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]
 | |
 Headquarters at 200 State Street | |
| Company type | Subsidiary |
|---|---|
| Industry | Investment Management |
| Founded | 1999 |
| Founder | |
| Headquarters | Boston, Massachusetts, U.S. |
Key people | Duncan Wilkinson (CEO) |
| AUM | US$10.9 billion (Q3 2022) |
Number of employees | 44 (2022) |
| Parent |
|
| Website | www |
| Footnotes / references [1] | |
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
editAlphaSimplex 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
edit- ^ "Form ADV" (PDF). SEC. Archived (PDF) from the original on November 24, 2022. Retrieved November 24, 2022.
- ^ 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.
- ^ 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.
- ^ a b c "Managed Futures Massively Outperforms in 2022". ETF Database. Archived from the original on December 7, 2022. Retrieved December 2, 2022.
- ^ "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.
- ^ 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.
- ^ 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.
- ^ 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.
- ^ 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.
- ^ 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.
- ^ 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.
- ^ 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.
- ^ "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.
- ^ "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.
- ^ a b c d "AlphaSimplex's Flat Fee Flagship Strategy". thehedgefundjournal.com. Archived from the original on December 2, 2022. Retrieved December 2, 2022.
- ^ Zweig, Jason. "When a 'Liquid-Alt' Fund Loses Steam". WSJ. Archived from the original on January 17, 2021. Retrieved December 2, 2022.
- ^ "BASIC | NFA". www.nfa.futures.org. Archived from the original on December 2, 2022. Retrieved December 2, 2022.
- ^ 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.