ASG Managed Futures Strategy Fund

Data updated: 2023-05-30

C000090725 — ASG Managed Futures Strategy Fund. Commodity · $2.70B AUM · 1.70% expense ratio · 4.6% 1-yr return. Holdings, fees, performance and SEC filings.

C000090725 Fund Overview

ASG Managed Futures Strategy Fund is a US mutual fund managed by Natixis Funds Trust II, categorised as Commodity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

Type: US mutual fund
Manager: Natixis Funds Trust II
Category: Commodity
Assets under management: $2.70B
1-year return: 4.6%
SEC CIK: 0000052136
SEC series ID: S000029564
Share class ID: C000090725

C000090725 Investment Objective and Strategy

ASG Managed Futures Strategy Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Natixis Funds Trust II.

Investment objective

The Fund pursues an absolute return strategy that seeks to provide capital appreciation.

Principal investment strategy

"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""). 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."

C000090725 Performance

Total returns for C000090725 (as of 2026-10-01), from SEC filings.

Period	Total return
1 year	4.6%
3 years (annualised)	10.5%

C000090725 Risk Information

Risk metrics for C000090725, derived from monthly returns in SEC filings.

1-year volatility (annualised): 21.2%

C000090725 Costs and Fees

C000090725 costs about $170 per $10,000 invested per year in fund expenses.

Net expense ratio: 1.70%
Gross expense ratio: 1.70%
Brokerage commissions: 8.75 bps of average net assets (SEC N-CEN)

C000090725 Cashflows

Over the 12 months to 2023-03, ASG Managed Futures Strategy Fund had net inflows of $1.50B, from monthly SEC N-PORT filings.

Month	Net flow
2023-03	$79.77M
2023-02	−$23.99M
2023-01	$47.27M
2022-12	$333.62M
2022-11	$1.13M
2022-10	$99.21M

C000090725 Debt Constituents

No individual debt constituents are reported in ASG Managed Futures Strategy Fund's latest SEC N-PORT filing.

C000090725 Prospectus and SEC Filings

Official ASG Managed Futures Strategy Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Commodity funds tracked on ABC INVEST:

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.