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ASGM — Virtus AlphaSimplex Global Macro ETF

ASGM packages AlphaSimplex’s research-driven global macro sleeve inside Virtus’s ETF shelf: a strategic equity sleeve plus systematic futures across rates, currencies, and commodities, so macro risk can rotate without loading everything on a single equity factor.

Equity Efficiency:DCapital Efficiency grades how well this ETF delivers equity-side returns relative to the capital and beta it uses, with SPY as the B baseline. Leveraged ETFs score higher when they free up capital for an alpha sleeve. Long/short and factor ETFs are graded on excess return versus SPY, net of costs. ASGM blends a strategic equity component with AlphaSimplex systematic macro futures across rates, FX, and commodities.Alpha Efficiency:B+Alpha Efficiency grades the non-equity sleeve of this stacked ETF on return above its borrowing cost: that's the true hurdle for a futures overlay. A sleeve that only matches its financing cost adds no value; grades above B mean the overlay is genuinely earning its keep. The macro book rotates with volatility targeting and trend signals; sleeve weights shift with model output.Stacked Efficiency:BStacked Efficiency blends Capital- and Alpha-bucket grades using the configured sleeve weights (33% capital / 67% alpha).

Sleeve split estimated from sponsor materials and published holdings as of Aug 2025. Grades updated when materially new data is available.

ASGM price history

Range
+32.53%
Total return (1Y)
ASGM

Total return (Yahoo adjusted close—dividends and splits per Yahoo), normalized to $10,000 at first available trade date. Educational only.

Strategy

ASGM uses adaptive risk budgeting layered on trend and macro signals. Gross exposure expands and contracts with volatility targeting, so headline beta in any given month can look very different from a 60/40 proxy. Futures implementation, roll timing, and margin are central to understanding sleeve interaction.

Because the process is model-driven, the failure mode is environment shift: models optimized on long histories can lag abrupt policy reversals or liquidity shocks. Stress tests against 2020 and 2022-style months matter more than a single backtested decade.

Manager and Issuer Pedigree

AlphaSimplex spun out of MIT-linked quantitative finance (Andrew Lo’s research ecosystem) before becoming Virtus’s systematic macro affiliate—its edge is published methodology, peer-reviewed roots, and institutional risk systems rather than discretionary macro “stories.”

Virtus Investment Partners is a public multi-boutique manager with consolidated assets in the tens of billions of dollars per SEC filings—large enough for prime brokerage and swap infrastructure, while ASGM remains a specialist ETF for investors who want macro convexity alongside listed equity beta.

Outperformance

Outperforms when <strong>macro variables diverge</strong>: dollar trends vs. EM, curve steepeners vs. equities, or commodity shocks that hit sectors unevenly, windows where futures sleeves earn while an equity core still participates in carry.

Underperforms in <strong>whipsaw tape</strong> where signals flip monthly; favorable environments are persistent trends with liquid curves, not single-meeting Fed reversals where every asset reprices in one session.

Similar ETFs

TickerNameScoreMERAUM
ASGMVirtus AlphaSimplex Global Macro ETFB0.86%~$210M
HFGMUnlimited HFGM Global Macro ETFB+1.00%~$35M

Official ETF page

Read the official ETF page for current NAV, holdings, and documents: Virtus (ASGM).

Beta and MER may not be accurate.
Educational content only; not investment advice. Past performance does not guarantee future results.

Grades above are based on 4–11 months of live data and should be treated as provisional. Short history may not capture a full market-cycle.