The PartnerSelect Alternative Strategies Fund (Institutional Share Class), formerly known as Litman Gregory Masters Alternative Strategies Fund, fell by 9.36% in the first quarter of 2020. During the same period, the Morningstar Multialternative Category was down 9.69% and 3-month LIBOR returned 0.50%. Past performance does not guarantee future results. Index performance is not illustrative of fund performance. An investment cannot be made directly in an index. Short-term performance in particular is not a good indication of the fund’s future performance, and an investment should not be made based solely on returns.The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. To obtain the performance of the funds as of the most recently completed calendar month, please visit www.partnerselectfunds.com. Investment performance reflects fee waivers in effect. In the absence of such waivers, total return would be reduced.
First, let us state clearly that we are dissatisfied with the fund’s performance during the quarter. As significant investors in the fund ourselves, we feel the pain along with fellow shareholders. There are reasons for significant optimism going forward, but Q1 performance was below what we, and you, expected. We have read and heard some managers talk only about the sunny future without acknowledging the current rainstorm, and frankly, it strikes us as somewhat tone deaf at best. Were we in your shoes, we would want to know that the managers fully appreciate the disappointment the current drawdown causes. We absolutely do. With that said, we also want you to know that we are excited by the fund’s prospects, having added to the fund personally, and look forward to better days ahead for all shareholders.
Going into 2020 the fund was relatively conservatively positioned, and it held up as we would have expected through the first part of the downturn. From the S&P 500 peak on February 19, through March 12, the S&P 500 was down 26% while the fund was down 5.6%, approximately the 0.2 or lower beta to stocks the fund has typically demonstrated during corrections. However, markets then became panicked and waves of indiscriminate, forced selling rolled across various fixed-income sectors due to deleveraging and liquidations by leveraged investors. In this environment the fund suffered as even defensive asset classes were hit. (In many cases, defensive assets were hit worse than riskier assets, as forced sellers sold their better assets because that is what they were able to sell at the smallest absolute dollar loss. We have heard from several managers that lower-rated and/or less liquid assets were essentially “no bid” during the depths of the March crisis.) This period was similar to parts of the Great Financial Crisis (GFC). Fundamentally based analysis and investment decisions are almost useless during periods of massive market dysfunction. (Please read the manager strategy summaries below for more details on the severe market dislocations in March.)
Underlying manager performance was generally in line with what we would expect in terms of ordinal ranking—with one meaningful negative surprise discussed below. DCI and Water Island were the most defensive, down only slightly during the quarter, and FPA declined the most given its higher equity beta. The Loomis Sayles strategy was down somewhat more than we would’ve expected given the extremely high quality and short duration of the majority of their portfolio, but it was largely attributable to the forced selling of those types of assets by other investors, as mentioned above. The Loomis portfolio bounced back quite a bit during the last week of March, as the Federal Reserve and Treasury Department announced programs to inject liquidity and support high-quality corporate and structured credit markets.
DoubleLine’s portfolio performance was the largest downside surprise relative to our expectations. Its allocation to longer-duration agency mortgage-backed securities (MBS) provided positive performance, as expected, but not enough to offset moderate spread widening in legacy non-agency residential MBS and significant price declines in other credit areas—primarily commercial MBS, collateralized loan obligations (CLOs), and other asset-backed securities (ABS)—which were not the direct target of the Fed/Treasury support programs. However, DoubleLine views the current opportunity in this portfolio as the best in a decade and expects to be amply rewarded as the cash flows from the underlying assets ultimately prove the securities to be worth far more than current market prices resulting from panic/forced selling.
Panicked markets are temporary and the very same market dysfunction that can lead to disappointing returns during these short periods sets up investment opportunities with much higher return potential and less intermediate-term risk. We have already seen the fund’s sub-advisors doing some buying, though most still hold dry powder.
The Alternative Strategies Fund was created in the aftermath of the financial crisis of 2008–09. We wanted managers who were highly risk-conscious and strategies that could provide some diversification—something we believed was important given the significant macro risks—but we also wanted to be able to generate attractive absolute returns over a full cycle, and particularly when opportunities were compelling. This is precisely that time.
We are large investors in the fund and look forward to the decisions the managers will make as they navigate this undoubtedly challenging period of market disruption in order to set up the fund for the recovery that follows. We are confident this could happen as short-term dislocations give way to more rational pricing— something that has happened with every market cycle.
Active management can add the most value during and in the aftermath of periods driven by extreme emotion, as markets calm and return to a semblance of normality, driven more by fundamentals than fear and forced selling. We saw that after the dotcom bubble burst and after the Great Financial Crisis. We believe this pattern is likely to repeat in the aftermath of the COVID-19-driven market crisis. But to benefit from that requires pulling the trigger at an appropriate level—moving more from defense to offense—and a willingness to take on short-term risk to capture attractive medium- and long-term returns. The fund is designed to do just that by giving skilled, battle-tested managers the flexibility to make those allocation decisions (with oversight at the portfolio level) within their respective areas of expertise.
Thank you for your investment and your confidence. We look forward to reporting better results going forward.
|PartnerSelect Alternative Strategies Fund Risk/Return Statistics 6/30/20||MASFX|| Bloomberg|
|HFRX Global Hedge Fund||Russell 1000|
|Total Cumulative Return||33.01||31.13||5.44||8.00||169.64|
|Annualized Std. Deviation||4.52||2.96||4.29||4.16||12.77|
|Sharpe Ratio (Annualized)||0.61||0.86||0.00||0.07||0.93|
|Beta (to Russell 1000)||0.29||-0.03||0.31||0.28||1.00|
|Correlation of MASFX to…||1.00||-0.05||0.83||0.69||0.80|
|Worst 12-Month Return||-5.36||-2.47||-6.65||-8.19||-8.03|
|% Positive 12-Month Periods||86.17%||78.72%||76.60%||67.02%||93.62%|
|Upside Capture (vs. Russell 1000)||28.29||8.63||21.48||21.28||100.00|
|Downside Capture (vs. Russell 1000)||28.73||-10.23||38.65||35.79||100.00|
| Since inception (9/30/11).|
Worst Drawdown based on weekly returns
Past performance is no guarantee of future results
Performance of Managers
For the quarter, all five sub-advisors produced negative returns. The DCI Long-Short Credit strategy declined by 2.03%, Water Island’s Arbitrage and Event-Driven strategy lost 2.52%, the Loomis Sayles Absolute-Return strategy was down 7.99%, DoubleLine’s Opportunistic Income strategy declined by 11.15%, and the FPA Contrarian Opportunity strategy was down 21.11%. (All returns are net of the management fee charged to the fund.)
Key Performance Drivers and Positioning by Strategy
The DCI Long-Short Credit strategy declined by 2.03% in Q1, holding up relatively well in a disastrous quarter for global markets. After a positive start to the year on steady alpha, the strategy slipped backwards at the end of March as credit markets entered a liquidity crisis and some of the normal credit relationships fell apart.
Financial markets entered full crisis mode in March, and credit markets were especially hard hit as investors withdrew record amounts from high-grade credit funds and participants rushed to turn otherwise safe assets into cash. Funding and liquidity dried up and cash markets convulsed. The policy response was rapid and huge, in keeping with the rapid and huge market collapse. The scope of the problem and depth of uncertainty means it is too soon to evaluate the full extent of the economic damage or the effectiveness of the response. Yet the resultant market damage was evident in the superlatives for the quarter. Oil prices collapsed 66%, the most ever. Global equities fell 23%, entering the first bear market in 11 years. The dollar rallied and emerging-market currencies dropped, some (like the Mexican peso) by record amounts. VIX levels rivaled the GFC, and Treasury yields collapsed to record lows. Credit assets of all stripes were pummeled.
High-yield corporate bond credit losses rivaled those in equities. The HUC0 (ICE BofAML US High Yield Constrained Index) declined 18% as spreads widened by 517 basis points (bps) to end the quarter at almost 900 bps. Investment-grade corporate bonds, however, were the surprising locus of the market dislocation. Derivatives outperformed cash in all products, but particularly in investment-grade (IG), where the bond/credit default swap (CDS) basis (the difference between the spread on cash bonds and their corresponding CDS) widened to crisis levels (indicating severe stress in the cash bond market) and spread curves became sharply inverted (i.e., shorter maturity bonds traded at a wider spread than longer maturities). IG corporate bonds posted their worst month ever as IG bond spreads blew out to nearly 300 bps before tightening substantially after the extent of the Fed’s planned support was announced. The spreads on the IG index finished the quarter 200 bps wider, more than at any time during the GFC. There was an all-time high of $92 billion in fallen angels, including Ford, Macy’s, and numerous energy companies. Default rates have not yet picked up, but distress levels indicate a series of impending corporate failures, especially in the energy sector.
Amidst the chaos in credit markets, the portfolio’s CDS sleeve was a small positive for the quarter as the short side of the portfolio helped the alpha keep pace with the market deterioration, while the bond sleeve underperformed somewhat as the credit crisis unfolded. Net beta effects were a negative contributor as the negative performance from the small residual (i.e., unhedged) credit beta was only partially offset by positive returns from the minimal positive duration. The index hedging on the bond sleeve, using the Credit Default Swap Index (CDX) underperformed when the derivative market bounced back strongly at the end of March, meaning the hedge outperformed the long portfolio, which is not uncommon during sharp “risk-on” periods but tends to normalize reasonably quickly. By design the portfolio construction is always focused on asset selection—favoring firms with lower default risk (as measured by DCI’s proprietary default probability model) and improving fundamentals. With credit defaults coming into focus for the market, once the crisis environment stabilizes, DCI anticipates strong differentiation across quality and a strong alpha opportunity for credit selection.
Security-selection alpha in the portfolio was about flat for the quarter, as it was offsetting across the CDS and bond sleeves. Short positioning in retail, energy, steel, and travel names led the way as they were hard-hit by the economic contraction. Long consumer durable names, like home builders and autos, contributed to largely offsetting losses as did longs in rental agencies. As a result of the huge volatility, positioning has been rotating over the quarter, especially in terms of individual names. DCI’s model now sees attractive short positions in the consumer segments and technology against longs in media and insurance. As always, the credit selection portfolio favors improving fundamentals and strong credit quality.
The market turmoil is a good reminder that DCI credit portfolios are carefully constructed using proprietary alpha and systematic portfolio construction, with an emphasis on higher-quality, lower-default-probability issuers. DCI matches credit beta and rates profiles so that the portfolios are not differentially exposed to huge market moves and are instead focused on individual security pricing and fundamentals. DCI expects that its dynamic focus on the underlying credit fundamentals will be particularly beneficial in this environment as markets again begin to differentiate credit quality across issuers. A higher spread environment with high volatility but fundamentally driven moves in credit is an excellent environment for the strategy going forward.
The Opportunistic Income strategy fell by over 11%, dramatically underperforming the Bloomberg Barclays U.S. Aggregate Bond Index return of 3.2%. The primary drivers of underperformance were asset allocation and the selective market intervention programs that were implemented by the Federal Reserve. The portfolio was up over 3.5% during the first two months of the quarter, but March proved to be challenging for the portfolio’s positioning.
In terms of asset allocation, the top-performing fixed-income sector over the quarter was U.S. Treasuries, which benefited from a sharp flight-to-quality during March as the COVID-19 pandemic ignited fears of a sharp global recession. The index maintained a roughly 41% allocation to U.S. Treasuries while the fund’s portfolio held predominantly credit assets—consistent with its opportunistic income mandate. The portfolio’s exposure to long-duration agency MBS (which carries no credit risk) was significant at over 20% entering March but did not provide the same level of protection as Treasuries due to dislocations impacting the agency market. This allocation difference was a key driver of underperformance.
Another driver of underperformance for this reporting period was the size and scope of the Federal Reserve’s market intervention programs. By the middle of March, liquidity for securitized credit assets as well as unsecured corporate bonds had deteriorated to levels not seen since the Global Financial Crisis. One prominent driver of price declines was forced sales from leveraged holders of credit assets such as mortgage real estate investment trusts (mREITs) and other money managers that were under pressure to meet margin calls or redemptions. In an effort to unfreeze the fixed-income markets, the Fed launched several programs—one of which even allowed for the purchase of IG corporate bonds in the secondary market. Unfortunately, the Fed’s programs largely left securitized credit markets unaddressed. For this reason, the IG corporate bond cohort within the index rallied back from its steepest losses during the final trading days of March. The non-agency RMBS, CMBS, CLOs, and ABS held in the portfolio lagged this rally at least partly because they did not yet have a concrete backstop to the same extent as IG corporate bonds. However, the DoubleLine portfolio is now yielding approximately 7%, with an average dollar price in the high 80s, implying significant performance recovery potential as spreads on securitized credit likely recover, being pulled along in a relative-value catch-up to the areas of credit that have been targets of Fed/Treasury support.
FPA’s Contrarian Opportunity strategy suffered a disappointing loss of about 21% during the quarter. FPA had a portfolio that seemed to be quite conservative coming into the year, as it had no equity exposure in oil and gas, no exposure to travel, restaurant, hospitality, or retail. Still, it was not particularly defensive against the global COVID-19 pandemic, with positions in balance sheet–sensitive financials and aerospace (less than 15% together) being disproportionately impacted. Despite the low interest rate environment, FPA believes the banks still represent attractive value, trading at mid-single-digit multiples of long-term earnings power (despite a clearly challenged near-term picture) with strong balance sheets.
The top contributors for the quarter were JD.com and shorts in the iShares Core S&P 500 ETF, iShares Russell 1000 ETF, and iShares U.S. Financials ETF. The largest detractors were Howmet Aerospace (formerly Arconic), AIG, oilfield equipment provider McDermott International (multiple debt issues), and financials Citigroup and Wells Fargo.
New positions throughout the quarter included some well-capitalized global travel-related stocks that the team believes will be long-term winners after the fallout of the COVID-19 crisis, including Air Canada, Booking Holdings, and Marriott International, although they are relatively small positions. The portfolio managers also added new positions in a handful of Asian holding companies and Japanese corporate governance situations, as well as credit positions in Gulfport Energy and Uber. Hedges were largely covered/unwound during the quarter, and lower-conviction positions were trimmed or sold entirely.
The largest sector concentration is in communication services, with financials and information technology following. These three sectors comprise over half of the equity portfolio. Gross long exposure to equities is 63.5% and net exposure is approximately 61.7%. Gross long credit exposure is 5.7% and net exposure is approximately 5% of assets. Cash remains high, at approximately 32% of the portfolio as the portfolio managers are waiting for high-quality names to fall further before “loading up” on them. They view high-yield bonds as more attractive than a few months ago given the substantial increase in yields and spread to Treasuries. Given current market conditions, the portfolio managers have redirected a few research analysts on the team to focus on the debt side, as they expect distress in the high-yield market to be a fertile area of opportunity going forward.
Looking forward, the portfolio managers are excited about the current situation, as the portfolio is as attractively valued as it has been in the last five years (trading at a low teens multiple of normalized earnings power) and they have plenty of dry powder to take advantage of further price declines in either equity or credit markets.
The Absolute Return strategy declined approximately 8% during the first quarter. Securitized assets across all major sectors detracted from returns during the quarter. ABS, CLO, and non-agency RMBS issues weighed on performance in particular. ABS exposure, including subprime auto loans, aircraft-related, and credit card debt, was adversely impacted as consumer and business outlooks adjusted in anticipation of the economic fallout of the COVID-19 outbreak. During March, the fear and impacts to economies caused the market to seize up. Liquidity became impaired and central banks took actions to repair markets. Liquidity has normalized somewhat in higher-quality instruments since the middle of the month, and this trend continues. Additionally, rates remain attractive for borrowers, as accommodative policies have been furthered in an attempt to stimulate growth.
High-yield corporate bonds underperformed higher-quality asset classes during the first quarter as spreads widened significantly over the period. Quality and liquidity preferences were expressed in sharply declining Treasury yields and U.S. dollar strength. The energy sector, an important constituent within high-yield, faced headwinds caused by the price effects of a massive Saudi escalation in oil production. Within the portfolio, energy was a major detractor, despite being less than a 5% exposure. A higher-volatility regime persists, given questions related to the scale and fallout of COVID-19, trade policy uncertainty, and rate volatility. As such, Loomis will continue to migrate to slightly higher average quality within the high-yield portfolio as they continue to invest in attractive credits.
IG corporate bonds generally benefited from a clear quality preference relative to riskier assets during quarter. However, the sector still faced headwinds similar to those affecting other risk assets and spreads widened over the period. As liquidity waned, the large scale of policymakers’ monetary response was able to free up the markets enough to allow new issuance to return. IG corporates produced negative performance, with financial, consumer cyclical, and energy names the largest detractors.
The portfolio managers were disappointed by the performance, given how conservatively the portfolio had been positioned entering the year. They believed investors in most areas of the fixed-income markets were not being well compensated for interest rate or credit risk, and as such, had well over half of the portfolio in short-duration, high-quality exposures in ABS and IG corporate bonds, with very small net long exposure to high-yield and other higher-risk sectors. Unfortunately, the severe dislocations driven by fear, deleveraging, and heightened illiquidity drove investors who needed to raise cash to sell whatever they could, which generally included the types of assets to which the portfolio had significant exposure.
The most notable portfolio change during March was the portfolio managers’ decision to cover what had been a small hedge in the high-yield CDX index as the price was driven down by other investors’ hedging demand in response to the recognition of COVID-19’s economic impact. As the price fell further, the portfolio managers actually added long high-yield exposure through high-yield CDX in several increments, feeling that spreads had been driven too wide by excessive hedging demand (ultimately reaching levels exceeded only during the financial crisis). The notional exposure reached 35%, and while it hurt on a mark-to-market basis at the worst points during the month, it generated strong returns in the last week of the month and helped the portfolio retrace nearly half its drawdown. The team began adding more single-name high yield credits during the depths of the market selloff, ending the quarter with over 40% high-yield exposure (inclusive of the notional value of the high-yield CDX position). At quarter-end, the Loomis portfolio yielded nearly 8.5%.
The portfolio generated a loss of approximately 2.5%. Both strategy sleeves detracted from returns: negative 242 bps from merger arbitrage (negative 213 bps from equity-based merger arbitrage and negative 29 bps from credit-based merger arbitrage) and negative 10 bps from special situations (negative 7 bps from credit special situations and negative 3 bps from equity special situations).
During a period in which the longest bull market in history came to an abrupt end, with the S&P 500 drawing down as much as 33.8% from its peak before ending the quarter down 19.6%, Water Island believes the portfolio performed largely in line with expectations, though volatility was abnormally heightened. During a normal market correction, harder catalyst situations (such as the merger-arbitrage sleeve of the portfolio) can generally maintain their non-correlated nature. A crisis such as the COVID-19 pandemic, however, is no ordinary event.
Over the past several weeks, the team has witnessed forced selling, panicked selling, and dislocations in merger-arbitrage spreads the likes of which have not been seen since 2008. Then, as now, deal spreads widened significantly as investors exited positions—sometimes by choice, sometimes not—with no consideration for price or for the fundamentals of the merger. The arbitrage community, being relatively small, is unable to absorb such levels of mass selling. A resulting byproduct of this is both abnormally high levels of volatility in the strategy as well as attractive return opportunities on the horizon. The portfolio managers saw deal spreads expand more than ten-fold on transactions where there has been absolutely no change in the fundamentals of the deals—merger agreements are strong, financing is committed, strategic rationales remain sound, and corporate boards and shareholders remain supportive. Thus, for arbitrageurs who are able to capitalize on these opportunities, the months ahead could be a highly profitable time for the strategy.
That said, volatility seems unlikely to return to its ultra-low prior levels in the immediate future. Successful execution of the strategy will require patience and skill. The Water Island team has the benefit of having navigated periods of market turmoil before. While the cause of this market shock is different, they have experienced similar scenarios before – from the global financial crisis to the bursting of the Internet bubble, even back to the Russian debt crisis, the collapse of Long-Term Capital Management, and the stock market crash of 1987. By understanding the intricacies of why spreads react the way they do, they are able to gauge where the best risk/reward opportunities exist. The investment team continuously revisits every transaction in the portfolio to reassess upside, downside, and ensure the fundamentals of the deal remain strong. While they admittedly did not anticipate a pandemic, they had been eyeing the aging bull market with growing skepticism and entered the quarter with 95% of the portfolio allocated to more definitive, hard catalyst situations—a focus which was maintained throughout the volatility. They also held a healthy level of dry powder, which allowed them to opportunistically scale up positions at more attractive rates of return during the downturn. For now, they intend to continue to focus on hard catalysts, believing the best opportunity for soft catalyst special situations investments is still three to six months out. All told, the team is optimistic about the opportunity ahead, but acknowledges the path to profitability is likely to be neither smooth nor effortless.
The top contributor in the portfolio for Q1 was Clayton Dubilier & Rice’s attempted takeover of Anixter International. In October 2019, U.S. private equity firm Clayton Dubilier & Rice announced it had agreed to acquire Anixter International—a U.S. provider of communications equipment and enterprise network solutions—in a transaction that was initially worth $2.8 billion in cash. This position led to gains in the portfolio after a competing bid from Wesco—a U.S. provider of products and services to the electrical and industrial wholesale distribution industry—led to a series of bumps in the deal value from Clayton Dubilier, who remained the preferred buyer until Wesco emerged victorious with a $4.7 billion cash-and-stock offer in January 2020. While this position contributed to returns during the period in which the definitive deal on the table was Anixter/Clayton Dubilier, the position in the definitive Anixter/Wesco merger has led to mark-to-market losses as the spread widened amidst pandemic-related market volatility. Nonetheless, Water Island continues to believe in the fundamentals of the transaction and expects it to close in the second or third quarter of 2020.
Other top contributors included LVMH Moet Hennessy Louis Vuitton’s acquisition of Tiffany & Co and NVIDIA’s acquisition of Mellanox Technologies. The Tiffany deal experienced massive forced selling amidst Q1’s market volatility, sending the gross deal spread from as tight as 0.4% to as wide as 21.4% during the quarter. The portfolio managers were able to capitalize on this opportunity by increasing exposure to the transaction at favorable rates of return, which contributed to gains as the spread narrowed to 4.2% gross at quarter-end. The Mellanox/NVIDIA deal also experienced spread compression during Q1 after reports emerged that the companies had agreed to antitrust remedies with China’s regulators, whose approval is one of the final remaining hurdles to completion.
The top detractor in the portfolio for Q1 was Simon Property Group’s (SPG) pending acquisition of Taubman Centers. In February 2020, Taubman Centers—a U.S.-based REIT focused on shopping centers—agreed to be acquired by SPG—a U.S.-based commercial real estate investment company—for $3.2 billion in cash. As the COVID-19 pandemic spread and malls shuttered or saw their traffic plummet amidst mass quarantines, investors began to fear SPG may attempt to abandon the transaction and Taubman shares plummeted as much as 24% from their peak during the quarter. Nonetheless, Water Island believes SPG remains committed to the deal as SPG views Taubman as an important strategic asset for the long term (not to mention the merger agreement is strong and the company has few avenues to walk away). They expect the transaction to close around mid-2020, though they continue to monitor the situation closely. Other top detractors included the position in Pacific Biosciences of California and the merger of Anixter International and Wesco. Pacific Biosciences had agreed to be acquired by Illumina in November 2018, though the companies experienced several objections from global regulators over the course of a long, fraught antitrust review process. Ultimately, the companies decided to terminate the transaction shortly into the New Year rather than fight the regulators in court. The portfolio managers maintained exposure to Pacific Biosciences on the belief that the company remained an attractive takeout candidate for several other suitors, though the position has led to losses amidst the quarter’s volatility. As mentioned above, the position in the definitive Anixter/Wesco merger has led to mark-to-market losses as the spread widened amidst pandemic-related market volatility. Nonetheless, Water Island continues to believe in the fundamentals of the transaction, which they expect to close in the second or third quarter of 2020.
The Alternative Strategies Fund’s capital is allocated according to its strategic target allocations: 25% to DoubleLine, 19% each to DCI, Loomis Sayles, and Water Island, and 18% to FPA. We use the fund’s daily cash flows to bring the manager allocations toward their targets when differences in shorter-term relative performance cause divergences.
Sub-Advisor Portfolio Composition as of March 31, 2020
DCI Long-Short Credit Strategy
|Bond Portfolio Top 5 Sector Long Exposures as of 6/30/20|
|Investment Vehicles / REITs||6.1%|
CDS Portfolio Statistics:
|CDS Portfolio Statistics:||Long||Short|
|Number of Issuers||95||72|
|Average Credit Duration (yrs.)||4.8||4.8|
|Spread||162 bps||179 bps|
DoubleLine Opportunistic Income Strategy
|Sector Exposures as of 6/30/20|
|Agency Inverse Floaters||2.0%|
|Agency Inverse Interest-Only||10.3%|
|Collateralized Loan Obligations||7.2%|
|Non-Agency Residential MBS||46.8%|
FPA Contrarian Opportunity Strategy
|Asset Class Exposures as of 6/30/20|
|Bonds and Loans||8.2%|
Loomis Sayles Absolute Return Fixed-Income Strategy
|Long Total||Short Total||Net Exposure|
|Cash & Equivalents||14.9%||0.0%||14.9%|
Water Island Arbitrage and Event-Driven Strategy
|Merger Arbitrage – Equity||76.3%||-23.7%||52.6%|
|Merger Arbitrage – Credit||5.1%||-0.7%||4.4%|
|Special Situations – Equity||6.9%||-2.0%||4.9%|
|Special Situations – Credit||4.5%||0.0%||4.5%|