Portfolio Statistics

Assets

Total Fund AssetsAs of 12/31/2019 (updated monthly) $128.9 (M)
Net Assets - Class R

Exposure

Gross Exposure As of 12/31/2019 (updated monthly), % of Total 87.00%
Net Exposure As of 12/31/2019 (updated monthly), % of Total 53.21%
Long Exposure As of 12/31/2019 (updated monthly), % of Total 70.10%
Short Exposure As of 12/31/2019 (updated monthly), % of Total -16.89%

FIXED INCOME

Average Duration As of 12/31/2019 (updated monthly) 2.29 Year(s)

Portfolio Details

Strategy Breakdown % of Invested Capital As of 12/31/2019

[category] Target Allocation
% of Invested Capital
Actual Allocation
% of Invested Capital
Structured Credit 20%-60% 44.75%
Credit Long Short 30%-70% 37.98%
Emerging Market Fixed Income 0%-30% 17.27%

Security Type Exposure% of Total As of 12/31/2019

Gross Exposure% of Total Net Exposure% of Total
Direct Securities 46.12% 28.29%
Index/Multi-Security Derivatives 29.61% 28.77%
Single Security Derivatives 11.27% -3.84%

Manager Allocation % of Invested Capital As of 12/31/2019

Allocation
Credit Long Short 37.98%
Apollo Credit Management, LLC 23.21%
Chatham Asset Management, LLC 14.77%
Emerging Market Fixed Income 17.27%
Emso Asset Management Limited 17.27%
Structured Credit 44.76%
Ellington Global Asset Management, LLC 22.98%
Medalist Partners, L.P. 21.78%