Franklin K2 Alternative Strategies Fund

Portfolio Statistics

Assets

Total Fund AssetsAs of 06/30/2020 (updated monthly) $1,130.0 (M)
Net Assets - Advisor ClassAs of 05/31/2020 (updated monthly) $978.2 (M)

Exposure

Gross Exposure As of 06/30/2020 (updated monthly), % of Total 154.13%
Net Exposure As of 06/30/2020 (updated monthly), % of Total 50.20%
Long Exposure As of 06/30/2020 (updated monthly), % of Total 102.17%
Short Exposure As of 06/30/2020 (updated monthly), % of Total -51.97%

Value at Risk

Value at Risk (Fund)As of 06/30/2020 (updated monthly) -2.26%

Portfolio Details

Strategy Breakdown % of Invested Capital As of 06/30/2020

[category] Target Allocation
% of Invested Capital
Actual Allocation
% of Invested Capital
Long Short Equity 25%-40% 31.52%
Relative Value 30%-45% 27.44%
Global Macro 0%-30% 23.75%
Event Driven 10%-30% 17.29%

Geographic Exposure % of Total As of 06/30/2020

Gross Exposure% of Total Net Exposure% of Total
North America 102.45% 35.45%
Europe 36.01% 7.70%
Asia Pacific 8.49% 3.37%
Global & Emerging Markets 6.04% 2.73%
South America 1.14% 0.94%

Asset Class Exposure % of Total As of 06/30/2020

Gross Exposure% of Total Net Exposure% of Total
Equity 86.20% 14.12%
Fixed Income 48.46% 40.61%
Currency 18.51% -4.11%
Commodities 0.96% -0.43%

Security Type Exposure% of Total As of 06/30/2020

Gross Exposure% of Total Net Exposure% of Total
Direct Securities 93.36% 45.75%
Single Security Derivatives 40.93% 5.26%
Index/Multi-Security Derivatives 19.84% -0.81%

TOP LONG EXPOSURE % of Total (Equity Only) As of 06/30/2020

[holdings-table-heading]
HAL TRUST 0.80%
CAESARS ENTERTAINMENT CORP 0.79%
MASTERCARD INC 0.71%
EL PASO ELECTRIC CO 0.69%
MICROSOFT CORP 0.67%
FIAT CHRYSLER AUTOMOBILES NV 0.66%
BALL CORP 0.62%
SHERWIN-WILLIAMS CO/THE 0.61%
HOME DEPOT INC/THE 0.60%
OSRAM LICHT AG 0.59%

TOP SHORT EXPOSURE % of Total (Equity Only) As of 06/30/2020

[holdings-table-heading]
PEUGEOT SA -0.61%
CARNIVAL CORP -0.50%
AON PLC -0.48%
DELPHI TECHNOLOGIES PLC -0.40%
WORLDLINE SA/FRANCE -0.37%
WAYFAIR INC -0.28%
INNOVATIVE INDUSTRIAL PROPERTIES INC -0.26%
ELDORADO RESORTS INC -0.23%
GRUBHUB INC -0.21%
TRANSDIGM GROUP INC -0.19%

Manager Allocation % of Invested Capital As of 06/30/2020

Allocation
Event Driven 17.29%
Bardin Hill Investment Partners L.P. 9.60%
P. Schoenfeld Asset Management L.P. 7.69%
Global Macro 23.75%
H2O Asset Management 7.63%
Emso Asset Management Limited 7.61%
Grantham, Mayo, Van Otterloo & Co. LLC 4.82%
Graham Capital Management, L.P. 3.69%
Long Short Equity 31.52%
Jennison Associates, LLC 7.36%
Chilton Investment Company, LLC 6.89%
Portland Hill Asset Management Limited 6.21%
Wellington Management Company, LLP 6.06%
Impala Asset Management, LLC 5.00%
Relative Value 27.44%
Lazard Asset Management, LLC 10.48%
Loomis Sayles & Company, L.P. 7.50%
Ellington Global Asset Management, LLC 3.92%
Apollo Credit Management, LLC 2.88%
Chatham Asset Management, LLC 2.66%