Franklin K2 Alternative Strategies Fund

Portfolio Statistics

Assets

Total Fund AssetsAs of 03/31/2019 (updated monthly) $1,210.8 (M)
Net Assets - Advisor ClassAs of 07/31/2019 (updated monthly) $1,063.3 (M)
Gross Exposure As of 07/31/2019 (updated monthly), % of Total 160.66%
Net Exposure As of 07/31/2019 (updated monthly), % of Total 30.22%
Long Exposure As of 07/31/2019 (updated monthly), % of Total 95.44%
Short Exposure As of 07/31/2019 (updated monthly), % of Total -65.22%
Value at Risk (Fund)As of 07/31/2019 (updated monthly) -1.60%

Portfolio Details


Strategy Breakdown % of Invested Capital As of 07/31/2019

[category] Target Allocation
% of Invested Capital
Actual Allocation
% of Invested Capital
Long Short Equity 25%-40% 30.86%
Global Macro 0%-30% 25.04%
Relative Value 30%-45% 24.40%
Event Driven 10%-30% 19.70%

Geographic Exposure % of Total As of 07/31/2019

Gross Exposure% of Total Net Exposure% of Total
North America 95.80% 26.09%
Europe 39.81% 1.56%
Asia Pacific 16.04% -1.05%
Global & Emerging Markets 6.06% 2.73%
South America 2.95% 0.88%

Asset Class Exposure % of Total As of 07/31/2019

Gross Exposure% of Total Net Exposure% of Total
Equity 94.26% 17.03%
Fixed Income 41.73% 24.66%
Currency 22.86% -11.18%
Commodities 1.81% -0.30%

TOP LONG EXPOSURE % of Total (Equity Only) As of 07/31/2019

[holdings-table-heading]
TRIBUNE CO 1.40%
ANADARKO PETROLEUM CORP 1.01%
CELGENE CORP 0.94%
RWE AG 0.90%
TABLEAU SOFTWARE INC 0.80%
ALLERGAN PLC 0.78%
VERSUM MATERIALS INC 0.76%
WESTJET AIRLINES LTD 0.74%
INMARSAT PLC 0.67%
GENESEE & WYOMING INC 0.66%

TOP SHORT EXPOSURE % of Total (Equity Only) As of 07/31/2019

[holdings-table-heading]
SALESFORCE.COM INC -0.68%
BB&T CORP -0.56%
BRISTOL-MYERS SQUIBB CO -0.40%
ABBVIE INC -0.28%
NORTHROP GRUMMAN CORP -0.23%
CENTENE CORP -0.22%
OCCIDENTAL PETROLEUM CORP -0.21%
XPO LOGISTICS INC -0.19%
INNOVATIVE INDUSTRIAL PROPERTIES INC -0.16%
PROS HOLDINGS INC -0.14%

Manager Allocation % of Invested Capital As of 07/31/2019

Allocation
Event Driven 19.70%
Bardin Hill Investment Partners L.P. 9.93%
P. Schoenfeld Asset Management L.P. 9.77%
Global Macro 25.04%
Emso Asset Management Limited 7.52%
H2O Asset Management 7.34%
Grantham, Mayo, Van Otterloo & Co. LLC 6.43%
Graham Capital Management, L.P. 3.75%
Long Short Equity 30.86%
Chilton Investment Company, LLC 7.03%
Jennison Associates, LLC 6.98%
Portland Hill Asset Management Limited 6.29%
Impala Asset Management, LLC 5.47%
Wellington Management Company, LLP 5.09%
Relative Value 24.40%
Chatham Asset Management, LLC 9.06%
Lazard Asset Management, LLC 8.45%
Loomis Sayles & Company, L.P. 6.89%