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  • Data source: Security study / overall AUM is Census Bank Loans = Security Study. Bond funds on security study = some bank loans & some closed end mutual funds (so taken out to not duplicate)
  • SECTOR TEAM DETAILS WERE REMOVED 10/17/06 gmg but were tallied as follows: Global Asset Allocation – TEAM REMOVED FROM SLIDE 8/8/06 gmg Fixed Income Research, Equity Research – Data as of 12/31/06 from EE count spreadsheet Global Fixed Income Research – Service, Sternberg, Sarlo, Sunnerberg, Taylor, Demasi Economics – Horrigan, Balfour Quantitative Research – Singh, Murphy, Reed Risk Mgmt – Giles, Sledjeski, Patel Trading – Traders KENNEDY, BRIAN P VANDAM, TODD P BAXTER, MICHELE D PARKER, LYNN SIMMONS, DAVID R FARINA, DOUGLAS A O'BRIEN, THOMAS J BOUTWELL, CARLETON M KENNY, CHRISTINE E WINKELMAN, MARIANNE K Portfolio Specialists STEEDE, AMY M TIERNEY, MATTHEW S SHEIL, EAMONN T FITZGERALD, MAUREEN B OBERMANN, PETER M BENNETT, GAIL A VANG, KAN BAO GUZZI, PETER A PLOFSKY, DANIEL I Trading Assistants LEFEVRE, RENE D URETZKY, BRIAN T JUREVIC, TIMOTHY J SHAH, PARAS H POWERS, RYAN C GLADCHUN, MICHAEL F Equity Research – Data as of 12/31/06 from EE count spreadsheet

Natixis Natixis Presentation Transcript

  • Loomis Sayles Absolute Strategies Bond Fund Product Overview with Matt Eagan 1 June 2011 Natixis International Funds (Lux) I This material is provided for information only to Professional or Qualified Investors. It must not be distributed to Retail Investors.
  • Natixis Global Asset Management Overview 1 As of 31 March 2011. 2 Source: Cerulli Associates, Global Markets 2010 – June 2010, based on total assets under management as of 31 December 2009. 3 Source: IPE Survey, Listing of asset managers active in the European marketplace - June 2010, based on total assets under management as of 31 December 2009. 4 Divisions of Natixis Asset Management Advisors. 5 Natixis Caspian Private Equity is a joint venture between Natixis Global Asset Management, Natixis Private Equity and Caspian Capital Management.
    • Each of our affiliates manages their clients’ assets independently
    • USD 753 billion (EUR 530 billion) under management 1
        • 15th largest asset management company worldwide 2
        • 11th largest asset management company in Europe 3
    • Diversified product line and client base
    • 2,932 employees worldwide
        • Local representation in key markets
    Asset management affiliates by domicile Global, affiliate-based organization H2O Asset Management Ossiam U.S. Europe and Asia Natixis Caspian Private Equity 5 Hansberger Global Investors Aurora Investment Management Vaughan Nelson Investment Management Managed Portfolio Advisors 4 Gateway Investment Advisers AlphaSimplex Group Snyder Capital Management Loomis, Sayles & Company Capital Growth Management AEW Capital Management Reich & Tang Asset Management Harris Associates Caspian Capital Management Active Investment Advisors 4 Natixis Multimanager Natixis Asset Management AEW Europe Absolute Asia Asset Management
  • Loomis, Sayles & Company, L.P. Overview
      • Loomis Sayles has served the needs of institutional and individual investors for more than 80 years.
      • As an actively managed, multi-style investment manager, the firm offers both traditional and highly specialized asset classes.
      • Employing an opportunistic approach, balanced with disciplined, bottom-up research and quantitative risk analysis, the investment teams strive to produce above-average returns across asset classes and categories.
      • Headquarters: Boston
      • Founded: 1926
      • Assets Under Management: US$ 156 billion/€ 110 billion (as of 31/3/2011)
    • Expertise in all sectors of the fixed income market
    • 20 fixed income portfolio managers with an average of 26 years experience
    • 22 senior fundamental credit analysts with an average of 20 years experience and 16 credit research analysts and associates
    • 5 securitized asset analysts with an average of 11 years experience
    • 6 global sovereign analysts/strategists with an average of 20 years experience
    • 10 quantitative analysts with an average of 9 years experience
    • 37 specialized bond traders and compliance specialists with an average of 15 years of experience
    Fixed Income As of 31 March 2011; Years experience indicates industry experience. Performance-driven bond manager offering a broad range of fixed income strategies
  • Loomis Sayles Fixed Income AUM USD 140 Billion as of 31 March 2011 As of 31 March 2011 ASSETS ($ billions) US Investment Grade Corporates 38 US High Yield Corporates 24 Non-US Corporates 23 Sovereigns 17 US Governments 10 Securitized 9 Convertible/Preferreds 8 Short Term Investments 4 Other 4 Bank Loans 3
  • Research: Coverage Spans the Globe
    • We follow and rate
      • 81 countries
        • 23 developed markets
        • 58 emerging markets*
      • 1058 corporate credits and 242 bank loans (includes 144a and other non-index eligible issuers)
    • Industry coverage conducted on a global basis, across quality spectrum and includes:
      • 96% of investment grade issuers in the Barclays Capital Corporate Index
      • 86% of investment grade issuers in the Barclays Capital Global Aggregate Credit Index
      • 87% of high yield issuers in the Barclays Capital High Yield Index
      • Ability to provide an in-depth credit analysis of all sectors in the Barclays Securitized Index including commercial real estate, residential real estate, and asset-backed-related
    As of 1 January 2011. *Emerging market countries include any country determined by Loomis Sayles to have an emerging market economy, taking into account a number of factors, which may include whether the country has a low-to-middle-income economy according to the International Bank for Reconstruction and Development (the World Bank), the country's foreign currency debt rating, its location and neighboring countries, its political and economic stability and the development of its financial and capital markets. These countries include those located in Latin America, Asia, Africa, the former Soviet Union, the Middle East and the developing countries of Europe, primarily Eastern Europe. A complete list of emerging market countries, as defined by Loomis Sayles, is available upon request. Coverage percentages above are based on market value of issuers covered. Covered issuers include those under coverage (followed closely and rated by Loomis Sayles research department) and under shadow coverage (followed by Loomis Sayles research department but not rated).
  • Research: The Cornerstone of Our Business
    • Credit research
      • Director
        • 28 years experience
      • 22 senior credit analysts
        • 20 years average experience
      • 8 credit analysts
        • 7 years average experience
      • 8 research associates
      • Product specific research
    • 15 equity product analysts/associate
        • 12 years average experience
    • 9 fixed income product analysts/associate
        • 10 years average experience
    • Securitized asset research
    • Senior Strategist
        • 14 years experience
      • 5 securitized asset analysts
        • 11 years average experience
      • Quantitative research & risk analysis
      • Director
        • 24 years experience
      • 14 quantitative research analysts – 5 PhDs
        • 11 years average experience
    • Sovereign research
      • 6 global sovereign analysts/strategist
        • 20 years average experience
    • Macro strategy
      • Director – CFA
      • - 31 years experience
      • Senior Global Macro Strategist
      • - 16 years experience
      • Chief Economist
      • - 31 years experience
      • Manager, Strategy Analytics
      • - 17 years experience
      • 4 analysts/associate
      • - 7 years average experience
      • Equity research
      • 2 Co-Directors
        • 33 years average experience
      • 15 global sector analysts
        • 17 years average experience
      • 4 junior analysts/research associate
    • Purpose: supports Loomis Sayles’ strength — security selection
      • $57 million research budget for 2011
      • Proprietary, one of the oldest proprietary rating systems in the country
      • Industry coverage conducted on a global basis, across quality spectrum
      • Career analysts compensated for their effectiveness
      • Career analysts integrated into sector teams
    As of 31 March 2011; Years experience indicates industry experience.
  • Loomis Sayles Fixed Income Research Team Senior Credit Analysts – Coverage by sector / industry Ken Heffner Chemicals Energy Paula Reiters Retailers Textile Pharmaceuticals Janet Sung Insurance Finance Beth Schroeder Banking Brokerage Mark Ravanesi Paper Packaging Metals & Mining Jim Barr REITs Airlines (EETCs) Transportation Services Diversified Mfg Industrial Other Paul Hanson Restaurants Consumer Cyclical Services Consumer Products Supermarkets and Drugstores Diana Monteith Biotechnology Convertibles Distressed/Special Situations Matt Welch Technology Emerging Markets Steve Bocamazo Environmental Services Aerospace & Defense Automotive Construction Machinery Railroads Tobacco Elisabeth Colleran Telecom Emerging Markets Carol Gentile Entertainment Media-Cable Media-NonCable Mark LaRochelle Newspapers Food and Beverage Shannon O’Mara Building Materials Electric Home Construction Pipelines Natural Gas Joanne McIntosh Gaming Electric Lodging Pipelines Natural Gas Chris Keller European Credits Ryan MacKay Health Care Technology Health Insurance Ed Thaute European Credits Global Banks Ryan McGrail Energy MLP Charles Kishpaugh Municipal Credits Joy Molack Municipal Credits GSEs As of 31 March 2011
  • Absolute Strategies Bond Product overview
    • Seeks consistent returns through all market environments
      • Return Objective*: Greater of 3-month US LIBOR plus 200-400 basis points or 6% over a market cycle
    • Targets yield curve, credit spread, and currency opportunities
    • Utilizes a disciplined risk management process that targets absolute volatility and seeks to mitigate downside tail risk
      • Risk Objective: Annualized standard deviation of 400 to 600 basis points
    • Employs long and short investment strategies
      • Total long or short exposure will not exceed 100% short and 100% long on a notional basis**
    *There is no guarantee that any investment or return objective will be realized or that the strategy will be able to generate any positive or excess return. (Return objective is based on risk volatility of the strategy.) ** As a % of capital, excluding the use of futures and related options.
    • Why Loomis Sayles?
    • Experience investing with an absolute return frame of reference
    • Experienced global macro investor in the multi-sector space
    • Idea generation from recognized fundamental & quantitative research and trading capabilities
    • Extensive coverage of cash and derivative markets
    • Sophisticated portfolio management tools and compliance infrastructure
    • Significant quantitative research capability
    • Why Absolute Strategies?
    • Pursues absolute returns
    • Expansive market opportunities
    • Diversity of alpha sources
    • Utilizes long and short capabilities
    • Seeks to actively manage systemic risk
    • Low correlation with most traditional
    • asset categories
    Absolute Strategies Bond Product overview (conti)
  • Highly experienced, seasoned team Matthew Eagan, CFA 21 years in the industry Kevin Kearns 25 years in the industry Todd Vandam, CFA 17 years in the industry Portfolio management Key support Portfolio Analysis & Research A. DiCenso K. Heffner M. Murphy L. Sarlo T. Stolberg Sector Teams U.S. Government Securitized Assets Investment Grade/ Global Credit High Yield/Bank Loans Convertibles Emerging Markets Developed Non-U.S. Markets Firmwide resources Product Manager Roger Ackerman Risk Analysis Karl Davis Quantitative Research Risk Analysis Director 10 Fixed Analysts 4 Equity Analysts Equity Research 2 Co-Directors 15 Sector Analysts 4 Jr. Analysts/Research Associate Fixed Income Trading Director 22 Traders 14 Portfolio Specialists Trading Risk Manager Securitized Asset Research Senior Strategist 5 Analysts Sovereign Analysis 6 Analysts/Strategist-Non U.S. Credit Research 22 Senior Analysts 8 Analysts 8 Research Associates As of 31 March 2011 Macro Macro Strategy US Yield Curve Global Asset Allocation Macro Strategy Director Sr Global Macro Strategist Chief Economist Manager, Strategy Analytics 4 Analysts Associate
  • Sector teams Seek to assess value for each sector and identify best opportunities
    • Answer the questions: Does your sector represent investment value? What are the most attractive securities in your sector?
    • Develop top-down valuation frameworks using proprietary and non-proprietary analytics
    • Draw upon combined expertise of portfolio managers, research analysts and traders
    • Ongoing assessment of recommendations
    Macro Strategy US Yield Curve Global Asset Allocation Macro Developed Non-US Markets Inv Grade/ Global Credit High Yield/ Bank Loans Convertibles Emerging Markets Securitized Assets US Government Traders Real-time market information Portfolio Managers Macro analysis and portfolio strategy Fixed Income Research Fundamental analysis of individual issues
  • Investment universe Instrument / Security Type Asset Class Geography US Investment Grade Credit Securitized (MBS/ABS) High Yield Credit Cash Bonds Credit Derivatives Interest Rate/ Currency Derivatives Structured Securities Equity/ Equity Options Bank Loans Govt/Agency Leveraged Loans Convertible/ Preferred Local Currency Non-US Developed Emerging Markets
  • Investment process
      • Integrate global macro & relative value sector analysis and our best bottom up investment strategies to generate what we view as the highest potential to meet the risk / return objective*
      • Portfolio construction & optimization is integrated with risk analysis & management
    *There is no guarantee that the strategy will be able to achieve any specific return.
  • Themes and portfolio strategies
    • Information from several specialized research teams used to formulate investment framework
      • Macro/Global Economic outlook
      • Establish portfolio strategy
      • Identify global investment opportunities
    US Inv Grade Credit US Government Commodities High Yield/ Converts Emerging Markets Developed Non-US Markets Bank Loans Currencies Equities Securitized
    • OUR BEST OPPORTUNITIES
    • 3- & 12-month return forecasts
    • Baseline, bull & bear scenarios
    • Potential risks
    • Sector Team’s Top investment ideas
    • Assess top down risk/return opportunities
      • Global Asset Allocation Team
      • Relative value sector analysis
      • Compare returns & risk ratings to find our best cross-asset class ideas
  • Our best bottom-up ideas Research
    • Fundamental Research
    • Propriety Rating System
    Portfolio managers gain insight into individual credits using the broader Loomis Sayles research effort
      • Value of Sector
      • Subsector/Industry Preference
      • Preferred Securities
    • Liquidity Scoring
    • Issuer Volatility
    • Specific Bond Volatility
    • Relative Value Return Analysis
    Sector Team Trading and Quantitative Research Risk Analysis (QRRA)
  • Generating alpha drivers Investment Team generates potential Alpha drivers:
    • Duration View
    • Term Structure Trades
    • Flattners/Steepners
    • Long/Short Currency
    • Term Structure Trades
    Credit Currency Curve
    • Directional Long or Short
    • Basis/Pair Trades
    • Yield-to-Call
  • Allocation, construction & optimization Charts are illustrative for presentation purposes only as a sampling of risk management tool output. The information is not intended to represent any actual portfolio. Scenario analysis examines hypothetical impacts to the portfolio using past known market events. Contribution to risk measures estimated volatility by trading strategy by factor risks and issue specific risks example
  • Process of risk management Measure Calculate Validate Manage Contribution to risk of each security’s beta relative to an Index (or other instrument) on a short and long term basis. Total Portfolio risk is decomposed into contributing factors of spread, term structure, and currency. Approximations of Total Portfolio beta relative to key risk factors are calculated. For example, the portfolio's beta to the high yield market is used as a proxy for measuring sensitivity to credit risk. Scenario analysis and stress tests are conducted in an attempt to validate the measured systemic risk level in the portfolio. Systemic risk factors may be adjusted by modifying sector allocations or by using derivatives instruments, depending upon market conditions.
  • Objective of risk management
    • Gross long/gross short exposure
    • Sector and industry exposure
    • Country and currency exposure
    • Interest rate exposure (duration)
    • Exposure by quality rating
    • Exposure to individual issuers
    • Credit spread risk analysis
    • Interest rate curve analysis
    • Volatility/correlation analysis
    • Historical simulation/covariance analysis
    • Scenario testing and stress testing
    Analyze downside risks in seeking to achieve absolute returns in both up and down markets Seek to manage these risks through use of derivatives and/or cash instruments Nominal Volatility/risk-based Types of Risk Measurements
  • Risk management tools Beta analysis measures the strength of the relationship of the portfolio to interest rate changes or high yield corporate spread Historical volatility view of total contribution to risk over time Charts are illustrative for presentation purposes only as a sampling of risk management tool output. The information is not intended to represent any actual portfolio. example
  • Risk management tools Trade specific contribution to risk highlights particular trades and the corresponding contribution to MTD performance Charts are illustrative for presentation purposes only as a sampling of risk management tool output. The information is not intended to represent any actual portfolio. example
  • Risk management tools “ Heat map” graphically illustrates trade-specific sources of MTD and YTD return and risk Security dashboard summarizes key data for each security Charts are illustrative for presentation purposes only as a sampling of risk management tool output. The information is not intended to represent any actual portfolio. example
  • Loomis Sayles Absolute Strategies Bond Fund Characteristics and Performance
  • Loomis Sayles Absolute Strategies Bond Fund I/A (USD) 28.00
  • Loomis Sayles Absolute Strategies Bond Fund Characteristics as of 31 March 2011 Data source: Loomis Sayles. Due to active management, characteristics will evolve over time. Strategy Net Exposure Long Physicals Long Derivatives Long Total Short Physicals Short Derivatives Short Total Currency 3.73% 0.00% 3.74% 3.74% 0.00% 0.00% 0.00% Treasury/Agency 2.14% 2.14% 0.00% 2.14% 0.00% 0.00% 0.00% Inv Grade Corporate Credit 27.03% 27.03% 0.00% 27.03% 0.00% 0.00% 0.00% High Yield Corporate Credit 29.38% 33.41% 0.00% 33.41% 0.00% -4.02% -4.02% Bank Loans 8.72% 8.72% 0.00% 8.72% 0.00% 0.00% 0.00% Securitized 15.55% 15.55% 0.00% 15.55% 0.00% 0.00% 0.00% Equity/Equity Derivatives -3.04% 1.87% 0.00% 1.87% 0.00% -4.91% -4.91% Net 83.52% 88.71% 3.74% 92.45% 0.00% -8.93% -8.93% Cash and equivalents 10.12% 10.12% 0.00% 10.12% 0.00% 0.00% 0.00% Collateral 1.13% 1.13% 0.00% 1.13% 0.00% 0.00% 0.00% Interest Rate Derivatives -10.60% 0.00% 98.47% 98.47% 0.00% -109.07% -109.07% Overall Net 84.17% 99.96% 102.21% 202.17% 0.00% -118.00% -118.00%
  • Loomis Sayles Absolute Strategies Bond Fund Characteristics as of 31 March 2011 Data source: Loomis Sayles. Due to active management, characteristics will evolve over time. Physicals/CDS/CVT Quality Net Exposure Long Short AAA 7.00% 7.00% 0.00% AA 3.94% 3.94% 0.00% A 7.95% 7.95% 0.00% BAA 19.18% 19.18% 0.00% BA 18.96% 18.96% 0.00% B 17.38% 17.38% 0.00% CAA & Lower 10.30% 10.30% 0.00% NR 0.00% 0.00% 0.00% Currency Net Exposure USD 89.58% CAD 4.00 MXN 2.49 RUB 1.15 ZAR 1.07 IDR 1.04 NZD 1.04 CNY 1.02 SGD 1.02 MYR 0.50 GBP 0.11 EUR 0.01 TRY -0.18 JPY -2.86 Characteristics Effective Duration 2.85% # of issues 94 Average Maturity 5.57 years
  • Reference Information Loomis Sayles Absolute Strategies Bond Fund 3 month USD Libor is a widely-used benchmark for short-term interest rates based on the London Interbank Offered Rate; it is the rate of interest at which banks borrow funds from each other, in marketable size, over a period of 3 months. This Index is shown for comparative purposes only. Index Source: British Banker's Association. Loomis, Sayles & Company, L.P., a subsidiary of Natixis Global Asset Management, is an investment adviser registered with the U.S. Securities and Exchange Commission (IARD No. 105377) and is authorized to provide investment management services in the U.S. The company conducts all investment management services in and from the U.S. Distribution of this document may be restricted in certain countries. The Fund is not authorized for sale in all jurisdictions and its offering and sale may be limited by the local regulator to certain types of investors. Please ask your financial advisor if you have any questions. It is the responsibility of your financial advisor to ensure that the offering and sale of Fund shares complies with the relevant national law. The Fund may not be offered or sold in the U.S., to citizens or residents of the U.S., or in any other country or jurisdiction where it would be unlawful to offer or sell the Fund. This material is distributed for information purposes only. It is not a prospectus and does not constitute an offering of shares. If you would like further information about this Fund, including charges, expenses, and risk considerations, contact your financial advisor for a free prospectus, simplified prospectus, copy of the Articles of Incorporation, the semi and annual reports, and/or other materials and translations that are relevant to your jurisdiction. For assistance locating a financial advisor in your jurisdiction please call +44 203 405 2154. If the Fund is registered in your jurisdiction, these documents are also available free of charge from the Natixis Global Associates offices (ga.natixis.com) and the paying agents/representatives listed below. Please read the prospectus carefully before investing. Austria Erste Bank der österreichischen Sparkassen AG, Am Graben 21, 1010 Vienna. France CACEIS Bank, 1-3, Place Valhubert, 75013 Paris. Germany Rheinland-Pfalz Bank, Große Bleiche 54-56, D-55098 Mainz. Luxembourg Natixis Global Associates., 2-8 avenue Charles de Gaulle, L-1653 Luxembourg. Switzerland RBC Dexia Investor Services Bank S.A., Esch-sur-Alzette, Badenerstrasse 567, P.O. Box 101, CH-8066 Zurich. Risks Investments in fixed income securities are subject to certain risks including interest-rate risk, credit risk, and inflation risk. In addition, mortgage-backed/asset-backed securities are subject to market value, liquidity and certain other risks. Lower rated debt securities have speculative characteristics because of the credit risk of their issuers and may be subject to greater price volatility and liquidity risks. Use of derivatives, including credit default swaps, involves special risks, including those associated with leverage, valuation, liquidity and counterparties. International investing involves additional risks, such as currency exchange rate fluctuations, political or regulatory developments, economic instability and lack of information transparency. These and other risks of the Fund are described in greater detail in the Prospectus. Reference information Share class information Share class availability by currency of quotation A = Accumulating, H- = Hedged Share class TER, % Max sales charge, % Minimum initial investment S - Super institutional 0.80 3.00 USD/EUR 15 million, GBP 7 million I – Institutional 1.20 3.00 USD/EUR 100,000, GBP 50,000 R – Retail 1.70 3.00 USD/EUR 1,000, GBP 500 Share class USD EUR GBP S - Super institutional A A, H-A A, H-A I – Institutional A A A R – Retail A A A Dealing frequency Daily Cutoff time D, 13h30 Luxembourg time Reference index 3 Month USD Libor Fund inception 2 November 2010 Legal structure and domicile Sub-fund of Natixis International Funds (Lux) I organized as an investment company with variable capital under the laws of the Grand Duchy of Luxembourg and authorized by the CSSF as a UCITS Administrator / Custodian Brown Brothers Harriman (Luxembourg) S.C.A. Auditor PricewaterhouseCoopers S.à.r.l. – Luxembourg Management company Natixis Global Associates S.A. Investment manager Loomis, Sayles & Company, L.P. Portfolio manager Matthew Eagan, Kevin Kearns, Todd Vandam Registrations Austria, Finland, Germany, Italy, Luxembourg, Netherlands, Norway, Spain, Sweden, Switzerland, U.K. ISIN, Bloomberg code I/A(USD) – LU0556612868, LSASIAU LX
  • Appendix
  • Description of the hypothetical paper portfolio
    • The Paper Portfolio represents a hypothetical portfolio managed in the Absolute Strategies style. Trades are initiated by the portfolio managers and sent to trading to simulate execution into the portfolio.
    • Inception is 31/5/09
    • The Paper Portfolio is maintained on the Loomis Sayles Data Warehouse Software
    • Pricing is daily
    • Hypothetical account size at inception: USD 160 million
    Data source: Loomis Sayles. Please be advised that the information regarding the Absolute Strategies Bond Fund included on this page reflects that of a paper portfolio and not an actual portfolio. The simulated performance of a paper portfolio has inherent limitations. Material market and economic factors may affect investment decisions differently when the managers are investing actual client assets. The simulated results do not reflect the impact of actual portfolio trading which may impact the price and availability of securities. Simulated trades may be executed at different times than trades for actual accounts which will impact results. The simulated results do not reflect the deduction of fess and expenses which would lower investment results and assume the reinvestment of dividends and capital gains.
  • Paper portfolio performance as of 31 October 2010 * Gross returns are net of trading costs. ** Net returns are gross returns less effective management fees charged for the time period Data source: Loomis Sayles. Please be advised that the information regarding the Absolute Strategies Bond Fund included on this page reflects that of a paper portfolio and not an actual portfolio. Inception of the Paper Portfolio is 5/31/09. The simulated performance of a paper portfolio has inherent limitations. Material market and economic factors may affect investment decisions differently when the managers are investing actual client assets. The simulated results do not reflect the impact of actual portfolio trading which may impact the price and availability of securities. Simulated trades may be executed at different times than trades for actual accounts which will impact results. The simulated results do not reflect the deduction of fess and expenses which would lower investment results and assume the reinvestment of dividends and capital gains. Paper Portfolio Gross* Paper Portfolio Net** 3mos US Dollar LIBOR Barclays Capital Universal 6/09 3.60% 3.55% 0.05% 0.76% 7/09 3.41% 3.36% 0.04% 1.89% 8/09 2.79% 2.74% 0.03% 1.16% 9/09 0.95% 0.90% 0.02% 1.36% 10/09 1.44% 1.39% 0.02% 0.58% 11/09 0.16% 0.11% 0.02% 1.27% 12/09 1.54% 1.49% 0.02% -1.25% 1/10 2.59% 2.54% 0.02% 1.52% 2/10 0.42% 0.37% 0.02% 0.38% 3/10 1.69% 1.64% 0.02% 0.13% 4/10 1.45% 1.40% 0.02% 1.11% 5/10 -1.60% -1.65% 0.03% 0.45% 6/10 0.83% 0.78% 0.05% 1.55% 7/10 1.31% 1.26% 0.04% 1.29% 8/10 0.72% 0.67% 0.04% 1.25% 9/10 2.16% 2.11% 0.03% 0.32% 10/10 0.78% 0.73% 0.02% 0.51% 6/09-10/10 27.04% 25.98% 0.38% 10.54%
  • Key Risks
    • Credit Risk – the risk that the issuer or borrower will fail to make timely payments of interest and/or principal. This risk is heightened for lower rated fixed income securities or borrowers.
    • Issuer Risk – the risk that the value of securities may decline due to a number of reasons relating to the issuer or the borrower or their industries or sectors. This risk is heightened for lower rated fixed income securities or borrowers.
    • Liquidity Risk – the risk that the Fund may be unable to find a buyer for its investments when it seeks to sell them, which is heightened for high yield, mortgage-backed and asset-backed securities.
    • Interest Rate Risk – the risk that the value of a debt obligation falls as interest rates rise.
    • Derivatives Risk – the risk that the value of the Fund’s derivatives instruments will fall because of changes in the value of the underlying reference instrument, pricing difficulties or lack of correlation with the underlying investment.
    • Counterparty Risk – the risk that the counterparty to a swap or other derivatives contract with default on its obligations.
    • Prepayment Risk – the risk that debt securities may be prepaid, resulting in reinvestment of proceeds in securities with lower yields. The Fund may also incur a loss when there is a prepayment of securities purchased at a premium.
    • Extension Risk – the risk that an unexpected rise in interest rates will extend the life of a mortgage or asset-backed security beyond the expected prepayment time, typically reducing the securities value.
    • Management Risk – the risk that the investment manager’s investment techniques will be unsuccessful.
    There is no guarantee the portfolio will achieve its investment objective. For a more detailed description of the risks, prospective investors should carefully review any offering documents related to the product.
  • Additional Notes This material has been provided for information purposes only to investment service providers or other Professional Clients, Qualified or Institutional Investors and, when required by local regulation, only at their written request. In the E.U. (outside of the UK) This material is provided by Natixis Global Associates S.A. or one of its branch offices listed below. Natixis Global Associates S.A. is a Luxembourg management company that is authorized by the Commission de Surveillance du Secteur Financier and is incorporated under Luxembourg laws and registered under n. B 115843. Registered office of Natixis Global Associates S.A.: 51, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg. France: Natixis Global Associates International (n.509 471 173 RCS Paris). Registered office: 21 quai d'Austerlitz, 75013 Paris. Italy: Natixis Global Associates S.A. Succursale Italiana (Bank of Italy Register of Italian Asset Management Companies no 23458.3). Registered office: Via San Clemente, 1 - 20122, Milan, Italy. Germany: Natixis Global Associates S.A., Zweigniederlassung Deutschland (Registration number: HRB 88541). Registered office: Im Trutz Frankfurt 55, Westend Carrée, 7. Floor, Frankfurt am Main 60322, Germany. Netherlands: Natixis Global Associates S.A., Nederlands filiaal (Registration number 50774670). Registered office: Zuidplein 36 – 1077 XV Amsterdam, the Netherlands. Sweden: Natixis Global Associates S.A. (Luxembourg) Nordics Filial (Registration number 516405-9601 - Swedish Companies Registration Office). Registered office: Kungsgatan 48 5tr, Stockholm 111 35, Sweden. In Switzerland This material is provided to Qualified Investors by Natixis Global Associates Switzerland Sàrl. Address: Place de la Fusterie 12, 1204 Genève. In the U.K. This material is provided by Natixis Global Associates UK Limited which is authorised and regulated by the UK Financial Services Authority (register no. 190258). This material is intended to be communicated to and/or directed at persons (1) in the United Kingdom, and should not to be regarded as an offer to buy or sell, or the solicitation of any offer to buy or sell securities in any other jurisdiction than the United Kingdom; and (2) who are authorised under the Financial Services and Markets Act 2000 (FSMA 2000); or are high net worth businesses with called up share capital or net assets of at least £5 million or in the case of a trust assets of at least £10 million; or any other person to whom the material may otherwise lawfully be distributed in accordance with the FSMA 2000 (Financial Promotion) Order 2005 or the FSMA 2000 (Promotion of Collective Investment Schemes) (Exemptions) Order 2001 (the "Intended Recipients"). 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