Home / ETF / Virtus AlphaSimplex Managed Futures ETF
Exchange-Traded Fund Alternative

Virtus AlphaSimplex Managed Futures ETF

Image specific to each asset class and market style grouping.
Ticker
ASMF
CUSIP
92790A876
Inception
05/15/2024
Closing Price
$
(as of 05/16/2024)
30-Day Median Bid/Ask Spread
0.24% (as of 05/16/2024)
Premium/Discount
$0.03 (as of 05/16/2024)
4PM Bid/Offer Midpoint
$25.03 (as of 05/16/2024)
Shares Outstanding
200,004 (as of 05/16/2024)
Daily Trading Volume
202,200.00 (as of 05/16/2024)
20 Day Average Trading Volume
202,200.00 (as of 05/16/2024)
Net Assets
$5,000,100 (as of 05/16/2024)

Portfolio Overview

Investment Overview

The ETF seeks to provide capital appreciation consistent with the risk/return characteristics of a basket of the largest Managed Futures funds in the world (as measured by the SG CTA Index). The ETF takes a diversified approach to identifying price trends by combining index replication techniques with insights from AlphaSimplex's own trend-following models. It takes positions in highly liquid futures contracts in 20 different assets across global equity, bond, currency, and commodity markets.

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: 2024

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: 2024

Show More

Key Features

Diversification

Replication models utilize 20 liquid futures contracts across global equity, fixed income, currency, and commodity markets.

Risk Management

Disciplined, systematic approach to risk management process that considers volatility and correlation, among other aspects of risk.

ETF Accessibility

ETF and index-replication approach reduces fees and single manager risk while offering daily liquidity and transparency.

Portfolio

Top Holdings (% Fund)

(as of 05/17/2024)
Security
US 2YR NOTE (CBT) Jun24 06/28/2024
57.28
 57.28
US 10YR NOTE (CBT)Jun24 06/18/2024
52.14
 52.14
JPN YEN CURR FUT Jun24 06/17/2024
42.01
 42.01
C$ CURRENCY FUT Jun24 06/18/2024
38.19
 38.19
EURO-BUND FUTURE Jun24 06/06/2024
37.15
 37.15
EURO FX CURR FUT Jun24 06/17/2024
26.51
 26.51
US ULTRA BOND CBT Jun24 06/18/2024
18.95
 18.95
BP CURRENCY FUT Jun24 06/17/2024
8.58
 8.58
AUDUSD Crncy Fut Jun24 06/17/2024
4.34
 4.34
LONG GILT FUTURE Jun24 06/26/2024
2.71
 2.71

Performance

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.

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

Fees & Expenses

Total Expense Ratio 0.80
The Total Expense Ratio represents the Fund's Total Annual Fund Operating Expenses, which includes the management fee and other expenses where applicable, except for certain payments that are paid directly by the Fund, as described in the Prospectus.

Risk Considerations

Exchange-Traded Funds (ETF): The value of an ETF may be more volatile than the underlying portfolio of securities it is designed to track. The costs to the portfolio of owning shares of an ETF may exceed the cost of investing directly in the underlying securities.
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 Price/NAV: At the time of purchase and/or sale, an investor's shares may have a market price that is above or below the fund's NAV, which may increase the investor's risk of loss.
Market Volatility: The value of securities in the portfolio may go up or down in response to the prospects of individual companies and/or general economic conditions. Price changes may be short or long term.
Prospectus: For additional information on risks, please see the fund's prospectus.

Documents & Resources

Marketing Materials

Virtus AlphaSimplex Managed Futures ETF Fact Sheet
ETF Product Guide
Virtus AlphaSimplex Managed Futures ETF Investment Case
Virtus ETF Ticker Menu
Virtus AlphaSimplex Managed Futures ETF Presentation

Positions

Positions ASMF

Financial Materials

Virtus AlphaSimplex Managed Futures ETF (ASMF) Prospectus
Virtus AlphaSimplex Managed Futures ETF (ASMF) SAI

News Releases/Communications

Press Release: Virtust AlphaSimplex Managed Futures ETF launch

Please consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. The prospectus contains this and other information about the Fund. Contact us at 1-888-383-0553 or visit www.virtus.com for a copy of the Fund's prospectus. Read the prospectus carefully before you invest or send money.

The Fund is an actively managed exchange-traded fund (“ETF”) and does not seek to replicate the performance of a specified index. The Fund may have a higher portfolio turnover than funds that seek to replicate the performance of an index.

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.

Closing Price:
 The Closing Price is the price of the last reported trade on the fund's primary exchange. If there has been no reported trade for a particular date, the Closing Price represents the 4PM Bid/Offer Midpoint. 

4PM Bid/Offer Midpoint: The midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund's NAV is calculated (usually 4:00pm Eastern Time).

Premium/Discount: The amount the Fund is trading above or below the reported NAV (based on 4PM Bid/Offer Midpoint).

The Fund is an exchange-traded fund (“ETF”). The “net asset value” (NAV) of the Fund is determined at the close of each business day, and represents the dollar value of one share of the Fund; it is calculated by taking the total assets of the Fund, subtracting total liabilities, and dividing by the total number of shares outstanding. The NAV of the Fund is not necessarily the same as its intraday trading value. Fund investors should not expect to buy or sell shares at NAV because shares of ETFs such as the Fund are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Thus, shares may trade at a premium or discount to their NAV in the secondary market. Brokerage commissions will reduce returns.

NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV, and include the reinvestment of all dividends and other distributions (reinvested at the Fund's NAV on distribution ex-date). Market price returns are calculated using the 4:00 pm midpoint between the bid and offer, and include the reinvestment of all dividends and other distributions (reinvested at the 4:00pm bid/offer midpoint on distribution ex-date). Market price returns do not represent the return you would receive if you traded at other times.

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 the annual rate that an investor would receive if the most recent distribution remained the same going forward. The rate represents a single distribution from the Fund and does not represent total return of the Fund. The distribution rate is calculated by annualizing the most recent distribution and dividing it by the most recent NAV.

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

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

Not insured by FDIC/NCUSIF or any federal government agency. No bank guarantee. Not a deposit. May lose value.