Franklin K2 Alternative Strategies Fund

Portfolio Statistics

Assets

Total Fund AssetsAs of 12/31/2020 (updated monthly) $1,232.3 (M)
Net Assets - Class C As of 10/31/2020 (updated monthly) $32.5 (M)
Gross Exposure As of 12/31/2020 (updated monthly), % of Total 144.62%
Net Exposure As of 12/31/2020 (updated monthly), % of Total 65.76%
Long Exposure As of 12/31/2020 (updated monthly), % of Total 105.19%
Short Exposure As of 12/31/2020 (updated monthly), % of Total -39.43%
Value at Risk (Fund)As of 12/31/2020 (updated monthly) -3.53%

Portfolio Details


Strategy Breakdown % of Invested Capital As of 12/31/2020

[category] Target Allocation
% of Invested Capital
Actual Allocation
% of Invested Capital
Long Short Equity 25%-40% 37.45%
Relative Value 30%-45% 31.01%
Event Driven 10%-30% 19.12%
Global Macro 0%-30% 12.42%

Geographic Exposure % of Total As of 12/31/2020

Gross Exposure% of Total Net Exposure% of Total
North America 98.04% 46.35%
Europe 31.23% 8.57%
Asia Pacific 8.13% 5.25%
Global & Emerging Markets 5.93% 4.41%
South America 1.28% 1.19%

Asset Class Exposure % of Total As of 12/31/2020

Gross Exposure% of Total Net Exposure% of Total
Equity 85.34% 24.42%
Fixed Income 46.86% 42.82%
Currency 11.08% -2.59%
Commodities 1.33% 1.11%

TOP LONG EXPOSURE % of Total (Equity Only) As of 12/31/2020

[holdings-table-heading]
VARIAN MEDICAL SYSTEMS INC 1.30%
FIAT CHRYSLER AUTOMOBILES NV 0.93%
BALL CORP 0.76%
RSA INSURANCE GROUP PLC 0.71%
SHERWIN-WILLIAMS CO/THE 0.71%
HAL TRUST 0.67%
VIRTUSA CORP 0.67%
ALIBABA GROUP HOLDING LTD 0.66%
WILLIS TOWERS WATSON PLC 0.65%
ALPHABET INC 0.64%

TOP SHORT EXPOSURE % of Total (Equity Only) As of 12/31/2020

[holdings-table-heading]
PEUGEOT SA -0.81%
AON PLC -0.70%
ANALOG DEVICES INC -0.59%
MSCI DAILY TR WORLD GROS -0.49%
JUST EAT TAKEAWAY.COM NV -0.46%
LIBERTY MEDIA CORP -0.27%
J2 GLOBAL INC -0.26%
INNOVATIVE INDUSTRIAL PROPERTIES INC -0.26%
ADVANCED MICRO DEVICES INC -0.25%
LIVE NATION ENTERTAINMENT INC -0.21%

Manager Allocation % of Invested Capital As of 12/31/2020

Allocation
Event Driven 19.12%
Bardin Hill Investment Partners L.P. 10.26%
P. Schoenfeld Asset Management L.P. 8.86%
Global Macro 12.42%
Emso Asset Management Limited 7.67%
Graham Capital Management, L.P. 4.46%
Grantham, Mayo, Van Otterloo & Co. LLC 0.29%
Long Short Equity 37.44%
Jennison Associates, LLC 8.27%
Wellington Management Company, LLP 7.90%
Chilton Investment Company, LLC 7.57%
Portland Hill Asset Management Limited 7.26%
Electron Capital Partners, LLC 6.44%
Impala Asset Management, LLC 0.00%
Relative Value 31.01%
Lazard Asset Management, LLC 10.50%
Loomis Sayles & Company, L.P. 7.89%
Ellington Global Asset Management, LLC 6.24%
Apollo Credit Management, LLC 5.63%
Chatham Asset Management, LLC 0.75%