Franklin K2 Alternative Strategies

Investment Objective

The Fund’s investment goal is to seek capital appreciation with lower volatility relative to the broad equity markets. The Fund seeks to achieve its investment goal by allocating its assets across multiple alternative strategies.

Reference Index

BofA Merrill Lynch US 3-Month Treasury Bill Index

Latest Meeting Note

Meeting 24 Apr 2020

The fund is multi-manager hedge fund portfolio investing in four core sub-strategies: long short equity, event driven, credit/relative value and global macro. These are complemented by a small allocation to a discretionary Equity Risk Ov... Read more

The fund is multi-manager hedge fund portfolio investing in four core sub-strategies: long short equity, event driven, credit/relative value and global macro. These are complemented by a small allocation to a discretionary Equity Risk Overlay, which is a tool to control portfolio equity beta within the predefined ranges. The strategy currently manages about $3 billion, of which $1.8 billion is UCITS. March 2020 was a challenging month for the fund, with negative attribution largely driven by the equity allocation. Particularly those managers with a cyclical bias struggled the most. The Event Driven allocation held up relatively well while the Relative Value bucket disappointed, with underlying managers underperforming amid the indiscriminate sell-off (cross-correlation moving towards one) across asset classes. On a forward looking basis, the current level of pricing dislocations between companies, industries and asset classes, offers abundant opportunities for select hedge strategies, particularly across RV offerings.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 1.0 0.2 0.5 0.7 0.1 0.3 0.6 0.8 0.6 0.8 0.8 0.3 0.1
2018 0.0 0.9 0.6 0.9 0.3 0.6 0.8 0.4 0.4 0.9 0.9 0.7 0.5

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