Managed Futures Strategy

Portfolio

Risk Allocation by Asset Class as of 10/31/2017

  • Equities41.08%
    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%
  • Fixed Income7.56%
    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%
  • Currencies12.64%
    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%
  • Commodities38.72%
    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

Asset Class

10/31/17 9/29/17 8/31/17 7/31/17
Equities
Long 25 25 24 25
Short 1 1 1 1
Fixed Income
Long 5 4 2 2
Short 5 5 4 6
Currencies
Long 12 13 12 11
Short 3 4 4 3
Commodities
Long 21 18 15 12
Short 10 11 13 12
Total 82 81 75 72

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.