Portfolio Statistics

Assets

Total Fund AssetsAs of 08/31/2020 (updated monthly) $92.6 (M)
Net Assets - Class C

Exposure

Gross Exposure As of 08/31/2020 (updated monthly), % of Total 114.76%
Net Exposure As of 08/31/2020 (updated monthly), % of Total 72.52%
Long Exposure As of 08/31/2020 (updated monthly), % of Total 93.64%
Short Exposure As of 08/31/2020 (updated monthly), % of Total -21.12%

FIXED INCOME

Average Duration As of 08/31/2020 (updated monthly) 3.88 Year(s)

Portfolio Details

Strategy Breakdown % of Invested Capital As of 08/31/2020

[category] Target Allocation
% of Invested Capital
Actual Allocation
% of Invested Capital
Structured Credit 20%-60% 55.88%
Credit Long Short 30%-70% 29.49%
Emerging Market Fixed Income 0%-30% 14.63%

Security Type Exposure% of Total As of 08/31/2020

Gross Exposure% of Total Net Exposure% of Total
Direct Securities 63.44% 41.36%
Index/Multi-Security Derivatives 38.12% 36.09%
Single Security Derivatives 13.20% -4.93%

Manager Allocation % of Invested Capital As of 08/31/2020

Allocation
Credit Long Short 29.50%
Apollo Credit Management, LLC 26.19%
Chatham Asset Management, LLC 3.31%
Emerging Market Fixed Income 14.63%
Emso Asset Management Limited 14.63%
Structured Credit 55.88%
Ellington Global Asset Management, LLC 28.84%
Medalist Partners, L.P. 27.04%