trading advisor (CTA) hedge funds, which are hedge funds that use futures or forward contracts to achieve their investment objectives. The Dynamic Beta Engine analyzes recent historical performance in order to estimate the current asset allocation of a selected pool of the largest CTAs. The Sub-Adviser relies exclusively on the model and does not have discretion to override the model-determined asset allocation or portfolio weights. The Sub-Adviser will periodically review whether instruments should be added to or removed from the model in order to improve the models efficiency.

The models asset allocation is limited to asset classes that are traded on U.S.-based exchanges. Based on this analysis, the Fund will invest in an optimized portfolio of long and short positions in domestically-traded, liquid derivative contracts selected from a pool of the most liquid derivative contracts, as determined by the Sub-Adviser. Futures contracts and forward contracts are contractual agreements to buy or sell a particular currency, commodity or financial instrument at a pre-determined price in the future. The Fund takes long positions in derivative contracts that provide exposure to various asset classes, sectors and/or markets that the Fund expects to rise in value, and takes short positions in asset classes, sectors and/or markets that the Fund expects to fall in value. Currently, the Fund expects to limit its investments to highly-liquid, domestically-traded contracts that the Sub-Adviser believes exhibit the highest correlation to what the Sub-Adviser perceives to be the core positions of the target hedge funds.

Such core positions are generally long and short positions in domestically-traded derivative contracts viewed as highly liquid by the Sub-Adviser. The Fund may have gross notional exposure, which is defined as the sum of the notional exposure of both long and short derivative positions across the Fund, that approximates the current asset allocation and matches the risk profile of a diversified pool of the largest CTAs. The Investment Company Act of 1940, as amended (the 1940 Act), and the rules and interpretations thereunder, impose certain limitations on the Funds ability to use leverage. Under normal market conditions, the Sub-Adviser, on average, will target an annualized volatility level for the Fund of 8-10%. The Sub-Adviser will, in an effort to reduce certain risks ( e.g., volatility of returns), limit the Funds gross notional exposure on certain futures contracts whose returns are expected to be particularly volatile.

In addition to these specific exposure limits, the Sub-Adviser will use quantitative methods to assess the level of risk for the Fund. The Fund intends to gain exposure to commodities through its investments in the Subsidiary and may invest up to 20% of its total assets in the Subsidiary. Generally, the Subsidiary will invest primarily in commodity futures, but it may also invest in financial futures, fixed income securities, pooled investment vehicles, including those that are not registered with the SEC under the 1940 Act, and other investments intended to serve as margin or collateral for the Subsidiarys derivative positions. Unlike the Fund, the Subsidiary may invest without limitation in commodity-linked derivative instruments; however, the Subsidiary complies with the same 1940 Act asset coverage requirements with respect to its investments in commodity-linked derivatives that are applicable to the Funds transactions in derivatives.

In addition, to the extent applicable to the investment activities of the Subsidiary, the Subsidiary will be subject to the same fundamental investment restrictions and will follow the same compliance policies and procedures as the Fund. Unlike the Fund, the Subsidiary will not seek to qualify as a regulated investment company (RIC) under Subchapter M of the Internal Revenue Code of 1986, as amended (the Code). The Fund is the sole investor in the Subsidiary and does not expect shares of the Subsidiary to be offered or sold to other investors. In addition to its use of futures and investment in the Subsidiary, the Fund expects, under normal circumstances, to collateralize its derivative investments, for liquidity purposes, or to enhance yield, to invest a large portion of the portfolio in debt securities.

The Fund may hold fixed income instruments of varying maturities, but that have an average duration of less than one year. In particular, the Fund may hold government money market instruments, such as U.S. Treasury securities and U.S. government agency discount notes and bonds with maturities of two years or less. Since the Fund is non-diversified, it may invest a greater percentage of its assets in a particular investment or issuer than a diversified fund.

C000207161 Performance

Total returns for C000207161 (as of 2026-10-01), from SEC filings.

C000207161 Risk Information

Risk metrics for C000207161, derived from monthly returns in SEC filings.

• 1-year volatility (annualised): 8.5%

C000207161 Costs and Fees

C000207161 costs about $85 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.85%
• Gross expense ratio: 0.85%

C000207161 Cashflows

Over the 12 months to 2021-06, iM DBi Managed Futures Strategy ETF had net inflows of $59.53M, from monthly SEC N-PORT filings.

C000207161 Debt Constituents

No individual debt constituents are reported in iM DBi Managed Futures Strategy ETF's latest SEC N-PORT filing.

C000207161 Prospectus and SEC Filings

Official iM DBi Managed Futures Strategy ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2021-04-29
• Prospectus (485BPOS) — filed 2020-05-07
• Prospectus (485BPOS) — filed 2019-05-14
• Portfolio holdings (N-PORT) — filed 2021-08-23
• Portfolio holdings (N-PORT) — filed 2021-05-27
• Portfolio holdings (N-PORT) — filed 2021-02-26
• Annual census (N-CEN) — filed 2021-03-16
• Annual census (N-CEN) — filed 2020-03-12

Related Funds

Other Commodity funds tracked on ABC INVEST:

• VanEck Vectors Gold Miners ETF (GDX)
• VanEck Vectors Junior Gold Miners ETF (GDXJ)
• Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)
• PIMCO CommoditiesPLUS Strategy Fund (PCLAX)
• First Eagle Gold Fund (SGGDX)

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.