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ASFYX Natixis ASG Managed Futures Strategy Y

  • Fund
  • ASFYX
  • Price as of: Jul 15, 2019
  • $9.63 + $0.06 + 0.63%
  • Category
  • Managed Futures
  • Fund Company
  • N/A

ASFYX - Profile

Vitals

  • YTD Return 6.3%
  • 3 Yr Annualized Return -3.9%
  • 5 Yr Annualized Return -2.2%
  • Net Assets $1.74 B
  • Holdings in Top 10 27.9%

52 WEEK LOW AND HIGH

$9.63
$8.68
$10.08

Expenses

OPERATING RELATED FEES

  • Expense Ratio 1.45%

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 6.3%
  • 3 Yr Annualized Total Return -3.9%
  • 5 Yr Annualized Total Return -2.2%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio 0.49%
DIVIDENDS
  • Dividend Yield 0.0%
  • Dividend Distribution Frequency Semi-Annually

Fund Details

  • Legal Name Natixis ASG Managed Futures Strategy Fund
  • Fund Family Name N/A
  • 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 (%)
YTD 6.3% -11.1% 11.0% 8.20%
1 Yr -0.8% -14.0% 8.1% 47.54%
3 Yr -3.9%* -11.9% 1.4% 59.02%
5 Yr -2.2%* -6.3% 3.3% 53.45%
10 Yr N/A* -4.8% -3.9% N/A

* Annualized


Return Ranking - Calendar

Period ASFYX Return Category Return Low Category Return High Rank in Category (%)
2018 -13.6% -25.8% 3.4% 85.25%
2017 6.7% -23.4% 16.7% 19.67%
2016 -5.5% -20.3% 8.1% 60.66%
2015 -5.5% -17.7% 6.6% 72.13%
2014 7.3% -4.4% 13.2% 27.66%

Total Return Ranking - Trailing

Period ASFYX Return Category Return Low Category Return High Rank in Category (%)
YTD 6.3% -11.1% 11.0% 8.20%
1 Yr -0.8% -14.0% 8.1% 49.18%
3 Yr -3.9%* -8.7% 2.8% 80.33%
5 Yr -2.2%* -4.2% 5.0% 72.41%
10 Yr N/A* -4.8% -3.9% N/A

* Annualized


Total Return Ranking - Calendar

Period ASFYX Return Category Return Low Category Return High Rank in Category (%)
2018 -13.6% -20.3% 3.4% 88.52%
2017 6.7% -23.4% 19.4% 22.95%
2016 -5.5% -20.3% 10.8% 67.21%
2015 -5.5% -17.7% 10.2% 86.89%
2014 7.3% -3.5% 26.3% 55.32%

NAV & Total Return History

ASFYX - Holdings

Concentration Analysis

ASFYX Category Low Category High ASFYX % Rank
Net Assets 1.74 B 10.8 M 5.57 B 8.20%
Number of Holdings 99 6 888 54.10%
Net Assets in Top 10 480 M -1.97 B 16.4 B 16.39%
Weighting of Top 10 27.85% 0.0% 20474.3% 70.49%

Top 10 Holdings

  1. Bank of Montreal Chicago Branch 2.71% 4.06%

  2. State Street Bank & Trust Co. 2.58% 3.48%

  3. Commonwealth Bank Australia New York Branch 2.79% 2.90%

  4. Sumitomo Mitsui Banking Corporation, New York Branch 2.54% 2.90%

  5. Svenska Handelsbanken New York Branch 2.52% 2.90%

  6. National Australia Bank Limited New York Branch 2.59% 2.90%

  7. Asg Managed Fut Strat Cayman Capstock Shares 2.89%

  8. National Bank of Canada New York Branch 2.58% 2.32%

  9. Norinchukin Bank New York Branch 2.54% 2.32%

  10. Toronto Dominion Bank New York Branch 2.61% 1.16%


Asset Allocation

Weighting Return Low Return High ASFYX % Rank
Cash
70.38% -483.04% 7388.76% 37.70%
Bonds
26.72% -955.59% 499.56% 67.21%
Other
2.89% -7288.76% 63.60% 62.30%
Stocks
0.00% -61.27% 52.92% 73.77%
Preferred Stocks
0.00% 0.00% 0.00% 49.18%
Convertible Bonds
0.00% 0.00% 1.12% 62.30%

Bond Sector Breakdown

Weighting Return Low Return High ASFYX % Rank
Cash & Equivalents
92.91% -452.21% 7388.76% 26.23%
Derivative
0.00% -86.27% 11.65% 49.18%
Securitized
0.00% 0.00% 51.30% 67.21%
Corporate
0.00% 0.00% 45.66% 70.49%
Municipal
0.00% 0.00% 1.70% 55.74%
Government
0.00% -955.59% 457.08% 80.33%

Bond Geographic Breakdown

Weighting Return Low Return High ASFYX % Rank
Non US
23.24% 0.00% 246.47% 11.48%
US
3.48% -955.59% 499.56% 72.13%

ASFYX - Expenses

Operational Fees

ASFYX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.45% 1.15% 3.24% 88.52%
Management Fee 1.24% 0.85% 2.99% 32.79%
12b-1 Fee 0.00% 0.00% 1.00% 14.29%
Administrative Fee N/A 0.09% 0.40% N/A

Sales Fees

ASFYX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 4.75% 5.75% N/A
Deferred Load N/A 1.00% 1.00% N/A

Trading Fees

ASFYX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A 1.00% 2.00% 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 Return Low Category Return High Rank in Category (%)
Turnover N/A 0.00% 529.00% N/A

ASFYX - Distributions

Dividend Yield Analysis

ASFYX Category Low Category High ASFYX % Rank
Dividend Yield 0.00% 0.00% 0.08% 70.49%

Dividend Distribution Analysis

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

Dividend Payout History


Net Income Ratio Analysis

ASFYX Category Low Category High ASFYX % Rank
Net Income Ratio 0.49% -2.78% 1.20% 16.39%

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

Tenure

Tenure Rank

Jul 30, 2010

8.92

8.9%

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.


Alexander D. Healy

Manager

Start Date

Tenure

Tenure Rank

Mar 05, 2014

5.32

5.3%

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.


Philippe P. Lüdi

Manager

Start Date

Tenure

Tenure Rank

Mar 05, 2014

5.32

5.3%

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.


John C Perry

Manager

Start Date

Tenure

Tenure Rank

May 01, 2017

2.16

2.2%

As a Senior Research Scientist, Portfolio Manager at AlphaSimplex, Dr. Perry focuses on research and portfolio management. Dr. Perry joined AlphaSimplex in 2012. Prior to this, he worked for Soros Fund Management, where he researched and developed quantitative equity trading strategies and risk models. Previously, he worked on the proprietary trading desk at J.P. Morgan. Dr. Perry earned a B.S. in Computer Engineering from the University of Utah, an M.S. in Management and a Ph.D. in Electrical Engineering and Computer Science from MIT. His dissertation provided new insights into the neuroeconomics of market makers..


Kathryn M. Kaminski

Manager

Start Date

Tenure

Tenure Rank

May 01, 2018

1.16

1.2%

As Chief Research Strategist at AlphaSimplex, Dr. Kaminski conducts applied research, leads strategic research initiatives, focuses on portfolio construction and risk management, and engages in product development. She also serves as a co-portfolio manager for the AlphaSimplex Managed Futures Strategy. Dr. Kaminski joined AlphaSimplex in 2018 after being a visiting scientist at the MIT Laboratory for Financial Engineering. Prior to this, she held portfolio management positions as a director, investment strategies at Campbell and Company and as a senior investment analyst at RPM, a CTA fund of funds. Dr. Kaminski co-authored the book Trend Following with Managed Futures: The Search for Crisis Alpha (2014). Her research and industry commentary have been published in a wide range of industry publications as well as academic journals. She is a contributory author for both the CAIA and CFA reading materials. Dr. Kaminski has taught at the MIT Sloan School of Management, the Stockholm School of Economics and the Swedish Royal Institute of Technology, KTH. Dr. Kaminski earned a B.S. in Electrical Engineering and Ph.D. in Operations Research from MIT where her doctoral research focused on stochastic processes, stopping rules, and investment heuristics. Dr. Kaminski is also a CAIA® Charterholder.


Tenure Analysis

Category Low

1.15

Category High

8.92

Category Average

4.02

Category Mode

1.15