Managed Futures Strategy
Risk Allocation by Asset Class as of 5/31/2017
Largest Holdings Position % Of Risk¹ Nasdaq 100 Index E-Mini Long 3.52% S&P 500 Index E-Mini Long 3.33% Euro STOXX 50 Index Long 3.25% Total 10.10% NEWEST POSITIONS Position % Of Risk¹ FTSE MIB Index Long 2.29% Hang Seng China Enterprises (H-Shares) Long 2.10% S&P CNX Nifty Index Long 2.21%
Largest Holdings Position % Of Risk¹ Schatz Long 1.35% 5-Year German Bond (Bobl) Long 1.18% 10-Year German Bond (Bund) Long 1.15% Total 3.68% NEWEST POSITIONS Position % Of Risk¹ 10-Year German Bond (Bund) Long 1.15% Eurodollar Short 0.59% 5-Year U.S. Treasury Note Short 0.67%
Largest Holdings Position % Of Risk¹ Polish Zloty / U.S. Dollar Long 2.57% U.S. Dollar / South African Rand Short 2.05% Russian Ruble / U.S. Dollar Long 1.91% Total 6.53% NEWEST POSITIONS Position % Of Risk¹ Polish Zloty / U.S. Dollar Long 2.57% Australian Dollar / Canadian Dollar Long 0.98% Australian Dollar / Japanese Yen Long 0.77%
Largest Holdings Position % Of Risk¹ Coffee C Short 2.27% London Cocoa Short 2.01% Live Cattle Long 1.94% Total 6.22% NEWEST POSITIONS Position % Of Risk¹ Feeder Cattle Long 1.86% Coffee C Short 2.27% Live Cattle Long 1.94%
¹The % of Risk is the estimated maximum equity a position could lose, divided by the estimated aggregate equity currently at risk of loss across all positions in the portfolio. There is no assurance that the identified level of risk will be achieved or be maintained as risk cannot be predicted with certainty.
Portfolio holdings are subject to change at any time and should not be considered investment advice.
Long and Short Positions by Asset Class
Each of these asset classes has its own set of investment characteristics and risks and investors should consider these risks carefully prior to making any investments. Equities are subject to dynamic fluctuations in the overall market. Fixed Income risks include changes in interest rates. Currencies are subject to changes in interest rates, currency exchange rates, and economic and political risks. Commodity prices are influenced by weather, agricultural uncertainties, geologic and environmental factors, and governmental regulation.