Strategy. The Virtus AlphaSimplex Global Macro ETF attempts to participate in broad macroeconomic trends across global markets located in various countries including the United States, with the goal of outperforming typical long-only equity investments, including reducing drawdowns during protracted periods of stress. Macroeconomic trends represent larger themes at play across global economies and can include economic conditions such as growth, inflation, and or interest rate policy. It is an actively managed ETF. AlphaSimplex Group, LLC (AlphaSimplex), the Funds sub-adviser, uses proprietary quantitative models designed to capitalize on technical and fundamental market behaviors and inefficiencies. The Fund seeks to achieve its investment objective by combining a Futures Sleeve and an Equity Sleeve. The Futures Sleeve comprises a variety of derivative instruments, including … Show more… The Virtus AlphaSimplex Global Macro ETF attempts to participate in broad macroeconomic trends across global markets located in various countries including the United States, with the goal of outperforming typical long-only equity investments, including reducing drawdowns during protracted periods of stress. Macroeconomic trends represent larger themes at play across global economies and can include economic conditions such as growth, inflation, and or interest rate policy. It is an actively managed ETF. AlphaSimplex Group, LLC (AlphaSimplex), the Funds sub-adviser, uses proprietary quantitative models designed to capitalize on technical and fundamental market behaviors and inefficiencies. The Fund seeks to achieve its investment objective by combining a Futures Sleeve and an Equity Sleeve. The Futures Sleeve comprises a variety of derivative instruments, including futures contracts, to achieve long and short exposures to global developed and emerging market equity and fixed-income securities, indices, currencies, and commodities. The Equity Sleeve is an actively managed portfolio that primarily consists of exchange traded funds designed to capture the total return of global equity markets. The Fund may also hold a significant portion of its assets in money market mutual funds and other short-term, high-quality investment-grade, U.S.-dollar denominated securities (the Cash-Equivalent Portfolio). The assets allocated to the Cash-Equivalent Portfolio are used primarily to serve as margin or collateral for the Funds investments in derivatives and, secondarily, to provide the Fund with incremental income and liquidity. Futures Sleeve The Futures Sleeve takes a systematic, quantitative approach that is designed to provide both capital appreciation and diversification. The Funds technical and fundamental models identify potential market inefficiencies and investment opportunities across global equity, fixed income, currency, and commodity markets. These models generate trading decisions based on either technical indicators or fundamental indicators. Technical indicators use signals that rely on trends in market prices, both in absolute and relative terms. Fundamental indicators utilize various macro-economic data meant to characterize the economic strength of various parts of different global economies. These can include measurements of growth, monetary policy decisions, sentiment, unemployment rates, manufacturing, global trade balances, as well as many others. This components market exposures, which are expected to change over time, primarily include futures contracts across equities, fixed income, currencies, and commodities. The futures sleeve is designed to capture dynamic and time varying macro trends. Although the Fund does not intend to invest in physical commodities directly, the Fund expects to gain its exposure to commodities and commodity-related derivatives by investing in a wholly owned subsidiary organized under the laws of the Cayman Islands that will make commodity-related investments (the Subsidiary). The Fund may invest up to 25% of its total assets in the Subsidiary. The strategies and risks described herein for the Fund are therefore also applicable to the Subsidiary. Equity Sleeve The Equity Sleeve is an actively managed portfolio that primarily consists of exchange traded funds (ETFs) designed to capture the total return of global equity markets. The sleeve may also invest in equity index futures. These ETFs and equity indices may be of any market capitalization, sector, or geographic location. Under normal market conditions, the Fund intends to invest 30% to 70% of its total assets in the Equity Sleeve.. The equity sleeve will provide strategic equity exposure and is not designed to capture macro trends. Cash-Equivalent Component Under normal market conditions, it is expected that no more than 25% of the Funds total assets will be dedicated to initial and variation margin payments relating to the Funds derivative transactions, including those held by the Subsidiary. The gross notional value of the Funds derivative investments, however, will generally exceed 25% of the Funds total assets, and may significantly exceed the total value of the Funds assets. The Fund expects to invest a portion of its assets in money market instruments (specifically, obligations issued or guaranteed by the U.S. government, its agencies or instrumentalities) and other short-term, high-quality investment-grade, U.S.-dollar denominated securities (such as bankers acceptances, certificates of deposit, commercial paper, loan participations, repurchase agreements and time deposits) (the Cash-Equivalent Portfolio). AlphaSimplex will determine the percentage of the Funds assets that will be invested in the Cash-Equivalent Portfolio at any time. The assets allocated to the Cash-Equivalent Portfolio will be used primarily to serve as margin or collateral for the Funds investments in derivatives and, secondarily, to provide the Fund with incremental income and liquidity. The percentage amounts set forth above pertaining to investments in the Cash-Equivalent Portfolio and initial and variation margin payments are not investment restrictions and the Fund may deviate from those stated amounts from time to time depending upon market conditions and other factors. The Fund may engage in active and frequent trading of securities and other instruments. The Fund is non-diversified, which means that it can invest a greater percentage of its assets in any one issuer than a diversified fund can. Show less