Simplify Asset Management has launched an absolute return ETF that invests in a diversified portfolio of third-party quantitative investment strategies across multiple asset classes.
David Berns, co-Founder and Chief Investment Officer at Simplify Asset Management.
The Simplify Multi-QIS Alternative ETF (QIS US) has been listed on NYSE Arca, coming to market with $100 million in initial assets.
The investment approach of QIS begins with Simplify evaluating over 1,500 quantitative strategies across equities, interest rates, commodities, and currencies that are managed by the biggest investment banks.
Simplify initially narrows that universe down to a few hundred quantitative strategies with the most compelling risk-adjusted return characteristics.
Simplify then works with each third-party strategy provider to perform an in-depth quantitative and qualitative review of their strategy to further pare the list down, arriving at an optimized collection of 10 to 20 strategies that collectively seek to deliver an absolute return while mitigating asset class- and single-strategy risks. Exposure to the chosen underlying strategies is implemented through total return swaps.
According to Simplify, the final portfolio includes a diverse range of return drivers including carry, volatility, technical, and liquidity factors, distinct risk premia that make the ETF a powerful diversifier to the classic 60/40 balanced portfolio.
The ETF comes with an expense ratio of 1.00%.
David Berns, co-Founder and Chief Investment Officer at Simplify Asset Management, said: “Access to best-in-class quant-driven strategies is a must-have for investors and advisors seeking to position their portfolios amidst a range of risks, both known and unknown, and a consistently elevated level of volatility that has defined every asset class for the past several years.
“Yet even for those more institutional investors who can gain access to leading quantitative approaches, the question quickly becomes which ones will provide truly differentiated return premia with low correlations to traditional equity and bond exposures. The type of research required to answer that question often requires its own team of quants to measure and gauge quant performance and performance drivers.
“With QIS, we’re able to leverage the access Simplify has to the most experienced and differentiated quantitative investment providers in the world, as well as our deep understanding of how to review, select and manage ongoing exposures across quant approaches. We’re very pleased to be bringing QIS to market and believe this fund represents a major step forward in the evolution of the alternative ETF category.”