Virtus AlphaSimplex Global Alternatives Fund
Virtus AlphaSimplex Global Alternatives Fund
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.
This fund is the successor to the AlphaSimplex Global Alternatives Fund, through a reorganization that occurred on May 19, 2023.
Investment Partner
AlphaSimplex Group, LLC
Since the firm's founding in 1999, AlphaSimplex has developed systematic, quantitative alternative investment strategies that are attuned to changing market dynamics.
Learn more about AlphaSimplex Group, LLC
Investment Professionals
Alexander D. Healy, Ph.D.
Chief Investment Officer, Portfolio Manager
Industry start date: 2007
Start date as fund Portfolio Manager: 2014
Kathryn M. Kaminski, Ph.D., CAIA
Chief Research Strategist, Portfolio Manager
Industry start date: 2008
Start date as fund Portfolio Manager: 2020
Timothy J. Kang
Research Scientist, Portfolio Manager
Industry start date: 2018
Start date as fund Portfolio Manager: 2020
Peter A. Lee, CFA
Senior Research Scientist, Portfolio Manager
Industry start date: 2007
Start date as fund Portfolio Manager: 2010
Philippe P. Lüdi, Ph.D., CFA
Senior Research Scientist, Portfolio Manager
Industry start date: 2006
Start date as fund Portfolio Manager: 2014
Robert S. Rickard
Portfolio Manager
Industry start date: 1993
Start date as fund Portfolio Manager: 2008
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.
Asset Class Attribution by Model Type (QTD)
As of 03/31/2023| Equities | Fixed Income | Currencies | Commodities | Total | |
|---|---|---|---|---|---|
| Hedge Fund Replication | 1.93% | -0.46% | 0.21% | 0.02% | 1.70% |
| Alternative Risk Premia | -0.43% | -0.20% | 0.28% | 0.06% | -0.29% |
| Trend and Momentum | -0.13% | -0.21% | 0.03% | 0.09% | -0.23% |
| Carry and Curve | 0.00% | 0.05% | 0.00% | 0.06% | 0.11% |
| Value | 0.24% | 0.00% | 0.08% | 0.00% | 0.32% |
| Event | -0.21% | 0.01% | 0.00% | 0.00% | -0.20% |
| Structural and Flow | -0.33% | -0.05% | 0.17% | -0.08% | -0.29% |
| Total | 1.49% | -0.66% | 0.49% | 0.08% | 1.40% |
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.
Growth of $10,000 Investment
From toPerformance
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
Risk Considerations
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.
© 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.