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Virtus AlphaSimplex Managed Futures Strategy Fund

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Ticker
AMFAX
CUSIP
92835M448
POP
$ (as of )
Inception
07/30/2010
Total Assets by Class
$72,488,709.20 (as of 05/17/2024)
Total Assets by Fund
$2,428,857,359.56 (as of 05/17/2024)
Morningstar Category
Systematic Trend

Portfolio Overview

Investment Overview

The Fund pursues an absolute return strategy that seeks to provide long-term capital appreciation. The AlphaSimplex strategy uses a pure trend-following approach to take advantage of momentum in a range of liquid futures and forward contracts across global equity, bond, currency, and commodity markets.

This fund is the successor to the AlphaSimplex Managed Futures Strategy Fund, through a reorganization that occurred on May 19, 2023.

Management Team

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 Healy 400x400

Alexander D. Healy, Ph.D.

Chief Investment Officer, Portfolio Manager

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

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Kathryn Kaminski 400x400

Kathryn M. Kaminski, Ph.D., CAIA

Chief Research Strategist, Portfolio Manager

Industry start date: 2008
Start date as fund Portfolio Manager: 2018

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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

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John Perry 400x400

John C. Perry, Ph.D.

Senior Research Scientist, Portfolio Manager

Industry start date: 2003
Start date as fund Portfolio Manager: 2017

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Rob Rickard 400x400

Robert S. Rickard

Portfolio Manager

Industry start date: 1993
Start date as fund Portfolio Manager: 2010

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Key Features

A Differentiated Source and Pattern of Returns

Managed futures strategies have historically had low long-term correlation to traditional stocks and bonds, giving them the potential to provide much-needed diversification.

Opportunity to Perform in Diverse Markets

Dynamically taking long and short positions in a broad range of global equity, fixed income, currency, and commodity markets allows for the potential to profit from rising or falling markets, as long as there are identifiable trends.

The Potential for Crisis Alpha

'Crisis alpha' is the potential opportunity from persistent trends during periods of market stress or crisis. By adapting to the circumstances of each crisis, and investing in highly liquid assets, Managed Futures strategies can take advantage of trends across a diversified group of global asset classes to provide positive returns even when other strategies tend to struggle.

Portfolio Characteristics

Top Active Exposures By Asset Class

As of 03/28/2024
% of risk
allocation
Equities
NASDAQ 100 (US) Long 0.94%
S&P 500 (US) Long 0.93%
DJIA (US) Long 0.75%
TOPIX (Japan) Long 0.69%
Nikkei 225 (Japan) Long 0.68%
Fixed Income
German 2-Year Bond (Schatz) Short 0.83%
US 2-Year Note Short 0.67%
SOFR Short 0.46%
US 5-Year Note Short 0.43%
German 5-Year Note (Bobl) Short 0.40%
Currencies
Japanese Yen Short 1.14%
Swiss Franc Short 0.54%
Polish Zloty Long 0.52%
Mexican Peso Long 0.48%
Euro Short 0.48%
Commodities
Gold Long 1.20%
EU Carbon Emissions Short 0.87%
Corn Short 0.83%
Natural Gas Short 0.83%
Copper Long 0.77%

Asset Class Exposure

As of 03/28/2024
Asset Class % of risk
allocation
Equities 31%
Fixed Income 17%
Currencies 17%
Commodities 35%
Total Risk Budget 100%

Holdings Summary

As of 03/28/2024
Number of Long Positions 45
Number of Short Positions 57

Source: AlphaSimplex Group, LLC. The risk allocations presented are intended to illustrate the risk levels associated with the individual portfolio holdings included in the Fund. The top active exposures are determined by the ex-ante annualized volatility for the notional contract value in U.S. dollars of the Fund’s futures and/or forward positions. These are calculated as of month-end. Percent of risk budget estimates are based on ex-ante asset class volatility measures relative to the sum of these volatility measures across asset classes. The Fund’s performance and risk information provided above 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.

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

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.
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.
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.
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.
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.
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.
Financial Concentration: Because the portfolio is presently heavily weighted in the financial sector, it will be impacted by that sector's performance more than a portfolio with broader sector diversification.
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.
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.
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 Managed Futures Strategy Fund Fact Sheet
Virtus AlphaSimplex Managed Futures Strategy Fund Enhanced Fact Sheet
Virtus AlphaSimplex Managed Futures Strategy Fund Commentary
Delivering Liquid Alts in Traditional Portfolio
Virtus AlphaSimplex Managed Futures Strategy Fund (ASFYX) Morningstar Report
An Introduction to Managed Futures
Themes of 2023
Crisis or Correction: Managing Expectations for Managed Futures and Crisis Alpha
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 Managed Futures Strategy Summary Prospectus
Virtus Alternative Solutions Trust - Virtus AlphaSimplex Funds SAI
AlphaSimplex Annual Report
Virtus AlphaSimplex Semiannual Report

Holdings

Virtus AlphaSimplex Managed Futures Strategy Fund Monthly Holdings
Virtus AlphaSimplex Managed Futures Strategy Fund Top Holdings
AlphaSimplex Managed Futures Strategy Fund Holdings Fiscal Q1
Virtus AlphaSimplex Managed Futures Strategy 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.