Virtus GF AlphaSimplex Managed Futures Fund
Virtus GF AlphaSimplex Managed Futures Fund
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.
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
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
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 |
| J Shares Accumulating | IE0006HNF368 | USD | VIRGFAJ |
| 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 D. Healy, Ph.D.
Chief Investment Officer, Portfolio Manager
Industry start date: 2007
Start date as fund Portfolio Manager: 2016
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 P. Lüdi, Ph.D., CFA
Senior Research Scientist, Portfolio Manager
Industry start date: 2006
Start date as fund Portfolio Manager: 2016
John C. Perry, Ph.D.
Senior Research Scientist, Portfolio Manager
Industry start date: 2003
Start date as fund Portfolio Manager: 2017
Robert S. Rickard
Portfolio Manager
Industry start date: 1993
Start date as fund Portfolio Manager: 2016
Marketing Materials
Fund Resources
| Virtus Global Funds UCITS Daily NAV Report | |
| Virtus GF AlphaSimplex Managed Futures Fund Performance Report | |
| Virtus Global Funds ICAV Additional Subscription Form | |
| Virtus Global Funds ICAV Application | |
| Virtus Global Funds ICAV Redemption Form | |
| Virtus Global Funds Distribution Contact Info | |
| 2024 Virtus Global Funds Holiday Calendar | |
| 2024 Virtus Global Funds Distribution Calendar | |
| Virtus GF AlphaSimplex Managed Futures Fund Historical Risk Budgets | |
| Virtus GF AlphaSimplex Managed Futures Fund Quarterly Model Attribution | |
| Virtus GF AlphaSimplex Managed Futures Fund Adaptive Model Weights | |
| From Bears to Bulls? | |
| Virtus Global Funds Shareholder Engagement Policy | |
| Virtus Global Funds Privacy Notice | |
| Virtus Global Funds Cookie Policy |
Regulatory Documents
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