Managed Futures Strategy

Portfolio

Risk Allocation by Asset Class as of 4/30/2017

  • Equities55.12%
    Largest Holdings Position % Of Risk¹
    DAX Index (Germany) Long 3.60%
    MSCI EAFE Index Mini Long 3.54%
    IBEX 35 Index Long 3.27%
    Total 10.41%
    NEWEST POSITIONS Position % Of Risk¹
    FTSE MIB Index Long 1.82%
    Hang Seng China Enterprises (H-Shares) Long 1.39%
    S&P CNX Nifty Index Long 1.60%
  • Fixed Income8.98%
    Largest Holdings Position % Of Risk¹
    Schatz Long 1.26%
    Eurodollar Short 1.06%
    Ultra U.S. Treasury Bond Futures Short 1.04%
    Total 3.36%
    NEWEST POSITIONS Position % Of Risk¹
    10-Year German Bond (Bund) Long 0.95%
    10-Year Italian Government Bond (Long Term) Short 0.71%
    3-Year Australian Government Bond Short 0.74%
  • Currencies13.23%
    Largest Holdings Position % Of Risk¹
    Russian Ruble / U.S. Dollar Long 3.11%
    U.S. Dollar / South African Rand Short 1.63%
    Australian Dollar / Canadian Dollar Long 1.63%
    Total 6.37%
    NEWEST POSITIONS Position % Of Risk¹
    Australian Dollar / Canadian Dollar Long 1.63%
    Australian Dollar / Japanese Yen Long 0.86%
    Swiss Franc / U.S. Dollar Short 1.02%
  • Commodities22.68%
    Largest Holdings Position % Of Risk¹
    Live Cattle Long 3.27%
    London Cocoa Short 2.39%
    Cocoa (New York) Short 2.35%
    Total 8.01%
    NEWEST POSITIONS Position % Of Risk¹
    Coffee C Short 1.56%
    Live Cattle Long 3.27%
    Milling Wheat Short 0.44%

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

4/30/17 3/31/17 2/28/17 1/31/17
Equities
Long 25 24 20 17
Short 1 1 1 1
Fixed Income
Long 5 4 4 4
Short 7 8 8 8
Currencies
Long 6 8 8 6
Short 5 6 8 8
Commodities
Long 13 12 15 18
Short 8 6 7 8
Total 70 69 71 70

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.