Portfolio Statistics

Assets

Total Fund AssetsAs of 01/31/2020 (updated monthly) $139.6 (M)
Net Assets - Class R6

Exposure

Gross Exposure As of 01/31/2020 (updated monthly), % of Total 90.90%
Net Exposure As of 01/31/2020 (updated monthly), % of Total 56.80%
Long Exposure As of 01/31/2020 (updated monthly), % of Total 73.85%
Short Exposure As of 01/31/2020 (updated monthly), % of Total -17.05%

FIXED INCOME

Average Duration As of 01/31/2020 (updated monthly) 2.19 Year(s)

Portfolio Details

Strategy Breakdown % of Invested Capital As of 01/31/2020

[category] Target Allocation
% of Invested Capital
Actual Allocation
% of Invested Capital
Structured Credit 20%-60% 44.86%
Credit Long Short 30%-70% 37.96%
Emerging Market Fixed Income 0%-30% 17.18%

Security Type Exposure% of Total As of 01/31/2020

Gross Exposure% of Total Net Exposure% of Total
Direct Securities 46.83% 32.62%
Index/Multi-Security Derivatives 29.64% 28.53%
Single Security Derivatives 14.44% -4.35%

Manager Allocation % of Invested Capital As of 01/31/2020

Allocation
Credit Long Short 37.96%
Apollo Credit Management, LLC 23.28%
Chatham Asset Management, LLC 14.68%
Emerging Market Fixed Income 17.18%
Emso Asset Management Limited 17.18%
Structured Credit 44.86%
Ellington Global Asset Management, LLC 22.97%
Medalist Partners, L.P. 21.89%