(PUB) Investing 2016

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23 Morningstar FundInvestor April 2016
Data through March 31, 2016 FINRA members: For internal or institutional use only.
Natixis ASG Global Alternatives A Ticker
GAFAX
Yield
0.0%
Total Assets
$3,250 mil
Mstar Category
Multialternative
Benchmark 1: Morningstar Mod Tgt Risk TR USD
Benchmark 2: Morningstar Mod Tgt Risk TR USD
Morningstar Analyst Rating 08-04-15
´
Morningstar Pillars
Process ¶ Neutral
Performance ∞ Positive
People ∞ Positive
Parent ¶ Neutral
Price ∞ Positive
Morningstar Analyst Rating
Morningstar evaluates mutual funds based on five key pillars, which its
analysts believe lead to funds that are more likely to outperform over the
long term on a risk-adjusted basis.
Analyst Rating Spectrum
Œ „ ´ ‰ Á
Pillar Spectrum
∞ Positive § Negative ¶ Neutral
10.0
12.0
14.0
16.0
8.0
Historical Profile
Return
Risk
Rating
Below Avg
Above Avg
QQ
Below Avg
4 Investment Style
Equity
Growth of $10,000
Investment Values of
Fund
Investment Values of
Benchmark 1
( * ( ( & * ( ) Performance Quartile
(within Category)
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 03-16 History
. . 9.69 10.39 10.67 10.26 10.62 11.33 11.12 10.48 9.61 NAV
. . . 8.95 6.94 -3.29 3.51 15.69 3.53 -2.69 -8.30 Total Return %
. . . -12.83 -5.39 -3.89 -8.53 1.38 -1.36 -0.90 -10.45 +/- Bmark 1
. . . -12.83 -5.39 -3.89 -8.53 1.38 -1.36 -0.90 -10.45 +/- Bmark 2
. . . 1.23 0.00 0.00 0.00 0.18 0.00 0.00 0.00 Income Return %
. . . 7.71 6.94 -3.29 3.51 15.51 3.53 -2.69 -8.30 Capital Return %
. . . 73 34 58 53 2 30 51 97 Total Rtn % Rank Cat
. . 0.04 0.12 0.00 0.00 0.00 0.02 0.00 0.00 0.00 Income $
. . . 0.05 0.44 0.06 0.00 0.91 0.59 0.38 0.00 Capital Gains $
. . 61.54 1.92 1.67 1.61 1.61 1.58 1.55 1.53 . Expense Ratio %
. . 1.36 -1.33 -1.28 -1.34 -1.34 -1.35 -1.34 -1.27 . Income Ratio %
. . . . . . . . . . . Turnover Rate %
. . 0 81 203 281 127 187 150 225 187 Net Assets $mil
Performance 03-31-16
1st Qtr 2nd Qtr 3rd Qtr 4th Qtr Total
2012 2.63 -5.32 5.52 0.95 3.51
2013 3.20 4.43 1.52 5.74 15.69
2014 -1.32 3.18 -0.81 2.51 3.53
2015 5.94 -2.27 -5.92 -0.10 -2.69
2016 -8.30 — — — —
Trailing Total
Return%
+/- Bmark
1
+/- Bmark
2
%Rank
Cat
Growth of
$10,000
3 Mo -8.30 -10.45 -10.45 97 9,170
6 Mo -8.39 -12.93 -12.92 98 9,161
1 Yr -15.77 -14.73 -14.72 96 8,423
3 Yr Avg 1.17 -3.42 -3.42 42 10,356
5 Yr Avg 0.98 -4.49 -4.48 64 10,501
10 Yr Avg — — — — —
15 Yr Avg — — — — —
Tax Analysis Tax Adj Rtn% %Rank Cat Tax-Cost Rat %Rank Cat
3 Yr (estimated) -2.59 86 1.80 89
5 Yr (estimated) -1.31 89 1.11 73
10 Yr (estimated) — — — —
Potential Capital Gain Exposure: -16% of assets
Rating and Risk
Time
Period
Load-Adj
Return %
Morningstar
Rtn vs Cat
Morningstar
Risk vs Cat
Morningstar
Risk-Adj Rating
1 Yr -20.61
3 Yr -0.81 -Avg +Avg QQ
5 Yr -0.21 -Avg +Avg QQ
10 Yr — — — —
Incept 1.80
Other Measures Standard Index Best Fit Index
Alpha -1.7 -0.5
Beta 0.66 0.42
R-Squared 36 48
Standard Deviation 7.85
Mean 1.17
Sharpe Ratio 0.18
Portfolio Analysis 02-29-16
Total Stocks: 1
Share change since 01-31-16 Sector YTD Ret % % Assets
YTopix Indx Futr Mar16 Xos — — 17.86
TS+p500 Emini Fut Mar16 Xc — — 8.48
TDax Index Future Mar16 Xe — — 8.26
YFtse 100 Idx Fut Mar16 If — — 3.20
RHang Seng Idx Fut Mar16 X — — 2.85
YAsg Global Alt Cayman Fun — — 1.12
Current Investment Style
Large Mid Small
Value Blend Growth Market Cap %
Giant —
Large —
Mid —
Small —
Micro —
Avg $mil:
—
Value Measures Rel Category
Price/Earnings — —
Price/Book — —
Price/Sales — —
Price/Cash Flow — —
Dividend Yield % — —
Growth Measures % Rel Category
Long-Term Erngs — —
Book Value — —
Sales — —
Cash Flow — —
Historical Erngs — —
Profitability %
Return on Equity —
Return on Assets —
Net Margin —
Sector
Weightings
% of
Stocks
Rel
Bmark 1
h Cyclical 0.00 0.00
r BasicMat 0.00 0.00
t CnsmrCyc 0.00 0.00
y FinanSvcs 0.00 0.00
u Real Est 0.00 0.00
j Sensitive 0.00 0.00
i CommSrvs 0.00 0.00
o Energy 0.00 0.00
p Industrl 0.00 0.00
a Technlgy 0.00 0.00
k Defensive 0.00 0.00
s CnsmrDef 0.00 0.00
d Hlthcare 0.00 0.00
f Utilities 0.00 0.00
Composition - Net
Cash 122.7
Stocks 8.3
Bonds -32.8
Other 1.8
Foreign —
(% of Stock)
Morningstar's Take by A.J. D'Asaro 08-04-15
Using liquid futures contracts, Natixis ASG Global
Alternatives attempts to replicate the asset class (beta)
exposures of the hedge fund industry. Many hedge funds
weresuccessful in lurchingoutofequitiesduringthe2008
financial crisis, and management here looks to follow
hedge funds’ market-timing cues. The fund appears to be
doing its job, with a five-year correlation of 0.82 to the
Morningstar MSCI Composite Asset-Weighted Hedge
Fund Index and slightly higher returns (5.6% annualized
versus 5.2% for the hedge fund index from Q2 2010
through Q2 2015). This fund’s capable team and low fees
have earned the fund a Morningstar Analyst Rating of
Bronze.
The management team, no stranger to complex
quant models, is also listed on the Bronze-rated Natixis
ASG Managed Futures Strategy AMFAX. Plus, the
academically gifted team appears at the forefront of
hedge fund replication, led by the firm’s founder, Andrew
Lo. In 2013, for instance, the fund began to give an
overweighting to recent tactical shifts in hedge fund
exposures, encouraging an active asset allocation, which
paid off when the fund was able to quickly follow hedge
funds into strong-performing equities. In 2015,
management added the two-year Treasury bond as a
factor to reflect hedge funds' yield-curve positioning.
The fund’s risk controls target annualized volatility of
8%, which is more risk, on average, than peers in the
multialternative category. However, the fund also
possesses a strict stop-loss policy, which lowers the
fund’s market exposure during a drawdown. While this
protects the fund against severe market declines, it can
work against the fund during temporary pullbacks. For
example, as a result of a drawdown in August 2011, the
fund sold off equities and missed much of the subsequent
10.9% rally of the S&P 500 in October. However, such
setbacks have evened out over the fund’s six-year track
record.
At a 1.29% net expense ratio for the Y shares, this is
much cheaper than peers (1.66% on average). Hedge
fund replication is still in its early innings, but this fund is
a cut above the rest.
Address: Natixis Funds Trust II Minimum Purchase: $2500 Add: $100 IRA: $1000
Boston MA 02116 Min Auto Inv Plan: $1000 Add: $50
800-225-5478 Sales Fees: 5.75%L
Web Address: NGAM.natixis.com Management Fee: 1.15% mx./1.10% mn.
Inception: 09-30-08 Actual Fees: Mgt:1.14% Dist:0.25%
Advisor: AlphaSimplex Group, LLC Expense Projections: 3Yr:$1033 5Yr:$1366 10Yr:$2304
Subadvisor: None Income Distribution: Semi-Annually
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