Virtus GF AlphaSimplex Managed Futures Fund

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UCITS Alternative Managed Futures

Virtus GF AlphaSimplex Managed Futures Fund

Domicile
Ireland
Valuation
Daily
Inception Date
(Class I Acc.)
6/10/16
Total Expense Ratio
(Class I)
1.40%1
UCITS IV
Yes
Base Currency
USD

Convenience Pricing
CHF, EUR, GBP

Benchmarks
Credit Suisse Managed Futures Liquid Index

1The Investment Manager has currently voluntarily undertaken to limit the aggregate annual ordinary expenses of the Fund’s Class I shares to 1.25%. The Investment Manager may terminate or modify this undertaking at any time at its sole discretion upon advance notice to the Fund’s shareholders.

Product Overview

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

This is a marketing communication. Please refer to the prospectus of the UCITS and to the PRIIPS KID/KIID before making any final investment decisions.

Investment Overview

  • The Virtus GF Managed Futures Strategy Fund (Fund) pursues an absolute return strategy that seeks to provide long-term capital appreciation. The Fund 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.
  • The Fund seeks to provide 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.
  • The team dynamically takes long and short positions in a broad range of global equity, fixed income, currency, and commodity markets which allows for the potential to profit from rising or falling markets, as long as there are identifiable trends.
  • The strategy seeks to provide 'Crisis Alpha', 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 potentially provide positive returns even when other strategies tend to struggle.
  • Investors invest in shares of the Fund. The Fund is suitable for long term investors seeking capital appreciation and prepared to accept a low to moderate level of volatility.
  • The Fund is actively managed. The Fund uses the Credit Suisse Managed Futures Liquid Index USD as a comparator benchmark but not to constrain portfolio composition or as a target for performance.

This fund is registered in the following countries: United Kingdom, Spain, France, Singapore (restricted scheme)

The Fund is the receiving fund for the ASG Managed Futures Fund, a sub-fund of Natixis International Funds (Lux) I, which merged into the Fund effective November 3, 2023.

Risk Considerations

Liquidity: Certain instruments may be difficult or impossible to sell at a time and price beneficial to the portfolio, which could impact the ability to meet redemption requests upon demand.
Counterparty: There is risk that a party upon whom the portfolio relies to complete a transaction will default.
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.
Operational Risk: Material losses to the Fund may arise as a result of human error, system and/or process failures, inadequate procedures or controls.
Contractual Obligations: A party with whom the Fund contracts for securities may fail to meet its obligations or become bankrupt which may expose the Fund to a financial loss.
FDI: There is a risk of increased losses due to the use of financial Derivatives Instruments.
Prospectus: For more information in relation to these and other risks, please refer to the 'Characteristics and Risks of Securities and Investment Techniques' section of the prospectus.

Fund Codes

Share Class ISIN Currency Bloomberg
A Shares Accumulating IE000DD5DRR1 USD VIRGFAA
A Shares Accumulating (H) IE000D5GMDN2 EUR VIRGFAE
I Shares Accumulating IE0004H7RQB1 USD VIRGMGI
I Shares Accumulating (H) IE000U6A0MC2 CHF VIRGFIC
I Shares Accumulating (H) IE000PAIMHM4 EUR VIRGFAI
I Shares Accumulating (H) IE000BWDSH48 GBP VIRGFMI
M Shares Accumulating IE000XG1SK20 USD VIRGFAM
M Shares Accumulating (H) IE000BANFP47 EUR VIRGFMM
R Shares Accumulating IE00052UETR5 USD VIRGFRU
R Shares Accumulating (H) IE000X03RQJ7 EUR VIRGFRE

Process


Multiple, distinct approaches to trend following

Basic multi-trend models:
  • Trend beta
  • Multi-horizon, with tilt towards longer-horizon signals
  • Classic approached highly correlated with industry
Specialized short-horizon models:
  • Enhanced short-horizon signals
  • Uses confirmation and consistency mechanisms to identify trends
Adaptive models:
  • Multiple mechanisms to dynamically shift allocation across time horizons
  • Systematically weights trends based on scenario detection and machine learning techniques


Multiple dimensions to risk management

Strategy is risk-managed in an effort to preserve capital
  • Risk is analyzed and portfolio is managed according to several different risk measures.
  • Portfolio is managed daily to an annualized volatility of 17% or less.

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: 2016

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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: 2016

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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: 2016

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Related Literature

Marketing Materials

Virtus GF AlphaSimplex Managed Futures Fund Fact Sheet
Virtus GF AlphaSimplex Managed Futures Fund Commentary
Virtus GF AlphaSimplex Managed Futures Fund Presentation
Virtus GF AlphaSimplex Managed Futures Fund - Snapshot
Virtus GF AlphaSimplex Managed Futures Fund - Exposures
From Bears to Bulls?
Virtus Global Funds Shareholder Engagement Policy
Virtus Global Funds Privacy Notice
Virtus Global Funds Cookie Policy
From Bears to Bulls?

Fund Resources

Virtus Global Funds UCITS Daily NAV Report
Virtus GF AlphaSimplex Managed Futures Fund Performance Report
Virtus Global Funds ICAV Application
Virtus Global Funds ICAV Redemption Form
Virtus Global Funds ICAV Additional Subscription Form
Virtus Global Funds Distribution Contact Info
2024 Virtus Global Funds Distribution Calendar
2024 Virtus Global Funds Holiday Calendar

Regulatory Documents

Virtus Global Funds ICAV Prospectus
Virtus GF AlphaSimplex Managed Futures Fund Supplement
Virtus ICAV Supplement - Luxembourg - October 2023
Virtus ICAV Supplement - Singapore - October 2023

The Credit Suisse Managed Futures Liquid Index seeks to gain broad exposure to the Managed Futures strategy using a pre-defined quantitative methodology to invest in a range of asset classes including: equities, fixed income, commodities, and currencies. Relative performance for the Credit Suisse Managed Futures Liquid Index is not available prior to January 31, 2011, which is the inception date of the index.

The Virtus Global Funds (the “Funds”) are comprised of an open-ended investment company and an open-ended Irish collective asset-management vehicle, each of which is structured as an umbrella fund with segregated liability between sub-funds and each of which is authorised, formed and regulated under the laws of Ireland as an Undertaking for Collective Investment in Transferable Securities (“UCITS”). The offering of the shares of the Virtus Global Funds is restricted in many jurisdictions and investors must inform themselves of and observe applicable restrictions in their jurisdiction.  The Funds are distributed by VP Distributors, LLC, One Financial Plaza, Hartford, CT  06103, USA.  The Funds’ current prospectuses and PRIIPS KID/KIID contain more information as well as the risks of investing and may be obtained free of charge from BNY Mellon Fund Services (Ireland) Designated Activity Company, Wexford Business Park, Rochestown, Drinagh, Wexford Y35 VY03 Ireland Phone: (+353 21) 438 00 99, or by visiting www.virtusglobalfunds.com.  The Funds have not been registered under the United States Investment Company Act of 1940, as amended, or the United States Securities Act of 1933, as amended, and are not available for sale in the U.S. or to U.S. Persons.  Please see the Funds’ prospectus for a definition of U.S. Person.

NOT FOR SALE IN THE U.S. OR TO U.S. PERSONS