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Trending ETFs

Name

As of 03/27/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

$10.17

$169 M

9.15%

$0.93

1.64%

Vitals

YTD Return

5.9%

1 yr return

9.2%

3 Yr Avg Return

3.4%

5 Yr Avg Return

2.5%

Net Assets

$169 M

Holdings in Top 10

42.1%

52 WEEK LOW AND HIGH

$10.1
N/A
N/A

Expenses

OPERATING FEES

Expense Ratio 1.64%

SALES FEES

Front Load 5.75%

Deferred Load N/A

TRADING FEES

Turnover 115.00%

Redemption Fee N/A


Min Investment

Standard (Taxable)

$2,500

IRA

$1,000


Fund Classification

Fund Type

Open End Mutual Fund


Name

As of 03/27/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

$10.17

$169 M

9.15%

$0.93

1.64%

GAFAX - Profile

Distributions

  • YTD Total Return 5.9%
  • 3 Yr Annualized Total Return 3.4%
  • 5 Yr Annualized Total Return 2.5%
  • Capital Gain Distribution Frequency Semi-Annually
  • Net Income Ratio -0.91%
DIVIDENDS
  • Dividend Yield 9.2%
  • Dividend Distribution Frequency Annual

Fund Details

  • Legal Name
    AlphaSimplex Global Alternatives Fund
  • Fund Family Name
    Natixis Loomis Sayles Funds
  • Inception Date
    May 01, 2013
  • Shares Outstanding
    N/A
  • Share Class
    A
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    Robert Rickard

Fund Description

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. Under normal market conditions, the Adviser typically will make extensive use of derivative instruments, in particular futures, forward contracts and swaps on global equity and fixed-income securities, securities indices (including both broad- and narrow-based securities indices), currencies, commodities and other instruments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund may also make direct long and short investments in equity and fixed-income securities.
The Fund seeks to generate absolute returns over time rather than track the performance of any particular index of hedge fund returns. In selecting investments for the Fund, the Adviser uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds. The Adviser seeks to capture these market exposures in the aggregate while adding value through dynamic allocation among market exposures and volatility management. These market exposures may include, for example, exposures to the returns of stocks, fixed-income securities (including U.S. and non-U.S. government securities, as well as corporate debt securities), currencies and commodities. In estimating these market exposures, the Adviser may use various approaches, including analyses of the returns of hedge funds included in one or more commercially available databases selected by the Adviser (for example, the Lipper TASS hedge fund database) and regulatory filings. The Fund may also directly employ various strategies commonly used by hedge funds that seek to profit from underlying risk factors, such as merger arbitrage and trend-following strategies. In a merger arbitrage strategy, the Adviser buys shares of target companies in corporate reorganizations and establishes short positions in shares of the acquiring companies. Trend-following strategies analyze markets over various time horizons to invest either long or short in assets whose values are rising or falling, respectively.
The Adviser will have great flexibility to allocate the Fund’s exposure among various securities, indices, currencies, commodities and other instruments; the amount of the Fund’s assets that may be allocated to various strategies and among investments is expected to vary over time. When buying and selling securities and other instruments for the Fund, the Adviser also may consider other factors, such as: (i) the Fund’s obligations under its various derivative positions; (ii) portfolio rebalancing; (iii) redemption requests; (iv) yield management; (v) credit management; and (vi) volatility management. The Fund will not invest directly in hedge funds. The Fund may invest in non-U.S. securities and instruments and securities and instruments traded outside the United States, and expects to engage in non-U.S. currency transactions.
The Adviser currently targets an annualized volatility level of 9% 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 assets, and may significantly exceed the total value of the Fund’s assets. The Adviser will invest a portion of the Fund’s assets, which may vary over time, in short-term, high-quality securities. Such investments will be used primarily to finance the Fund’s investments in derivatives and, secondarily, to provide the Fund with incremental income and liquidity, and may include: (i) short-term obligations issued or guaranteed by the United States government, its agencies or instrumentalities; (ii) securities issued by foreign governments, their political subdivisions or 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. The Adviser will select such investments based on various factors, including the security’s maturity and credit rating. 
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 through 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. 
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) of issuers in such industry. 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. 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. 
The Fund's shareholders approved an Agreement and Plan of Reorganization (the "Agreement") which provides for the reorganization of the Fund with and into the Virtus AlphaSimplex Global Alternatives Fund. It is expected that on or about May 20, 2023 (the "Closing Date"), the Fund will transfer its assets and liabilities to the Virtus AlphaSimplex Global Alternatives Fund, and the Fund will subsequently liquidate. In connection with the reorganization, shareholders of the Fund will receive shares of the Virtus AlphaSimplex Global Alternatives Fund that are equal in aggregate net asset value to the shares of the Fund held on the Closing Date. Additional information on the arrangements will be provided in supplements or other documents provided to the shareholders if these events do not occur substantially in accordance with the schedule outlined above. 
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GAFAX - Performance

Return Ranking - Trailing

Period GAFAX Return Category Return Low Category Return High Rank in Category (%)
YTD 5.9% -73.0% 19.4% 65.59%
1 Yr 9.2% -9.1% 86.9% 74.18%
3 Yr 3.4%* -9.5% 16.2% 81.53%
5 Yr 2.5%* -4.9% 14.4% 64.57%
10 Yr 1.9%* -0.9% 7.5% 71.28%

* Annualized

Return Ranking - Calendar

Period GAFAX Return Category Return Low Category Return High Rank in Category (%)
2023 -1.7% -22.7% 305.1% 81.85%
2022 -9.4% -9.8% 27.3% 13.31%
2021 1.0% -20.8% 10.9% 65.33%
2020 -4.6% -12.4% 29.4% 4.46%
2019 9.3% -10.5% 15.8% 91.10%

Total Return Ranking - Trailing

Period GAFAX Return Category Return Low Category Return High Rank in Category (%)
YTD 5.9% -73.0% 19.4% 65.59%
1 Yr 9.2% -13.4% 86.9% 84.00%
3 Yr 3.4%* -9.5% 16.2% 85.14%
5 Yr 2.5%* -5.3% 14.4% 78.03%
10 Yr 1.9%* -0.9% 7.5% 80.85%

* Annualized

Total Return Ranking - Calendar

Period GAFAX Return Category Return Low Category Return High Rank in Category (%)
2023 3.6% -22.7% 305.1% 81.85%
2022 -0.8% -9.8% 27.3% 13.71%
2021 1.0% -20.8% 10.9% 70.67%
2020 -2.4% -8.4% 29.4% 11.39%
2019 10.3% -10.2% 18.0% 95.29%

NAV & Total Return History


GAFAX - Holdings

Concentration Analysis

GAFAX Category Low Category High GAFAX % Rank
Net Assets 169 M 1.5 M 5.01 B 25.83%
Number of Holdings 655 4 4478 44.88%
Net Assets in Top 10 99.8 M -398 M 2.55 B 52.65%
Weighting of Top 10 42.09% 13.1% 100.0% 99.08%

Top 10 Holdings

  1. United States Cash Management Bill 5.89%
  2. United States Treasury Bill 5.27%
  3. FIXED INC CLEARING CORP.REPO 4.24%
  4. MIZUHO BANK LTD 4.22%
  5. TORONTO DOMINION BK 4.21%
  6. United States Treasury Bill 4.21%
  7. United States Treasury Bill 4.17%
  8. Bank of Nova Scotia/Houston 3.38%
  9. DNB NOR BK ASA 3.37%
  10. United States Treasury Bill 3.13%

Asset Allocation

Weighting Return Low Return High GAFAX % Rank
Cash
75.41% -6278.21% 410.43% 26.50%
Stocks
16.40% -3.75% 97.95% 13.43%
Other
5.10% -21.53% 148.54% 74.91%
Bonds
3.09% -326.45% 6347.80% 92.58%
Preferred Stocks
0.00% -0.12% 46.97% 52.30%
Convertible Bonds
0.00% 0.00% 87.92% 68.20%

Stock Sector Breakdown

Weighting Return Low Return High GAFAX % Rank
Technology
17.82% 0.00% 39.58% 46.06%
Financial Services
17.67% 0.00% 59.28% 44.88%
Industrials
13.92% 0.00% 21.45% 4.72%
Consumer Cyclical
11.73% 0.00% 29.09% 83.46%
Consumer Defense
10.08% 0.00% 13.62% 7.87%
Healthcare
10.01% 0.00% 45.63% 57.87%
Basic Materials
6.36% 0.00% 27.46% 62.20%
Utilities
4.06% 0.00% 9.23% 14.57%
Communication Services
3.49% 0.00% 21.78% 75.59%
Real Estate
2.98% 0.00% 51.26% 23.23%
Energy
1.87% 0.00% 100.00% 75.20%

Stock Geographic Breakdown

Weighting Return Low Return High GAFAX % Rank
US
16.40% -8.85% 91.88% 3.89%
Non US
0.00% -19.62% 42.11% 64.31%

Bond Sector Breakdown

Weighting Return Low Return High GAFAX % Rank
Cash & Equivalents
68.76% 0.27% 100.00% 3.53%
Government
4.62% 0.00% 84.29% 90.46%
Derivative
0.86% 0.00% 88.81% 71.73%
Securitized
0.00% 0.00% 56.83% 62.90%
Corporate
0.00% 0.00% 87.73% 78.45%
Municipal
0.00% 0.00% 27.33% 39.93%

Bond Geographic Breakdown

Weighting Return Low Return High GAFAX % Rank
US
3.09% -126.19% 6311.18% 98.59%
Non US
0.00% -382.37% 121.02% 75.97%

GAFAX - Expenses

Operational Fees

GAFAX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 1.64% 0.29% 31.15% 64.39%
Management Fee 1.10% 0.00% 2.50% 54.06%
12b-1 Fee 0.25% 0.00% 1.00% 32.43%
Administrative Fee N/A 0.01% 0.30% N/A

Sales Fees

GAFAX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load 5.75% 2.50% 5.75% 9.62%
Deferred Load N/A 1.00% 5.00% N/A

Trading Fees

GAFAX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A 1.00% 2.00% 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.

GAFAX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 115.00% 0.00% 491.00% 80.65%

GAFAX - Distributions

Dividend Yield Analysis

GAFAX Category Low Category High GAFAX % Rank
Dividend Yield 9.15% 0.00% 4.56% 25.09%

Dividend Distribution Analysis

GAFAX Category Low Category High Category Mod
Dividend Distribution Frequency Annual Annually Quarterly Annually

Net Income Ratio Analysis

GAFAX Category Low Category High GAFAX % Rank
Net Income Ratio -0.91% -2.51% 6.83% 76.98%

Capital Gain Distribution Analysis

GAFAX Category Low Category High Capital Mode
Capital Gain Distribution Frequency Semi-Annually Annually Annually Annually

Distributions History

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GAFAX - Fund Manager Analysis

Managers

Robert Rickard


Start Date

Tenure

Tenure Rank

Sep 30, 2008

13.67

13.7%

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.

Peter Lee


Start Date

Tenure

Tenure Rank

May 01, 2010

12.09

12.1%

As a Senior Research Scientist at AlphaSimplex, Mr. Lee conducts applied research and product engineering. He also serves as a co-portfolio manager of certain mutual funds advised by AlphaSimplex. Mr. Lee joined AlphaSimplex in 2007. He specializes in hedge fund factor replication and modeling probabilistic dynamic systems using perspectives from probability, information theory, economics, and engineering. Much of Mr. Lee’s recent work involves designing representations of latent information that drive trading decisions. Mr. Lee earned an A.B. in Applied Mathematics (Decision and Control focus) with a minor in Economics from Harvard University. He also earned an S.M. in Operations Research from MIT. His master’s thesis presented a novel technique for constructing sparse high-dimensional Gaussian models.

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.

Kathryn Kaminski


Start Date

Tenure

Tenure Rank

Dec 31, 2020

1.41

1.4%

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.

Timothy Kang


Start Date

Tenure

Tenure Rank

Dec 31, 2020

1.41

1.4%

Mr. Kang joined AlphaSimplex in 2018 and currently serves as Research Scientist. Mr. Kang has served as co-portfolio manager of AlphaSimplex Global Alternatives Fund since 2020. Prior to joining AlphaSimplex, Mr. Kang was a trading intern at Susquehanna International Group. Mr. Kang also interned in machine learning at PsychSignal and worked as an undergraduate research assistant at the Harvard School of Engineering and Applied Sciences. Mr. Kang earned an A.B. in Statistics with a minor in Computer Science from Harvard University.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.02 17.37 4.48 1.67