Rosenbluth and Beer dive into managed futures


In the latest episode of ETFs 360, VettaFi’s head of research, Todd Rosenbluth, is joined by Andrew Beer of Dynamic Beta Investment to discuss future managed ETFs.

Managed futures have seen renewed interest in 2022. Beer noted that the iMGP DBi Managed Futures Strategy ETFs (DBMF B+) went from $65 million AT M fund at approximately $430 million. “The demand was really driven by the fact that in the first half of this year the whole of the managed future space did very well,” Beer said, noting that managed futures had rose 20% during a period when the S&P was in a bear market and bonds were crashing.

The 60/40 portfolio no longer seeming to be the keystone it once was, Beer said, “I think you’ve got thousands of advisors saying ‘where can we get diversification?’ “”

Rosenbluth asked what role managed futures play in a portfolio. Beer replied, “What we say about managed futures is that it has more diversification for its money than any other strategy you could find.” Since it has no correlation to stocks and bonds, it is an attractive product for quants and model portfolio builders. “What got us interested in this space is called ‘crisis alpha’.” According to Beer, the 20% performance during the last difficult market period is not an outlier. Historically, managed futures contracts work very well when they are needed the most. “It should be in everyone’s wallet,” Beer said.

Remarkably, it’s barely a jolt in the ETFs world. Beer sees this as a failure on the education front, which he hopes his company will oppose.

By being early on inflation, managed futures were able to go long oil at the right time when oil rose, and short treasuries as rates continued to rise. Managed futures were also long the dollar against major currencies at the right time.

Beer calls his strategy a hedge fund replication strategy. “We’re not trying to be smarter than the smartest guys doing this. On the contrary, all we’re saying is that if we can use our own means to figure out how they’re positioned, copy it cheaply, and put it in a ETFs; we can transfer the benefits they provide to institutional investors and billion-dollar family offices and bring them to the much wider world of asset management that invests through ETFs,” he said.

Talking about why the product is actively managed, Beer said, “There’s no index like the S&P 500 that you can invest in and get managed futures exposure.” He continued, “because there’s no index, there’s no way to really take the vanguard of the space. The closest you can get is to do what we do.

For more ETFs 360 videos, visit the ETFs Channel 360.

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