Key Takeaways
- • The Virtus AlphaSimplex Managed Futures Strategy Fund is a pure trend-following fund that takes long and short positions across liquid futures and forwards in global equity, fixed income, currency and commodity markets, managed by AlphaSimplex Group, LLC.
- • Per the publisher context, the fund's Class I shares returned 2.42% during the second quarter of 2026, a figure that sits outside the stated Q2 2025 commentary framing and should be read with that discrepancy in mind.
- • Commodities carry the largest risk allocation at 36%, followed by fixed income at 30%, currencies at 18% and equities at 16%, based on the fund's ex-ante volatility-weighted risk budget.
- • The portfolio held 52 long and 43 short positions across 96 contracts as of 09/30/2026, with the largest single exposures being short French 10-year OAT futures (1.45%) and long Brent crude (1.62%) of risk allocation.
- • The fund's stated role is diversification and crisis alpha, with the managers describing managed futures returns as historically having low long-term correlation to traditional stocks and bonds.
Summary
The Virtus AlphaSimplex Managed Futures Strategy Fund, a series of Virtus Alternative Solutions Trust, pursues an absolute return strategy seeking long-term capital appreciation. According to the primary source, the AlphaSimplex strategy applies a pure trend-following methodology, taking long and short positions in a broad set of liquid futures and forward contracts across global equity, bond, currency and commodity markets. The investment partner, AlphaSimplex Group, LLC, is described as a systematic alternatives manager founded in 1999.
The investment team lists four portfolio managers: Alexander D. Healy, Ph.D., Chief Investment Officer and Portfolio Manager, who has been a fund portfolio manager since 2014; Kathryn M. Kaminski, Ph.D., CAIA, Chief Research Strategist, a fund portfolio manager since 2018; Tansu Demirbilek, Senior Research Scientist and Senior Portfolio Manager, added as a fund portfolio manager in 2025; and Philippe P. Lüdi, Ph.D., CFA, Senior Research Scientist and Portfolio Manager, a fund portfolio manager since 2014.
As of 09/30/2026, the fund's risk budget was allocated 36% to commodities, 30% to fixed income, 18% to currencies and 16% to equities. Top active exposures included long positions in Brent crude (1.62%), crude oil (1.55%), gas oil (1.50%), gasoline (1.41%) and heating oil (1.23%), while the largest fixed income exposure was a short position in the French 10-year OAT (1.45%). Holdings totaled 52 long positions, 43 short positions and 96 contracts. The source notes these figures are unaudited, computed by AlphaSimplex from internal data, and subject to revision.
The publisher context states that Class I shares returned 2.42% during the second quarter of 2026. That figure does not appear in the primary article body and is reported here only as publisher context. The fund's stated objective is to deliver crisis alpha and diversification, with managers noting that managed futures strategies have historically shown low long-term correlation to traditional stocks and bonds. The fund's disclosed risks include derivatives, leverage, quantitative model risk, financial sector concentration and high portfolio turnover.
The investment team lists four portfolio managers: Alexander D. Healy, Ph.D., Chief Investment Officer and Portfolio Manager, who has been a fund portfolio manager since 2014; Kathryn M. Kaminski, Ph.D., CAIA, Chief Research Strategist, a fund portfolio manager since 2018; Tansu Demirbilek, Senior Research Scientist and Senior Portfolio Manager, added as a fund portfolio manager in 2025; and Philippe P. Lüdi, Ph.D., CFA, Senior Research Scientist and Portfolio Manager, a fund portfolio manager since 2014.
As of 09/30/2026, the fund's risk budget was allocated 36% to commodities, 30% to fixed income, 18% to currencies and 16% to equities. Top active exposures included long positions in Brent crude (1.62%), crude oil (1.55%), gas oil (1.50%), gasoline (1.41%) and heating oil (1.23%), while the largest fixed income exposure was a short position in the French 10-year OAT (1.45%). Holdings totaled 52 long positions, 43 short positions and 96 contracts. The source notes these figures are unaudited, computed by AlphaSimplex from internal data, and subject to revision.
The publisher context states that Class I shares returned 2.42% during the second quarter of 2026. That figure does not appear in the primary article body and is reported here only as publisher context. The fund's stated objective is to deliver crisis alpha and diversification, with managers noting that managed futures strategies have historically shown low long-term correlation to traditional stocks and bonds. The fund's disclosed risks include derivatives, leverage, quantitative model risk, financial sector concentration and high portfolio turnover.
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