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ASFYX Natixis ASG Managed Futures Strategy Y

  • Fund
  • ASFYX
  • Price as of: Jun 21, 2017
  • $9.93
  • + $0.03
  • + 0.30%
  • Category
  • Managed Futures

ASFYX - Profile

Vitals

  • YTD Return 1.0%
  • 3 Yr Annualized Return 3.3%
  • 5 Yr Annualized Return 4.2%
  • Net Assets $2.96 B
  • Holdings in Top 10 80.7%

52 WEEK LOW AND HIGH

$9.93
$9.58
$11.16

Expenses

OPERATING RELATED FEES

  • Expense Ratio 1.50%

SALES FEES

  • Front Load N/A
  • Deferred Load N/A

BROKERAGE FEES

  • Turnover N/A

TRADING FEES

  • Max Redemption Fee N/A

Min Investment

STANDARD (TAXABLE)

$100,000

IRA

N/A

Investment Themes

CATEGORY

Managed Futures
  • Fund Type Open End Mutual Fund
  • Investment Style Managed Futures

Distributions

  • YTD Total Return 1.0%
  • 3 Yr Annualized Total Return 3.3%
  • 5 Yr Annualized Total Return 4.2%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio -0.85%
DIVIDENDS
  • Dividend Yield 0.1%
  • Dividend Distribution Frequency Semi-Annually

Fund Details

  • Legal Name Natixis ASG Managed Futures Strategy Fund
  • Fund Family Name Natixis Funds
  • Inception Date Jul 30, 2010
  • Shares Outstanding N/A
  • Share Class Inst
  • Currency USD
  • Domiciled Country United States
  • Manager Robert S. Rickard

Fund Description

The adviser expected that no more than 25% of the fund's total assets will be dedicated to initial and variation margin payments relating to the fund's derivative transactions. The advisor expects that under normal market conditions the fund will invest at least 75% of its total assets in money market and other short-term, high-quality securities. The fund will concentrate its investments in the financial services industry, which means it will normally invest at least 25% of its total assets in securities and other obligations of issuers in such industry.

ASFYX - Performance

Return Ranking - Trailing

Period ASFYX Return Category Return Low Category Return High Rank in Category (%) Quintile
YTD 1.0% -18.0% 10.0% 37.72% 2
1 Yr -6.7% -18.7% 21.4% 76.07% 4
3 Yr 3.3% * -10.1% 7.6% 29.13% 2
5 Yr 4.2% * -9.1% 5.0% 6.25% 1
10 Yr N/A * -2.2% 11.0% N/A N/A

* Annualized


Return Ranking - Calendar

Period ASFYX Return Category Return Low Category Return High Rank in Category (%) Quintile
2016 -5.5% -27.1% 8.1% 66.06% 4
2015 -5.5% -20.4% 6.6% 64.81% 4
2014 7.3% -7.1% 14.5% 25.58% 2
2013 12.7% -25.2% 12.7% 1.41% 1
2012 -12.0% -12.7% 11.4% 82.22% 5

Total Return Ranking - Trailing

Period ASFYX Return Category Return Low Category Return High Rank in Category (%) Quintile
YTD 1.0% -18.0% 10.0% 36.84% 2
1 Yr -6.7% -20.1% 21.4% 65.81% 4
3 Yr 3.3% * -10.1% 7.6% 25.24% 2
5 Yr 4.2% * -9.1% 5.0% 4.69% 1
10 Yr N/A * -2.2% 11.0% N/A N/A

* Annualized


Total Return Ranking - Calendar

Period ASFYX Return Category Return Low Category Return High Rank in Category (%) Quintile
2016 -5.5% -27.1% 8.1% 67.27% 4
2015 -0.8% -11.6% 10.7% 51.85% 3
2014 27.3% -7.1% 33.9% 5.81% 1
2013 16.4% -26.1% 16.4% 1.41% 1
2012 -13.7% -14.4% 12.4% 93.33% 5

NAV & Total Return History

ASFYX - Holdings

Filings data as of: Apr 30, 2017

Concentration Analysis

ASFYX Category Low Category High ASFYX % Rank Quintile
Net Assets 2.96 B 33.3 K 12.5 B 1.71% 1
Number of Holdings 96 2 925 14.53% 2
Net Assets in Top 10 12.5 B -3.71 M 12.5 B 0.85% 1
Weighting of Top 10 80.7% 0.0% 628.9% 13.68% 2

Top 10 Holdings

  1. 90day Sterling Fu Sep17 Ifll 20170920 28.45%
  2. Us 2yr Note (Cbt) Jun17 Xcbt 20170630 10.49%
  3. 3mo Euro Euribor Sep17 Ifll 20170918 7.40%
  4. 90day Eur Futr Sep17 Xcme 20170918 7.05%
  5. Euro-Schatz Fut Jun17 Xeur 20170608 6.98%
  6. Aust 3yr Bond Fut Jun17 Xsfe 20170615 5.04%
  7. Euro-Bund Future Jun17 Xeur 20170608 4.88%
  8. Long Gilt Future Jun17 Ifll 20170628 4.34%
  9. Euro-Bobl Future Jun17 Xeur 20170608 3.69%
  10. Can 10yr Bond Fut Jun17 Xmod 20170621 2.38%

Asset Allocation

Weighting Category Low Category High ASFYX % Rank Quintile
Bonds
69.50% -0.39% 116.56% 11.97% 2
Stocks
14.88% -61.71% 73.50% 9.40% 2
Cash
12.08% -88.42% 146.33% 28.21% 4
Other
3.54% -19.66% 101.10% 30.77% 4
Preferred Stocks
0.00% 0.00% 1.58% 5.13% 5
Convertible Bonds
0.00% 0.00% 4.82% 2.56% 5

Stock Sector Breakdown

Weighting Category Low Category High ASFYX % Rank Quintile
Utilities
0.00% -0.05% 2.15% N/A N/A
Technology
0.00% -0.05% 9.79% N/A N/A
Real Estate
0.00% -0.01% 1.93% N/A N/A
Industrials
0.00% -0.09% 7.02% N/A N/A
Healthcare
0.00% -0.06% 7.93% N/A N/A
Financial Services
0.00% -0.17% 13.45% N/A N/A
Energy
0.00% -0.05% 4.43% N/A N/A
Communication Services
0.00% -0.04% 2.79% N/A N/A
Consumer Defense
0.00% -0.05% 6.01% N/A N/A
Consumer Cyclical
0.00% -0.10% 6.97% N/A N/A
Basic Materials
0.00% -0.06% 2.83% N/A N/A

Stock Geographic Breakdown

Weighting Category Low Category High ASFYX % Rank Quintile
US
14.88% -45.33% 29.96% 8.55% 2
Non US
0.00% -16.38% 50.69% 13.68% 5

Bond Sector Breakdown

Weighting Category Low Category High ASFYX % Rank Quintile
Government
69.13% -10.94% 87.38% 1.71% 1
Cash & Equivalents
13.46% -78.58% 169.17% 27.35% 4
Corporate
0.27% 0.00% 59.97% 18.80% 3
Securitized
0.00% 0.00% 116.56% 18.80% 5
Municipal
0.00% 0.00% 0.92% 9.40% 5
Derivative
-1.28% -21.02% 26.40% 17.09% 5

Bond Geographic Breakdown

Weighting Category Low Category High ASFYX % Rank Quintile
US
69.50% -0.39% 116.56% 8.55% 1
Non US
0.00% 0.00% 42.32% 18.80% 5

ASFYX - Expenses

Operational Fees

ASFYX Fees (% of AUM) Category Low Category High Rank in Category (%) Quintile
Expense Ratio 1.50% 0.82% 94.09% 64.96% 1
Management Fee 1.24% 0.00% 2.99% 11.11% 2
12b-1 Fee 0.00% 0.00% 1.00% 5.49% 2
Administrative Fee N/A 0.02% 0.40% N/A N/A

Sales Fees

ASFYX Fees (% of AUM) Category Low Category High ASFYX Rank Quintile
Front Load N/A 4.50% 5.75% N/A N/A
Deferred Load N/A 1.00% 2.00% N/A N/A

Trading Fees

ASFYX Fees (% of AUM) Category Low Category High ASFYX Rank Quintile
Max Redemption Fee N/A 1.00% 2.00% N/A N/A

Turnover Related Fees

Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.

ASFYX Fees (% of AUM) Category Low Category High ASFYX Rank Quintile
Turnover N/A 0.00% 4847.00% N/A N/A

ASFYX - Distributions

Dividend Yield Analysis

ASFYX Category Low Category High ASFYX % Rank Quintile
Dividend Yield 0.1% 0.00% 0.46% 58.33% 4

Dividend Distribution Analysis

ASFYX Category Low Category High Category Mode
Dividend Distribution Frequency Semi-Annually Annually Monthly Annually

Dividend Payout History


Net Income Ratio Analysis

ASFYX Category Low Category High ASFYX % Rank Quintile
Net Income Ratio -0.85% -4.57% 1.57% 22.22% 2

Capital Gain Distribution Analysis

ASFYX Category Low Category High Capital Mode
Capital Gain Distribution Frequency Annually Annually Annually Annually

ASFYX - Managers

Robert S. Rickard

Manager

Start Date

Jul 30, 2010

Tenure

6.84

Tenure Rank

2.5%

As a Portfolio Manager at AlphaSimplex, Mr. Rickard is responsible for managing the cash portion of the firm’s strategies. He has over 25 years of industry experience. Mr. Rickard joined AlphaSimplex in 2015. Prior to this, Mr. Rickard served as the Senior Vice President, Head of Portfolio Management and Trading, and Portfolio Manager at Reich & Tang Asset Management, LLC. Mr. Rickard joined Reich & Tang Asset Management in 1992, and focused on the management of short-term assets. Mr. Rickard began managing the money market portion of AlphaSimplex’s products while at Reich & Tang Asset Management, and continues that work at AlphaSimplex. Mr. Rickard earned a B.S. in Accounting from Siena College and an M.B.A. from Pace University.


Andrew W. Lo

Lead Manager

Start Date

Jul 30, 2010

Tenure

6.84

Tenure Rank

2.5%

As Chairman of the Board of Directors and Chief Investment Strategist of AlphaSimplex, Dr. Lo directs the research agenda and, together with Chief Investment Officer Dr. David Modest, heads the research team. Dr. Lo also chairs the Investment Committee, which is responsible for vetting, approving, and documenting all investment strategies as well as assessing performance results and proposing and implementing design changes. He is also a permanent member of the Risk Committee and serves as a co-portfolio manager of certain mutual funds advised by AlphaSimplex. Dr. Lo has over 30 years of industry and academic experience. Prior to founding AlphaSimplex in 1999, Dr. Lo developed trading technologies and investment models for large financial institutions on a consultative basis. In addition to his AlphaSimplex responsibilities, Dr. Lo is the Charles E. and Susan T. Harris Professor at the MIT Sloan School of Management and director of MIT’s Laboratory for Financial Engineering. Dr. Lo has authored numerous journal articles and published several books, including Hedge Funds: An Analytic Perspective (2008), A Non-Random Walk Down Wall Street (1999), and The Econometrics of Financial Markets (1997). Dr. Lo earned a B.A. in Economics from Yale University as well as an A.M. and a Ph.D. in Economics from Harvard University.


Philippe P. Lüdi

Manager

Start Date

Mar 05, 2014

Tenure

3.24

Tenure Rank

9.5%

As a Senior Research Scientist at AlphaSimplex, Dr. Lüdi conducts applied research and product engineering. He also serves as a co-portfolio manager of certain mutual funds advised by AlphaSimplex. Dr. Lüdi joined AlphaSimplex in 2006. He has been involved in system engineering as well as global macro strategies. Dr. Lüdi earned the equivalent of an M.A. in Molecular and Computational Biology from the University of Basel. He also received a M.Sc. in Statistics and a Ph.D. in Bioinformatics, both from Duke University. In his doctoral program, Dr. Lüdi applied a Monte Carlo approach to risk analysis and developed a machine-learning algorithm applied to medicine that was subsequently featured in The Wall Street Journal. Dr. Lüdi is also a CFA® Charterholder.


Alexander D. Healy

Manager

Start Date

Mar 05, 2014

Tenure

3.24

Tenure Rank

9.5%

As Deputy Chief Investment Officer of AlphaSimplex, Dr. Healy is responsible for applied research and product engineering, including asset allocation, portfolio construction, and adaptive risk management strategies. Dr. Healy is a member of the Investment and Risk Committees and the Board of Directors. He also serves as a co-portfolio manager of certain mutual funds advised by AlphaSimplex. Dr. Healy joined AlphaSimplex in 2007 and has held the roles of Senior Research Scientist and Director of Strategic Research. He has developed various key elements of AlphaSimplex’s investment platform, including non-parametric investment models, volatility management overlays, and dynamic approaches to portfolio construction. Dr. Healy earned an A.B. in Mathematics and Computer Science from Harvard University, where he also received a Ph.D. in Theoretical Computer Science. His doctoral research focused on the uses of randomness in algorithms and cryptography, and introduced novel approaches to generating pseudo-random numbers together with new applications of these methods.


Robert W. Sinnott

Manager

Start Date

Sep 30, 2012

Tenure

4.67

Tenure Rank

6.7%

As a Senior Research Scientist at AlphaSimplex, Mr. Sinnott conducts applied research and product development. He also serves as a co-portfolio manager of certain mutual funds advised by AlphaSimplex. Mr. Sinnott joined AlphaSimplex in 2009. He specializes in trend-following, term-structure, and pattern-based trading strategies, as well as trade execution optimization. His most recent contributions include the redesign of AlphaSimplex’s performance analytics infrastructure. Mr. Sinnott earned both an A.B. and an A.M. in Statistics from Harvard University, where he focused on statistical machine learning, capital markets, and time series analysis. For his thesis, Mr. Sinnott developed original practical applications for a Bayesian conjugate family of statistical distributions with arbitrary skew and kurtosis.


John C Perry

Manager

Start Date

May 01, 2017

Tenure

0.08

Tenure Rank

18.2%

Dr. Perry joined AlphaSimplex in 2012 and currently serves as Research Scientist, focusing on research and portfolio management. Dr. Perry has served as co-portfolio manager of the ASG Managed Futures Strategy Fund since 2017. Dr. Perry received a B.S. in Computer Engineering from the University of Utah and an M.S. in Management and a Ph.D. in Electrical Engineering and Computer Science from MIT.


Tenure Analysis

Category Low

0.1

Category High

11.5

Category Average

3.73

Category Mode

0.3