Home / Mutual Fund / Virtus AlphaSimplex Global Alternatives Fund
Mutual Fund Alternative Multi-Strategy

Virtus AlphaSimplex Global Alternatives Fund

Image specific to each asset class and market style grouping.
Ticker
GAFAX
CUSIP
92835M489
POP
$ (as of )
Inception
09/30/2008
Total Assets by Class
$12,188,500.14 (as of 07/19/2024)
Total Assets by Fund
$121,651,039.36 (as of 07/19/2024)
Morningstar Category
Multistrategy

Portfolio Overview

Investment Overview

The Fund is a multi-strategy alternatives product that seeks to provide capital appreciation consistent with the risk/return characteristics of a diversified portfolio of hedge funds. The secondary goal of the Fund is to achieve these returns with less volatility than major equity indexes.

Management Team

Investment Partner

AlphaSimplex Group, LLC

AlphaSimplex is a systematic alternatives manager, founded in 1999, focused on delivering quantitative investment strategies that are attuned to changing market dynamics.


Learn more about AlphaSimplex Group, LLC

Investment Professionals

Alexander Healy 400x400

Alexander D. Healy, Ph.D.

Chief Investment Officer, Portfolio Manager

Industry start date: 2007
Start date as fund Portfolio Manager: 2014

Show More
Kathryn Kaminski 400x400

Kathryn M. Kaminski, Ph.D., CAIA

Chief Research Strategist, Portfolio Manager

Industry start date: 2008
Start date as fund Portfolio Manager: 2020

Show More
Peter Lee 400x400

Peter A. Lee, CFA

Senior Research Scientist, Portfolio Manager

Industry start date: 2007
Start date as fund Portfolio Manager: 2010

Show More
Philippe Lüdi 400x400

Philippe P. Lüdi, Ph.D., CFA

Senior Research Scientist, Portfolio Manager

Industry start date: 2006
Start date as fund Portfolio Manager: 2014

Show More
Rob Rickard 400x400

Robert S. Rickard

Portfolio Manager

Industry start date: 1993
Start date as fund Portfolio Manager: 2008

Show More

Key Features

A Multi-Strategy Alternatives Fund

The AlphaSimplex approach combines two distinct approaches:

  • Hedge Fund Replication models, which use advanced statistical techniques to identify and emulate the liquid market exposures of hedge funds and other liquid alternative strategies.
  • Alternative Risk Premia models, which use small allocations to a variety of historically non-correlated strategies designed to provide diversifying return streams within the broader portfolio.

Broad Diversification

The strategy is implemented using a globally diversified array of liquid futures, individual equity securities (obtained either directly or by entering into total return swaps), and forward contracts across asset classes and regions. These are used to obtain desired long or short exposures within the various models.

Volatility Management

The two components are risk-weighted in an attempt to provide an average long-term volatility that is lower than the long-term average of equity markets and higher than that of bond markets, allowing it to fill a key role in the alternative sleeve of a portfolio.

Portfolio Characteristics

Asset Class Attribution by Model Type (QTD)

As of 06/28/2024
Equities Fixed Income Currencies Commodities Total
Hedge Fund Replication -0.04% 0.06% 0.38% 0.18% 0.58%
Alternative Risk Premia 0.26% -0.15% -0.22% 0.29% 0.19%
   Trend and Momentum 0.16% 0.03% -0.03% 0.25% 0.41%
   Carry and Curve 0.00% -0.20% 0.00% 0.07% -0.13%
   Value -0.25% 0.00% -0.10% 0.00% -0.35%
   Event 0.33% -0.01% 0.00% 0.00% 0.32%
   Structural and Flow 0.02% 0.03% -0.08% -0.02% -0.06%
Total 0.22% -0.09% 0.16% 0.47% 0.77%

Source: AlphaSimplex Group, LLC. Return decomposition (contribution to return by model category) is approximate. These results represent AlphaSimplex’s current best estimates of the attributable returns of each model category. These estimates and approximation methodologies are subject to change, resulting in generally minor backward revisions of return attribution across approaches over time. The performance information contained in this document is unaudited and has been computed by AlphaSimplex based on unaudited figures compiled from internal data, which may be subject to revisions. Accordingly, while this data was obtained from sources believed to be reliable, AlphaSimplex provides no assurances as to its accuracy or completeness.

Portfolio asset class exposure and positions are subject to change. Trend and Momentum: strategies that seek to take advantage of the tendency for positive or negative recent performance of a given instrument or spread to continue. Carry and Curve: strategies that are long high-yielding instruments and short low-yielding instruments or that trade along a futures or yield curve. Value: strategies that attempt to be long underpriced instruments and short overpriced instruments. Event: strategies that attempt to profit from specific events in the marketplace. Structural and Flow: strategies that attempt to profit from investor flows, investor constraints, and other imbalances.

Performance & Risk

Growth of $10,000 Investment

From to
This chart assumes an initial investment of $10,000 made on for Class ddd shares including any applicable sales charges. Performance assumes reinvestment of dividends and capital gain distributions.

Performance

As of
As of

Performance data quoted represents past results. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown. Investment return and principal value will fluctuate, so your shares, when redeemed, may be worth more or less than their original cost.

Sales Charge and Expenses

The Index shown represents the Fund's performance index, which may differ from the Fund's regulatory index included in the Fund's Prospectus.

Risk Considerations

Leverage: When the Fund leverages its portfolio, the Fund may be less liquid and/or may liquidate positions at an unfavorable time, and the value of the Fund's shares will be more volatile and sensitive to market movements.
Derivatives: Derivatives may include, among other things, futures, options, forwards and swap agreements and may be used in order to hedge portfolio risks, create leverage, or attempt to increase returns. Investments in derivatives may result in increased volatility and the portfolio may incur a loss greater than its principal investment.
Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small, medium, or large-sized companies may enhance that risk.
Short Sales: The portfolio may engage in short sales, and may incur a loss if the price of a borrowed security increases before the date on which the portfolio replaces the security.
Quantitative Model: Investments selected using quantitative models may perform differently from the market as a whole or from their expected performance. There can be no assurance that use of a quantitative model will enable the portfolio to achieve positive returns or outperform the market.
Commodity and Commodity-Linked Instruments: Commodity and commodity-linked instruments may experience a return different than the commodity they attempt to track and may also be exposed to counterparty risk.
Currency Rate: Fluctuations in the exchange rates between the U.S. dollar and foreign currencies may negatively affect the value of the portfolio's shares.
Foreign & Emerging Markets: Investing in foreign securities, especially in emerging markets, subjects the portfolio to additional risks such as increased volatility, currency fluctuations, less liquidity, and political, regulatory, economic, and market risk.
Interest Rate: The values of debt instruments may rise or fall in response to changes in interest rates, and this risk may be enhanced for securities with longer maturities.
Credit Risk: If the issuer of a debt instrument fails to pay interest or principal in a timely manner, or negative perceptions exist in the market of the issuer's ability to make such payments, the price of the security may decline.
Portfolio Turnover: The portfolio's principal investment strategies may result in a consistently high portfolio turnover rate. A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when the portfolio is held in a taxable account.
Market Volatility: The value of the securities in the portfolio may go up or down in response to the prospects of individual companies and/or general economic conditions. Local, regional, or global events such as war or military conflict, terrorism, pandemic, or recession could impact the portfolio, including hampering the ability of the portfolio's manager(s) to invest its assets as intended.
Prospectus: For additional information on risks, please see the fund's prospectus.

Related Literature

Marketing Materials

Virtus AlphaSimplex Global Alternatives Fund Fact Sheet
Virtus AlphaSimplex Global Alternatives Fund Commentary
Themes of 2023
From Bears to Bulls?
Correlations, Inflation, and Interest Rates
Virtus Alternative Funds Menu
From Bears to Bulls?

Financial Materials

Virtus Alternative Solutions Trust - Virtus AlphaSimplex Funds Statutory Prospectus
Virtus AlphaSimplex Global Alternatives Fund Summary Prospectus
Virtus Alternative Solutions Trust - Virtus AlphaSimplex Funds SAI
AlphaSimplex Annual Report
Virtus AlphaSimplex Semiannual Report

Holdings

Virtus AlphaSimplex Global Alternatives Fund Monthly Holdings
Virtus AlphaSimplex Global Alternatives Fund Top Holdings
Virtus AlphaSimplex Global Alternatives Fund Holdings Fiscal Q1
Virtus AlphaSimplex Global Alternatives Fund Holdings Fiscal Q3

Investors should carefully consider the investment objectives, risks, charges and expenses of any Virtus Mutual Fund before investing. The prospectus and summary prospectus contains this and other information about the fund. Please contact your financial representative, call 1-800-243-4361 to obtain a current prospectus and/or summary prospectus. You should read the prospectus and/or summary prospectus carefully before you invest or send money.

Performance data quoted represents past results. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown. Investment return and principal value will fluctuate, so your shares, when redeemed, may be worth more or less than their original cost.

Average annual total return is the annual compound return for the indicated period. It reflects the change in share price and the reinvestment of all dividends and capital gains. NAV returns do not include the effect of any applicable sales charges. POP and w/CDSC returns include the effect of maximum applicable sales charges.

Returns for periods of less than one year are cumulative total returns.

1 Yields/Distributions: 30-day SEC Yield is a standardized yield calculated according to a formula set by the SEC, and is subject to change. 30-day SEC Yield (unsubsidized) is the 30-day SEC Yield without the effect of applicable expense waivers. Distribution Rate is calculated by (a) annualizing the latest income distribution for fixed income funds or funds less than 1 year old, or (b) summing all income distributions over the preceding 12 months for all other funds, and dividing by the NAV on the last business date of the period, unless otherwise indicated. The Distribution Rate may be comprised of ordinary income, net realized capital gains and returns of capital.

2 Distribution History: Distributions are represented on a cash basis and may be reclassified at year end for tax purposes. The Fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes. STCG: Short Term Capital Gain, LTCG: Long Term Capital Gain

3 Risk Statistics: R2 is a statistical measure that represents the percentage of a fund or security's movements that can be explained by movements in a benchmark index. Beta is a quantitative measure of the volatility of a given portfolio to the overall market. Alpha is a risk adjusted measure of an investment's excess return relative to a benchmark. A positive Alpha indicates that the investment produced a return greater than expected for the risk (as measured by Beta) taken. Standard Deviation measures variability of returns around the average return for an investment fund. Higher standard deviation suggests greater risk. Risk Statistics are calculated using 36 monthly returns.

4 Characteristics: For Equity Funds: Avg. Weighted Market Cap (bn): The sum of each security's weight within the fund (or index) multiplied by the security's market capitalization. Trailing P/E Ex-Negative Earnings: Per-share stock price divided by the latest 12-months Earnings per Share; Price/Cash Flow: Per-share stock price divided by the per-share operating cash flow; Price/Book: Per-share stock price divided by the latest 12-month per-share Book Value; 3-Year EPS Growth Rate: Average of earnings per share growth for latest 3-year period. The 3-Year EPS Growth Rate is not a forecast of the fund's performance.

4 Characteristics: For Fixed Income Funds: Effective Duration represents the interest rate sensitivity of a fixed income fund. For example, if a fund's effective duration is five years, a 1% increase in interest rates would result in a 5% decline in the fund's price. Similarly, a 1% decline in interest rates would result in a 5% gain in the fund's price.

Morningstar Disclosures:
The Morningstar Rating for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. Ratings do not take into account the effects of sales charges and loads.

© year Morningstar, Inc. All rights reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.