Managed Futures Strategy

Portfolio

Risk Allocation by Asset Class as of 6/30/2017

  • Equities53.05%
    Largest Holdings Position % Of Risk¹
    S&P 500 Index E-Mini Long 2.99%
    FTSE China A50 Long 2.83%
    IBEX 35 Index Long 2.81%
    Total 8.63%
    NEWEST POSITIONS Position % Of Risk¹
    FTSE MIB Index Long 1.92%
    Hang Seng China Enterprises (H-Shares) Long 1.52%
    S&P CNX Nifty Index Long 1.35%
  • Fixed Income3.59%
    Largest Holdings Position % Of Risk¹
    3-Month Canadian Bankers Acceptance Short 1.45%
    Eurodollar Short 0.88%
    5-Year U.S. Treasury Note Short 0.58%
    Total 2.91%
    NEWEST POSITIONS Position % Of Risk¹
    3-Month Canadian Bankers Acceptance Short 1.45%
    Eurodollar Short 0.88%
    5-Year U.S. Treasury Note Short 0.58%
  • Currencies13.59%
    Largest Holdings Position % Of Risk¹
    Euro / Japanese Yen Long 2.53%
    U.S. Dollar / Czech Koruna Short 2.17%
    Polish Zloty / U.S. Dollar Long 2.17%
    Total 6.87%
    NEWEST POSITIONS Position % Of Risk¹
    U.S. Dollar / Czech Koruna Short 2.17%
    Euro / Japanese Yen Long 2.53%
    Mexican Peso / U.S. Dollar Long 1.73%
  • Commodities29.76%
    Largest Holdings Position % Of Risk¹
    Coffee C Short 2.77%
    Wheat (Minneapolis) Long 2.56%
    Sugar #11 Short 2.08%
    Total 7.41%
    NEWEST POSITIONS Position % Of Risk¹
    Brent Crude Oil Short 1.11%
    London White Sugar Short 1.85%
    Crude Oil (Light Sweet) Short 1.41%

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

6/30/17 5/31/17 4/30/17 3/31/17
Equities
Long 25 25 25 24
Short 1 1 1 1
Fixed Income
Long 2 5 5 4
Short 4 5 7 8
Currencies
Long 8 5 6 8
Short 2 2 5 6
Commodities
Long 11 12 13 12
Short 10 7 8 6
Total 63 62 70 69

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.