Managed Futures Strategy
Risk Allocation by Asset Class as of 10/31/2017
Largest Holdings Position % Of Risk1 Hang Seng China Enterprises (H-Shares) Long 2.30% MSCI Taiwan Index Long 2.29% Nasdaq 100 Index E-Mini Long 2.28% Total 6.87% NEWEST POSITIONS Position % Of Risk1 S&P TSX 60 Index Long 2.16% FTSE MIB Index Long 1.77% S&P CNX Nifty Index Long 1.90%
Largest Holdings Position % Of Risk1 10-Year Italian Government Bond (Long Term) Long 1.43% 3-Month Canadian Bankers Acceptance Short 1.03% 5-Year German Bond (Bobl) Long 1.03% Total 3.49% NEWEST POSITIONS Position % Of Risk1 10-Year Italian Government Bond (Long Term) Long 1.43% 3-Month Sterling (Short Sterling) Short 0.80% 3-Year Australian Government Bond Short 0.49%
Largest Holdings Position % Of Risk1 Euro / Japanese Yen Long 1.35% U.S. Dollar / Czech Koruna Short 1.34% Euro / U.S. Dollar Long 1.15% Total 3.84% NEWEST POSITIONS Position % Of Risk1 British Pound / Japanese Yen Long 1.05% U.S. Dollar / Swedish Krona Short 0.48% Euro / British Pound Long 0.53%
Largest Holdings Position % Of Risk1 Gasoil Long 2.52% Wheat (Chicago) Short 2.38% Coffee C Short 2.24% Total 7.14% NEWEST POSITIONS Position % Of Risk1 New York Harbor RBOB Gasoline Long 1.43% Tokyo Gasoline Long 0.10% Tokyo Kerosene Long 0.08%
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.