Regional Allocation as of 07/31/2015

Region Assets
Latin America 34.3%
Asia Pacific 31.7%
Europe 27.4%
Middle East and Africa 5.2%
United States 3.1%
Other -1.8%

Portfolio Details as of 07/31/2015

Total Net Assets
$542.42 M
Number of Holdings
724
Modified Duration
.17 Years

Portfolio Positioning as of 06/30/2015

  • We do not anticipate that eventual Federal Reserve (Fed) rate hikes will result in persistent fluctuations in currency valuations; however, short-term volatility is possible.
  • Our expectation is for a stronger second half of 2015 for emerging market currencies, when compared with the first, as growth and foreign trade seem poised to continue improving. We anticipate that this will lead to positive inflation and provide a tailwind to emerging market currencies.
  • El Niño, caused by cyclical warming of the Pacific Ocean, poses a significant threat to many emerging economies. Higher temperatures and drought could fuel hikes in food prices and inflation in countries across Latin America and Asia, where food represents a significant percentage of consumer price inflation.
  • We continue to focus on countries with increasing growth and positive structural reforms; however, clarity over Greece and Fed actions may need to be reached before the market ultimately rewards these positions.
  • Most emerging market economies are unlikely to follow Fed rate hikes in lockstep, as many emerging market economies have just completed significant easing cycles. 
Currency Assets
Mexico 9.2%
Hungary 9.0%
Turkey 8.6%
Indonesia 8.5%
Philippines 8.3%
Chile 7.5%
Brazil 7.4%
Poland 6.8%
Argentina 6.8%
India 6.8%
South Korea 6.7%
Russia 6.4%
Colombia 5.5%
Thailand 5.4%
South Africa 5.2%
Japan 2.0%
Malaysia -1.0%
Euro -1.3%
Australia -1.8%
Singapore -2.0%
Peru -2.0%
Romania -2.0%
Taiwan -3.0%
Currency Name Position Expiration Date Current MV (USD)
Argentine Peso Total Contracts: $37,206,320
Argentine Peso Long 09/10/2015 $27,897,496
Argentine Peso Long 09/10/2015 $913,975
Argentine Peso Short 08/12/2015 $-7,599,456
Argentine Peso Long 08/12/2015 $15,994,305
Australian Dollar Total Contracts: $-9,663,347
Australian Dollar Short 08/12/2015 $-365,206
Australian Dollar Short 08/12/2015 $-5,317,397
Australian Dollar Short 08/12/2015 $-3,980,744
Baht Total Contracts: $29,380,946
Baht Long 10/13/2015 $8,151,306
Baht Long 09/10/2015 $15,581,600
Baht Long 09/10/2015 $379,624
Baht Long 08/13/2015 $330,942
Baht Short 08/13/2015 $-3,938,692
Baht Long 08/13/2015 $8,876,166
Brazilian Real Total Contracts: $40,173,553
Brazilian Real Long 10/13/2015 $4,004,120
Brazilian Real Long 10/13/2015 $768,381
Brazilian Real Long 10/13/2015 $10,375,992
Brazilian Real Long 09/10/2015 $4,638,536
Brazilian Real Long 09/10/2015 $258,895
Brazilian Real Long 08/12/2015 $417,176
Brazilian Real Long 08/12/2015 $319,786
Brazilian Real Short 08/12/2015 $-5,436,364
Brazilian Real Long 08/12/2015 $24,827,031
Chilean Peso Total Contracts: $40,930,178
Chilean Peso Long 10/13/2015 $220,902
Chilean Peso Long 09/10/2015 $590,901
Chilean Peso Long 09/10/2015 $423,233
Chilean Peso Long 09/10/2015 $32,499,536
Chilean Peso Long 08/12/2015 $4,836,962
Chilean Peso Long 08/12/2015 $414,808
Chilean Peso Long 08/12/2015 $7,999,875
Chilean Peso Short 08/12/2015 $-5,239,918
Chilean Peso Short 08/12/2015 $-816,121
Colombian Peso Total Contracts: $29,980,035
Colombian Peso Long 09/10/2015 $8,896,244
Colombian Peso Long 09/10/2015 $6,574,766
Colombian Peso Long 08/12/2015 $19,539,255
Colombian Peso Short 08/12/2015 $-5,030,230
Euro Total Contracts: $-6,822,876
Euro Short 10/13/2015 $-6,822,877
Euro Short 08/13/2015 $-6,865,202
Euro Short 08/13/2015 $-5,602,005
Euro Long 08/13/2015 $12,467,208
Forint Total Contracts: $48,984,495
Forint Long 10/13/2015 $9,356,142
Forint Long 10/13/2015 $2,768,668
Forint Long 10/13/2015 $382,709
Forint Long 10/13/2015 $10,927,402
Forint Long 09/10/2015 $4,001,268
Forint Long 08/12/2015 $564,709
Forint Long 08/12/2015 $2,469,710
Forint Long 08/12/2015 $18,513,887
Indian Rupee Total Contracts: $37,101,873
Indian Rupee Long 10/13/2015 $231,645
Indian Rupee Long 09/10/2015 $512,266
Indian Rupee Long 09/10/2015 $15,600,824
Indian Rupee Long 08/12/2015 $345,822
Indian Rupee Long 08/12/2015 $25,422,627
Indian Rupee Short 08/12/2015 $-5,011,311
Malaysian Ringgit Total Contracts: $-5,494,848
Malaysian Ringgit Short 10/13/2015 $-5,494,848
Mexican Peso Total Contracts: $50,196,375
Mexican Peso Long 10/13/2015 $1,263,687
Mexican Peso Long 10/13/2015 $4,504,353
Mexican Peso Long 09/10/2015 $8,228,353
Mexican Peso Long 09/10/2015 $389,764
Mexican Peso Long 09/10/2015 $216,536
Mexican Peso Long 08/12/2015 $9,659,171
Mexican Peso Long 08/12/2015 $25,608,973
Mexican Peso Long 08/12/2015 $325,538
New Leu Total Contracts: $-10,984,730
New Leu Long 10/13/2015 $273,809
New Leu Short 10/13/2015 $-11,258,539
New Taiwan Dollar Total Contracts: $-16,349,565
New Taiwan Dollar Short 10/13/2015 $-16,349,565
Nuevo Sol Total Contracts: $-10,985,409
Nuevo Sol Long 10/13/2015 $164,146
Nuevo Sol Short 10/13/2015 $-11,149,555
Philippine Peso Total Contracts: $45,328,171
Philippine Peso Long 10/13/2015 $16,366,944
Philippine Peso Long 10/13/2015 $217,646
Philippine Peso Long 10/13/2015 $7,356,419
Philippine Peso Long 09/10/2015 $8,177,843
Philippine Peso Long 09/10/2015 $449,596
Philippine Peso Short 08/12/2015 $-4,267,230
Philippine Peso Long 08/12/2015 $17,026,953
Rand Total Contracts: $28,603,835
Rand Long 10/13/2015 $11,115,334
Rand Long 10/13/2015 $163,805
Rand Long 09/10/2015 $2,353,899
Rand Long 09/10/2015 $549,243
Rand Long 08/12/2015 $378,612
Rand Long 08/12/2015 $15,736,046
Rand Short 08/12/2015 $-1,693,104
Rupiah Total Contracts: $46,691,478
Rupiah Long 10/13/2015 $1,050,270
Rupiah Long 09/10/2015 $219,450
Rupiah Long 09/10/2015 $26,758,214
Rupiah Long 09/10/2015 $279,798
Rupiah Long 08/12/2015 $20,344,482
Rupiah Long 08/12/2015 $221,136
Rupiah Long 08/12/2015 $398,044
Rupiah Short 08/12/2015 $-2,579,916
Russian Ruble Total Contracts: $34,730,760
Russian Ruble Long 10/13/2015 $3,605,229
Russian Ruble Long 10/13/2015 $7,937,062
Russian Ruble Long 09/10/2015 $16,324,886
Russian Ruble Long 08/12/2015 $364,051
Russian Ruble Long 08/12/2015 $6,067,524
Russian Ruble Long 08/12/2015 $432,008
Singapore Dollar Total Contracts: $-10,992,941
Singapore Dollar Short 09/10/2015 $-10,992,941
Turkish Lira Total Contracts: $46,850,470
Turkish Lira Long 10/13/2015 $437,951
Turkish Lira Long 10/13/2015 $20,661,419
Turkish Lira Long 09/10/2015 $392,169
Turkish Lira Long 09/10/2015 $3,921,686
Turkish Lira Long 08/12/2015 $10,392,290
Turkish Lira Long 08/12/2015 $5,645,639
Turkish Lira Long 08/12/2015 $329,029
Turkish Lira Long 08/12/2015 $5,070,287
Won Total Contracts: $36,644,465
Won Long 10/13/2015 $5,601,233
Won Long 09/10/2015 $324,695
Won Long 09/10/2015 $12,702,651
Won Long 09/10/2015 $323,325
Won Long 08/12/2015 $13,386,497
Won Long 08/12/2015 $377,217
Won Long 08/12/2015 $5,027,848
Won Short 08/12/2015 $-1,099,001
Yen Total Contracts: $11,057,969
Yen Long 10/13/2015 $11,057,969
Zloty Total Contracts: $37,318,156
Zloty Long 10/13/2015 $7,750,520
Zloty Long 10/13/2015 $2,592,324
Zloty Long 10/13/2015 $219,554
Zloty Long 10/13/2015 $6,771,786
Zloty Long 09/10/2015 $4,103,946
Zloty Long 09/10/2015 $443,491
Zloty Long 08/12/2015 $14,893,275
Zloty Long 08/12/2015 $265,005
Zloty Long 08/12/2015 $278,255
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