Portfolio Statistics

Assets

Total Fund AssetsAs of 06/30/2020 (updated monthly) $106.9 (M)
Net Assets - Class R6

Exposure

Gross Exposure As of 05/31/2020 (updated monthly), % of Total 111.38%
Net Exposure As of 05/31/2020 (updated monthly), % of Total 70.81%
Long Exposure As of 05/31/2020 (updated monthly), % of Total 91.10%
Short Exposure As of 05/31/2020 (updated monthly), % of Total -20.28%

FIXED INCOME

Average Duration As of 05/31/2020 (updated monthly) 3.26 Year(s)

Portfolio Details

Strategy Breakdown % of Invested Capital As of 05/31/2020

[category] Target Allocation
% of Invested Capital
Actual Allocation
% of Invested Capital
Structured Credit 20%-60% 51.90%
Credit Long Short 30%-70% 32.35%
Emerging Market Fixed Income 0%-30% 15.75%

Security Type Exposure% of Total As of 05/31/2020

Gross Exposure% of Total Net Exposure% of Total
Direct Securities 65.11% 44.51%
Index/Multi-Security Derivatives 33.55% 32.44%
Single Security Derivatives 12.71% -6.14%

Manager Allocation % of Invested Capital As of 05/31/2020

Allocation
Credit Long Short 32.35%
Apollo Credit Management, LLC 27.27%
Chatham Asset Management, LLC 5.08%
Emerging Market Fixed Income 15.75%
Emso Asset Management Limited 15.75%
Structured Credit 51.90%
Ellington Global Asset Management, LLC 28.10%
Medalist Partners, L.P. 23.80%