Regional Allocation as of 03/31/2016

Region Assets
Asia Pacific 35.9%
Latin America 33.9%
Europe 28.4%
Middle East and Africa 6.4%
Other -1.9%
United States -2.7%

Portfolio Details as of 03/31/2016

Total Net Assets
$411.30 M
Number of Issues
622
Average Modified Duration
1.00 Years

Portfolio Positioning as of 03/31/2016

  • Earlier in the quarter we continued to increase the portfolio’s exposure to commodity price-driven currencies, such as the Russian ruble and the Colombian peso, as the currencies team expected a general recovery in oil prices and commodities during the period. Later in the quarter we tactically reduced exposure to commodity-sensitive currencies in order to realize gains and reduce portfolio risk.
  • We increased our positioning in Latin American currencies, as Chinese yuan stabilization, the recovery in oil prices, and a dovish U.S. Federal Reserve fueled the rally in higher-beta currencies in the region.
  • The portfolio remained underweight the euro-tied currencies for most of the quarter, as the team expected further stimulus measures to be announced by the European Central Bank.
  • Overall, we decreased the portfolio’s exposure to Asian currencies, as the region typically underperforms in the risk-on environment. 
Currency Assets
Philippines 9.3%
Republic of Korea 8.8%
India 8.5%
Mexico 8.1%
Indonesia 7.9%
Turkey 7.3%
Colombia 7.3%
Russian Federation 7.2%
Chile 7.1%
Hungary 7.0%
Brazil 6.9%
Poland 6.9%
Argentina 6.6%
South Africa 6.4%
Thailand 5.2%
Romania 2.3%
Australia 1.0%
Japan -1.0%
Singapore -1.5%
Peru -2.0%
Canada -2.0%
Taiwan -2.2%
Euro -2.3%
Currency Name Position Expiration Date Current MV (USD)
Argentine Peso Total Contracts: $25,961,327
Argentine Peso Long 05/31/2016 $8,670,886
Argentine Peso Short 03/17/2016 $-2,310,127
Argentine Peso Short 03/17/2016 $-2,202,532
Argentine Peso Long 03/17/2016 $14,020,633
Argentine Peso Long 03/10/2016 $3,514,177
Argentine Peso Short 03/10/2016 $-2,873,418
Argentine Peso Long 03/10/2016 $7,141,709
Argentine Peso Short 03/02/2016 $-2,696,203
Argentine Peso Long 03/02/2016 $3,595,316
Argentine Peso Short 03/02/2016 $-7,958,038
Argentine Peso Long 03/02/2016 $7,058,924
Australian Dollar Total Contracts: $-3,947,040
Australian Dollar Short 03/10/2016 $-4,774,990
Australian Dollar Long 03/10/2016 $827,950
Baht Total Contracts: $21,231,549
Baht Long 05/12/2016 $5,529,049
Baht Long 04/12/2016 $561,325
Baht Long 03/10/2016 $11,010,386
Baht Long 03/10/2016 $13,790,347
Baht Long 03/10/2016 $291,889
Baht Short 03/10/2016 $-9,644,402
Baht Short 03/10/2016 $-307,045
Brazilian Real Total Contracts: $14,198,554
Brazilian Real Long 05/12/2016 $277,671
Brazilian Real Long 05/12/2016 $4,109,026
Brazilian Real Long 04/13/2016 $9,039,858
Brazilian Real Short 03/10/2016 $-151,909
Brazilian Real Long 03/10/2016 $923,908
Chilean Peso Total Contracts: $26,205,175
Chilean Peso Long 03/10/2016 $4,835,883
Chilean Peso Short 03/10/2016 $-192,718
Chilean Peso Short 03/10/2016 $-2,690,588
Chilean Peso Short 03/10/2016 $-3,052,202
Chilean Peso Long 03/10/2016 $13,652,400
Chilean Peso Long 03/10/2016 $13,652,400
Colombian Peso Total Contracts: $27,493,663
Colombian Peso Long 05/12/2016 $10,750,921
Colombian Peso Long 05/12/2016 $241,461
Colombian Peso Short 03/10/2016 $-235,575
Colombian Peso Long 03/10/2016 $145,554
Colombian Peso Long 03/10/2016 $4,922,694
Colombian Peso Long 03/10/2016 $11,668,608
Euro Total Contracts: $-3,807,493
Euro Short 04/13/2016 $-3,807,493
Forint Total Contracts: $27,489,837
Forint Long 05/12/2016 $22,344,941
Forint Long 05/12/2016 $151,889
Forint Short 04/13/2016 $-268,753
Forint Long 04/13/2016 $5,261,760
Indian Rupee Total Contracts: $33,713,405
Indian Rupee Long 05/12/2016 $235,586
Indian Rupee Long 05/12/2016 $22,024,112
Indian Rupee Short 03/10/2016 $-229,887
Indian Rupee Long 03/10/2016 $11,683,594
Malaysian Ringgit Total Contracts: $-4,806,183
Malaysian Ringgit Long 04/13/2016 $523,187
Malaysian Ringgit Long 04/13/2016 $271,106
Malaysian Ringgit Short 04/13/2016 $-6,230,678
Malaysian Ringgit Long 04/13/2016 $630,202
Mexican Peso Total Contracts: $31,452,290
Mexican Peso Long 05/12/2016 $444,015
Mexican Peso Long 05/12/2016 $373,966
Mexican Peso Long 05/12/2016 $26,806,399
Mexican Peso Short 03/10/2016 $-700,496
Mexican Peso Long 03/10/2016 $4,528,406
New Taiwan Dollar Total Contracts: $-8,740,371
New Taiwan Dollar Long 03/10/2016 $970,149
New Taiwan Dollar Short 03/10/2016 $-10,661,411
New Taiwan Dollar Long 03/10/2016 $950,891
Philippine Peso Total Contracts: $36,765,713
Philippine Peso Long 05/12/2016 $316,088
Philippine Peso Long 05/12/2016 $12,029,440
Philippine Peso Long 04/13/2016 $6,687,696
Philippine Peso Long 04/13/2016 $9,642,480
Philippine Peso Short 03/10/2016 $-309,148
Philippine Peso Long 03/10/2016 $383,386
Philippine Peso Long 03/10/2016 $7,823,342
Philippine Peso Long 03/10/2016 $192,429
Rand Total Contracts: $22,847,870
Rand Long 05/12/2016 $5,276,657
Rand Long 05/12/2016 $160,701
Rand Long 05/12/2016 $197,883
Rand Long 04/13/2016 $4,222,334
Rand Long 03/10/2016 $12,897,655
Rand Short 03/10/2016 $-228,762
Rand Long 03/10/2016 $321,402
Rupiah Total Contracts: $29,977,806
Rupiah Long 05/12/2016 $10,419,097
Rupiah Long 03/10/2016 $19,450,278
Rupiah Long 03/10/2016 $302,859
Rupiah Short 03/10/2016 $-194,428
Russian Ruble Total Contracts: $28,527,689
Russian Ruble Long 05/12/2016 $248,838
Russian Ruble Long 05/12/2016 $427,301
Russian Ruble Long 05/12/2016 $8,527,421
Russian Ruble Long 04/13/2016 $3,067,322
Russian Ruble Short 03/10/2016 $-663,922
Russian Ruble Long 03/10/2016 $229,717
Russian Ruble Long 03/10/2016 $16,691,012
Singapore Dollar Total Contracts: $-5,746,799
Singapore Dollar Short 05/12/2016 $-5,746,799
Turkish Lira Total Contracts: $30,866,904
Turkish Lira Long 05/12/2016 $21,347,993
Turkish Lira Long 04/13/2016 $2,750,282
Turkish Lira Long 03/10/2016 $4,880,023
Turkish Lira Long 03/10/2016 $236,076
Turkish Lira Long 03/10/2016 $1,652,530
Won Total Contracts: $33,639,619
Won Long 05/12/2016 $227,863
Won Long 05/12/2016 $6,323,252
Won Long 05/12/2016 $7,439,120
Won Long 03/10/2016 $8,922,901
Won Long 03/10/2016 $137,866
Won Long 03/10/2016 $319,397
Won Long 03/10/2016 $10,269,220
Yen Total Contracts: $-3,863,245
Yen Short 05/12/2016 $-3,863,245
Zloty Total Contracts: $30,213,289
Zloty Long 05/12/2016 $15,182,997
Zloty Long 05/12/2016 $116,407
Zloty Long 05/12/2016 $3,817,654
Zloty Long 04/13/2016 $9,988,485
Zloty Long 03/10/2016 $475,642
Zloty Long 03/10/2016 $594,553
Zloty Long 03/10/2016 $190,257
Zloty Short 03/10/2016 $-152,706
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