Managed Futures Strategy

Portfolio

Risk Allocation by Asset Class as of 5/31/2017

  • Equities61.11%
    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%
  • Fixed Income7.47%
    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%
  • Currencies9.32%
    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%
  • Commodities22.09%
    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

Asset Class

5/31/17 4/30/17 3/31/17 2/28/17
Equities
Long 25 25 24 20
Short 1 1 1 1
Fixed Income
Long 5 5 4 4
Short 5 7 8 8
Currencies
Long 5 6 8 8
Short 2 5 6 8
Commodities
Long 12 13 12 15
Short 7 8 6 7
Total 62 70 69 71

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.