iMGP Hedge Strategy ETF
Data updated: 2024-08-20
C000229358 — iMGP Hedge Strategy ETF. Long-Short · $17.64M AUM · 0.85% expense ratio · 7.6% 1-yr return. Holdings, fees, performance and SEC filings.
C000229358 Fund Overview
iMGP Hedge Strategy ETF is a US ETF managed by iM Global Partner Funds, categorised as Long-Short. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US ETF
- Manager: iM Global Partner Funds
- Category: Long-Short
- Assets under management: $17.64M
- 1-year return: 7.6%
- SEC CIK: 0001020425
- SEC series ID: S000072814
- Share class ID: C000229358
C000229358 Investment Objective and Strategy
iMGP Hedge Strategy ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by iM Global Partner Funds.
Investment objective
The iMGP DBi Hedge 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 an equity hedge strategy (described below); and (ii) allocating the remainder of its assets directly in a portfolio of investment grade debt securities to collateralize its derivatives investments, for liquidity purposes, or to enhance yield. The Fund seeks to model its investments after long/short equity hedge fund strategies and does not invest in hedge funds. Because the Fund is not a hedge fund, the Fund will be limited in its ability to fully replicate hedge fund strategies due to regulatory requirements, including limitations on leverage and liquidity of the Funds investments. The Fund invests in long and short positions in exchange-traded futures contracts across the broad asset classes of equities, fixed income, and currencies.
The long and short positions in the futures contracts are determined by the Funds sub-adviser, Dynamic Beta investments (DBi or the Sub-Advisor), using a proprietary, quantitative model the Dynamic Beta Engine. The Dynamic Beta Engine is designed to identify the main drivers of performance of a diversified portfolio of the largest long/short equity hedge funds, which are hedge funds that employ fundamental analysis to buy or sell short individual equity securities to achieve their respective investment objectives (Equity Hedge funds). Equity Hedge funds typically diversify their risks by limiting the hedge funds net exposure to certain industries, regions, or market capitalizations, which allows them to focus on company-specific characteristics. Equity Hedge funds often hedge against the returns of the overall market.
The Fund will not necessarily use its long and short positions to reduce risk by taking offsetting positions. The Fund may take uncorrelated positions ( e.g. , invest in long and short futures contracts with values that do not historically exhibit a strong relationship to each other), which may increase the Funds overall market exposure and risk. DBi has conducted extensive research into the drivers of performance of hedge funds and believes that individual security selection by the target Equity Hedge funds can deliver market outperformance over time through shifts in asset allocation among major equity markets. For example, if fundamentally-driven hedge fund managers collectively determine that stocks in emerging markets are more attractive than those in developed markets, the Dynamic Beta Engine can identify this and shift asset allocation exposures accordingly.
Based on this model, the Fund will invest in an optimized portfolio of long and short positions in U.S. exchange-traded futures contracts, as determined by the Sub-Advisor. This process is repeated monthly, with all positions rebalanced at that time. The Dynamic Beta Engine analyzes recent historical performance of a diversified pool of the largest Equity Hedge funds in order to estimate the current asset allocation of a selected pool of Equity Hedge funds. The Sub-Advisor relies exclusively on the model and does not have discretion to override the model-determined asset allocation or portfolio weights. Investing in a limited number of highly liquid futures contracts and monthly rebalancing is expected to keep transaction costs low relative to Equity Hedge funds. The model seeks to replicate Equity Hedge funds by analyzing historical returns of Equity Hedge funds provided by a third-party data provider and identifying futures contracts that most closely reflect the Equity Hedge funds estimated current exposures across the various asset classes.
Futures contracts are contractual agreements to buy or sell a particular equity index, currency, or financial instrument at a pre-determined price in the future. The Fund will invest in a limited number of highly-liquid futures contracts (including futures contracts on underlying instruments such as listed U.S. equity indices, baskets of currency, and U.S. treasury securities) that the Sub-Advisor believes exhibit the highest correlation to what the Sub-Advisor perceives to be the core positions of the target Equity Hedge funds, which are generally long and short positions of individual equity securities. The Fund will take long and short positions in U.S. exchange-traded derivative contracts viewed as highly liquid by the Sub-Advisor. Agreeing to buy the underlying instrument is called buying a futures contract or taking a long position in the contract.
Likewise, agreeing to sell the underlying instrument is called selling a futures contract or taking a short position in the contract. The Sub-Advisor will use quantitative methods to assess the level of risk for the Fund. The Fund may invest in derivative contracts that have an aggregate notional value that is greater than the Funds total assets. The notional value of a derivatives contract is the market value of the asset underlying the derivatives contract. Aggregate notional value is the sum of the notional values of the Funds derivatives contracts. The Funds aggregate notional value is intended to approximate the current risk profile of a diversified pool of the largest Equity Hedge funds. 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, which is inherent in the futures positions held by the Fund.
Volatility is a statistical measure of the frequency and level of changes in the Funds returns over time without regard to the direction of those changes. Higher volatility generally indicates higher risk. Under normal market conditions, the Sub-Advisor will seek to achieve Fund volatility of 8-10% on an annual basis, which refers to the approximate maximum amount of expected gains or losses during a given year expressed as a percentage of value. The Fund expects, under normal circumstances, to invest a large portion of the portfolio in investment grade debt securities in order to collateralize the Funds derivative investments, for liquidity purposes, or to enhance yield. 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. The Fund will not invest in cryptocurrency or digital assets or cryptocurrency or digital asset derivatives. Because the Fund is non-diversified, it may invest a greater percentage of its assets in a particular investment or issuer than a diversified fund.
C000229358 Holdings
Top 9 holdings of iMGP Hedge Strategy ETF by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| United States Treasury | 83.79% |
| Fixed Income Clearing Corp. | 3.75% |
| ICE Futures U.S., Inc. | 0.60% |
| Chicago Board of Trade | 0.34% |
| Chicago Mercantile Exchange | 0.16% |
| Chicago Mercantile Exchange | 0.13% |
| ICE Futures U.S., Inc. | 0.09% |
| ICE Futures U.S., Inc. | 0.06% |
| Chicago Mercantile Exchange | 0.01% |
C000229358 Portfolio Allocation
Asset-class allocation of iMGP Hedge Strategy ETF by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Cash & Equivalents | 87.5% |
| Derivatives | 1.1% |
| Real Estate | 0.1% |
C000229358 Performance
Total returns for C000229358 (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 7.6% |
| 3 years (annualised) | 1.3% |
C000229358 Risk Information
Risk metrics for C000229358, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 5.6%
C000229358 Costs and Fees
C000229358 costs about $85 per $10,000 invested per year in fund expenses.
- Net expense ratio: 0.85%
- Gross expense ratio: 0.85%
- Brokerage commissions: 1.51 bps of average net assets (SEC N-CEN)
C000229358 Cashflows
Over the 12 months to 2024-06, iMGP Hedge Strategy ETF had net outflows of $10.75M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2024-06 | $0 |
| 2024-05 | −$11.56M |
| 2024-04 | −$5.95M |
| 2024-03 | $0 |
| 2024-02 | $2.69M |
| 2024-01 | −$668.36K |
C000229358 Debt Constituents
No individual debt constituents are reported in iMGP Hedge Strategy ETF's latest SEC N-PORT filing.
C000229358 Prospectus and SEC Filings
Official iMGP Hedge Strategy ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2024-04-29
- Prospectus (485BPOS) — filed 2023-04-28
- Prospectus (485BPOS) — filed 2022-04-29
- Portfolio holdings (N-PORT) — filed 2024-08-20
- Portfolio holdings (N-PORT) — filed 2024-05-29
- Portfolio holdings (N-PORT) — filed 2024-02-29
- Annual census (N-CEN) — filed 2024-03-14
- Annual census (N-CEN) — filed 2023-03-14
Related Funds
Other Long-Short funds tracked on ABC INVEST:
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.