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ASFYX Natixis ASG Managed Futures Strategy Y

  • Fund
  • ASFYX
  • Price as of: Dec 06, 2016
  • $9.73
  • + $0.01
  • + 0.10%
  • Category
  • Managed Futures

ASFYX - Profile

Vitals

  • YTD Return -6.4%
  • 3 Yr Annualized Return 5.5%
  • 5 Yr Annualized Return 3.2%
  • Net Assets $3.45 B
  • Holdings in Top 10 92.8%

52 WEEK LOW AND HIGH

$9.73
$9.58
$11.56

Expenses

OPERATING RELATED FEES

  • Expense Ratio 1.48%

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 -6.4%
  • 3 Yr Annualized Total Return 5.5%
  • 5 Yr Annualized Total Return 3.2%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio -1.24%
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

It is 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 -6.4% -17.6% 10.5% 64.04% 4
1 Yr -7.3% -21.5% 21.4% 70.94% 4
3 Yr 5.5% * -10.1% 9.0% 16.28% 1
5 Yr 3.2% * -9.1% 6.6% 21.74% 1
10 Yr N/A * 11.7% 12.6% N/A N/A

* Annualized


Return Ranking - Calendar

Period ASFYX Return Category Return Low Category Return High Rank in Category (%) Quintile
2015 -5.5% -20.4% 6.6% 60.55% 4
2014 7.3% -7.1% 14.5% 24.18% 2
2013 12.7% -22.1% 12.7% 1.41% 1
2012 -12.0% -25.2% 11.4% 73.91% 4
2011 -2.5% -8.0% 8.2% 25.00% 2

Total Return Ranking - Trailing

Period ASFYX Return Category Return Low Category Return High Rank in Category (%) Quintile
YTD -6.4% -17.6% 10.5% 65.79% 4
1 Yr -7.3% -21.5% 21.4% 64.96% 4
3 Yr 5.5% * -10.1% 9.0% 16.28% 1
5 Yr 3.2% * -9.1% 6.6% 21.74% 1
10 Yr N/A * 11.7% 12.6% N/A N/A

* Annualized


Total Return Ranking - Calendar

Period ASFYX Return Category Return Low Category Return High Rank in Category (%) Quintile
2015 -0.8% -11.7% 10.7% 43.64% 3
2014 27.3% -7.1% 33.9% 5.49% 1
2013 16.4% -12.4% 16.4% 1.41% 1
2012 -13.7% -26.1% 12.4% 84.78% 5
2011 0.7% -8.1% 10.6% 30.00% 2

NAV & Total Return History

ASFYX - Holdings

Filings data as of: Oct 31, 2016

Concentration Analysis

ASFYX Category Low Category High ASFYX % Rank Quintile
Net Assets 3.45 B 33.5 K 14.1 B 2.56% 1
Number of Holdings 98 2 862 11.97% 2
Net Assets in Top 10 10.1 B -8.91 M 18.7 B 1.71% 1
Weighting of Top 10 92.8% 0.0% 398.5% 6.84% 1

Top 10 Holdings

  1. 90day Eur Futr Mar17 Xcme 20170313 79.73%
  2. 90day Sterling Fu Mar17 Ifll 20170315 43.47%
  3. 3mo Euro Euribor Mar17 Ifll 20170313 23.83%
  4. Euro-Schatz Fut Dec16 Xeur 20161208 17.34%
  5. Euro-Bobl Future Dec16 Xeur 20161208 8.22%
  6. Us 2yr Note (Cbt) Dec16 Xcbt 20161230 7.54%
  7. Euro-Oat Future Dec16 Xeur 20161208 6.80%
  8. Euro-Bund Future Dec16 Xeur 20161208 6.24%
  9. Us 5yr Note (Cbt) Dec16 Xcbt 20161230 5.95%
  10. Aust 3yr Bond Fut Dec16 Xsfe 20161215 5.93%

Asset Allocation

Weighting Category Low Category High ASFYX % Rank Quintile
Bonds
68.18% -7.15% 220.39% 12.82% 2
Cash
17.12% -116.03% 276.50% 28.21% 4
Stocks
12.95% -195.24% 46.29% 5.98% 1
Other
1.75% -53.45% 99.47% 30.77% 4
Preferred Stocks
0.00% 0.00% 1.36% 4.27% 5
Convertible Bonds
0.00% 0.00% 4.17% 2.56% 5

Stock Sector Breakdown

Weighting Category Low Category High ASFYX % Rank Quintile
Utilities
0.00% -0.01% 6.83% N/A N/A
Technology
0.00% 0.00% 30.30% N/A N/A
Real Estate
0.00% -0.01% 4.32% N/A N/A
Industrials
0.00% -0.01% 20.31% N/A N/A
Healthcare
0.00% 0.00% 26.56% N/A N/A
Financial Services
0.00% -0.05% 26.74% N/A N/A
Energy
0.00% -0.01% 12.63% N/A N/A
Communication Services
0.00% -0.08% 8.23% N/A N/A
Consumer Defense
0.00% -0.01% 19.20% N/A N/A
Consumer Cyclical
0.00% -0.01% 19.85% N/A N/A
Basic Materials
0.00% 0.00% 5.93% N/A N/A

Stock Geographic Breakdown

Weighting Category Low Category High ASFYX % Rank Quintile
US
12.95% -164.18% 46.29% 4.27% 1
Non US
0.00% -31.06% 25.30% 9.40% 5

Bond Sector Breakdown

Weighting Category Low Category High ASFYX % Rank Quintile
Government
67.68% -7.15% 154.69% 1.71% 1
Cash & Equivalents
16.75% -220.31% 292.31% 29.91% 4
Derivative
0.88% -44.87% 101.64% 11.97% 2
Corporate
0.00% -0.18% 51.02% 19.66% 5
Municipal
0.00% 0.00% 1.36% 10.26% 5
Securitized
0.00% 0.00% 116.56% 18.80% 5

Bond Geographic Breakdown

Weighting Category Low Category High ASFYX % Rank Quintile
US
68.18% -7.15% 133.57% 10.26% 2
Non US
0.00% 0.00% 86.82% 18.80% 5

ASFYX - Expenses

Operational Fees

ASFYX Fees (% of AUM) Category Low Category High Rank in Category (%) Quintile
Expense Ratio 1.48% 0.95% 170.88% 63.25% 1
Management Fee 1.25% 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 -1.24% -4.57% 1.57% 33.33% 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

6.26

Tenure Rank

2.8%

As a Portfolio Manager at AlphaSimplex, Mr. Rickard is responsible for managing the money market portion of the firm’s strategies. 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 now. 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

6.26

Tenure Rank

2.8%

Andrew W. Lo is the founder, Chairman and Chief Investment Strategist of AlphaSimplex. In this capacity, he directs the research agenda at AlphaSimplex and, together with Chief Investment Officer Dr. Xiru Zhang, heads the research team. Dr. Lo 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. Dr. Lo has over 25 years of industry experience. Prior to founding AlphaSimplex, he developed trading technologies and investment models for large financial institutions on a consultative basis. In addition to his primary responsibilities at AlphaSimplex, Dr. Lo is the Harris & Harris Group Professor at the MIT Sloan School of Management, where he teaches courses in quantitative investment management, empirical methods in finance, and related topics. He is also the Director of the MIT Laboratory for Financial Engineering, a partnership between academia and industry created to drive advances in capital markets, risk management, and financial technology research. 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 received a B.A. in Economics from Yale University and a Ph.D. in Economics from Harvard University.


Philippe P. Lüdi

Manager

Start Date

Mar 05, 2014

Tenure

2.66

Tenure Rank

11.6%

Dr. Lüdi joined AlphaSimplex in 2006 and currently serves as Vice President, focusing on Global Macro and Global Tactical Asset Allocation strategies.Dr. Lüdi received the equivalents of an MA in Molecular and Computational Biology from the University of Basel in 2000, followed by an MS in Statistics in 2002 and a PhD in Bioinformatics in 2006, both from Duke University. Dr. Ludi is also a CFA Charterholder.


Peter A. Lee

Manager

Start Date

Mar 05, 2014

Tenure

2.66

Tenure Rank

11.6%

Peter A. Lee conducts applied research and product engineering at AlphaSimplex, and is a co-portfolio manager of our hedge fund beta replication products. Mr. Lee joined AlphaSimplex in 2007. His experience prior to AlphaSimplex includes internship roles at Northbridge Group Consulting and at Microsoft, where he served as a Program Manager. Mr. Lee received an AB in Applied Mathematics and a secondary field in Economics from Harvard University, where he pursued his interest in inference and optimization by taking graduate-level courses in engineering and economics. For his senior thesis, Mr. Lee developed a novel approach to inferring skew and kurtosis from option prices.


Alexander D. Healy

Manager

Start Date

Mar 05, 2014

Tenure

2.66

Tenure Rank

11.6%

Dr. Healy joined AlphaSimplex in 2007 and currently serves as Vice President, focusing on risk management, asset allocation, and non-parametric investment models. Dr. Healy conducts applied research and product engineering with a focus on 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 the mutual funds advised by AlphaSimplex. 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

4.09

Tenure Rank

8.3%

Robert W. Sinnott, Research Scientist. Mr. Sinnott joined AlphaSimplex in 2009, after receiving both an A.B. and an A.M. in Statistics from Harvard University, where he focused on statistical machine learning, finance and time series analysis.


Tenure Analysis

Category Low

0.2

Category High

11.0

Category Average

3.46

Category Mode

1.9