Natixis and AlphaSimplex Launch Dynamic Allocation Fund

Natixis AlphaSimplex Launch Dynamic Allocation Fund

On November 30, Natixis Global Asset Management added its tenth alternative mutual fund to its lineup: the ASG Dynamic Allocation Fund (DAAFX). The new fund is the firm’s fourth fund sub-advised by affiliate AlphaSimplex Group, which was founded by MIT finance professor Andrew Lo, PhD. The new fund seeks to deliver long-term capital appreciation, with a secondary goal of capital-preservation during unfavorable market conditions, via a “tactical global asset allocation strategy.”

“Building a durable investment portfolio has become even more challenging in a volatile market environment buffeted by global economic uncertainty,” said David Giunta, president and CEO of U.S. Distribution for Natixis, in a recent statement announcing the launch of the new fund. “To successfully diversify a portfolio of traditional stock and bond funds, investors need adaptive tools, such as the ASG Dynamic Allocation Fund, which incorporate a wide range of information available today to make investment decisions.”

Investment Approach

The ASG Dynamic Allocation Fund employs dynamic tactical allocation across global markets and asset classes through the use of futures, forwards, and ETFs. Its long positions will span the following traditional asset classes:

  • U.S. stocks;
  • Non-U.S. developed market stocks;
  • Emerging markets stocks;
  • U.S. bonds; and
  • Non-U.S. developed market bonds.

The prospectus for the fund indicates that commodities will be added in the future, which will be limited to 20% of the fund’s assets.

The strategy starts with a balanced allocation to “high-risk” and “low-risk” asset classes, and then adjusts the allocations according to AlphaSimplex’s quantitative analysis of market behaviors. Portfolio managers Alexander Healy, Robert Rickard, and Derek Schug are also charged with the task of managing the fund’s annualized volatility, which is targeted at no more than 20%, as measured by the standard deviation of the fund’s returns.

The fund will also use leverage, which will not exceed 200% of assets, and may hold short positions through the use of derivatives. The fund’s portfolio construction process is depicted in the graphic below.

ASG Dynamic Allocation Fund Portfolio Management Process

“The ASG Dynamic Allocation Fund seeks to balance risk with expected return by tactically allocating to multiple asset classes across a range of global markets using a disciplined quantitative approach that draws on AlphaSimplex’s current strategies and our experience managing liquid alternatives since 2003,” said AlphaSimplex CEO Duncan B. E. Wilkinson. “We created the fund to help investors shift exposures among global assets in a fast-paced global market environment and help them stay invested over the long term.”

Fund Details

Shares of the fund are available in A (DAAFX), C (DACFX), and Y (DAYFX) classes, all with an investment management fee of 0.70% and respective net-expense ratios of 1.25%, 2.00%, and 1.00%. The minimum initial investment for A and C shares is $2,500. The minimum for Y shares is $100,000.

For more information, visit the fund’s web page.

Add a Comment

Your email address will not be published. Required fields are marked *

This site uses Akismet to reduce spam. Learn how your comment data is processed.