Managed Futures Strategy

Portfolio

Risk Allocation by Asset Class as of 8/31/2017

  • Equities33.61%
    Largest Holdings Position % Of Risk¹
    Nasdaq 100 Index E-Mini Long 2.68%
    Hang Seng China Enterprises (H-Shares) Long 2.51%
    MSCI Taiwan Index Long 2.37%
    Total 7.56%
    NEWEST POSITIONS Position % Of Risk¹
    FTSE MIB Index Long 1.64%
    Hang Seng China Enterprises (H-Shares) Long 2.51%
    S&P CNX Nifty Index Long 1.59%
  • Fixed Income5.87%
    Largest Holdings Position % Of Risk¹
    3-Month Canadian Bankers Acceptance Short 2.21%
    10-Year Canadian Government Bond Short 1.41%
    30-Year German Bond (Buxl) Short 0.97%
    Total 4.59%
    NEWEST POSITIONS Position % Of Risk¹
    10-Year Canadian Government Bond Short 1.41%
    30-Year German Bond (Buxl) Short 0.97%
    3-Month Canadian Bankers Acceptance Short 2.21%
  • Currencies26.07%
    Largest Holdings Position % Of Risk¹
    Mexican Peso / U.S. Dollar Long 2.27%
    U.S. Dollar / Norwegian Krone Short 2.17%
    Euro / U.S. Dollar Long 2.14%
    Total 6.58%
    NEWEST POSITIONS Position % Of Risk¹
    U.S. Dollar / Swedish Krona Short 1.33%
    Euro / British Pound Long 1.70%
    U.S. Dollar / Norwegian Krone Short 2.17%
  • Commodities34.45%
    Largest Holdings Position % Of Risk¹
    Copper Long 2.31%
    Coffee C Short 2.27%
    Wheat (Chicago) Short 2.02%
    Total 6.60%
    NEWEST POSITIONS Position % Of Risk¹
    Nickel Monthly Prompt Long 1.83%
    Heating Oil Long 1.45%
    Soybean Meal Short 1.30%

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

8/31/17 7/31/17 6/30/17 5/31/17
Equities
Long 24 25 25 25
Short 1 1 1 1
Fixed Income
Long 2 2 2 5
Short 4 6 4 5
Currencies
Long 12 11 8 5
Short 4 3 2 2
Commodities
Long 15 12 11 12
Short 13 12 10 7
Total 75 72 63 62

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.