Futures Portfolio Fund (FPF)

Management Discussion

• During the 1st quarter, the Fund benefited from profitable trading in currency markets as a long USD posture benefitted from the strength in the greenback. The largest gain was from a sizable, short Yen position which tumbled to its weakest level since 2015 versus the USD and near a twenty-year low. A short position in the Euro was also a significant contributor as market participants worried about the effect that rising oil and natural gas prices would have on the European economy while the tone at the Fed became increasingly hawkish. A long position in the British Pound was the largest detractor as the currency weakened versus the USD during the quarter.
• Trading in equities was unprofitable during the quarter as losses in U.S. indices were only partially offset by gains from positions in other geographies. Overall exposure in equities was generally long biased, though position sizes were muted and, at times, was neutral to slightly short. In the U.S., the largest losses were from long E-mini S&P 500 and NASDAQ 100 positions which declined during the quarter. In Europe and Asia, persistent short exposure benefitted from the sell-off in stocks with notable gains from trading in the German DAX and the Hang Seng Indices.
• At the end of the 1st quarter, the Fund’s largest risk exposure remained in commodities, led by long energy positions. Risk exposure in agricultural markets also was significant as exposure remained long in response to strong fundamentals and rising prices. Both base and precious metals exposure was positioned long as well. Risk exposure in equities was small and positioning, while mixed, was long biased overall at the end of the period. Fixed income exposure finished the quarter short in all major regions and across all parts of the curve. In currency markets, the Fund was positioned long USD overall with notable short exposure in the Euro and Yen while emerging market currencies were long versus the USD.