iM Global Partner (iMGP) is launching a managed futures UCITS fund on the back of increased European interest in the market.
The iMGP DBi Managed Futures Fund is a new sub-fund of the Luxembourg-domiciled iMGP SICAV and employs a managed futures strategy that has seen success in the US.
The US-based DBi Managed Futures Strategy ETF (DBMF) increased its assets under management by more than 1000% from around $60 million a year ago to more than $1 billion, posting a one year return of 24.5%
Hedge fund index replication specialists Dynamic Beta investments (DBi) has been appointed as sub-manager of the iMGP DBi Managed Futures Fund.
The new fund will replicate the pre-fee/pre-trading cost returns of 20 leading managed futures hedge funds in a UCITS wrapper.
By targeting the performance of a portfolio of hedge funds, split between different sub-strategies, it seeks to minimise single-manager risk.
The fund seeks to match the core factor exposures of the targeted hedge funds with a dynamically adjusted portfolio of liquid futures contracts.
The iMGP DBi Managed Futures fund does not invest directly in hedge funds. Rather, the sub-manager, DBi, uses quantitative models to estimate the current factor weights of the targeted hedge funds and invests in index futures to seek to obtain similar exposures.
The portfolio is rebalanced weekly.
Jamie Hammond, iM Global Partner deputy CEO and head of international distribution said the success of the US-domiciled ETF resulted in demand from European clients for a UCITS version of the strategy.
“Clients have seen the diversification benefits of including managed futures within their portfolios, and we have now made this available in a daily-priced UCITS structure,” he said.
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