Franklin K2 Alternative Strategies Fund

Average Annual Total Returns [further-information] As of 06/30/2020

Month EndAs of 06/30/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 10/11/2013
Fund without Sales Charge (%) (NAV) -1.02 1.96 2.00 3.18
Fund with Sales Charge (%) (POP) -1.02 1.96 2.00 3.18
HFRX Global Hedge Fund Index (%) 3.09 1.18 0.71 1.12 0.91
ICE BofA US 3-Month Treasury Bill Index (%) 1.63 1.77 1.19 0.64 0.90
Quarter EndAs of 06/30/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 10/11/2013
Fund without Sales Charge (%) (NAV) -1.02 1.96 2.00 3.18
Fund with Sales Charge (%) (POP) -1.02 1.96 2.00 3.18
HFRX Global Hedge Fund Index (%) 3.09 1.18 0.71 1.12 0.91
ICE BofA US 3-Month Treasury Bill Index (%) 1.63 1.77 1.19 0.64 0.90

After-Tax Average Annual Total Returns [further-information] As of 06/30/2020

Month EndAs of 06/30/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -1.31 1.48 1.51
Fund without Sales Charge (%) (NAV) After Shares Sold -0.53 1.39 1.39
Fund with Sales Charge (%) (POP) Before Shares Sold -1.31 1.48 1.51
Fund with Sales Charge (%) (POP) After Shares Sold -0.53 1.39 1.39
Quarter EndAs of 06/30/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -1.31 1.48 1.51
Fund without Sales Charge (%) (NAV) After Shares Sold -0.53 1.39 1.39
Fund with Sales Charge (%) (POP) Before Shares Sold -1.31 1.48 1.51
Fund with Sales Charge (%) (POP) After Shares Sold -0.53 1.39 1.39

Calendar Year Returns

2019 2018 2017 2016 2015 2014
Fund without Sales Charge (%) (NAV) 7.43 -2.19 6.84 1.90 0.19 5.23
Fund with Sales Charge (%) (POP) 7.43 -2.19 6.84 1.90 0.19 5.23
HFRX Global Hedge Fund Index (%) 8.62 -6.72 5.99 2.50 -3.64 -0.58
ICE BofA US 3-Month Treasury Bill Index (%) 2.28 1.87 0.86 0.33 0.05 0.04

Cumulative Total Returns [further-information] As of 06/30/2020

Month EndAs of 06/30/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 10/11/2013
Fund without Sales Charge (%) (NAV) 5.30 -1.82 -1.02 5.99 10.40 23.41
Fund with Sales Charge (%) (POP) 5.30 -1.82 -1.02 5.99 10.40 23.41
HFRX Global Hedge Fund Index (%) 6.19 -1.09 3.09 3.58 3.61 11.81 6.27
ICE BofA US 3-Month Treasury Bill Index (%) 0.02 0.60 1.63 5.40 6.11 6.54 6.21
Quarter EndAs of 06/30/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 10/11/2013
Fund without Sales Charge (%) (NAV) 5.30 -1.82 -1.02 5.99 10.40 23.41
Fund with Sales Charge (%) (POP) 5.30 -1.82 -1.02 5.99 10.40 23.41
HFRX Global Hedge Fund Index (%) 6.19 -1.09 3.09 3.58 3.61 11.81 6.27
ICE BofA US 3-Month Treasury Bill Index (%) 0.02 0.60 1.63 5.40 6.11 6.54 6.21

MODERN PORTFOLIO THEORY (MPT) STATISTICSAs of 06/30/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 5.14 4.61
Standard Deviation (S&P 500 Index) 16.71 14.63 13.36
Alpha -2.35 -1.88
Beta 0.28 0.28
Sharpe Ratio 0.06 0.19
R-Squared 0.83 0.79

ADDITIONAL RISK STATISTICSAs of 06/30/2020 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.91 0.89
Beta Bull 0.24 0.19
Beta Bear 0.39 0.34
Upside Capture Ratio 24.34 26.78
Downside Capture Ratio 28.45 33.10
% of Positive Months 66.67 71.67
% of Negative Months 33.33 28.33
Maximum Drawdown
Reporting Period
6.85 (12/19 - 02/20) 6.85 (12/19 - 02/20)

VALUE AT RISKAs of 06/30/2020 (updated monthly)


Value at Risk (Fund) -2.26%

Performance Contribution By Strategy(%) [further-information] As of 06/30/2020 (updated monthly)

Ending Weight (% of Invested Capital) YTD 1 Month 3 Months 1 Year
Long Short Equity 31.52 0.18 0.26 0.26 0.26
Relative Value 27.44 0.03 0.60 0.60 0.60
Global Macro 23.75 -1.08 0.12 0.12 0.12
Event Driven 17.29 -0.28 0.05 0.05 0.05

SALES CHARGE, EXPENSES & FEES As of 10/01/2019 (updated annually)

Management Fee 1.90%
Dividend Expense and Borrowing Fees for Securities Sold Short 0.36%
Additional Expenses 0.28%
Gross Expense Ratio 2.54%
Net Expense Ratio [further-information] 2.34%
Max Initial Sales Charge 0.00%
CDSC

Volatility Measures [further-information] As of 06/30/2020 Updated Monthly, based on a 3-year period

Beta 0.28
Alpha -2.35
Sharpe Ratio 0.06
Correlation 0.91
R-Squared 0.83
Standard Deviation 5.14

Benchmarks

A benchmark is a comparable broad-based index that can be used to evaluate a fund's performance.

  • HFRX Global Hedge Fund Index
  • ICE BofA US 3-Month Treasury Bill Index