Franklin K2 Alternative Strategies Fund

Portfolio Statistics

Assets

Total Fund AssetsAs of 08/31/2019 (updated monthly) $1,255.5 (M)
Net Assets - Advisor ClassAs of 09/30/2019 (updated monthly) $1,064.4 (M)

Exposure

Gross Exposure As of 09/30/2019 (updated monthly), % of Total 151.84%
Net Exposure As of 09/30/2019 (updated monthly), % of Total 29.07%
Long Exposure As of 09/30/2019 (updated monthly), % of Total 90.45%
Short Exposure As of 09/30/2019 (updated monthly), % of Total -61.38%

Value at Risk

Value at Risk (Fund)As of 09/30/2019 (updated monthly) -1.76%

Portfolio Details

Strategy Breakdown % of Invested Capital As of 09/30/2019

[category] Target Allocation
% of Invested Capital
Actual Allocation
% of Invested Capital
Long Short Equity 25%-40% 30.21%
Global Macro 0%-30% 25.30%
Relative Value 30%-45% 24.58%
Event Driven 10%-30% 19.91%

Geographic Exposure % of Total As of 09/30/2019

Gross Exposure% of Total Net Exposure% of Total
North America 94.77% 25.73%
Europe 39.69% 1.03%
Asia Pacific 9.90% -0.69%
Global & Emerging Markets 5.56% 2.41%
South America 1.92% 0.58%

Asset Class Exposure % of Total As of 09/30/2019

Gross Exposure% of Total Net Exposure% of Total
Equity 90.81% 18.80%
Fixed Income 36.11% 22.74%
Currency 23.10% -11.85%
Commodities 1.82% -0.63%

Security Type Exposure% of Total As of 09/30/2019

Gross Exposure% of Total Net Exposure% of Total
Direct Securities 70.48% 43.03%
Single Security Derivatives 49.88% -4.19%
Index/Multi-Security Derivatives 31.48% -9.77%

TOP LONG EXPOSURE % of Total (Equity Only) As of 09/30/2019

[holdings-table-heading]
CELGENE CORP 1.00%
GENESEE & WYOMING INC 0.97%
MEDIDATA SOLUTIONS INC 0.83%
ALLERGAN PLC 0.81%
ZAYO GROUP HOLDINGS INC 0.81%
WELLCARE HEALTH PLANS INC 0.74%
WESTJET AIRLINES LTD 0.73%
SHERWIN-WILLIAMS CO/THE 0.68%
CAESARS ENTERTAINMENT CORP 0.61%
BALL CORP 0.60%

TOP SHORT EXPOSURE % of Total (Equity Only) As of 09/30/2019

[holdings-table-heading]
BB&T CORP -0.55%
BRISTOL-MYERS SQUIBB CO -0.52%
CENTENE CORP -0.39%
ABBVIE INC -0.31%
ELDORADO RESORTS INC -0.19%
COLRUYT SA -0.15%
RAYTHEON CO -0.13%
INNOVATIVE INDUSTRIAL PROPERTIES INC -0.12%
MICROCHIP TECHNOLOGY INC -0.11%
CARNIVAL CORP -0.09%

Manager Allocation % of Invested Capital As of 09/30/2019

Allocation
Event Driven 19.90%
Bardin Hill Investment Partners L.P. 10.06%
P. Schoenfeld Asset Management L.P. 9.84%
Global Macro 25.31%
H2O Asset Management 7.60%
Emso Asset Management Limited 7.37%
Grantham, Mayo, Van Otterloo & Co. LLC 6.47%
Graham Capital Management, L.P. 3.87%
Long Short Equity 30.21%
Chilton Investment Company, LLC 7.12%
Jennison Associates, LLC 6.42%
Portland Hill Asset Management Limited 6.29%
Impala Asset Management, LLC 5.47%
Wellington Management Company, LLP 4.91%
Relative Value 24.58%
Chatham Asset Management, LLC 9.13%
Lazard Asset Management, LLC 8.57%
Loomis Sayles & Company, L.P. 6.88%