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Virtus AlphaSimplex Managed Futures ETF ASMF
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | ASMF | Replication |
|---|---|---|
| Annualized growth | 4.1% | 11.8% |
| Annualized volatility | 9.0% | 6.4% |
| Sharpe ratio | 0.49 | 1.78 |
| Maximum drawdown | 13.7% | 5.2% |
| Replication fit (R²) | 0.50 · Tracking error 6.4% | |
Replication portfolio
The published portfolio below is the investable basket used to model ASMF’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| WTMF | Alternatives · Mgt Futures | 55.1% |
| DBEF | Intl · Dev Hedged | 16.4% |
| BCI | Alternatives · Commodities | 16.3% |
| XLP | Sector · Cons Staples | 8.5% |
| EFV | Intl · Value | 3.7% |