American Beacon Quarterly Top 10s

Information as of 09/30/2017
AHL Managed Futures Strategy Fund
Top HoldingsPositionVaR 95% (BPS)
Brazilian Real/US DollarLong5.5
CopperLong4.1
Korean KospiLong3.7
Crude OilLong3.4
Russell 2000 IndexLong3.4
Japanese Yen/US DollarShort3
Natural GasShort2.9
Canadian Dollar/US DollarLong2.8
UK Sterling/US DollarLong2.7
AluminiumLong2.3

Value at Risk (VaR) is a measure of the potential loss in value of a portfolio over a defined period for a given confidence interval. A one-day VaR at the 95% confidence level represents that there is a 5% probability that the mark-to-market loss on the portfolio over a one day horizon will exceed this value (assuming normal markets and no trading in the portfolio).


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