Managed Futures Strategy

Portfolio

Risk Allocation by Asset Class as of 12/29/2017

  • Equities31.76%
    Largest Holdings Position % Of Risk1
    S&P TSX 60 Index Long 2.48%
    Hang Seng Index Long 1.95%
    Nikkei 225 Index Mini Long 1.94%
    Total 6.37%
    NEWEST POSITIONS Position % Of Risk1
    S&P TSX 60 Index Long 2.48%
    FTSE MIB Index Long 0.62%
    S&P CNX Nifty Index Long 1.68%
  • Fixed Income9.73%
    Largest Holdings Position % Of Risk1
    2-Year U.S. Treasury Note Short 2.34%
    3-Month Canadian Bankers Acceptance Short 1.19%
    10-Year Italian Government Bond (Long Term) Long 1.10%
    Total 4.63%
    NEWEST POSITIONS Position % Of Risk1
    3-Year Australian Government Bond Short 0.72%
    Eurodollar Short 0.67%
    2-Year U.S. Treasury Note Short 2.34%
  • Currencies15.66%
    Largest Holdings Position % Of Risk1
    Euro / U.S. Dollar Long 2.10%
    U.S. Dollar / South African Rand Short 1.92%
    U.S. Dollar / Czech Koruna Short 1.80%
    Total 5.82%
    NEWEST POSITIONS Position % Of Risk1
    U.S. Dollar / South African Rand Short 1.92%
    British Pound / Australian Dollar Long 0.55%
    British Pound / Japanese Yen Long 1.05%
  • Commodities42.84%
    Largest Holdings Position % Of Risk1
    EUA (ECX) Carbon Dioxide Emissions Long 2.65%
    Copper Long 2.49%
    Corn Short 2.35%
    Total 7.49%
    NEWEST POSITIONS Position % Of Risk1
    Rapeseed (Europe) Short 0.55%
    Cocoa (New York) Short 0.95%
    Cotton Long 2.13%

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

12/29/17 11/30/17 10/31/17 9/29/17
Equities
Long 24 24 25 25
Short 1 1 1 1
Fixed Income
Long 5 5 5 4
Short 7 5 5 5
Currencies
Long 9 10 12 13
Short 3 3 3 4
Commodities
Long 20 21 21 18
Short 14 10 10 11
Total 83 79 82 81

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.