Andrew Beer

Andrew Beer is the co-founder of Dynamic Beta Investments and the portfolio manager behind DBMF (iMGP DBi Managed Futures Strategy ETF), one of the most successful alternative ETF launches in recent years. Beer started his career at Harvard Management Company and later co-founded Belmont Capital, a hedge fund seeding firm that invested in hundreds of emerging managers over its lifecycle. That experience gave him a unique vantage point on what actually drives hedge fund and CTA returns at the aggregate level, which became the intellectual foundation for DBMF.

On this episode, Andrew talks with Brad about how DBMF replicates the top managed futures strategies using only a handful of positions, why he believes the managed futures industry is largely selling "closet beta" at alpha prices, and the 2022 breakout year that put the fund on the map.

The Replication Thesis

Beer's central insight came from his hedge fund seeding days at Belmont: when you invest in enough managed futures funds simultaneously, the returns start to look remarkably similar. Strip away the marketing language about proprietary signals and advanced algorithms, and most CTA strategies are making the same basic bets, just sizing them somewhat differently. The aggregate return of the managed futures industry can be explained by a small number of positions in liquid futures contracts across equities, bonds, currencies, and commodities.

DBMF formalizes that insight into a repeatable product. The fund uses a regression-based model that takes the daily returns of the SocGen CTA Index (which tracks the 20 largest managed futures funds) and reverse-engineers the positions that would explain those returns. The model outputs are simple: go long or short specific futures contracts in specific sizes. At any given time, DBMF holds roughly 8-12 positions. That's it. No complex options structures, no exotic instruments, no hundreds of markets. Just a handful of futures contracts sized to match the aggregate behavior of the biggest CTAs in the world.

2022: The Year Managed Futures Mattered

DBMF's breakout came in 2022, when the fund returned roughly 24% while the S&P 500 fell 19% and the Bloomberg Aggregate Bond Index dropped 13%. It was one of the worst years for a traditional 60/40 portfolio in decades, and DBMF was one of the few strategies that delivered substantial positive returns. Beer points out that the fund's performance wasn't from any brilliant tactical call. It was simply being short bonds and long commodities, which is exactly what the CTA industry was doing. The model captured those positions accurately, and the positions worked because macroeconomic trends were strong and persistent.

The 2022 experience dramatically accelerated asset gathering. DBMF went from roughly $200 million to over $1 billion in AUM during the calendar year as advisors scrambled for diversifiers that actually diversified when it mattered most. Beer notes that the fund attracted significant flows from advisors who had previously relied on bond allocations for portfolio protection and realized that strategy had failed catastrophically. DBMF offered a genuine non-correlated return stream with daily liquidity and full transparency into its positioning, which was exactly what the market needed at that moment.

Why Simple Beats Complex

Beer is candid about the fact that DBMF's approach is intentionally simple, and he sees that simplicity as a feature, not a bug. Most managed futures funds charge 2-and-20 or similar fee structures for what Beer argues is essentially systematic trend following with modest, if any, value-add from proprietary signals. The top 20 CTAs are all reading the same price data, using similar model architectures, and trading similar markets. Their returns converge at the aggregate level, which means an investor doesn't need to pick the right CTA. They just need efficient exposure to what the group is doing collectively.

He draws an analogy to passive equity indexing: you don't need to pick the best stock picker if you can own the market. Similarly, you don't need to pick the best CTA if you can own the aggregate CTA positioning at a fraction of the cost. The fee savings alone are significant. DBMF charges under 1%, while the underlying CTAs it replicates typically charge 2% management fees plus 20% performance fees. Over a decade, that fee differential compounds into a meaningful performance advantage for the lower-cost replication approach even before considering the liquidity and transparency benefits of the ETF wrapper.

Key Takeaways

• DBMF replicates the SocGen CTA Index (the 20 largest managed futures funds) using only 8-12 futures positions at any given time, charging under 1% vs. the industry's typical 2-and-20 fee structure.
• In 2022, DBMF returned roughly 24% while the S&P 500 fell 19% and the Agg Bond Index dropped 13%, demonstrating genuine non-correlation when the traditional 60/40 portfolio broke down.
• Beer's background seeding hundreds of emerging hedge fund managers at Belmont Capital revealed that most CTA returns converge at the aggregate level despite each fund's claims of proprietary differentiation.
• The fund grew from roughly $200 million to over $1 billion during 2022 as advisors searched for diversifiers that actually worked when both stocks and bonds declined simultaneously.
• DBMF holds only liquid futures contracts across equity indices, bonds, currencies, and commodities with full daily transparency, eliminating the lockups, K-1s, and opacity typical of managed futures allocations.

Listen to the full conversation on Spotify, Apple Podcasts, or YouTube.