Regional Allocation as of 06/30/2015

Region Assets
Latin America 35.1%
Asia Pacific 34.4%
Europe 24.7%
Middle East and Africa 5.5%
United States 1.9%
Other -1.7%

Portfolio Details as of 06/30/2015

Total Net Assets
$564.02 M
Number of Holdings
704
Modified Duration
.19 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
South Korea 9.0%
Mexico 8.9%
Chile 8.8%
Indonesia 8.8%
Turkey 8.5%
Argentina 8.0%
India 7.5%
Thailand 6.1%
Hungary 6.1%
Philippines 5.9%
Brazil 5.9%
Colombia 5.5%
South Africa 5.5%
Russia 5.3%
Poland 4.9%
Malaysia -1.0%
Australia -1.7%
Singapore -2.0%
Peru -2.0%
Currency Name Position Expiration Date Current MV (USD)
Argentine Peso Total Contracts: $45,200,734
Argentine Peso Long 09/10/2015 $917,343
Argentine Peso Long 09/10/2015 $28,000,308
Argentine Peso Long 08/12/2015 $16,009,345
Argentine Peso Long 07/13/2015 $273,738
Australian Dollar Total Contracts: $-9,797,517
Australian Dollar Short 08/12/2015 $-5,602,979
Australian Dollar Short 08/12/2015 $-4,194,538
Baht Total Contracts: $34,701,145
Baht Long 09/10/2015 $16,244,054
Baht Long 09/10/2015 $395,764
Baht Long 08/13/2015 $9,252,660
Baht Long 08/13/2015 $344,979
Baht Long 07/13/2015 $8,463,688
Brazilian Real Total Contracts: $33,166,441
Brazilian Real Long 09/10/2015 $5,050,717
Brazilian Real Long 09/10/2015 $281,901
Brazilian Real Long 08/12/2015 $454,217
Brazilian Real Long 08/12/2015 $27,031,426
Brazilian Real Long 08/12/2015 $348,180
Chilean Peso Total Contracts: $49,812,597
Chilean Peso Long 09/10/2015 $34,178,380
Chilean Peso Long 09/10/2015 $445,096
Chilean Peso Long 09/10/2015 $621,425
Chilean Peso Long 08/12/2015 $436,198
Chilean Peso Long 08/12/2015 $5,086,375
Chilean Peso Long 08/12/2015 $8,412,381
Chilean Peso Long 07/13/2015 $632,742
Colombian Peso Total Contracts: $31,283,710
Colombian Peso Long 09/10/2015 $9,776,453
Colombian Peso Long 08/12/2015 $21,507,257
Euro Total Contracts: $0
Euro Short 08/13/2015 $-6,972,116
Euro Short 08/13/2015 $-5,689,247
Euro Long 08/13/2015 $12,661,363
Forint Total Contracts: $34,288,599
Forint Long 09/10/2015 $3,953,590
Forint Long 08/12/2015 $2,440,068
Forint Long 08/12/2015 $18,291,686
Forint Long 08/12/2015 $557,932
Forint Long 07/13/2015 $9,045,323
Indian Rupee Total Contracts: $42,568,061
Indian Rupee Long 09/10/2015 $15,627,042
Indian Rupee Long 09/10/2015 $513,127
Indian Rupee Long 08/12/2015 $346,884
Indian Rupee Long 08/12/2015 $25,500,688
Indian Rupee Long 07/13/2015 $580,320
Malaysian Ringgit Total Contracts: $-5,472,905
Malaysian Ringgit Short 07/27/2015 $-5,472,905
Mexican Peso Total Contracts: $50,052,047
Mexican Peso Long 09/10/2015 $8,418,130
Mexican Peso Long 09/10/2015 $221,530
Mexican Peso Long 09/10/2015 $398,754
Mexican Peso Long 08/12/2015 $332,962
Mexican Peso Long 08/12/2015 $9,879,469
Mexican Peso Long 08/12/2015 $26,193,039
Mexican Peso Long 07/13/2015 $3,940,774
Mexican Peso Long 07/13/2015 $667,389
New Israeli Sheqel Total Contracts: $0
New Israeli Sheqel Long 07/27/2015 $5,882,852
New Israeli Sheqel Short 07/27/2015 $-5,882,852
Nuevo Sol Total Contracts: $-11,215,207
Nuevo Sol Short 07/27/2015 $-11,215,207
Philippine Peso Total Contracts: $33,404,714
Philippine Peso Long 09/10/2015 $455,337
Philippine Peso Long 09/10/2015 $8,282,279
Philippine Peso Long 08/12/2015 $17,245,512
Philippine Peso Long 07/13/2015 $509,846
Philippine Peso Long 07/13/2015 $6,911,740
Rand Total Contracts: $31,325,691
Rand Long 09/10/2015 $568,023
Rand Long 09/10/2015 $2,434,386
Rand Long 08/12/2015 $391,488
Rand Long 08/12/2015 $16,271,223
Rand Long 07/13/2015 $11,660,571
Rupiah Total Contracts: $49,817,547
Rupiah Long 09/10/2015 $26,940,955
Rupiah Long 09/10/2015 $281,709
Rupiah Long 09/10/2015 $220,948
Rupiah Long 08/12/2015 $20,465,664
Rupiah Long 08/12/2015 $222,453
Rupiah Long 08/12/2015 $400,415
Rupiah Long 07/13/2015 $784,694
Rupiah Long 07/13/2015 $500,709
Russian Ruble Total Contracts: $29,786,369
Russian Ruble Long 09/10/2015 $17,958,533
Russian Ruble Long 08/12/2015 $476,003
Russian Ruble Long 08/12/2015 $6,685,432
Russian Ruble Long 08/12/2015 $401,126
Russian Ruble Long 07/13/2015 $840,075
Russian Ruble Long 07/13/2015 $3,425,200
Singapore Dollar Total Contracts: $-11,199,488
Singapore Dollar Short 09/10/2015 $-11,199,488
Turkish Lira Total Contracts: $47,780,772
Turkish Lira Long 09/10/2015 $4,019,300
Turkish Lira Long 09/10/2015 $401,930
Turkish Lira Long 08/12/2015 $336,989
Turkish Lira Long 08/12/2015 $10,643,700
Turkish Lira Long 08/12/2015 $5,782,218
Turkish Lira Long 08/12/2015 $5,192,947
Turkish Lira Long 07/13/2015 $21,403,688
Won Total Contracts: $50,675,040
Won Long 09/10/2015 $13,225,698
Won Long 09/10/2015 $336,638
Won Long 09/10/2015 $338,064
Won Long 08/12/2015 $13,960,356
Won Long 08/12/2015 $393,388
Won Long 08/12/2015 $5,243,385
Won Long 07/13/2015 $1,968,256
Won Long 07/13/2015 $15,209,255
Yen Total Contracts: $0
Yen Long 07/13/2015 $5,439,471
Yen Short 07/13/2015 $-5,439,471
Zloty Total Contracts: $27,795,798
Zloty Long 09/10/2015 $444,606
Zloty Long 09/10/2015 $4,114,264
Zloty Long 08/12/2015 $265,645
Zloty Long 08/12/2015 $278,927
Zloty Long 08/12/2015 $14,929,234
Zloty Short 07/13/2015 $-398,791
Zloty Long 07/13/2015 $8,161,913
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