New Virtus ETF Focuses on Managed Futures | ETF Trends

On Thursday, Virtus Investment Partners added a new ETF to its roster with the launch of the Virtus AlphaSimplex Managed Futures ETF (ASMF).

The actively managed fund has a net expense ratio of 0.80%. It seeks to provide investors with absolute positive returns. ASMF aims to align the returns to be consistent with the risk/returns of a basket containing some of the world’s largest managed futures funds. The size of the managed futures funds is measured with the SG CTA Index.

AlphaSimplex serves as the fund’s subadvisor. To identify quality investments, AlphaSimplex applies a mix of replication techniques, quantitative trend models, and risk management approaches. This investment approach combines top-down replication strategies with a unique bottom-up perspective.

Broad Asset Exposure

ASMF’s replication models apply liquid futures contracts across 20 different assets. These assets include a wide variety of asset classes, including equities, bonds, currencies, and commodity markets. This allows the fund to provide broad exposure to securities across a number of asset classes. Securities within the portfolio could be held for both long and short durations.

In seeking asset exposures, AlphaSimplex also intends to use a number of derivative instruments, including futures and forward contracts. These can include assets both within and outside the United States.

With risk management in consideration, ASMF uses a systematic approach to evaluate potential volatility and correlation, along with other meaningful risk factors. AlphaSimplex’s incorporated model data also assists in enhancing risk-adjusted returns and mitigating potential tracking error.

The fund’s risk management potential is bolstered through its active management team. With active management, a fund can better position itself both offensively and defensively in response to market trends.

Virtus Investment Partners currently has 18 different ETFs listed in the U.S. These funds account for over $2 billion in assets under management. The largest Virtus ETF, the Virtus InfraCap U.S. Preferred Stock ETF (PFFA), holds over $950 million in AUM.

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