Virtus AlphaSimplex Managed Futures Strategy Fund

Fund Profile

Fund profile

Tickers

AMFNX, AMFAX, ASFCX, ASFYX

Fund manager

Virtus Alternative Solutions Trust

Total assets

$1.90 bn

Liabilities

$6.24 mm

Net assets

$1.90 bn

Number of holdings

149.00

149 Holdings

As of Dec 2024

Security	$Holding	Balance	% of Fund	Category	Position	Country
SUMITOMO MITSUI TR BK LTD N 16JAN25	70.01 mm	70.00 mm principal	3.69	Debt	Long	USA
SEBNY YCD 4.6600 02/05/25	56.01 mm	56.00 mm principal	2.96	Debt	Long	USA
Bank of Nova Scotia/Houston	51.52 mm	51.50 mm principal	2.72	Debt	Long	USA
SVSNY YCD 5.4100 06/18/25	50.19 mm	50.00 mm principal	2.65	Debt	Long	USA
BMOCHG YCD 5.4800 05/08/25	50.16 mm	50.00 mm principal	2.65	Debt	Long	USA
Mizuho Bank Ltd/New York NY	50.01 mm	50.00 mm principal	2.64	Debt	Long	USA
United States Treasury Bill	49.97 mm	50.00 mm principal	2.64	Debt	Long	USA
RY YCD 4.2700 06/17/25	49.95 mm	50.00 mm principal	2.64	Debt	Long	USA
United States Treasury Bill	49.92 mm	50.00 mm principal	2.63	Debt	Long	USA
Commonwealth Bank of Australia/New York NY	49.02 mm	49.00 mm principal	2.59	Debt	Long	USA
National Australia Bank Ltd/New York	46.20 mm	46.20 mm principal	2.44	Debt	Long	USA
Mitsubishi UFJ Trust & Banking Corp/NY	45.01 mm	45.00 mm principal	2.38	Debt	Long	USA
United States Treasury Bill	44.83 mm	45.00 mm principal	2.37	Debt	Long	USA
BACNA CD 5.4000 01/06/25	43.01 mm	43.00 mm principal	2.27	Debt	Long	USA
Oversea-Chinese Banking Corp Ltd/New York	42.50 mm	42.50 mm principal	2.24	Debt	Long	USA
BACNA CD 5.4600 01/13/25	40.51 mm	40.50 mm principal	2.14	Debt	Long	USA
United States Treasury Bill	39.49 mm	40.00 mm principal	2.08	Debt	Long	USA
RY YCD 5.1300 07/23/25	39.13 mm	39.00 mm principal	2.06	Debt	Long	USA
United States Treasury Bill	38.79 mm	39.00 mm principal	2.05	Debt	Long	USA
Canadian Imperial Bank of Commerce/New York NY	37.51 mm	37.50 mm principal	1.98	Debt	Long	USA
Cooperatieve Rabobank UA/NY	37.01 mm	37.00 mm principal	1.95	Debt	Long	USA
MUFGBK YCD	35.01 mm	35.00 mm principal	1.85	Debt	Long	USA
Svenska Handelsbanken/New York NY	35.01 mm	35.00 mm principal	1.85	Debt	Long	USA
Sumitomo Mitsui Banking Corp/New York	35.00 mm	35.00 mm principal	1.85	Debt	Long	USA
Canadian Imperial Bank of Commerce/New York NY	30.01 mm	30.00 mm principal	1.58	Debt	Long	USA
RABOND YCD 4.5300 05/05/25	30.00 mm	30.00 mm principal	1.58	Debt	Long	USA
United States Treasury Bill	29.88 mm	30.00 mm principal	1.58	Debt	Long	USA
United States Treasury Bill	29.81 mm	30.00 mm principal	1.57	Debt	Long	USA
United States Treasury Bill	29.59 mm	30.00 mm principal	1.56	Debt	Long	USA
United States Treasury Bill	27.96 mm	28.00 mm principal	1.48	Debt	Long	USA
BMOCHG YCD 4.9400 03/07/25	27.02 mm	27.00 mm principal	1.43	Debt	Long	USA
United States Treasury Bill	24.94 mm	25.00 mm principal	1.32	Debt	Long	USA
United States Treasury Bill	24.76 mm	25.00 mm principal	1.31	Debt	Long	USA
Nordea Bank Abp/New York NY	23.51 mm	23.50 mm principal	1.24	Debt	Long	USA
NORHNY YCD 4.4300 03/24/25	23.50 mm	23.50 mm principal	1.24	Debt	Long	USA
CIBCNY YCD 5.1900 04/23/25	21.55 mm	21.50 mm principal	1.14	Debt	Long	USA
Dreyfus Government Cash Management	20.56 mm	20.56 mm shares	1.08	Short-term investment vehicle	Long	USA
United States Treasury Bill	14.95 mm	15.00 mm principal	0.79	Debt	Long	USA
WESTPAC BANKING CORP/NY	13.86 mm	13.85 mm principal	0.73	Debt	Long	USA
Bank of Nova Scotia/Houston	11.00 mm	11.00 mm principal	0.58	Debt	Long	USA
United States Treasury Bill	10.98 mm	11.00 mm principal	0.58	Debt	Long	USA
BNPPNY YCD 4.5600 04/04/25	10.00 mm	10.00 mm principal	0.53	Debt	Long	USA
United States Treasury Bill	9.95 mm	10.00 mm principal	0.53	Debt	Long	USA
USD/NZD FORWARD UBS Securities LLC	9.53 mm	1.00 contracts	0.50	DFE	N/A	USA
Bank of Nova Scotia/Houston	9.50 mm	9.50 mm principal	0.50	Debt	Long	USA
United States Treasury Bill	9.00 mm	9.00 mm principal	0.47	Debt	Long	USA
AUDUSD CRNCY	6.55 mm	-3.80 k contracts	0.35	DFE	N/A	USA
COCOA	6.45 mm	146.00 contracts	0.34	Commodity derivative	N/A	USA
JAPAN YEN CURR	5.75 mm	-2.13 k contracts	0.30	DFE	N/A	USA
COFFEE 'C'	5.74 mm	307.00 contracts	0.30	Commodity derivative	N/A	USA
LONG GILT	5.55 mm	-2.31 k contracts	0.29	Interest rate derivative	N/A	UK
CHF/USD FORWARD UBS Securities LLC	5.17 mm	1.00 contracts	0.27	DFE	N/A	USA
EURO FX CURR	4.86 mm	-2.69 k contracts	0.26	DFE	N/A	USA
C$ CURRENCY	3.55 mm	-3.44 k contracts	0.19	DFE	N/A	USA
SGD/USD FORWARD UBS Securities LLC	2.83 mm	1.00 contracts	0.15	DFE	N/A	USA
USD/MXN FORWARD UBS Securities LLC	2.72 mm	1.00 contracts	0.14	DFE	N/A	USA
3MTH SONIA	2.71 mm	-6.24 k contracts	0.14	Interest rate derivative	N/A	UK
USD/NOK FORWARD UBS Securities LLC	2.28 mm	1.00 contracts	0.12	DFE	N/A	USA
USD/SEK FORWARD UBS Securities LLC	1.93 mm	1.00 contracts	0.10	DFE	N/A	USA
US 10YR ULTRA	1.72 mm	-2.02 k contracts	0.09	Interest rate derivative	N/A	USA
US 10YR NOTE (CBT)	1.64 mm	-2.66 k contracts	0.09	Interest rate derivative	N/A	USA
5 YEAR U.S TREASURY NOTE	1.55 mm	-4.58 k contracts	0.08	Interest rate derivative	N/A	USA
US LONG BOND(CBT)	1.47 mm	-1.13 k contracts	0.08	Interest rate derivative	N/A	USA
USD/CNH FORWARD UBS Securities LLC	1.45 mm	1.00 contracts	0.08	DFE	N/A	USA
US ULTRA BOND CBT	1.38 mm	-723.00 contracts	0.07	Interest rate derivative	N/A	USA
BP CURRENCY	1.32 mm	-1.19 k contracts	0.07	DFE	N/A	USA
PLN/USD FORWARD UBS Securities LLC	1.26 mm	1.00 contracts	0.07	DFE	N/A	USA
AUST 3YR BOND	1.25 mm	-3.74 k contracts	0.07	Interest rate derivative	N/A	Australia
AUST 10Y BOND	1.24 mm	-1.57 k contracts	0.07	Interest rate derivative	N/A	Australia
COTTON NO.2	932.82 k	-684.00 contracts	0.05	Commodity derivative	N/A	USA
GOLD 100 OZ	768.68 k	390.00 contracts	0.04	Commodity derivative	N/A	USA
EURO-OAT	690.09 k	-1.09 k contracts	0.04	Interest rate derivative	N/A	Germany
SOYBEAN OIL	682.69 k	-735.00 contracts	0.04	Commodity derivative	N/A	USA
WHEAT (CBT)	670.11 k	-1.04 k contracts	0.04	Commodity derivative	N/A	USA
LME COPPER	617.68 k	-91.00 contracts	0.03	Commodity derivative	N/A	UK
LME NICKEL	533.20 k	-200.00 contracts	0.03	Commodity derivative	N/A	UK
TOPIX INDX	488.23 k	158.00 contracts	0.03	Equity derivative	N/A	Japan
3M CORRA	453.41 k	1.05 k contracts	0.02	Interest rate derivative	N/A	Canada
NIKKEI 225(OSE)	420.01 k	99.00 contracts	0.02	Equity derivative	N/A	Japan
USD/ZAR FORWARD UBS Securities LLC	413.10 k	1.00 contracts	0.02	DFE	N/A	USA
INR/USD	411.09 k	-3.09 k contracts	0.02	DFE	N/A	Singapore
LIVE CATTLE	391.00 k	947.00 contracts	0.02	Commodity derivative	N/A	USA
HSCEI	318.15 k	461.00 contracts	0.02	Equity derivative	N/A	Hong Kong
HANG SENG INDEX	314.35 k	187.00 contracts	0.02	Equity derivative	N/A	Hong Kong
THREE-MONTH SOFR	297.98 k	-4.41 k contracts	0.02	Interest rate derivative	N/A	USA
KRW/USD MINI	282.50 k	-621.00 contracts	0.01	DFE	N/A	Singapore
LME PRI ALUM	256.43 k	254.00 contracts	0.01	Commodity derivative	N/A	UK
2 YEAR U.S. TREASURY NOTE	205.55 k	-4.33 k contracts	0.01	Interest rate derivative	N/A	USA
FTSE CHINA A50	172.38 k	1.74 k contracts	0.01	Equity derivative	N/A	Singapore
CAC40 10 EURO	116.25 k	-178.00 contracts	0.01	Equity derivative	N/A	France
BRAZIL REAL	84.55 k	-1.38 k contracts	0.00	DFE	N/A	USA
SUGAR #11 (WORLD)	81.78 k	-775.00 contracts	0.00	Commodity derivative	N/A	USA
PLATINUM	77.74 k	-103.00 contracts	0.00	Commodity derivative	N/A	USA
IRON ORE 62	56.46 k	-782.00 contracts	0.00	Commodity derivative	N/A	Singapore
LME PRI ALUM	55.35 k	-159.00 contracts	0.00	Commodity derivative	N/A	UK
COPPER	48.06 k	-137.00 contracts	0.00	Commodity derivative	N/A	USA
PALLADIUM	47.72 k	-56.00 contracts	0.00	Commodity derivative	N/A	USA
EURO-BUND	44.97 k	-405.00 contracts	0.00	Interest rate derivative	N/A	Germany
KC HRW WHEAT	26.24 k	-254.00 contracts	0.00	Commodity derivative	N/A	USA
NATURAL GAS	23.13 k	-48.00 contracts	0.00	Commodity derivative	N/A	USA
ECX EMISSION	22.52 k	32.00 contracts	0.00	Commodity derivative	N/A	Netherlands
MSCI SING IX ETS	21.32 k	1.67 k contracts	0.00	Equity derivative	N/A	Singapore
USD/TRY FORWARD UBS Securities LLC	14.89 k	1.00 contracts	0.00	DFE	N/A	USA
LME ZINC	12.83 k	-78.00 contracts	0.00	Commodity derivative	N/A	UK
ALUMINUM	5.37 k	5.00 contracts	0.00	Commodity derivative	N/A	USA
EURO-BOBL	4.74 k	-575.00 contracts	0.00	Interest rate derivative	N/A	Germany
EURO-SCHATZ	-6.01 k	-317.00 contracts	-0.00	Interest rate derivative	N/A	Germany
LME ZINC	-7.01 k	178.00 contracts	-0.00	Commodity derivative	N/A	UK
USD/NZD FORWARD UBS Securities LLC	-42.11 k	1.00 contracts	-0.00	DFE	N/A	USA
MSCI EAFE	-52.53 k	-206.00 contracts	-0.00	Equity derivative	N/A	USA
USD/PLN FORWARD UBS Securities LLC	-79.16 k	1.00 contracts	-0.00	DFE	N/A	USA
BRENT CRUDE	-180.89 k	-60.00 contracts	-0.01	Commodity derivative	N/A	UK
CAN 10YR BOND	-210.07 k	158.00 contracts	-0.01	Interest rate derivative	N/A	Canada
EURO-BUXL 30Y BND	-210.49 k	30.00 contracts	-0.01	Interest rate derivative	N/A	Germany
OMXS30 IND	-226.98 k	430.00 contracts	-0.01	Equity derivative	N/A	Sweden
CHF/USD FORWARD UBS Securities LLC	-237.92 k	1.00 contracts	-0.01	DFE	N/A	USA
STOXX EUROPE 600	-248.40 k	409.00 contracts	-0.01	Equity derivative	N/A	Germany
FTSE TAIWAN INDEX	-253.34 k	365.00 contracts	-0.01	Equity derivative	N/A	Singapore
FTSE/JSE TOP 40	-263.45 k	184.00 contracts	-0.01	Equity derivative	N/A	South Africa
GASOLINE RBOB	-282.86 k	-165.00 contracts	-0.01	Commodity derivative	N/A	USA
FTSE/MIB INDEX	-290.38 k	153.00 contracts	-0.02	Equity derivative	N/A	Italy
3MO EURO EURIBOR	-319.13 k	3.33 k contracts	-0.02	Interest rate derivative	N/A	UK
MSCI EMGMKT	-339.31 k	158.00 contracts	-0.02	Equity derivative	N/A	USA
WTI CRUDE	-370.95 k	-93.00 contracts	-0.02	Commodity derivative	N/A	USA
IBEX 35 INDX	-380.59 k	324.00 contracts	-0.02	Equity derivative	N/A	Spain
SEK/USD FORWARD UBS Securities LLC	-406.92 k	1.00 contracts	-0.02	DFE	N/A	USA
LME COPPER	-437.13 k	54.00 contracts	-0.02	Commodity derivative	N/A	UK
90-DAY BANK BILL	-479.64 k	-1.52 k contracts	-0.03	Interest rate derivative	N/A	Australia
EURO STOXX 50	-483.39 k	508.00 contracts	-0.03	Equity derivative	N/A	Germany
FTSE 100 INDEX	-538.15 k	322.00 contracts	-0.03	Equity derivative	N/A	UK
MXN/USD FORWARD UBS Securities LLC	-540.87 k	1.00 contracts	-0.03	DFE	N/A	USA
LEAN HOGS	-826.07 k	502.00 contracts	-0.04	Commodity derivative	N/A	USA
SILVER	-1.02 mm	139.00 contracts	-0.05	Commodity derivative	N/A	USA
SHORT EURO-BTP	-1.05 mm	2.26 k contracts	-0.06	Interest rate derivative	N/A	Germany
LOW SU GASOIL G	-1.35 mm	-310.00 contracts	-0.07	Commodity derivative	N/A	UK
SOYBEAN	-1.41 mm	-1.31 k contracts	-0.07	Commodity derivative	N/A	USA
SPI 200	-1.46 mm	639.00 contracts	-0.08	Equity derivative	N/A	Australia
DAX INDEX	-1.76 mm	137.00 contracts	-0.09	Equity derivative	N/A	Germany
NY HARB ULSD	-1.77 mm	-309.00 contracts	-0.09	Commodity derivative	N/A	USA
CORN	-1.86 mm	-1.22 k contracts	-0.10	Commodity derivative	N/A	USA
SOYBEAN MEAL	-2.24 mm	-1.19 k contracts	-0.12	Commodity derivative	N/A	USA
ZAR/USD FORWARD UBS Securities LLC	-2.29 mm	1.00 contracts	-0.12	DFE	N/A	USA
EURO-BTP	-2.30 mm	784.00 contracts	-0.12	Interest rate derivative	N/A	Germany
E-MINI RUSS 2000	-3.49 mm	492.00 contracts	-0.18	Equity derivative	N/A	USA
S&P/TSX 60 IX	-3.82 mm	743.00 contracts	-0.20	Equity derivative	N/A	Canada
S&P MID 400 EMINI	-3.86 mm	227.00 contracts	-0.20	Equity derivative	N/A	USA
DJIA MINI E-CBOT	-4.52 mm	611.00 contracts	-0.24	Equity derivative	N/A	USA
NASDAQ 100 E-MINI	-4.74 mm	314.00 contracts	-0.25	Equity derivative	N/A	USA
S&P500 EMINI	-7.25 mm	648.00 contracts	-0.38	Equity derivative	N/A	USA