Managed Futures Strategy
Portfolio
Risk Allocation by Asset Class as of 12/31/2015
-
Equities12.03%
Largest Holdings Position % Of Risk¹ MSCI Singapore Index Short 2.57% S&P CNX Nifty Index Short 1.72% S&P TSX 60 Index Short 1.49% Total 5.78% NEWEST POSITIONS Position % Of Risk¹ Nasdaq 100 Index E-Mini Long 1.37% Hang Seng China Enterprises (H-Shares) Short 1.25% Hang Seng Index Short 0.93% -
Fixed Income5.19%
Largest Holdings Position % Of Risk¹ 3-Month Euro (Euribor) Long 1.03% Eurodollar Long 0.94% 5-Year German Bond (Bobl) Long 0.77% Total 2.74% NEWEST POSITIONS Position % Of Risk¹ 3-Month Canadian Bankers Acceptance Long 0.36% 3-Month Sterling (Short Sterling) Long 0.62% 3-Month Euro (Euribor) Long 1.03% -
Currencies21.32%
Largest Holdings Position % Of Risk¹ Australian Dollar / Canadian Dollar Long 2.84% Canadian Dollar / Japanese Yen Short 2.53% U.S. Dollar / South African Rand Long 2.43% Total 7.80% NEWEST POSITIONS Position % Of Risk¹ Australian Dollar / Canadian Dollar Long 2.84% Euro / U.S. Dollar Short 1.13% U.S. Dollar / Swedish Krona Long 1.03% -
Commodities61.46%
Largest Holdings Position % Of Risk¹ Heating Oil Financial Short 3.26% Gasoil Short 2.81% Natural Gas – Henry Hub Short 2.64% Total 8.71% NEWEST POSITIONS Position % Of Risk¹ Wheat (Chicago) Short 1.92% Tokyo Gold Short 2.55% Cocoa (New York) Long 1.09%
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 | 12/31/15 | 11/30/15 | 10/31/15 | 09/30/15 |
Equities | ||||
Long | 1 | 1 | 1 | 0 |
Short | 8 | 9 | 0 | 12 |
Fixed Income | ||||
Long | 8 | 12 | 14 | 15 |
Short | 0 | 0 | 0 | 0 |
Currencies | ||||
Long | 5 | 5 | 4 | 5 |
Short | 11 | 11 | 10 | 13 |
Commodities | ||||
Long | 6 | 6 | 4 | 5 |
Short | 34 | 33 | 33 | 36 |
Total | 73 | 77 | 76 | 86 |
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.