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There's a certain poetry in watching the index fund revolution devour yet another asset class that once considered itself immune.
Managed futures. The strategy that smells like Bloomberg terminals and performance fees. The domain of CTAs with names like “Systematic Alpha Quantitative Momentum Partners LLC”, who charge 2-and-20 to do things an algorithm figured out in 1983. For decades, this world existed behind a velvet rope that ordinary investors couldn't afford to approach.
Then came DBMF. The iMGP DBi Managed Futures Strategy ETF, launched in 2019, cracked open the door by replicating the SG CTA Index, essentially reverse engineering what the 20 largest CTAs were doing and packaging it into an ETF for 85 basis points. It now sits at roughly $2 billion in AUM. Not bad for a product that explains itself using phrases like “replication methodology.”
This week, Simplify Asset Management decided that 85 basis points was still too much velvet rope, and launched the Simplify DBI CTA Managed Futures Index ETF, a swap-based, index-linked clone of DBMF, at 35 basis points.
Let that sink in. A clone of a replicator of an index of hedge funds, now available for roughly the price of a mid-tier passive equity ETF.
Andrew Beer, DBi's managing member and the architect behind the original DBMF strategy, framed it himself: “A low TER index-based managed futures strategy can be the first hedge fund product that will make inroads into trillions of dollars of ETF model portfolios that desperately need proven diversifiers.”
He's not wrong. Model portfolios, the engine room of modern wealth management, have been quietly desperate for something that behaves differently from equities without requiring clients to sign 47-page subscription documents. Managed futures, when the market gods cooperate, delivers exactly that. The original DBMF returned 30%+ in 2022, while the 60/40 portfolio was busy setting itself on fire.
The 2022 caveat, of course, is doing a lot of heavy lifting there. In 2023, 2024, and most of 2025, the low-volatility equity grind was not exactly trend-following territory. DBMF struggled. CTA (Simplify's existing managed futures product) struggled. The whole category struggled, because sustained directional trends in futures markets require volatility that a relentlessly bullish equity market tends to suppress.
The fee advantage here is meaningful regardless. At 35 bps versus 85 bps, the new product needs to generate 50 fewer basis points annually to match DBMF's net return profile. Over time, in a category where returns are already modest and lumpy, that gap compounds into something real.
The swap structure, rather than trading futures directly, is the mechanism Simplify is using to achieve the lower cost. Beer suggests this may also deliver incremental tax efficiency, which would be a further edge for the taxable account crowd.
What's the catch? The SG CTA Index itself is not a glamorous benchmark. It tracks 20 large CTAs who report daily returns, which already excludes vast swaths of the managed futures universe. Replicating a replication has a certain hall-of-mirrors quality: you're at least two degrees removed from the actual strategy alpha (if any exists) and firmly in the land of systematic factor exposure.
But perhaps that's the point. The index revolution didn't win by being more sophisticated than active managers. It won by being cheaper and more consistent. If managed futures as a diversifier is worth having – and there's a reasonable academic case that it is – then having it at 35 basis points rather than 200+ makes the math work at much lower return assumptions.
The velvet rope keeps getting shorter.
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