Virtus Investment Advisers, LLC Quant / Systematic

Location: Hartford, CT

CIK: 0000019481 · Show all filings

Period: Q1 2016 (← Previous) (Next →)

Filing Date: May 17, 2016

Total Value: $154M (99.3% shares, 0.7% debt)

Holdings (16)

LQD ISHARES TR 48.6%

Value $75.06M Shares 631,737 Est. Cost $118.82 Unrealized —

— SPDR SERIES TRUST 39.4%

Value $60.81M Shares 1,775,356 Est. Cost $34.23 Unrealized —

XLU SELECT SECTOR SPDR TR 2.2%

Value $3.385M Shares 68,218 Est. Cost $43.28 Unrealized —

XLY SELECT SECTOR SPDR TR 2.2%

Value $3.382M Shares 42,750 Est. Cost $67.34 Unrealized —

XLP SELECT SECTOR SPDR TR 2.2%

Value $3.365M Shares 63,420 Est. Cost $50.49 Unrealized —

XLI SELECT SECTOR SPDR TR 2.2%

Value $3.331M Shares 60,059 Est. Cost $55.46 Unrealized —

XLK SELECT SECTOR SPDR TR 1.7%

Value $2.559M Shares 57,698 Est. Cost $42.83 Unrealized —

— ING GROEP N V 0.7%

Value $1.054M Shares 1,120,000 Est. Cost $0.99 Unrealized —

XLB SELECT SECTOR SPDR TR 0.5%

Value $840K Shares 18,737 Est. Cost $44.83 Unrealized —

XLE SELECT SECTOR SPDR TR 0.2%

Value $328K Shares 5,300 Est. Cost $61.89 Unrealized —

— GULFPORT ENERGY CORP 0.1%

Value $150K Shares 5,300 Est. Cost $28.30 Unrealized —

— QEP RES INC 0.0%

Value $75,000 Shares 5,300 Est. Cost $14.15 Unrealized —

— WHITING PETE CORP NEW 0.0%

Value $34,000 Shares 4,200 Est. Cost $8.10 Unrealized —

— DENBURY RES INC 0.0%

Value $31,000 Shares 14,000 Est. Cost $2.21 Unrealized —

— HERCULES OFFSHORE INC 0.0%

Value $24,000 Shares 10,017 Est. Cost $2.20 Unrealized —

SM SM ENERGY CO 0.0%

Value $17,000 Shares 900 Est. Cost $12.30 Unrealized 0.0%

Ticker	Issuer	Shares	Value	%	Est. Cost	Unrealized	Class	CUSIP
LQD	ISHARES TR	631,737	$75.06M	48.6%	$118.82	—	IBOXX INV CP ETF	464287242
—	SPDR SERIES TRUST	1,775,356	$60.81M	39.4%	$34.23	—	BRC HGH YLD BD	78464A417
XLU	SELECT SECTOR SPDR TR	68,218	$3.385M	2.2%	$43.28	—	SBI INT-UTILS	81369Y886
XLY	SELECT SECTOR SPDR TR	42,750	$3.382M	2.2%	$67.34	—	SBI CONS DISCR	81369Y407
XLP	SELECT SECTOR SPDR TR	63,420	$3.365M	2.2%	$50.49	—	SBI CONS STPLS	81369Y308
XLI	SELECT SECTOR SPDR TR	60,059	$3.331M	2.2%	$55.46	—	SBI INT-INDS	81369Y704
XLK	SELECT SECTOR SPDR TR	57,698	$2.559M	1.7%	$42.83	—	TECHNOLOGY	81369Y803
—	ING GROEP N V	1,120,000	$1.054M	0.7%	$0.99	—	DBCV 6.000%12/2	456837AE3
XLB	SELECT SECTOR SPDR TR	18,737	$840K	0.5%	$44.83	—	SBI MATERIALS	81369Y100
XLE	SELECT SECTOR SPDR TR	5,300	$328K	0.2%	$61.89	—	SBI INT-ENERGY	81369Y506
—	GULFPORT ENERGY CORP	5,300	$150K	0.1%	$28.30	—	COM NEW	402635304
—	QEP RES INC	5,300	$75,000	0.0%	$14.15	—	COM	74733V100
—	WHITING PETE CORP NEW	4,200	$34,000	0.0%	$8.10	—	COM	966387102
—	DENBURY RES INC	14,000	$31,000	0.0%	$2.21	—	COM NEW	247916208
—	HERCULES OFFSHORE INC	10,017	$24,000	0.0%	$2.20	—	COM NEW	427093307
SM	SM ENERGY CO	900	$17,000	0.0%	$12.30	0.0%	COM	78454L100