June 30, 2016 For Managed Account Use Only.
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1 VIRTUS SECTOR TREND STRATEGY June 30, 2016
2 VIRTUS INVESTMENT PARTNERS Business Overview Virtus is an independent, publicly traded asset management company (NASDAQ: VRTS) Disciplined, institutional-quality money management through wholly-owned subsidiaries and select subadvisers, each with a distinct investment philosophy and style Investment products include: Virtus Mutual Funds Closed-End Funds Separately Managed Accounts (B/D-sponsored and Private Client) Institutional Accounts Variable Insurance Trust UCITS ETFs 2
3 INVESTMENT PARTNERS Virtus offers an array of distinctive capabilities from our investment partners * * * * * * * *Virtus Investment Partners has an ownership interest in the firm. 3
4 VIRTUS SECTOR TREND STRATEGY The Virtus Sector Trend Strategy is the result of close collaboration between Dorsey, Wright & Associates and Virtus Investment Advisers. TECHNICAL ANALYSIS Relative Strength Ranking on S&P 500 Index sub-industry groups + INVESTMENT ADVISER Model specification, portfolio construction, model monitoring, and governance Virtus Sector Trend Strategy 4
5 A LESSON IN MARKET CYCLES $1,500 $1,000 $500 Market Era 1: January 3, 1949 December 31, 1966 S&P 500 cumulative returns (in %) Best Worst 12 months months $1, year post-wwii bull market Booming economy Low volatility; general S&P uptrend Annualized total return: 14.6% $ Past performance is not indicative of future results. Chart data source: Standard and Poor s. The chart assumes an initial investment of $100 in the S&P 500 Index on the first day of the period. Performance assumes reinvestment of dividends and capital gain distributions. The S&P 500 Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment. 5
6 A LESSON IN MARKET CYCLES $350 $300 Market Era 2: January 3, 1967 December 31, 1981 S&P 500 cumulative returns (in %) Best Worst 12 months months $280 A period marked by bouts of extreme volatility $250 Stagnant economy, rising inflation $200 $150 Annualized total return: 7.1% $ Annualized rate of inflation of 7.2% Past performance is not indicative of future results. Chart data source: Standard and Poor s; inflation as measured by CPI. Consumer Price Index (CPI): A measure of the average over time in the prices paid by urban consumers for a market basket of consumer goods and services. The chart assumes an initial investment of $100 in the S&P 500 Index on the first day of the period. Performance assumes reinvestment of dividends and capital gain distributions. 6
7 A LESSON IN MARKET CYCLES $2,500 $2,000 $1,500 $1,000 Market Era 3: January 4, 1982 December 31, 1999 S&P 500 cumulative returns (in %) Best Worst 12 months months $2, year bull market with most spectacular rise in S&P 500 history Exceptional returns with very little downside risk $500 Annualized total return: 18.5% $ Past performance is not indicative of future results. Chart data source: Standard and Poor s. The chart assumes an initial investment of $100 in the S&P 500 Index on the first day of the period. Performance assumes reinvestment of dividends and capital gain distributions. 7
8 A LESSON IN MARKET CYCLES Market Era 4: January 3, 2000 December 31, 2015 $200 $150 S&P 500 cumulative returns (in %) Best Worst 12 months months $189 Increased volatility, two significant bear markets, and overall modest returns $100 As uncertainty persists, active asset allocation may appeal to long-term $50 investors Annualized total return: 4.1% $0 Past performance is not indicative of future results. Chart data source: Standard and Poor s. The chart assumes an initial investment of $100 in the S&P 500 Index on the first day of the period. Performance assumes reinvestment of dividends and capital gain distributions. 8
9 AVOIDING MARKET EXTREMES HAS PRODUCED BETTER RESULTS S&P 500 Index Annualized Returns for the period 7/1/96 6/30/16 (5055 Trading Days): 7.70% Miss the Best Miss the Worst Miss Both Best and Worst 10 days 4.03% 11.92% 8.11% 20 days 1.60% 14.95% 8.45% 30 days -0.49% 17.61% 8.67% 40 days -2.41% 19.98% 8.73% 50 days -4.17% 22.19% 8.72% Past performance is not indicative of future results. Source: Virtus Performance and Analytics The chart does not reflect the performance of the Virtus Sector Trend Strategy. The chart depicts the effect on performance of being either completely in or out of the market, as represented by the S&P 500 Index, on the days of the Index s best and worst performance and shows the compound effect on performance of missing both the best and the worst days. 9
10 THE ARITHMETIC OF LOSS The negative compounding effects on wealth mean that the deeper the loss, the more time and patience it takes to recover. The chart is a mathematical example. It is for illustrative purposes only and is not indicative of the performance of the Virtus Sector Trend Strategy. *Assumes an 8% rate of return. 10
11 A HISTORY OF BULL MARKETS Bull markets vary greatly in duration and magnitude. The current bull market is one of the longest and strongest in modern history. S&P 500 Index: 07/15/1957 6/30/16 Past performance is not indicative of future results. Source: S&P Dow Jones Indices. Ned Davis Research, Inc. Copyright 2016 Ned Davis Research, Inc. Further distribution prohibited without prior permission. All Rights Reserved. See NDR Disclaimer at For data vendor disclaimers refer to Bull markets defined as +20% reversals in the S&P 500 Index since inception of the Index (7/15/57). 11
12 PARTICIPATE AND PROTECT The Virtus Sector Trend Strategy strives to participate in rising markets while placing an emphasis on preserving capital during major market declines RANK ASSESS BUILD Dorsey, Wright & Associates (DWA) employs its proprietary Relative Strength price momentum model to rank and select market components Virtus Investment Advisers (VIA) then evaluates each sector s absolute momentum based on whether it is above or below its 200 day moving average The portfolio is built according to pre-specified rules which allocate to the top-ranked market components 12
13 THE VALUE OF RELATIVE STRENGTH Unlike fundamental analysis, which focuses on corporate fundamentals, relative strength or technical price momentum analysis uses Point & Figure methodology to evaluate securities through a simple but powerful lens on supply and demand. By understanding supply and demand dynamics, we can develop an unbiased view of the real-time forces which drive prices higher or lower. This applies to not only stocks, but to sectors and asset classes. Both academic research and practical application have demonstrated that a systematic execution of momentum investing is an enduring source of value in driving attractive long-term investment results. DWA s Point & Figure charting identifies trends 13
14 RISK INDICATOR The Risk Indicator is based on the 200 day moving average price level of the S&P 500 Index. 400 S&P 500 Risk States 1 Price Return Lower Risk Higher Low Risk Risk S&P 500 Index Moving Average Level 0 0 S&P 500 Index Lower Risk Higher Risk Avg. Daily Return 0.03% 0.10% -0.12% Volatility 19.42% 13.85% 28.77% Source: Bloomberg, Virtus. Past performance is not indicative of future results. As of 6/30/16. The S&P 500 Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment. Not indicative of the Trend Sector Strategy performance, which is available at Virtus.com. 14
15 INVESTMENT PROCESS 15
16 ALLOCATION EXAMPLES 16
17 VIRTUS SECTOR TREND STRATEGY Growth of $100 as of 6/30/16 Statistics Virtus Sector Trend Strategy (Gross) Virtus Sector Trend Strategy (Net 3%) S&P 500 Index $188 $166 $141 As of 6/30/2016 Virtus Sector Trend Strategy (Gross) S&P 500 Index Alpha 2.3% 0.0% R-Squared 63.8% 100.0% Beta /11 12/11 12/12 12/13 12/14 6/16 The chart assumes an initial investment of $100 in both the S&P 500 Index and the Virtus Sector Trend Strategy (gross and net) on the first day of the period. Performance assumes reinvestment of dividends and capital gain distributions. Past performance is no guarantee of future results. 1 Jan 2011 June 2016 (unless otherwise indicated) The Annual Performance Disclosure Presentation is an integral part of this presentation and is included at the end of this presentation. Source: Virtus Performance Analytics Past performance is no guarantee of future results. Performance assumes reinvestment of dividends and capital gain distributions. Alpha: The excess return of the portfolio relative to the return of the benchmark index. Beta: A quantitative measure of the volatility of a given portfolio to the overall market. Higher beta suggests higher volatility. R²: A measurement of how closely a portfolio s performance correlates with the performance of a benchmark index. 17
18 VIRTUS SECTOR TREND STRATEGY Performance 1 As of 6/30/2016 Virtus Sector Trend Strategy (Gross) (Net 3%) S&P 500 Index Annualized Return 9.69% 6.47% 12.13% 3 Yr Return (Annualized) 7.91% 4.74% 11.66% 5 Yr Return (Annualized) 9.27% 6.06% 12.10% Standard Deviation Maximum Drawdown Annual Performance As of 6/30/ YTD (%) 2015 (%) 2014 (%) 2013 (%) 2012 (%) 2011 (%) Virtus Sector Trend Strategy (Gross) Virtus Sector Trend Strategy (Net 3%) S&P 500 Index Jan 2011 June 2016 (unless otherwise indicated) The Annual Performance Disclosure Presentation is an integral part of this presentation and is included at the end of this presentation. Source: Virtus Performance Analytics Past performance is no guarantee of future results. Performance assumes reinvestment of dividends and capital gain distributions. The S&P 500 Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and is not available for direct investment. Maximum Drawdown: The peak-to-trough decline during a specific record period of an investment, fund or commodity. A drawdown is usually quoted as the percentage between the peak and the trough. Standard Deviation: Measures variability of returns around the average return for an investment. Higher standard deviation suggests greater risk. IMPORTANT RISK CONSIDERATIONS Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium-sized companies may enhance that risk. Industry/Sector Concentration: A portfolio that focuses its investments in a particular industry or sector will be more sensitive to conditions that affect that industry or sector than a non-concentrated portfolio. Allocation: The portfolio s exposure to different asset classes may not be optimal for market conditions at a given time. Asset allocation does not guarantee a profit or protect against a loss in declining markets. 18
19 DISCLOSURE VIA SECTOR TREND SMA COMPOSITE 19
20 For more information, please contact us at or visit Virtus Investment Partners, Inc.
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