Fund · iMGP DBI Managed Futures Strategy ETF · measured from SEC filings
DBMF holdings
DBMF reports 15 holdings and behaves like 2.3 equally weighted ones, computed from its SEC Form N-PORT filing for 2026-06-30. The fact sheet publishes the first number; this page computes the second, and traces it across 20 quarters of filings.
Measured concentration
as of 2026-06-30This figure is not comparable with other funds
filed long positions cover only 83.0% of net assets, so a concentration figure computed from them describes a fraction of the fund rather than the fund
93% held in short-term investment vehicles: this is a cash-like fund, and its holding count measures something different
The figure below is what the filing says, published unchanged. What it may not do is sit beside a plain long-only fund and be read as the same quantity. How comparability is decided.
Computed by this site from the fund's SEC Form N-PORT filing; what the measure does not tell you · every fund in one table · hold it with other funds? X-ray the mix. Pricing: 2.95% at a quoted market price (level 1), one issuer country.
What stands out
as of 2026-06-30DBMF's largest investment is U.S. Treasury Bills at 52.68% of net assets. U.S. Treasury Bills and U.S. Treasury Bills follow; the three together are 73.17%. Between the 2026-03-31 and 2026-06-30 filings 7 positions were added and 6 dropped; 97.9% of the weight moved.
Each sentence is read from the fund's own SEC filing; the class median is computed across the comparable short-term funds on this site. Nothing here is a view on the fund.
Every filing since 2021
20| Period | Holdings | Effective | Top 10 | Largest |
|---|---|---|---|---|
| 2026-06-30 * | 15 | 2.3 | 98.6% | 63.44% |
| 2026-03-31 * | 13 | 2.1 | 99.87% | 66.6% |
| 2025-12-31 * | 9 | 1.4 | 100% | 82.87% |
| 2025-09-30 * | 16 | 5.1 | 98.22% | 32.98% |
| 2025-06-30 * | 24 | 6 | 92.32% | 25.31% |
| 2025-03-31 * | 8 | 1.7 | 100% | 73.23% |
| 2024-12-31 * | 10 | 1.4 | 100% | 84.03% |
| 2024-09-30 * | 9 | 1.1 | 100% | 94.55% |
Earlier filings (12 more, back to 2021-09-30)
| Period | Holdings | Effective | Top 10 | Largest |
|---|---|---|---|---|
| 2024-06-30 * | 7 | 1.1 | 100% | 94.17% |
| 2024-03-31 * | 10 | 1.2 | 100% | 90.18% |
| 2023-12-31 * | 9 | 1.1 | 100% | 97.05% |
| 2023-09-30 * | 11 | 1.1 | 99.91% | 95.29% |
| 2023-06-30 * | 10 | 1.1 | 100% | 96.53% |
| 2023-03-31 * | 3 | 1 | 100% | 99.06% |
| 2022-12-31 * | 9 | 7.2 | 100% | 20.01% |
| 2022-09-30 * | 12 | 8.5 | 97.88% | 17.1% |
| 2022-06-30 * | 6 | 3.1 | 100% | 50.81% |
| 2022-03-31 * | 9 | 3 | 100% | 54.03% |
| 2021-12-31 * | 18 | 8.3 | 93.29% | 23.48% |
| 2021-09-30 * | 32 | 12.9 | 73.12% | 18.83% |
One row per filed reporting period, newest first, read from EDGAR. Quarterly because that is the public filing cadence. Rows marked * are published but held out of the comparison above; the methodology page says when and why.
Compared with, in the essays
2Overlap with other funds
1Measured against every other fund on this site, from the same filings. Combined effective holdings is how the pair behaves held in equal size.
| With | Overlap | Shared | Combined effective |
|---|---|---|---|
| DBMF vs CTA | 0% | 0 | 3.8 |
Largest positions, as filed
as of 2026-06-30The 12 largest of 15 positions in DBMF's Form N-PORT, weight as a share of net assets, securities-lending collateral excluded. Every position, every quarter: DBMF.csv.gz.
| # | Position | Weight | Cumulative |
|---|---|---|---|
| 1 | United States Treasury | 63.44% | 63.4% |
| 2 | United States Treasury | 15.05% | 78.5% |
| 3 | United States Treasury | 9.63% | 88.1% |
| 4 | Fixed Income Clearing Corp. | 4.01% | 92.1% |
| 5 | United States Treasury | 1.54% | 93.7% |
| 6 | United States Treasury | 1.39% | 95.1% |
| 7 | Chicago Mercantile Exchange | 1.28% | 96.3% |
| 8 | United States Treasury | 1.14% | 97.5% |
| 9 | ICE Futures U.S., Inc. | 0.96% | 98.4% |
| 10 | United States Treasury | 0.86% | 99.3% |
| 11 | Commodities Exchange Center | 0.57% | 99.9% |
| 12 | Chicago Board of Trade | 0.13% | 100.0% |
Returns the fund reported
2021-07 – 2026-06Monthly total returns from Item B.5 of DBMF's own filings, 60 months on record. Not computed here and not from a price feed.
Cross-checked against a series computed separately from prices: median difference — percentage points over 0 months, which is roughly the distributions. Every month with the filing it came from: DBMF.json · all funds.
Who borrows DBMF's shares
2025-06-30The fund lends its holdings, and Item B.4.a of the filing names every firm holding them. At 2025-06-30, $195m was out to 1 borrower, 16.69% of net assets.
| Borrower | On loan | Share of the loan |
|---|---|---|
| JP MORGAN SECURITIES LLC | $195m | 100.0% |
Cash collateral reported against the loan: 17.04% of net assets, 102.1% of the amount lent. That is a floor on the collateral, not the whole of it — collateral the fund does not hold as a position is not in this filing, so a figure under 100% is not evidence of under-collateralisation. How that figure behaves across all funds. Every quarter DBMF has filed, with each borrower: DBMF.json · all funds.
Since the previous filing
2026-03-31 → 2026-06-3011 positions became 12: 7 added (93.0% of the fund at the later date), 6 dropped (97.6% at the earlier date). Half the sum of all weight changes, a turnover proxy: 97.9%. Positions are matched on identifiers, so a security whose identifier changed shows as one drop and one add. Every filing of DBMF compared this way, as a feed: changes.xml · all funds: filings received.
| Largest increases | 2026-03-31 | 2026-06-30 | Largest decreases | 2026-03-31 | 2026-06-30 |
|---|---|---|---|---|---|
| Fixed Income Clearing Corp. | 0.71% | 4.01% | Commodities Exchange Center | 0.74% | 0.57% |
| ICE Futures U.S., Inc. | 0.05% | 0.96% | Chicago Board of Trade | 0.28% | 0.13% |
| Chicago Mercantile Exchange | 0.66% | 1.28% |
New: United States Treasury (63.44%), United States Treasury (15.05%), United States Treasury (9.63%), United States Treasury (1.54%), United States Treasury (1.39%), United States Treasury (1.14%). Gone: United States Treasury (66.60%), United States Treasury (14.49%), United States Treasury (10.71%), United States Treasury (3.77%), United States Treasury (1.39%), United States Treasury (0.60%).
Asset categories and pricing
as of 2026-06-30| Asset category (as filed) | Share of investments |
|---|---|
| short-term investment STIV | 93.04% |
| repurchase agreement RA | 4.01% |
| derivative DE | 1.26% |
| DFE DFE | 0.99% |
| DCO DCO | 0.57% |
| DIR DIR | 0.13% |
3.0% of DBMF is carried at a quoted market price (fair-value level 1). Categories and levels are the filer's, from Form N-PORT; what a low level-1 share does and does not mean is in the measure's page.
Derivative exposure and counterparties
as of 2026-06-30A position count cannot describe a fund that uses derivatives, because a swap is filed at its unrealised gain, not its exposure. These are the notionals the fund itself reported, against net assets of $3.89B. Notional of an interest-rate or currency swap is not equity exposure.
Full detail for every fund that files derivatives: leverage.json (CC BY 4.0).
Neighbours by effective holdings, short-term investment funds
10Every measured short-term investment fund lined up by how many holdings it behaves like; these sit either side of DBMF (2.3). Same filings, same arithmetic. Position in this list says nothing about which fund is better.
| Fund | Reports | Behaves like | Top ten | As of |
|---|---|---|---|---|
| PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 29 | 1.5 * | 98.94% | 2026-07-31 |
| CERY State Street(R) SPDR(R) Bloomberg Enhanced Roll Yield Commodity Strategy No K-1 ETF | 19 | 1.6 * | 99.29% | 2026-07-31 |
| NUGT Direxion Daily Gold Miners Index Bull 2X Shares | 3 | 1.8 * | 100% | 2026-07-31 |
| IBDQ iShares iBonds Dec 2025 Term Corporate ETF | 68 | 1.9 | 82.93% | 2025-10-31 |
| KORU Direxion Daily MSCI South Korea Bull 3X Shares | 5 | 2.2 * | 100% | 2026-07-31 |
| IBDP iShares iBonds Dec 2024 Term Corporate ETF | 82 | 2.4 | 73.79% | 2024-10-31 |
| YINN Direxion Daily FTSE China Bull 3X Shares | 8 | 2.5 * | 100% | 2026-07-31 |
| IBTE iShares iBonds Dec 2024 Term Treasury ETF | 7 | 2.8 | 100% | 2024-10-31 |
| NVDU Direxion Daily NVDA Bull 2X Shares | 9 | 3.3 * | 100% | 2026-07-31 |
| BILZ PIMCO Ultra Short Government Active Exchange-Traded Fund | 5 | 4.1 | 100% | 2026-06-30 |
Measures applied in the essays
8Essays that examine DBMF
9-
The Real Cost of Tail-Risk Hedging: Put Options vs Cash vs Trend Following
Protective puts pay off precisely when you need them, but the continuously rolled premium is a persistent drag — the academic estimate is a few percent per...
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Absolute Momentum as a Risk Switch: What Time-Series Trend Following Does That Buy-and-Hold Can't
Absolute (time-series) momentum uses an asset's own past return as a binary risk switch: hold when the trend is positive, step aside when it turns negative....
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DBMF vs CTA: Two Managed-Futures Trend Funds — How They Pick Trends Differently
DBMF replicates a basket of trend-following hedge funds using regression; CTA runs its own multi-model trend engine layered on a Treasury collateral base....
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Bitcoin vs Gold: IBIT vs GLD as a Portfolio Hedge — What the Correlation Data Says
Gold has a multi-decade record of low-to-negative correlation with equities in stress; Bitcoin's correlation with risk assets has repeatedly risen in...
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12 Months of Live AI-Quant ETFs vs the S&P 500 — Honest Data Review
Across the full live track record (5Y through May 2026), none of the five AI-quant or rules-based factor ETFs in this review beat SPY's 13.8% CAGR. The...
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DBMF Deep Dive: How AI-Managed Futures Pick Trends Without Forecasting
DBMF doesn't forecast markets. It reverse-engineers the factor positioning of the top managed-futures hedge funds from their reported returns and replicates...
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The Ultimate 2026 Hybrid Portfolio: How to Mix Classic ETFs with AI Quant
The hybrid framework — a low-cost passive core plus a small AI-quant satellite — only earns its keep when the satellite delivers exposure the core does not....
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GLD vs. DBMF: Gold vs. AI-Managed Managed Futures (Trend Following)
GLD compounded at roughly 20.0% per year over the past five years; DBMF at 8.5%. Reading that gap as "gold won" misunderstands what DBMF is built to do....
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Gold vs Bonds in 2026: Two Different Hedges, Two Different Risks
Gold and bonds get grouped as "safe havens", but they hedge different risks — real rates and fiat credibility for gold; nominal yields and growth...
Mentions are detected across the full text of every article, so an appearance may be a passing comparison rather than the subject. Nothing here is a recommendation to buy or sell — see the disclaimer.