Harvard University’s directly held U.S.-traded securities decreased in value last quarter by 24 percent, falling from $1.2 billion to $921 million, one of the largest drops in recent history.

The drop in value comes during a time of increased volatility on domestic and international markets as investors have grappled with a widening European debt crisis. During this time period—June 30 to Sept. 30—the S&P 500 tumbled nearly 14 percent. The Dow lost 11 percent of its value.

At this time last year, Harvard’s U.S.-traded securities were valued at $1.54 billion. In the last few years the total value has fluctuated around $1.4 billion. It is unclear whether last quarter's decrease in value was the result of market contractions or the selling of equities.

This most recent filing includes only those stocks that are directly managed by the University and does not include externally managed equities. These funds represent the portion of the Harvard endowment that is directly managed by the Harvard Management Company. HMC contracts with outside money managers for the remainder of its equity investments.

In the last year, the University has made significant investments in emerging markets—a strategy that remained in place during this most recent quarter.

The filing shows that Harvard’s largest stock holdings are in developing countries. The University currently holds $257 million in exchange-traded funds in Brazil, $68 million in China, and $42 million in South Korea.

The University’s investments in Brazil represent its single largest holding reported on last week’s filing, dwarfing the next largest investment by a nearly 4 to 1 ratio.

Holdings in emerging markets have been particularly volatile over the last several months as instability in Europe has dragged down markets. As of June 30, Harvard Management Company had about 12 percent of its portfolio invested in foreign equities, according its annual report.