AlphaSimplex Group

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]

AlphaSimplex Group, LLC

Headquarters at 200 State Street
Company type	Subsidiary
Industry	Investment Management
Founded	1999; 26 years ago (1999)
Founder	Andrew Lo
Headquarters	Boston, Massachusetts, U.S.
Key people	Duncan Wilkinson (CEO)
AUM	US$10.9 billion (Q3 2022)
Number of employees	44 (2022)
Parent	Virtus Investment Partners (2023–present) Natixis Investment Managers (2007–2023)
Website	www.alphasimplex.com
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

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]