Regional Allocation as of 12/31/2015

Region Assets
Latin America 34.4%
Asia Pacific 32.8%
Europe 27.9%
Middle East and Africa 5.9%
United States 0.0%
Other -1.0%

Portfolio Details as of 12/31/2015

Total Net Assets
$477.42 M
Number of Holdings
651
Modified Duration
.18 Years

Portfolio Positioning as of 12/31/2015

  • Following the devaluation of the Chinese yuan, we increased our allocations to Asian currencies, as the sell-off was overdone, in our view, and lower valuations presented a good buying opportunity.
  • The portfolio remained underweight the euro for most of the quarter, as the divergence between the monetary policies of the U.S. Federal Reserve and other central banks across most of the developed world led to a depreciation of the euro versus the U.S dollar.
  • We continued to maintain slight overweight to commodity price-driven currencies, such as the Russian ruble and the Colombian peso, as the team expected some stabilization in oil prices and commodities in general during the quarter.
  • As idiosyncratic risks remained high in Latin America, we continued to lower the portfolio’s exposure to Brazil, and tactically adjusted the positioning in Argentina ahead of their presidential elections and an anticipated currency devaluation. 
Currency Assets
India 8.8%
Mexico 8.3%
Thailand 7.9%
Turkey 7.8%
Argentina 7.4%
Russia 7.4%
Colombia 7.2%
Indonesia 7.2%
Philippines 7.0%
Hungary 6.9%
South Korea 6.9%
Poland 6.8%
Chile 6.6%
South Africa 5.9%
Brazil 5.0%
Euro -1.0%
Australia -1.0%
Malaysia -1.2%
Singapore -1.5%
Taiwan -2.3%
Currency Name Position Expiration Date Current MV (USD)
Argentine Peso Total Contracts: $37,676,109
Argentine Peso Short 03/17/2016 $-2,692,665
Argentine Peso Long 03/17/2016 $17,140,670
Argentine Peso Short 03/17/2016 $-2,824,203
Argentine Peso Long 03/10/2016 $4,296,193
Argentine Peso Long 03/10/2016 $8,730,966
Argentine Peso Long 03/02/2016 $8,629,759
Argentine Peso Long 03/02/2016 $4,395,389
Australian Dollar Total Contracts: $-4,874,992
Australian Dollar Short 03/10/2016 $-4,874,992
Baht Total Contracts: $37,722,667
Baht Long 03/10/2016 $289,009
Baht Long 03/10/2016 $10,901,766
Baht Long 03/10/2016 $13,654,302
Baht Long 02/12/2016 $5,571,767
Baht Long 01/13/2016 $7,642,074
Baht Short 01/13/2016 $-336,251
Brazilian Real Total Contracts: $24,121,327
Brazilian Real Long 03/10/2016 $937,757
Brazilian Real Long 02/12/2016 $13,454,660
Brazilian Real Long 02/12/2016 $869,510
Brazilian Real Short 01/13/2016 $-4,663,507
Brazilian Real Long 01/13/2016 $13,522,907
Chilean Peso Total Contracts: $31,610,521
Chilean Peso Long 03/10/2016 $13,427,203
Chilean Peso Long 03/10/2016 $13,427,203
Chilean Peso Long 03/10/2016 $4,756,115
Colombian Peso Total Contracts: $34,797,265
Colombian Peso Long 03/10/2016 $12,096,384
Colombian Peso Long 03/10/2016 $150,890
Colombian Peso Long 03/10/2016 $5,103,162
Colombian Peso Long 02/12/2016 $17,446,829
Euro Total Contracts: $-4,743,689
Euro Short 01/13/2016 $-5,140,355
Euro Long 01/13/2016 $396,666
Forint Total Contracts: $33,014,444
Forint Long 02/12/2016 $392,109
Forint Long 02/12/2016 $383,184
Forint Long 02/12/2016 $284,631
Forint Long 02/12/2016 $20,847,695
Forint Short 01/13/2016 $-2,298,415
Forint Short 01/13/2016 $-291,179
Forint Short 01/13/2016 $-472,088
Forint Short 01/13/2016 $-476,568
Forint Long 01/13/2016 $14,645,075
Indian Rupee Total Contracts: $42,229,948
Indian Rupee Long 03/10/2016 $12,084,270
Indian Rupee Short 02/12/2016 $-341,616
Indian Rupee Long 02/12/2016 $27,933,869
Indian Rupee Long 02/12/2016 $2,209,920
Indian Rupee Long 02/12/2016 $343,505
Malaysian Ringgit Total Contracts: $-5,892,628
Malaysian Ringgit Short 01/13/2016 $-10,807,034
Malaysian Ringgit Short 01/13/2016 $-442,529
Malaysian Ringgit Long 01/13/2016 $5,356,935
Mexican Peso Total Contracts: $39,847,747
Mexican Peso Long 03/10/2016 $4,763,701
Mexican Peso Long 02/12/2016 $33,537,381
Mexican Peso Long 01/13/2016 $1,546,665
New Leu Total Contracts: $0
New Leu Long 01/13/2016 $9,614,621
New Leu Long 01/13/2016 $245,296
New Leu Short 01/13/2016 $-9,859,917
New Taiwan Dollar Total Contracts: $-10,786,373
New Taiwan Dollar Short 03/10/2016 $-10,786,373
Philippine Peso Total Contracts: $33,638,939
Philippine Peso Long 03/10/2016 $387,419
Philippine Peso Long 03/10/2016 $7,905,644
Philippine Peso Long 03/10/2016 $194,453
Philippine Peso Long 02/12/2016 $391,032
Philippine Peso Long 02/12/2016 $5,166,296
Philippine Peso Long 02/12/2016 $12,581,024
Philippine Peso Long 01/13/2016 $7,013,071
Rand Total Contracts: $28,580,021
Rand Long 03/10/2016 $13,233,754
Rand Long 03/10/2016 $329,777
Rand Long 02/12/2016 $457,808
Rand Long 02/12/2016 $5,273,198
Rand Short 01/13/2016 $-284,513
Rand Long 01/13/2016 $9,569,997
Rupiah Total Contracts: $35,195,320
Rupiah Long 03/10/2016 $18,867,654
Rupiah Long 03/10/2016 $293,787
Rupiah Long 02/12/2016 $19,150,560
Rupiah Long 02/12/2016 $493,635
Rupiah Short 02/12/2016 $-3,610,316
Rupiah Short 01/13/2016 $-544,050
Rupiah Long 01/13/2016 $544,050
Russian Ruble Total Contracts: $35,635,616
Russian Ruble Long 03/10/2016 $17,219,178
Russian Ruble Long 03/10/2016 $236,986
Russian Ruble Long 02/12/2016 $6,164,384
Russian Ruble Long 02/12/2016 $2,905,479
Russian Ruble Long 01/13/2016 $9,109,589
Singapore Dollar Total Contracts: $-7,109,105
Singapore Dollar Short 02/12/2016 $-7,828,479
Singapore Dollar Long 02/12/2016 $719,374
Turkish Lira Total Contracts: $37,752,023
Turkish Lira Long 03/10/2016 $4,961,596
Turkish Lira Long 03/10/2016 $240,022
Turkish Lira Long 03/10/2016 $1,680,154
Turkish Lira Long 02/12/2016 $11,161,020
Turkish Lira Long 02/12/2016 $10,434,097
Turkish Lira Long 01/13/2016 $3,840,351
Turkish Lira Long 01/13/2016 $5,434,783
Won Total Contracts: $33,106,822
Won Long 03/10/2016 $9,411,089
Won Long 03/10/2016 $145,409
Won Long 03/10/2016 $336,872
Won Long 03/10/2016 $10,831,068
Won Long 02/12/2016 $12,622,032
Won Short 02/12/2016 $-239,648
Zloty Total Contracts: $32,707,480
Zloty Long 03/10/2016 $484,366
Zloty Long 03/10/2016 $193,747
Zloty Long 03/10/2016 $605,458
Zloty Long 02/12/2016 $398,965
Zloty Long 02/12/2016 $15,040,852
Zloty Short 01/13/2016 $-629,676
Zloty Short 01/13/2016 $-237,085
Zloty Long 01/13/2016 $16,850,853
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