If You Invested in Virtus AlphaSimplex Global Macro ETF (ASGM)

The Virtus AlphaSimplex Global Macro ETF (NYSE Arca: ASGM) is an actively managed exchange-traded fund introduced by Virtus Investment Partners through its Virtus ETF Solutions multi-manager ETF platform. ASGM is designed to seek long-term capital appreciation that is intended to be independent of traditional market cycles by applying AlphaSimplex’s research-driven, systematic approach to global macro investing.

The fund utilizes AlphaSimplex’s proprietary research and dynamic risk management systems to analyze market behavior and adapt to changing market dynamics. According to Virtus, the ETF’s objective is to outperform traditional long-only equity investments over time while helping to reduce losses during extended periods of elevated market volatility.

Investment approach and strategy

ASGM combines dedicated global equity exposures with systematic macro strategies. The global equity component is intended to participate in upside during favorable market environments, while the systematic macro strategies seek diversification benefits and aim to mitigate downside risk in more volatile or stressed conditions. This blend is positioned as an alternative way for investors to access global macro-style investing through a liquid ETF structure.

The strategy draws on AlphaSimplex’s focus on researching and analyzing markets and behaviors, including volatility and risk. AlphaSimplex develops systematic investment strategies that are designed to adapt to changing market dynamics, using primarily liquid futures and forward contracts, as described in the fund-related materials.

Role of AlphaSimplex and Virtus ETF Solutions

AlphaSimplex is a registered investment adviser and an investment manager of Virtus Investment Partners. It specializes in systematic investment strategies that emphasize diversification and adaptation to evolving market conditions. The firm’s work includes studying volatility, risk, and market behavior to inform its rules-based approaches.

Virtus ETF Solutions serves as a multi-manager ETF sponsor within Virtus Investment Partners. It offers actively managed and index-based capabilities across multiple asset classes and provides a platform through which subadvisers like AlphaSimplex can deliver differentiated ETF strategies. ASGM is identified as the 21st ETF offering from this platform.

Positioning within investor portfolios

Virtus describes ASGM as an alternative ETF for investors seeking diversification throughout a market cycle. By combining proprietary trend techniques with tactical exposure to global equities and systematic macro strategies, the fund is presented as a way for investors to access global macro approaches in an ETF format rather than through traditional hedge fund structures.

Key risk considerations

The Virtus AlphaSimplex Global Macro ETF is subject to a range of risks highlighted in its fund communications. These include risks associated with:

• Exchange-traded funds (ETF) – ETF shares can trade at prices above or below their net asset value, and the costs of owning ETF shares may exceed the cost of investing directly in underlying securities.
• Derivatives – Use of instruments such as futures, options, forwards, and swaps can increase volatility and may result in losses greater than the principal invested.
• Equity securities – Equity prices can be affected by market-wide, industry-specific, or issuer-specific events, and focusing on particular styles or company sizes can heighten this risk.
• Short sales – Short positions can lead to losses if the prices of borrowed securities rise before they are replaced.
• Quantitative models – Strategies based on quantitative models may perform differently than expected or differently from the broader market, and there is no assurance they will achieve positive returns.
• Leverage – Leveraged positions can increase volatility and magnify other risks.
• Commodity and commodity-linked instruments – These instruments may behave differently than the underlying commodities and may involve counterparty risk.
• Currency rate risk – Fluctuations in exchange rates between the U.S. dollar and foreign currencies can negatively affect the value of the portfolio’s shares.
• Foreign and emerging markets – Investments outside the United States, especially in emerging markets, can involve additional volatility, currency, liquidity, political, regulatory, economic, and market risks.
• Interest rate and credit risk – Changes in interest rates can affect the value of debt instruments, and issuers that fail to make timely payments can cause declines in security prices.
• Portfolio turnover – The fund’s principal strategies may lead to high portfolio turnover, which can increase transaction costs and may have tax implications in taxable accounts.
• Market price/NAV and market volatility – Shares may trade at prices different from net asset value, and local, regional, or global events, including war, terrorism, pandemics, or recessions, can affect the fund and its ability to implement its strategies as intended.

Investors are directed in the fund’s materials to review the prospectus for a full discussion of objectives, risks, charges, and expenses before investing.

Relationship to benchmarks and indices

In the fund’s communications, reference is made to indices such as the ICE BofA US Treasury Bill 3 Month Index and the Credit Suisse Global Macro Index. These indices are described as unmanaged, calculated on a total return basis, and not available for direct investment. They are presented for context regarding short-term U.S. Treasury bill performance and global macro hedge fund strategies, respectively, rather than as direct investment options.

Fund structure and sponsor

ASGM is part of the broader family of ETFs offered by Virtus Investment Partners through Virtus ETF Solutions. Virtus describes itself as a partnership of boutique investment managers that provide investment products and services across multiple disciplines and product types, with each manager maintaining a distinct investment style and autonomous process. Within this structure, AlphaSimplex serves as an investment manager focused on systematic and adaptive strategies that support the design of the Virtus AlphaSimplex Global Macro ETF.