ASG Managed Futures Strategy Fund Fact Sheet

Q1 | March 31, 2015
ASG Managed Futures Strategy Fund
Fund Highlights
Morningstar Rating
• A fund that provides exposure to global equity, bond, currency and commodities markets using exchangetraded futures and currency forward contracts
• Has the flexibility to hold both long positions, which benefit from rising prices, and short positions, which
benefit from price declines1
• Uses proprietary trend-identifying models that actively adjust weightings and directional exposure in
response to changing market conditions
• Seeks to maintain volatility at or below a targeted level to limit the magnitude of potential loss2
Managed Futures – Class Y
Average annualized total returns†
Class A at NAV
Class A with 5.75%
maximum sales charge
Class Y
Newedge Trend Index6
3 months
1 year
3 years
11.75%
39.33%
12.29%
Life of class
7/30/10
9.81%
5.32
31.33
10.08
8.43
11.72
7.65
39.66
36.92
12.58
8.36
10.06
6.74
Overall rating derived from weighted average of the
3-, 5- and 10-year (if applicable) Morningstar Rating
metrics; other ratings based on risk-adjusted returns.
Overall out of 90 funds
Three years out of 90 funds
★★★★★
★★★★★
Share Class
Ticker
Cusip
Class A
Class C
Class Y
AMFAX
ASFCX
ASFYX
63872T-74-5
63872T-73-7
63872T-72-9
Class A maximum sales charge of 5.75%
Class C maximum CDSC of 1.00%
Fund Facts
Calendar year returns
2005
2006
2007
2008
2009
20103
Class A at NAV (%)
-
-
-
-
-
13.44
0.25
-11.09 12.51 21.76
Newedge Trend Index (%)6
-
-
-
-
-
15.36
-7.93
-3.52
2011
2012
2013
2.67
2014
19.70
Investment return – Hypothetical growth of $10,000 investment since inception5
Objective
Pursues an absolute return
strategy that seeks to provide
capital appreciation
Total net assets
$2.2 billion
Inception date
7/30/2010
Number of futures &
forward contract types
$17,500
$15,485
$15,000
$12,500
75
Number of cash instruments
Distribution frequency
$10,000
Gross Expense Ratios (A/Y)4
$7,500
4
Net Expense Ratios (A/Y)
$5,000
60
Annual
1.76%/1.51%
1.72%/1.47%
$2,500
$0
7/10
2/11
9/11
4/12
11/12
6/13
1/14
8/14
3/15
Performance data quoted represents past performance and is no guarantee of future results. Total return and value will vary, and you may have a gain or loss when
shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ngam.natixis.com. Performance for other share
classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. †Performance for periods less than one
year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any.
1 "Long" or "long position" is the purchase of a security such as a stock, commodity or currency with the expectation that the asset will rise in value. "Short" or "short position" is the sale of a borrowed security, commodity or currency with the expectation that the asset will fall in value. 2 The fund seeks to target a relatively stable level of
annualized volatility (as measured by standard deviation), but the targeted volatility is subject to change. There is no guarantee that the target will be achieved and the
realized volatility level of the fund can be higher or lower than its target volatility at any given point in time. Volatility is not an indicator of expected return or a measure of
protection against loss. 3 The calendar year performance shown for 2010 is a partial year of performance since inception on 7/30/10 through 12/31/10. 4 As of the most
recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the fund
has been exceeded. This arrangement is set to expire on 4/30/16. When an expense cap has not been exceeded, the gross and net expense ratios may be the same. 5 This
chart tracks hypothetical growth of a $10,000 investment in Class A shares without the effect of sales charges. If the maximum sales charge were included, returns would
have been lower.
Not all share classes are available for purchase by all investors. See the prospectus for more details.
For funds at least three years old, Morningstar calculates ratings based on a Risk-Adjusted Return measure that accounts for variation in a fund's monthly performance
(including the effects of sales charges, loads, and redemption fees), placing more emphasis on downward variations and rewarding consistent performance. Past performance is no guarantee of future results. The top 10% of funds in each category receive five stars, the next 22.5% receive four stars, the next 35% receive three stars, the
next 22.5% receive two stars, and the bottom 10% receive one star. Overall ratings are derived from a weighted average of the performance figures associated with three-,
five-, and ten-year (if applicable) Morningstar metrics. Past performance is no guarantee of future results.
© 2015 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or
distributed; and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising
from any use of this information.
Q1 | March 31, 2015
ASG Managed Futures Strategy Fund
Portfolio Exposures*
Manager Overview
Top ten long positions
Exposure
10-Year JGB
5-Year US Treasury
Euro Bund
2-Year US Treasury
3 month Libor
3-Year Australian Gov't
3 month Sterling Libor
Euro Bobl
3 month Euro Euribor
Euro Schatz
% Contri- % of
bution to Net
Volatility Assets
2.6 37.3
2.5 26.0
2.4 22.1
2.2 73.4
1.0 188.6
0.9 43.0
0.8 110.7
0.7 19.4
0.3 88.4
0.2 22.7
Top ten short positions
Exposure
Sugar
Euro
Soybean Oil
Norwegian Krone
Swedish Krona
Soybean
Aluminum
Japanese Yen
Australian Dollar
Singapore Dollar
Investment Manager
Summary
% Contribution to
Volatility
2.2
1.8
1.5
1.3
1.2
1.0
1.0
0.7
0.7
0.4
% of
Net
Assets
-3.7
-6.0
-2.8
-3.4
-4.3
-2.3
-2.3
-3.6
-2.4
-2.3
Exposure
Total Equity
Non-U.S. Developed
U.S.
Emerging Markets
Total Sovereign Debt
Non-U.S. Developed
U.S. Bonds
Total Commodity
Agricultural & Livestock
Energy
Metals
Total Currency
Non-Reserve Developed
Non-USD Reserve
Total Interest Rate
3 Month Rates
% Contri- % of
bution to Net
Volatility Assets
44.8 115.6
31.9 81.2
8.2 22.1
4.7 12.4
24.3 334.6
13.8 207.5
10.5 127.1
19.4 -27.7
10.4 -15.4
4.8
-4.6
4.3
-7.7
9.3 -31.3
6.5 -20.1
2.9 -11.2
2.1 387.7
2.1 387.7
AlphaSimplex offers alternative investment
solutions designed to adapt to changing market
dynamics. The products use AdaptiveVolatility
Management™to help offset the impact of shortterm fluctuations in market risk.
Headquarters: Cambridge, MA
Founded: 1999
Assets under management: $5.6 billion
(as of 12/31/2014)7
Portfolio Managers8,9
Andrew W. Lo, PhD: has managed ASG Managed
Futures Strategy Fund since 2010; BA, Yale
University; AM, PhD, Harvard University
Robert W. Sinnott: has managed ASG Managed
Futures Strategy Fund since 2012; AB, AM, Harvard University
Alexander D. Healy, PhD: has managed ASG
Managed Futures Strategy Fund since 2014; AB,
PhD, Harvard University
Peter A. Lee: has managed ASG Managed
Futures Strategy Fund since 2014; AB, Harvard
University
Philippe P. Lüdi, PhD, CFA®: has managed ASG
Managed Futures Strategy Fund since 2014; MA,
University of Basel; MS, PhD, Duke University
Robert S. Rickard: has managed ASG Managed
Futures Strategy Fund since 2010; BS, Siena
College; MBA, Pace University
* The portfolio exposures presented above are intended to illustrate the asset class exposure present in the fund. The portfolio
exposure percentage represents the notional contract value in U.S. dollars of the Fund’s futures and/or forward positions divided
by the Fund’s total net assets. Notional contract values represent the aggregate exposure that a futures or currency forward
contract provides to the underlying reference asset or currency, respectively. Given the nature of the Fund’s investments, the
sum of the percentages above may not equal 100% and the notional contract values may not equal the net assets of the Fund.
On a daily basis the Fund reflects the changes in the unrealized gains and losses from these futures and/or forward currency
contracts in the computation of its net asset value. At March 31, 2015, 84.35% of the Fund’s net assets represented investments
in money market securities and 15.65% of the Fund’s net assets represented other assets and liabilities. The other assets primarily consist of margin and unrealized gains and losses on futures and forward contracts.
% Contribution to Volatility is calculated for each contract based on the Fund’s exposure to the contract at the most-recent quarter-end and the contract’s annualized volatility based on daily price changes in generic contract levels during the most-recent
quarter. Directional exposure and correlations across the contracts are ignored for purposes of the calculation.
Risks
Derivatives, primarily futures and forward contracts, generally have implied leverage (a small amount of money to make an investment of greater value). Because of this,
the fund’s extensive use of derivatives may magnify any gains or losses on those investments, as well as risk to the fund. Market value of any security involves risk, including risk of loss. Exchange rate risk between the U.S. dollar and foreign currencies may cause the value of the fund’s investments to decline. Exposure to commodity markets
may subject the fund to greater volatility than investments in traditional securities. Generally speaking, stocks are more volatile than bonds or short-term instruments.
Foreign investments are subject to greater investment risk such as political, economic, credit and information risks as well as the risk of currency fluctuations. Investments
focused on specific sectors, industries and companies are subject to additional risks and may be more volatile due to their narrow focus. Absolute return strategies are not
intended to outperform stocks and bonds during strong market rallies, and may underperform during periods of strong market performance. Frequent trading by the Fund
increases transaction costs. Higher trading costs and the tax effects associated with frequent trading will reduce fund returns.
6 The Newedge Trend Index is equal-weighted and reconstituted annually. The index calculates the net daily rate of return for a pool of trend following based hedge fund managers. You may not
invest directly in an index. 7 Assets under management (AUM) may include assets for which non-regulatory AUM services are provided. Non-regulatory AUM includes assets which do not fall
within the SEC's definition of 'regulatory AUM' in Form ADV, Part 1. 8 CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute. 9 Effective May 15, 2015,
AlphaSimplex will assume management of the money management portion of its advised mutual funds in its role as advisor. Robert Rickard of Reich & Tang, who has been a co-portfolio manager
of the ASG Managed Futures Strategy Fund since the Fund's inception, will remain a co-portfolio manager as an employee of AlphaSimplex.
Before investing, consider the fund’s investment objectives, risks, charges, and expenses. Visit ngam.natixis.com or call 800-225-5478 for
a prospectus or a summary prospectus containing this and other information. Read it carefully.
NGAM Distribution, L.P. is a limited purpose broker-dealer and the distributor of various registered investment companies for which advisory services are provided by
affiliates of Natixis Global Asset Management, S.A. • NGAM Distribution, L.P. is located at 399 Boylston Street, Boston, MA 02116. • 800-225-5478 • ngam.natixis.com
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
966173.1.4
ASGMFS59-0315