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Rating:25 Years In, an MA Quant Shop Enters the ETF Biz Not Rated 0.0 Email Routing List Email & Route  Print Print
Thursday, May 30, 2024

25 Years In, an MA Quant Shop Enters the ETF Biz

Reported by Neil Anderson, Managing Editor

The team at a 25-year-old, liquid alts quant shop in Massachusetts is entering the ETF space, with help from their publicly traded, multiboutique asset manager parent.

George Robert Aylward
Virtus Investment Partners, Inc.
President, CEO
Earlier this month, Alexander Healey, chief investment officer of AlphaSimplex Group, LLC, and Bill Smalley, executive managing director of Virtus Investment Partners, Inc.'s Virtus ETF Solutions [profile], unveiled the launch of the Virtus AlphaSimplex Managed Futures ETF (ASMF on the NYSE Arca, Inc.). The new, actively managed fund is a series of Virtus ETF Trust II.

The launch expands Virtus ETF Solutions' lineup to 18 ETFs in total. The Virtus team confirms ASMF is the first ETF ever powered by an AlphaSimplex strategy. (The launch comes about one year after Hartford, Connecticut-based Virtus bought Boston-based AlphaSimplex from another multiboutique.)

ASMF's inception date was May 15, and the fund comes with an expense ratio of 80 basis points. As of yesterday, ASMF had $6.37 million in AUM.

New York City-based Virtus ETF Advisers LLC serves as ASMF's investment advisor, while AlphaSimplex serves as subadvisor. The new ETF's PM team includes Healy and Kathryn Kaminski, chief research strategist at AlphaSimplex.

Healy puts the launch of ASMF in the context of managed futures strategies historically generating "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."

"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," Healy states.

"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," Smalley states, adding that the idea is "to deliver 'enhanced beta' exposure to the index with daily liquidity in an efficient and transparent ETF wrapper."

ASMF's other service providers include: the Bank of New York Mellon (BNY Mellon) as accounting services administrator, custodian, dividend paying agent, and transfer agent; PricewaterhouseCoopers LLP as independent accounting firm; Stradley Ronon Stevens & Young, LLP as counsel; Virtus ETF Solutions as administrator; and VP distributors, LLC as distributor. 

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