Virtus Introduces Virtus AlphaSimplex Managed Futures ETF

Virtus Investment Partners, Inc. (NYSE: VRTS) has expanded its offerings of distinctive, actively managed exchange-traded funds with the introduction of the Virtus AlphaSimplex Managed Futures ETF (NYSE: ASMF), the first ETF strategy managed by AlphaSimplex Group, LLC.

The Virtus AlphaSimplex Managed Futures ETF utilizes AlphaSimplex’s proprietary research and dynamic risk management systems to analyze market behavior and adapt to changing market dynamics. The firm’s risk models are designed to detect changes in portfolio risk and adjust to varying levels of market volatility, allowing for daily monitoring and management of portfolio positions.

ASMF aims to deliver diversification to traditional long-only portfolios by seeking positive risk-adjusted returns with low long-term correlations to traditional asset classes. The ETF is designed to target the risk/return characteristics of the 20 largest managed futures funds in the world, as measured by the SG CTA Index. It can offer long or short exposure to global equities, fixed income, currencies, and commodities through exchange-traded futures contracts.

“Incorporating diversified sources of return within investment portfolios is widely accepted as a core tenet of asset allocation. Managed futures have historically generated positive long-term absolute returns independent of overall market direction, providing a differentiated source and pattern of returns compared to traditional stock and bond portfolios,” said AlphaSimplex chief investment officer and portfolio manager Alexander D. Healy, Ph.D., who manages ASMF with Kathryn M. Kaminski, Ph.D., CAIA, chief research strategist and portfolio manager. “With ASMF, we have combined our experience in managed futures investing with our expertise in replicating hedge fund returns to create an innovative product designed to bring this diversifying industry exposure to a wide range of investors.”

Virtus’ multi-manager ETF platform, Virtus ETF Solutions, now offers 18 actively managed and index-based ETFs across multiple asset classes. These include the Virtus Terranova U.S. Quality Momentum ETF (JOET) as well as ETFs managed by other Virtus affiliated managers, Duff & Phelps Investment Management Co., Newfleet Asset Management, Seix Investment Advisors, and Stone Harbor Investment Partners.

“AlphaSimplex has been redefining systematic strategies for 25 years,” said William J. Smalley, executive managing director, Virtus ETF Solutions. “ASMF addresses the limitations of traditional strategies by employing a hybrid approach, combining aspects of top-down and bottom-up techniques, aiming to improve risk-adjusted returns while reducing tracking error relative to the index. It seeks to deliver ‘enhanced beta’ exposure to the index with daily liquidity in an efficient and transparent ETF wrapper.”