Franklin K2 Alternative Strategies Fund

Portfolio Statistics

Assets

Total Fund AssetsAs of 12/31/2019 (updated monthly) $1,268.5 (M)
Net Assets - Advisor ClassAs of 12/31/2019 (updated monthly) $1,079.5 (M)

Exposure

Gross Exposure As of 12/31/2019 (updated monthly), % of Total 164.47%
Net Exposure As of 12/31/2019 (updated monthly), % of Total 37.53%
Long Exposure As of 12/31/2019 (updated monthly), % of Total 101.00%
Short Exposure As of 12/31/2019 (updated monthly), % of Total -63.47%

Value at Risk

Value at Risk (Fund)As of 12/31/2019 (updated monthly) -4.45%

Portfolio Details

Strategy Breakdown % of Invested Capital As of 12/31/2019

[category] Target Allocation
% of Invested Capital
Actual Allocation
% of Invested Capital
Long Short Equity 25%-40% 31.01%
Relative Value 30%-45% 25.87%
Global Macro 0%-30% 24.97%
Event Driven 10%-30% 18.15%

Geographic Exposure % of Total As of 12/31/2019

Gross Exposure% of Total Net Exposure% of Total
North America 102.32% 29.39%
Europe 42.66% 2.77%
Asia Pacific 12.52% 1.91%
Global & Emerging Markets 4.84% 2.25%
South America 2.13% 1.22%

Asset Class Exposure % of Total As of 12/31/2019

Gross Exposure% of Total Net Exposure% of Total
Equity 96.41% 20.10%
Fixed Income 41.95% 28.14%
Currency 24.52% -10.81%
Commodities 1.59% 0.11%

Security Type Exposure% of Total As of 12/31/2019

Gross Exposure% of Total Net Exposure% of Total
Direct Securities 73.57% 44.82%
Single Security Derivatives 54.23% -1.64%
Index/Multi-Security Derivatives 36.66% -5.65%

TOP LONG EXPOSURE % of Total (Equity Only) As of 12/31/2019

[holdings-table-heading]
WELLCARE HEALTH PLANS INC 1.38%
ALLERGAN PLC 1.02%
ZAYO GROUP HOLDINGS INC 0.96%
HOME DEPOT INC/THE 0.71%
SHERWIN-WILLIAMS CO/THE 0.68%
CAESARS ENTERTAINMENT CORP 0.67%
MICROSOFT CORP 0.65%
TALLGRASS ENERGY LP 0.65%
MEDICINES CO/THE 0.62%
MASTERCARD INC 0.61%

TOP SHORT EXPOSURE % of Total (Equity Only) As of 12/31/2019

[holdings-table-heading]
CENTENE CORP -0.86%
FLUTTER ENTERTAINMENT PLC -0.43%
ABBVIE INC -0.41%
RAYTHEON CO -0.30%
ELDORADO RESORTS INC -0.27%
BOEING CO/THE -0.19%
MICROCHIP TECHNOLOGY INC -0.15%
COLRUYT SA -0.15%
AVIS BUDGET GROUP INC -0.14%
IRONWOOD PHARMACEUTICALS INC -0.12%

Manager Allocation % of Invested Capital As of 12/31/2019

Allocation
Event Driven 18.15%
Bardin Hill Investment Partners L.P. 9.26%
P. Schoenfeld Asset Management L.P. 8.89%
Global Macro 24.97%
H2O Asset Management 7.56%
Emso Asset Management Limited 7.34%
Grantham, Mayo, Van Otterloo & Co. LLC 6.30%
Graham Capital Management, L.P. 3.77%
Long Short Equity 31.00%
Jennison Associates, LLC 6.99%
Portland Hill Asset Management Limited 6.72%
Chilton Investment Company, LLC 6.60%
Impala Asset Management, LLC 5.67%
Wellington Management Company, LLP 5.02%
Relative Value 25.88%
Lazard Asset Management, LLC 8.42%
Loomis Sayles & Company, L.P. 6.77%
Chatham Asset Management, LLC 4.06%
Ellington Global Asset Management, LLC 4.03%
Apollo Credit Management, LLC 2.60%