Continue to site >
Trending ETFs

Name

Price

Aum/Mkt Cap

YIELD

Exp Ratio

Watchlist

$10.08

$2.43 B

9.98%

$1.01

1.47%

Vitals

YTD Return

-1.9%

1 yr return

-5.4%

3 Yr Avg Return

1.9%

5 Yr Avg Return

-1.6%

Net Assets

$2.43 B

Holdings in Top 10

31.9%

52 WEEK LOW AND HIGH

$10.2
$9.93
$15.01

Expenses

OPERATING FEES

Expense Ratio 1.47%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover N/A

Redemption Fee N/A


Min Investment

Standard (Taxable)

$100,000

IRA

N/A


Fund Classification

Fund Type

Open End Mutual Fund


Name

Price

Aum/Mkt Cap

YIELD

Exp Ratio

Watchlist

$10.08

$2.43 B

9.98%

$1.01

1.47%

ASFYX - Profile

Distributions

  • YTD Total Return -1.9%
  • 3 Yr Annualized Total Return 1.9%
  • 5 Yr Annualized Total Return -1.6%
  • Capital Gain Distribution Frequency Annually
  • Net Income Ratio -1.38%
DIVIDENDS
  • Dividend Yield 10.0%
  • Dividend Distribution Frequency Annually

Fund Details

  • Legal Name
    AlphaSimplex 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 Rickard

Fund Description

The Fund seeks to generate positive absolute returns over time. Under normal market conditions, the Adviser typically will make extensive use of a variety of derivative instruments, including futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also seeking to add value through volatility management. These market exposures, which are expected to change over time, may include, for example, exposures to the returns of U.S. and non-U.S. equity and fixed-income securities indices (including both broad- and narrow-based securities indices), currencies and commodities. The Adviser will have great flexibility to allocate the Fund’s derivatives exposure among various securities, indices, currencies, commodities and other instruments; the amount of the Fund’s assets that may be allocated to derivative strategies and among these various instruments is expected to vary over time. The Adviser uses proprietary quantitative models to identify price trends in equity, fixed-income, currency and commodity instruments across time periods of various lengths. The Adviser believes that asset prices may show persistent trending behavior due to a number of behavioral biases among market participants as well as certain risk-management policies that will identify assets to purchase in upward-trending markets and identify assets to sell in downward-trending markets. The Adviser believes that following trends across a widely diversified set of assets, combined with active risk management, may allow it to earn a positive expected return over time. The Fund may have both “short” and “long” exposures within an asset class based upon the Adviser’s analysis of multiple time horizons to identify trends in a particular asset class. A “short” exposure will benefit when the underlying asset class decreases in price. A “long” exposure will benefit when the underlying asset class increases in price. The Adviser will scale the notional exposure of the Fund’s futures and currency forward positions with the objective of targeting a relatively stable level of annualized volatility for the Fund’s overall portfolio. The Adviser currently targets an annualized volatility level of 17% or less (as measured by the standard deviation of the Fund’s returns). The Fund’s actual or realized volatility during certain periods or over time may materially exceed its target volatility for various reasons, including changes in market levels of volatility and because the Fund’s portfolio may include instruments that are inherently volatile. This would increase the risk of investing in the Fund.
Under normal market conditions, 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 gross notional value of the Fund’s derivative investments, however, will generally exceed 25% of the Fund’s total assets, and may significantly exceed the total value of the Fund’s assets. The Fund expects that under normal market conditions it will invest at least 75% of its total assets in money market and other short-term, high-quality securities (such as bankers’ acceptances, certificates of deposit, commercial paper, loan participations, repurchase agreements and time deposits) (the “Money Market Portion”), although the Fund may invest less than this percentage. The Adviser will determine the percentage of the Fund’s assets that will be invested in the Money Market Portion at any time. The assets allocated to the Money Market Portion will be used primarily to support the Fund’s investments in derivatives and, secondarily, to provide the Fund with incremental income and liquidity. Although the Fund will invest a significant portion of its assets in money market instruments, the Fund is not a “money market” fund and the value of the Money Market Portion as well as the value of the Fund’s shares may decrease. The Fund is not subject to the portfolio quality, maturity and net asset value requirements applicable to money market funds, and the Fund will not seek to maintain a stable net asset value. 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 (for example, bank certificates of deposit, repurchase agreements and time deposits) of issuers in such industry.
The Adviser will only invest the assets of the Money Market Portion in high-quality securities which are denominated in U.S. dollars, and will select securities for investment based on various factors, including the security’s maturity and rating. The Adviser will invest primarily in: (i) short-term obligations issued or guaranteed by the United States government, its agencies or instrumentalities (“U.S. Government Obligations”); (ii) securities issued by foreign governments, their political subdivisions, agencies or instrumentalities; (iii) certificates of deposit, time deposits and bankers’ acceptances issued by domestic banks, foreign branches of domestic banks, foreign subsidiaries of domestic banks and domestic and foreign branches of foreign banks; (iv) variable amount master  
demand notes; (v) participation interests in loans extended by banks to companies; (vi) commercial paper or similar debt obligations; and (vii) repurchase agreements. 
Although the Fund does not intend to invest in physical commodities directly, the Fund expects to obtain investment exposure to commodities and commodity-related derivatives by investing in a wholly-owned subsidiary organized under the laws of the Cayman Islands that will make commodity-related investments (the “Commodity Subsidiary”). The Fund may invest up to 25% of its total assets in the Commodity Subsidiary. Under normal market conditions, no more than 10% of the Fund’s total assets will be dedicated to initial and variation margin payments relating to these transactions. 
Although the Fund seeks positive absolute returns over time, it is likely that the Fund’s investment returns may be volatile over short periods of time. The Fund may outperform the overall securities market during periods of flat or negative market performance and may underperform during periods of strong market performance. There can be no assurance that the Fund’s returns over time or during any period will be positive or that the Fund will outperform the overall security markets over time or during any particular period. 
The Fund may engage in active and frequent trading of securities and other instruments. Effects of frequent trading may include high transaction costs, which may lower the Fund’s return, and realization of greater short-term capital gains, distributions of which are taxable as ordinary income to taxable shareholders. Trading costs and tax effects associated with frequent trading may adversely affect the Fund’s performance. Due to the short-term nature of the Fund’s investment portfolio, the Fund does not calculate a portfolio turnover rate. The Fund’s trading in derivatives is active and frequent. Active and frequent trading of derivatives, like active and frequent trading of securities, will result in transaction costs which reduce fund returns. 
The percentage limitations set forth herein are not investment restrictions and the Fund may exceed these limits from time to time. 
Read More

ASFYX - Performance

Return Ranking - Trailing

Period ASFYX Return Category Return Low Category Return High Rank in Category (%)
YTD -1.9% -7.4% 14.6% 32.98%
1 Yr -5.4% -16.1% 36.5% 22.58%
3 Yr 1.9%* -7.9% 13.3% 23.60%
5 Yr -1.6%* -5.3% 10.0% 46.99%
10 Yr 1.0%* -2.4% 4.3% 21.43%

* Annualized

Return Ranking - Calendar

Period ASFYX Return Category Return Low Category Return High Rank in Category (%)
2022 2.3% -16.4% 12.9% 5.38%
2021 -1.2% -9.3% 17.5% 21.74%
2020 3.2% -25.8% 2.2% 81.40%
2019 0.8% -5.1% 21.0% 25.00%
2018 -2.9% -20.3% 4.6% 52.11%

Total Return Ranking - Trailing

Period ASFYX Return Category Return Low Category Return High Rank in Category (%)
YTD -1.9% -7.4% 14.6% 32.98%
1 Yr -5.4% -20.3% 36.5% 19.35%
3 Yr 1.9%* -9.0% 11.1% 19.10%
5 Yr -1.6%* -5.7% 8.7% 42.17%
10 Yr 1.0%* -2.4% 4.3% 21.43%

* Annualized

Total Return Ranking - Calendar

Period ASFYX Return Category Return Low Category Return High Rank in Category (%)
2022 2.3% -16.4% 12.9% 5.38%
2021 -1.2% -9.3% 17.5% 21.74%
2020 3.2% -20.3% 2.5% 84.88%
2019 0.8% -5.1% 21.0% 25.00%
2018 -2.9% -20.3% 6.7% 61.97%

NAV & Total Return History


ASFYX - Holdings

Concentration Analysis

ASFYX Category Low Category High ASFYX % Rank
Net Assets 2.43 B 2.12 M 1.74 B 12.77%
Number of Holdings 114 3 876 48.94%
Net Assets in Top 10 555 M -100 M 2.04 B 20.21%
Weighting of Top 10 31.88% 20.3% 94.0% 87.04%

Top 10 Holdings

  1. Can 10yr Bond Fut Jun21 Xmod 20210621 14.12%
  2. Can 10yr Bond Fut Jun21 Xmod 20210621 14.12%
  3. Can 10yr Bond Fut Jun21 Xmod 20210621 14.12%
  4. Can 10yr Bond Fut Jun21 Xmod 20210621 14.12%
  5. Can 10yr Bond Fut Jun21 Xmod 20210621 14.12%
  6. Can 10yr Bond Fut Jun21 Xmod 20210621 14.12%
  7. Can 10yr Bond Fut Jun21 Xmod 20210621 14.12%
  8. Can 10yr Bond Fut Jun21 Xmod 20210621 14.12%
  9. Can 10yr Bond Fut Jun21 Xmod 20210621 14.12%
  10. Can 10yr Bond Fut Jun21 Xmod 20210621 14.12%

Asset Allocation

Weighting Return Low Return High ASFYX % Rank
Cash
97.83% -687.11% 117.03% 31.91%
Other
5.03% 0.00% 58.63% 79.79%
Preferred Stocks
0.00% 0.00% 0.13% 85.11%
Convertible Bonds
0.00% 0.00% 2.27% 86.17%
Stocks
-0.42% -1.78% 72.26% 60.64%
Bonds
-2.45% -50.36% 717.59% 51.06%

ASFYX - Expenses

Operational Fees

ASFYX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.47% 0.75% 12.88% 76.34%
Management Fee 1.25% 0.65% 2.99% 48.94%
12b-1 Fee 0.00% 0.00% 1.00% 18.03%
Administrative Fee N/A 0.09% 0.45% N/A

Sales Fees

ASFYX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 3.50% 5.75% N/A
Deferred Load N/A 1.00% 5.00% N/A

Trading Fees

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

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% 198.00% N/A

ASFYX - Distributions

Dividend Yield Analysis

ASFYX Category Low Category High ASFYX % Rank
Dividend Yield 9.98% 0.00% 0.00% 82.98%

Dividend Distribution Analysis

ASFYX Category Low Category High Category Mod
Dividend Distribution Frequency Annually Annually Quarterly Annually

Net Income Ratio Analysis

ASFYX Category Low Category High ASFYX % Rank
Net Income Ratio -1.38% -3.14% 1.55% 68.82%

Capital Gain Distribution Analysis

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

Distributions History

View More +

ASFYX - Fund Manager Analysis

Managers

Robert Rickard


Start Date

Tenure

Tenure Rank

Jul 30, 2010

11.84

11.8%

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. Rickard focused on the management of short-term assets at Reich & Tang from 1992 to 2015. 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 Healy


Start Date

Tenure

Tenure Rank

Mar 05, 2014

8.24

8.2%

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 Lüdi


Start Date

Tenure

Tenure Rank

Mar 05, 2014

8.24

8.2%

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 Perry


Start Date

Tenure

Tenure Rank

May 01, 2017

5.08

5.1%

As a Senior Research Scientist, Portfolio Manager at AlphaSimplex, Dr. Perry focuses on research and portfolio management. Dr. Perry joined AlphaSimplex in 2012. Dr. Perry has served as co-portfolio manager of the AlphaSimplex Managed Futures Strategy Fund since 2017 and the AlphaSimplex Multi-Asset Fund since 2020. 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 Kaminski


Start Date

Tenure

Tenure Rank

May 01, 2018

4.08

4.1%

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 Category High Category Average Category Mode
0.16 14.09 5.41 5.06