AlphaSimplex Group

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AlphaSimplex Group, LLC
Company typeSubsidiary
IndustryInvestment Management
Founded1999; 27 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

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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

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