AlphaSimplex Group

AlphaSimplex Group, LLC
Company typeSubsidiary
IndustryInvestment Management
Founded1999; 26 years ago (1999)
Founder
HeadquartersBoston, Massachusetts, U.S.
Key people
Duncan Wilkinson (CEO)
AUMUS$10.9 billion (Q3 2022)
Number of employees
44 (2022)
Parent
Websitewww.alphasimplex.com
Footnotes / references
[1]

AlphaSimplex Group (AlphaSimplex) is an American investment management firm based in Boston. The firm relies on quantitative analysis for its approach to investing.[2][3][4]

On October 20, 2022, it was announced that Natixis Investment Managers would sell AlphaSimplex to Virtus Investment Partners.[5][6] The acquisition completed in April 2023.[7]

Background

AlphaSimplex was founded in 1999 by Andrew Lo.[3][8][9] Lo is a professor of Finance at MIT Sloan School of Management.[8][9][10][11] He was chairman and Chief Investment Strategist of the firm until 2018 when he transitioned to his current role as chairman emeritus and Senior advisor.[11][12][13]

In 2007, Natixis Investment Managers acquired AlphaSimplex.[8][12] In the same year, AlphaSimplex and Credit Suisse launched the first 130–30 fund index.[14]

The firm's most notable funds are its Managed Futures Strategy Fund launched in 2010 and its Global Alternatives Fund launched in 2008.[2][3][4][9][15] Its Managed Futures Strategy Fund uses a quantitative approach to trend following.[2][4][9][11][15] Its Global Alternatives Fund is a mutual fund that provides the strategies and properties of hedge funds to average investors who otherwise would not be able to invest in hedge funds due their strict investor requirements.[3][11] The firm also had a Liquid alternative fund called Diversifying Strategies Fund that was launched in 2009 but closed in 2013 due to poor returns.[16]

The firm is registered with the Commodity Futures Trading Commission as a commodity pool operator (CPO) and commodity trading advisor (CTA).[15][17] Since 2010, flat fee trend following has been its flagship CTA strategy.[15]

From 2022 to 2023, AlphaSimplex made a two-year short bet against US Bonds. Its public mutual fund had a 36% return in 2022 due to the bond market rout that year but had a 10% loss in 2023 when the bond market rebounded towards end of the year.[18]

References

  1. ^ "Form ADV" (PDF). SEC. Archived (PDF) from the original on November 24, 2022. Retrieved November 24, 2022.
  2. ^ a b c "AlphaSimplex Quant Explains What's Behind Fund's 38% Gain: Q&A". Bloomberg.com. September 10, 2022. Archived from the original on September 10, 2022. Retrieved November 24, 2022.
  3. ^ a b c d Gray, Tim (July 11, 2009). "From the Classroom to the Marketplace". The New York Times. ISSN 0362-4331. Archived from the original on December 2, 2022. Retrieved December 2, 2022.
  4. ^ a b c "Managed Futures Massively Outperforms in 2022". ETF Database. Archived from the original on December 7, 2022. Retrieved December 2, 2022.
  5. ^ "Virtus to acquire alternatives manager AlphaSimplex from Natixis". Pensions & Investments. October 20, 2022. Archived from the original on November 24, 2022. Retrieved November 24, 2022.
  6. ^ SCHMITT, WILL (October 21, 2022). "Natixis to sell $11bn alts boutique to Virtus". citywire.com. Archived from the original on November 24, 2022. Retrieved November 24, 2022.
  7. ^ Larson, Andrew (April 4, 2023). "Virtus Investment Partners closes on acquisition of Boston firm". Hartford Business Journal. Archived from the original on April 5, 2023. Retrieved April 12, 2023.
  8. ^ a b c "Natixis to buy firm managed by MIT's Andrew Lo". Reuters. September 13, 2007. Archived from the original on November 24, 2022. Retrieved November 24, 2022.
  9. ^ a b c d Fisher, Daniel. "Managed-Futures Fund Offers Panic Management In A Crisis". Forbes. Archived from the original on December 2, 2022. Retrieved December 2, 2022.
  10. ^ Gray, Tim (July 11, 2009). "From the Classroom to the Marketplace". The New York Times. ISSN 0362-4331. Archived from the original on December 2, 2022. Retrieved December 2, 2022.
  11. ^ a b c d "Ready for anything: Face to Face with Andrew Lo". Pensions & Investments. July 9, 2009. Archived from the original on December 2, 2022. Retrieved December 2, 2022.
  12. ^ a b "Natixis buys firm founded by MIT professor Lo". Pensions & Investments. September 13, 2007. Archived from the original on November 24, 2022. Retrieved November 24, 2022.
  13. ^ "Supplement dated November 7, 2017 to the Currently Effective Summary Prospectus, Prospectus and Statement of Additional Information". www.sec.gov. Archived from the original on November 24, 2022. Retrieved November 24, 2022.
  14. ^ "Credit Suisse and AlphaSimplex launch first 130/30 index | Hedgeweek". www.hedgeweek.com. October 3, 2007. Archived from the original on March 16, 2024. Retrieved November 24, 2022.
  15. ^ a b c d "AlphaSimplex's Flat Fee Flagship Strategy". thehedgefundjournal.com. Archived from the original on December 2, 2022. Retrieved December 2, 2022.
  16. ^ Zweig, Jason. "When a 'Liquid-Alt' Fund Loses Steam". WSJ. Archived from the original on January 17, 2021. Retrieved December 2, 2022.
  17. ^ "BASIC | NFA". www.nfa.futures.org. Archived from the original on December 2, 2022. Retrieved December 2, 2022.
  18. ^ McCormick, Liz Capo (January 4, 2024). "AlphaSimplex Exits Short Bet Against US Bonds After 'Epic' Market Shift". Bloomberg.com. Archived from the original on January 4, 2024. Retrieved February 11, 2024.