Portfolio Statistics

Assets

Total Fund AssetsAs of 01/31/2020 (updated monthly) $1,273.5 (M)
Net Assets - Class C As of 01/31/2020 (updated monthly) $40.5 (M)

Exposure

Gross Exposure As of 01/31/2020 (updated monthly), % of Total 167.56%
Net Exposure As of 01/31/2020 (updated monthly), % of Total 42.46%
Long Exposure As of 01/31/2020 (updated monthly), % of Total 105.01%
Short Exposure As of 01/31/2020 (updated monthly), % of Total -62.55%

Value at Risk

Value at Risk (Fund)As of 01/31/2020 (updated monthly) -1.93%

Portfolio Details

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

[category] Target Allocation
% of Invested Capital
Actual Allocation
% of Invested Capital
Long Short Equity 25%-40% 28.48%
Relative Value 30%-45% 28.27%
Global Macro 0%-30% 25.90%
Event Driven 10%-30% 17.35%

Geographic Exposure % of Total As of 01/31/2020

Gross Exposure% of Total Net Exposure% of Total
North America 98.02% 30.99%
Europe 44.27% 4.35%
Asia Pacific 15.61% 2.00%
Global & Emerging Markets 6.80% 3.61%
South America 2.87% 1.51%

Asset Class Exposure % of Total As of 01/31/2020

Gross Exposure% of Total Net Exposure% of Total
Equity 94.05% 19.51%
Fixed Income 47.17% 32.45%
Currency 24.98% -9.75%
Commodities 1.36% 0.25%

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

Gross Exposure% of Total Net Exposure% of Total
Direct Securities 77.80% 48.06%
Single Security Derivatives 54.15% -0.73%
Index/Multi-Security Derivatives 35.60% -4.87%

TOP LONG EXPOSURE % of Total (Equity Only) As of 01/31/2020

[holdings-table-heading]
ALLERGAN PLC 1.18%
EL PASO ELECTRIC CO 0.94%
ZAYO GROUP HOLDINGS INC 0.94%
CAESARS ENTERTAINMENT CORP 0.93%
MASTERCARD INC 0.92%
WABCO HOLDINGS INC 0.91%
TALLGRASS ENERGY LP 0.80%
MICROSOFT CORP 0.78%
UNITED TECHNOLOGIES CORP 0.76%
HOME DEPOT INC/THE 0.73%

TOP SHORT EXPOSURE % of Total (Equity Only) As of 01/31/2020

[holdings-table-heading]
RAYTHEON CO -0.47%
ABBVIE INC -0.44%
FLUTTER ENTERTAINMENT PLC -0.40%
ELDORADO RESORTS INC -0.37%
TAKEAWAY.COM NV -0.31%
COLRUYT SA -0.14%
MICROCHIP TECHNOLOGY INC -0.13%
LIVE NATION ENTERTAINMENT INC -0.12%
INNOVATIVE INDUSTRIAL PROPERTIES INC -0.11%
AVIS BUDGET GROUP INC -0.11%

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

Allocation
Event Driven 17.35%
Bardin Hill Investment Partners L.P. 9.32%
P. Schoenfeld Asset Management L.P. 8.03%
Global Macro 25.90%
H2O Asset Management 8.55%
Emso Asset Management Limited 7.42%
Grantham, Mayo, Van Otterloo & Co. LLC 6.18%
Graham Capital Management, L.P. 3.75%
Long Short Equity 28.49%
Chilton Investment Company, LLC 6.81%
Jennison Associates, LLC 6.41%
Portland Hill Asset Management Limited 6.16%
Impala Asset Management, LLC 4.87%
Wellington Management Company, LLP 4.24%
Relative Value 28.27%
Lazard Asset Management, LLC 10.58%
Loomis Sayles & Company, L.P. 6.82%
Chatham Asset Management, LLC 4.14%
Ellington Global Asset Management, LLC 4.09%
Apollo Credit Management, LLC 2.64%