corre group aggregate exposure report sample 2013.05
DESCRIPTION
Multi-Manager Hedge Fund Exposure ReportTRANSCRIPT
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HISTORICALEXPOSURESJun11 Jul11 Aug11 Sep11 Oct11 Nov11 Dec11 Jan12 Feb12 Mar12 Apr12 May12 Jun12 Jul12 Aug12 Sep12 Oct12 Nov12 Dec12 Jan13 Feb13 Mar13 Apr13 May13 AVG
TotalLong 83.6 82.0 83.6 82.2 86.3 81.0 80.6 84.6 79.9 82.3 81.9 87.1 82.8 82.5 82.1 84.0 86.7 83.0 79.8 81.5 82.7 82.9 81.8 84.9 82.9TotalShort (51.1) (41.7) (50.3) (52.4) (45.9) (42.3) (44.6) (43.0) (43.9) (44.7) (49.0) (46.7) (44.0) (49.4) (41.4) (44.9) (50.4) (46.8) (46.8) (48.0) (48.0) (46.9) (47.6) (49.3) (46.6)TotalGross 134.8 123.7 133.9 134.6 132.2 123.4 125.1 127.6 123.7 127.0 130.9 133.8 126.9 131.9 123.5 128.9 137.1 129.9 126.5 129.5 130.7 129.7 129.4 134.2 129.5TotalNet 32.5 40.3 33.3 29.8 40.3 38.7 36.0 41.5 36.0 37.6 32.9 40.3 38.8 33.1 40.6 39.1 36.2 36.2 33.0 33.4 34.6 36.0 34.2 35.6 36.3AUM 6,433 6,490 5,596 5,886 5,958 5,128 6,331 6,490 5,489 5,278 5,415 6,478 5,707 5,925 6,065 5,180 6,218 6,261 6,274 5,846 6,079 5,849 5,822 5,090 5,887Long/ShortRatio 1.63 1.97 1.66 1.57 1.88 1.91 1.81 1.96 1.82 1.84 1.67 1.86 1.88 1.67 1.98 1.87 1.72 1.77 1.71 1.70 1.72 1.77 1.72 1.72 1.78Returns 2.6% (3.1%) (1.6%) (0.9%) (8.1%) (5.9%) (2.6%) (0.4%) 0.7% (0.2%) 0.6% 0.1% 3.5% 0.8% 1.9% 1.9% 1.7% (0.5%) 1.8% 1.6% (0.1%) 1.3% 2.3% 0.7% (0.1%)ROIC 1.9% (2.2%) (1.2%) (0.7%) (7.0%) (5.6%) (2.6%) (0.4%) 0.6% (0.2%) 0.6% 0.1% 3.0% 0.6% 1.5% 1.5% 1.3% (0.4%) 1.4% 1.2% (0.1%) 1.0% 1.7% 0.5% (0.1%)
84 82 84 82 86 81 81 85 80 82 82 87 83 82 82 84 87 83 80 81 83 83 82 85
51 42 50 52 46 42 45 43 44 45 49 47 44 49 41 45 50 47 47 48 48 47 48 49
(100.0)
(50.0)
50.0
100.0
150.0
Jun11 Jul11 Aug11 Sep11 Oct11 Nov11 Dec11 Jan12 Feb12 Mar12 Apr12 May12 Jun12 Jul12 Aug12 Sep12 Oct12 Nov12 Dec12 Jan13 Feb13 Mar13 Apr13 May13
Long Short Gross Net
(20.0%)
(15.0%)
(10.0%)
(5.0%)
0.0%
5.0%
Jun11 Jul11 Aug11 Sep11 Oct11 Nov11 Dec11 Jan12 Feb12 Mar12 Apr12 May12 Jun12 Jul12 Aug12 Sep12 Oct12 Nov12 Dec12 Jan13 Feb13 Mar13 Apr13 May13
Returns ROIC
0
1000
2000
3000
4000
5000
6000
7000
Jun11 Jul11 Aug11 Sep11 Oct11 Nov11 Dec11 Jan12 Feb12 Mar12 Apr12 May12 Jun12 Jul12 Aug12 Sep12 Oct12 Nov12 Dec12 Jan13 Feb13 Mar13 Apr13 May13
RestofFunds Next5(15) Next5(10) Top5
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STRATEGYEXPOSUREGlobalMacroVolatilityArbitrageRelativeValueArbitrage(MuOtherStructuredCreditEventOtherEquityLongShortLoansCreditLongShortFixedIncomeArbitrageMergerArbitragePrivateSecuritiesDistressed/HighYieldRealEstateSpecialSituationsCTACurrencyConvertibleArbitrageCapitalStructureArbitrageIndexArbitrageHighYield
ASSETCLASSEXPOSUREEquityCommoditiesOptionsSovereignDebtCurrenciesCorporateBondsFixedIncomeOtherAssetsCDS/OptionsMBSPrivatesBankDebtPreferredEquity/Options
INDUSTRYEXPOSUREOtherFinancialsConsumerDiscretionaryMaterialsEnergyInformationTechnologyIndustrialsHealthCareIndexUtilitiesTelecommunicationServicesConsumerStaplesMiningDiversified 0.0% 0.0% 0.0% 0.0% 0.0%
0.8% (0.1%) 0.9% 0.7% 0.4%0.5% 0.0% 0.5% 0.5% 0.3%
0.9% (0.1%) 1.0% 0.8% 0.5%0.7% (0.3%) 1.0% 0.4% 0.5%
1.6% (0.2%) 1.8% 1.4% 0.9%0.3% (1.0%) 1.3% (0.7%) 0.6%
1.9% (0.2%) 2.1% 1.7% 1.1%1.5% (0.6%) 2.1% 1.0% 1.0%
2.2% (0.7%) 2.9% 1.6% 1.5%1.9% (0.4%) 2.2% 1.5% 1.1%
9.4% (2.0%) 11.5% 7.4% 5.8%3.8% (0.8%) 4.6% 2.9% 2.3%
Long Short Gross Net %Gross9.3% (9.5%) 18.7% (0.2%) 9.4%
0.0%0.0% 0.0% 0.0% 0.0% 0.0%0.0% 0.0% 0.0% 0.0%
0.9% 0.0% 0.9% 0.9% 0.5%0.0% 0.0% 0.0% 0.0% 0.0%
0.2% (3.3%) 3.5% (3.1%) 1.8%1.1% 0.0% 1.1% 1.1% 0.6%
5.2% (3.7%) 8.8% 1.5% 4.4%2.2% (2.1%) 4.3% 0.1% 2.2%
9.5% (10.0%) 19.5% (0.5%) 9.8%7.1% (10.1%) 17.2% (3.1%) 8.6%
14.6% (17.8%) 32.4% (3.1%) 16.3%14.4% (10.9%) 25.4% 3.5% 12.8%
28.5% (25.0%) 53.5% 3.4% 26.9%15.3% (16.9%) 32.2% (1.6%) 16.2%
0.0%0.0%
Long Short Gross Net %Gross
0.6%0.6%0.4%0.2%0.2%0.1%
4.9%4.5%3.7%2.7%2.2%1.0%
(0.0%)(0.0%)0.0%0.0%
16.2%10.3%9.4%6.7%6.3%5.1%
1.6%2.0%0.9%0.2%(0.1%)0.0%
1.0%(0.7%)(0.4%)0.1%0.8%2.3%
0.8%0.4%0.3%0.1%0.1%0.0%
7.5%5.5%4.4%2.0%1.2%1.2%
(0.0%)(0.0%)
32.4%20.6%18.7%13.5%12.5%10.2%9.7%9.0%
(0.2%)(0.5%)(0.4%)(0.2%)(0.2%)(0.1%)
(5.1%)(4.4%)(3.4%)(1.6%)(1.4%)(0.0%)
0.2%0.1%0.0%0.0%
(17.8%)(10.6%)(9.5%)(7.5%)(5.7%)(5.4%)
3.0%2.0%1.1%0.7%0.4%0.2%
6.8%4.7%4.6%4.6%4.1%3.9%
%Gross24.8%
14.6%10.1%9.3%6.0%
(3.1%)(0.5%)(0.2%)(1.5%)
23.7%Long Short
(25.9%)Gross49.6%
Net(2.2%)
GlobalMacroVolatilityArbitrageRelativeValueArbitrage(Multistrategy)OtherStructuredCreditEventOtherEquityLongShortLoansCreditLongShortFixedIncomeArbitrageMergerArbitragePrivateSecuritiesDistressed/HighYieldRealEstateSpecialSituationsCTACurrencyConvertibleArbitrageCapitalStructureArbitrageIndexArbitrageHighYield
Strategy
EquityCommoditiesOptionsSovereignDebtCurrenciesCorporateBondsFixedIncomeOtherAssetsCDS/OptionsMBSPrivatesBankDebtPreferredEquity/Options
Asset
OtherFinancialsConsumerDiscretionaryMaterialsEnergyInformationTechnologyIndustrialsHealthCareIndexUtilitiesTelecommunicationServicesConsumerStaplesMiningDiversified
Industry
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MARKETCAPEXPOSURELargeMidMegaOtherMarketCapSmallMicro
GEOGRAPHYEXPOSUREUnitedStatesAsiaPacificWesternEuropeJapanOtherGeographyGlobal
PORTFOLIOSUMMARYPortfolioValueNumberofPositionsLongMktValue($MM)ShortMktValue($MM)GrossMktValue($MM)NetMktValue($MM)Cash($MM)
Top5Positions(%Equity)Top10Positions(%Equity)
PORTFOLIOSUMMARYLongMktValue(%Equity)ShortMktValue(%Equity)GrossMktValue(%Equity)NetMktValue(%Equity)Cash(%Equity)
70.6% 73.8% 56.1% 55.4% 71.6% 70.0%41.0% 41.0% 41.8% 44.7% 42.7% 40.0%9.1% 8.4% 9.5% 8.8% 9.8% 10.3%30.0% 30.6% 31.4% 32.8% 30.9% 31.9%115.0% 118.6% 118.3% 118.4% 116.8% 120.4%(42.5%) (44.0%) (43.5%) (42.8%) (43.0%) (44.2%)72.5% 74.6% 74.8% 75.6% 73.8% 76.2%Dec12 Jan13 Feb13 Mar13 Apr13 May13
5,09028
4,323(2,509)6,8321,813586
5,82230
4,762(2,771)7,5341,991629636
5,84929
4,847(2,742)7,5892,105561
1,955537
6,07929
5,026(2,920)7,9452,106
7,9382,069631
5,84631
4,764(2,809)7,573
May136,27431
5,004(2,935)
3.6% (4.0%) 7.6% (0.5%) 3.8%
Dec12 Jan13 Feb13 Mar13 Apr13
7.0% (7.4%) 14.4% (0.4%) 7.3%7.1% (5.2%) 12.2% 1.9% 6.2%
17.8% (14.7%) 32.5% 3.1% 16.3%13.9% (4.5%) 18.4% 9.4% 9.3%
Long Short Gross Net %Gross42.5% (6.4%) 48.9% 36.1% 24.6%
0.7% (0.4%) 1.1% 0.3% 0.5%0.0% (0.1%) 0.1% (0.0%) 0.1%
1.9% (2.1%) 4.0% (0.3%) 2.0%0.4% (0.9%) 1.3% (0.6%) 0.6%
6.6% (7.5%) 14.2% (0.9%) 7.1%6.1% (6.4%) 12.5% (0.3%) 6.3%
Long Short Gross Net %Gross
Large
Mid
Mega
OtherMarketCap
Small
Micro
MarketCap
UnitedStates
AsiaPacific
WesternEurope
Japan
OtherGeography
Global
Geography
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HISTORICALEXPOSURESJun11 Jul11 Aug11 Sep11 Oct11 Nov11 Dec11 Jan12 Feb12 Mar12 Apr12 May12 Jun12 Jul12 Aug12 Sep12 Oct12 Nov12 Dec12 Jan13 Feb13 Mar13 Apr13 May13 AVG
TotalLong 83.6 82.0 83.6 82.2 86.3 81.0 80.6 84.6 79.9 82.3 81.9 87.1 82.8 82.5 82.1 84.0 86.7 83.0 79.8 81.5 82.7 82.9 81.8 84.9 82.9TotalShort (51.1) (41.7) (50.3) (52.4) (45.9) (42.3) (44.6) (43.0) (43.9) (44.7) (49.0) (46.7) (44.0) (49.4) (41.4) (44.9) (50.4) (46.8) (46.8) (48.0) (48.0) (46.9) (47.6) (49.3) (46.6)TotalGross 134.8 123.7 133.9 134.6 132.2 123.4 125.1 127.6 123.7 127.0 130.9 133.8 126.9 131.9 123.5 128.9 137.1 129.9 126.5 129.5 130.7 129.7 129.4 134.2 129.5TotalNet 32.5 40.3 33.3 29.8 40.3 38.7 36.0 41.5 36.0 37.6 32.9 40.3 38.8 33.1 40.6 39.1 36.2 36.2 33.0 33.4 34.6 36.0 34.2 35.6 36.3AUM 6,433 6,490 5,596 5,886 5,958 5,128 6,331 6,490 5,489 5,278 5,415 6,478 5,707 5,925 6,065 5,180 6,218 6,261 6,274 5,846 6,079 5,849 5,822 5,090 5,887Coverage 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
INDIVIDUALEXPOSURESManager1 Long 67.1 69.8 78.3 78.5 76.4 68.2 71.9 73.4 74.7 67.1 69.7 77.6 74.4 78.1 67.4 73.8 78.0 75.7 78.2 70.1 73.4 78.2 69.6 68.9 73.3
Short (41.4) (40.0) (59.4) (57.1) (39.3) (42.8) (47.1) (52.7) (44.7) (42.4) (38.5) (45.1) (42.9) (44.2) (57.4) (47.0) (52.2) (37.5) (49.4) (37.3) (58.5) (52.8) (58.5) (53.7) (47.6)Gross 108.5 109.8 137.7 135.7 115.7 111.0 119.0 126.1 119.5 109.5 108.1 122.7 117.3 122.3 124.7 120.8 130.2 113.2 127.6 107.3 131.9 130.9 128.1 122.6 120.8Net 25.7 29.8 18.9 21.4 37.1 25.4 24.8 20.7 30.0 24.8 31.2 32.5 31.6 33.9 10.0 26.9 25.7 38.2 28.8 32.8 14.8 25.4 11.1 15.3 25.7Weight 0.9% 1.2% 1.2% 1.1% 1.2% 0.9% 1.4% 1.4% 1.4% 1.0% 0.9% 1.1% 0.8% 1.2% 1.3% 0.9% 1.4% 1.2% 1.3% 1.4% 0.8% 0.9% 0.8% 0.9% 1.1%
Manager2 Long 87.1 77.2 83.6 84.4 83.2 81.5 87.2 85.8 86.0 79.4 87.6 85.3 85.9 88.6 83.5 87.6 85.2 83.6 77.1 79.0 88.1 78.2 77.0 88.2 83.8Short (54.6) (37.1) (58.5) (56.0) (44.5) (46.7) (59.6) (52.6) (46.1) (47.6) (49.3) (46.9) (39.0) (59.2) (52.0) (38.9) (47.6) (58.5) (41.1) (43.1) (47.6) (45.1) (53.6) (45.8) (48.8)Gross 141.7 114.3 142.1 140.5 127.8 128.2 146.7 138.4 132.0 127.0 137.0 132.2 124.9 147.8 135.4 126.5 132.8 142.1 118.2 122.1 135.8 123.3 130.6 134.0 132.5Net 32.5 40.0 25.0 28.4 38.7 34.9 27.6 33.2 39.9 31.8 38.3 38.4 46.9 29.4 31.5 48.6 37.6 25.0 36.0 35.9 40.5 33.1 23.4 42.4 35.0Weight 2.6% 2.5% 2.5% 2.9% 2.6% 2.9% 2.8% 2.6% 2.4% 2.8% 2.9% 2.6% 2.6% 2.9% 2.9% 2.6% 2.4% 2.3% 2.4% 2.4% 3.1% 2.4% 2.6% 2.9% 2.6%
Manager3 Long 58.4 65.1 66.9 64.2 57.3 59.6 61.1 62.6 68.8 59.6 61.3 65.8 62.9 58.8 68.6 60.3 68.9 61.3 61.1 65.4 58.5 66.8 65.4 65.3 63.1Short (54.1) (40.2) (58.0) (59.6) (45.5) (42.0) (52.5) (41.4) (40.7) (39.7) (60.9) (55.3) (44.0) (47.8) (38.9) (56.0) (55.6) (52.6) (42.4) (50.7) (51.2) (51.9) (50.7) (55.6) (49.5)Gross 112.5 105.2 124.9 123.7 102.8 101.6 113.6 104.0 109.5 99.2 122.2 121.1 106.9 106.5 107.6 116.3 124.5 113.9 103.4 116.1 109.7 118.8 116.1 120.9 112.5Net 4.3 24.9 9.0 4.6 11.9 17.6 8.6 21.3 28.1 19.9 0.3 10.6 19.0 11.0 29.7 4.4 13.4 8.8 18.7 14.7 7.3 14.9 14.7 9.7 13.6Weight 4.4% 4.3% 4.3% 3.9% 4.0% 4.4% 4.3% 4.0% 3.8% 3.8% 3.9% 3.9% 3.8% 3.7% 4.0% 4.1% 3.7% 4.4% 4.2% 3.9% 4.4% 4.2% 4.3% 4.3% 4.1%
Manager4 Long 109.6 104.9 108.2 101.5 106.6 101.7 100.4 102.1 105.3 101.1 101.5 109.9 97.6 100.4 98.6 104.0 108.3 102.2 100.6 105.5 105.0 107.3 105.3 99.4 103.6Short (54.1) (58.7) (57.3) (46.9) (42.6) (39.5) (44.3) (41.2) (58.0) (45.3) (49.3) (48.2) (43.7) (40.6) (40.9) (50.0) (48.3) (45.9) (59.7) (59.0) (46.5) (53.8) (61.8) (54.9) (49.6)Gross 163.7 163.7 165.6 148.4 149.3 141.3 144.8 143.2 163.4 146.4 150.7 158.1 141.3 141.0 139.4 154.0 156.5 148.1 160.3 164.6 151.5 161.1 167.2 154.3 153.2Net 55.6 46.2 50.9 54.6 64.0 62.2 56.1 60.9 47.3 55.8 52.2 61.7 54.0 59.8 57.7 54.0 60.0 56.3 40.9 46.5 58.4 53.5 43.5 44.6 54.0Weight 1.0% 1.0% 1.1% 1.1% 1.5% 1.2% 1.4% 0.9% 1.0% 1.5% 0.9% 1.5% 1.2% 0.8% 1.0% 0.9% 1.0% 1.3% 0.9% 1.1% 1.6% 1.1% 1.2% 1.4% 1.1%
Manager5 Long 72.7 70.1 76.1 78.6 78.1 67.6 69.4 75.6 74.5 71.2 71.9 67.7 72.5 73.8 74.4 77.9 75.9 72.8 68.1 68.3 76.3 77.8 76.4 78.2 73.6Short (56.2) (38.2) (56.0) (60.8) (61.4) (40.3) (55.1) (38.4) (39.5) (57.8) (49.9) (51.0) (47.6) (56.4) (53.8) (46.3) (40.9) (55.5) (46.9) (58.3) (55.0) (56.6) (53.2) (55.7) (51.3)Gross 128.9 108.3 132.1 139.4 139.5 107.9 124.5 114.0 114.0 129.0 121.8 118.7 120.0 130.2 128.2 124.3 116.8 128.2 115.0 126.6 131.2 134.4 129.6 133.9 124.8Net 16.5 31.9 20.1 17.8 16.8 27.4 14.3 37.2 35.0 13.4 22.1 16.7 24.9 17.4 20.5 31.6 35.1 17.3 21.1 10.1 21.3 21.1 23.2 22.6 22.3Weight 0.5% 0.5% 0.5% 0.6% 0.7% 0.6% 0.5% 0.5% 0.5% 0.6% 0.7% 0.7% 0.6% 0.5% 0.6% 0.5% 0.4% 0.7% 0.4% 0.5% 0.5% 0.4% 0.5% 0.6% 0.5%
Manager6 Long 75.2 80.9 77.9 73.5 76.1 69.1 81.8 79.5 79.3 81.4 86.8 85.5 74.2 84.5 76.7 80.4 87.7 85.9 82.5 78.3 71.1 69.7 73.5 75.1 78.6Short (59.9) (39.9) (47.4) (56.1) (59.1) (42.8) (44.0) (37.5) (43.8) (42.6) (52.3) (39.9) (44.7) (54.0) (41.2) (38.6) (44.7) (51.6) (51.1) (46.0) (38.2) (51.3) (47.7) (46.0) (46.7)Gross 135.0 120.8 125.3 129.6 135.2 111.9 125.8 117.0 123.1 123.9 139.1 125.4 118.9 138.5 117.9 119.0 132.5 137.5 133.6 124.3 109.3 121.0 121.2 121.1 125.3Net 15.3 41.0 30.4 17.4 16.9 26.2 37.8 42.0 35.4 38.8 34.5 45.5 29.6 30.6 35.5 41.8 43.0 34.3 31.4 32.3 32.9 18.3 25.8 29.1 31.9Weight 8.3% 7.4% 7.2% 8.1% 6.8% 6.7% 8.0% 8.0% 8.6% 7.1% 8.5% 6.9% 5.9% 7.2% 7.8% 7.7% 7.5% 8.2% 8.3% 8.7% 6.7% 6.6% 6.3% 8.0% 7.5%
Manager7 Long 77.2 71.8 70.5 68.1 77.0 73.1 71.6 71.3 67.2 76.9 76.5 67.6 76.1 70.3 73.3 78.6 77.6 73.2 73.6 76.1 71.2 67.2 76.6 77.9 73.3Short (43.3) (38.4) (37.8) (60.7) (39.3) (39.3) (45.9) (39.3) (37.8) (43.4) (58.8) (51.4) (41.0) (55.6) (42.6) (53.5) (59.9) (48.1) (61.6) (54.1) (55.7) (48.6) (53.0) (54.2) (48.5)Gross 120.5 110.2 108.2 128.8 116.3 112.4 117.5 110.7 105.0 120.3 135.3 118.9 117.2 125.9 115.9 132.1 137.6 121.2 135.1 130.1 126.9 115.9 129.7 132.1 121.8Net 33.9 33.4 32.7 7.3 37.7 33.8 25.7 32.0 29.3 33.5 17.7 16.2 35.1 14.7 30.7 25.1 17.7 25.1 12.0 22.0 15.4 18.6 23.6 23.8 24.9Weight 4.9% 4.7% 5.1% 4.8% 5.2% 5.3% 4.7% 4.7% 5.0% 4.9% 4.5% 5.2% 5.0% 4.5% 4.5% 5.0% 5.1% 4.5% 4.9% 4.4% 5.4% 4.7% 4.8% 5.0% 4.9%
Manager8 Long 125.8 117.2 123.6 134.1 133.6 133.2 126.8 125.1 118.4 118.0 127.1 137.7 134.0 138.1 130.9 134.5 120.7 127.5 119.9 124.3 123.8 124.2 134.1 127.4 127.5Short (52.1) (54.9) (50.6) (43.9) (42.8) (50.2) (44.5) (44.7) (51.5) (37.4) (60.5) (37.1) (50.5) (55.4) (37.3) (47.9) (56.7) (49.7) (44.6) (47.8) (56.0) (39.0) (41.3) (43.6) (47.5)Gross 177.9 172.1 174.2 177.9 176.4 183.4 171.3 169.8 169.9 155.3 187.6 174.8 184.5 193.5 168.2 182.5 177.4 177.2 164.4 172.1 179.8 163.2 175.4 171.0 175.0Net 73.8 62.4 73.0 90.2 90.8 83.0 82.3 80.4 66.9 80.6 66.7 100.6 83.5 82.7 93.6 86.6 64.0 77.8 75.3 76.5 67.8 85.2 92.8 83.8 80.0Weight 3.4% 3.6% 3.6% 3.7% 3.6% 3.8% 3.6% 3.3% 3.3% 3.7% 3.5% 3.5% 3.6% 3.7% 3.5% 3.3% 3.3% 3.7% 3.6% 3.3% 3.8% 3.7% 3.4% 3.5% 3.5%
Manager9 Long 117.7 116.6 107.6 108.9 108.4 109.0 111.0 111.5 108.2 118.0 115.1 114.4 112.4 111.7 112.5 108.9 115.3 115.1 112.0 117.6 116.7 108.0 108.0 117.2 112.6Short (54.1) (43.5) (47.5) (55.5) (46.3) (46.5) (46.4) (51.0) (56.8) (51.1) (46.0) (53.8) (61.5) (44.1) (43.5) (41.3) (60.8) (45.0) (43.8) (56.9) (49.9) (47.0) (53.4) (38.2) (49.3)Gross 171.8 160.1 155.1 164.4 154.7 155.5 157.4 162.5 165.0 169.2 161.1 168.1 173.9 155.8 156.0 150.2 176.1 160.1 155.8 174.5 166.6 155.0 161.4 155.3 161.9Net 63.7 73.1 60.1 53.5 62.1 62.6 64.6 60.5 51.4 66.9 69.0 60.6 51.0 67.6 69.0 67.7 54.5 70.1 68.1 60.7 66.9 61.0 54.6 79.0 63.2Weight 7.1% 6.5% 8.0% 6.2% 6.4% 5.8% 5.6% 8.3% 5.6% 7.3% 5.2% 7.7% 7.7% 5.0% 5.2% 6.3% 8.1% 4.8% 5.8% 6.8% 5.8% 9.1% 8.5% 8.1% 6.7%
Manager10 Long 72.1 71.7 69.4 77.2 78.7 76.4 68.4 75.0 78.3 70.2 74.2 77.9 78.2 71.5 78.2 77.3 74.5 74.8 75.8 76.4 74.1 67.1 67.1 75.3 74.2Short (50.2) (40.2) (57.9) (52.7) (44.4) (47.9) (38.9) (51.6) (53.0) (60.8) (44.1) (50.1) (45.6) (60.6) (49.0) (45.7) (51.2) (44.1) (53.1) (53.4) (45.3) (37.3) (45.2) (61.4) (49.3)Gross 122.3 111.9 127.3 129.9 123.1 124.4 107.4 126.6 131.2 131.0 118.3 128.1 123.7 132.1 127.2 123.0 125.8 118.9 128.9 129.8 119.4 104.4 112.3 136.7 123.5Net 21.9 31.5 11.5 24.5 34.4 28.5 29.5 23.3 25.3 9.5 30.1 27.8 32.6 10.9 29.1 31.6 23.3 30.8 22.7 22.9 28.8 29.7 21.9 14.0 24.8Weight 8.1% 8.2% 8.2% 7.6% 7.9% 8.1% 8.2% 7.5% 7.6% 7.6% 8.1% 8.0% 7.9% 7.7% 7.4% 7.8% 7.8% 8.0% 7.7% 8.0% 8.3% 7.7% 7.5% 8.3% 7.9%
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HISTORICALEXPOSURESJun11 Jul11 Aug11 Sep11 Oct11 Nov11 Dec11 Jan12 Feb12 Mar12 Apr12 May12 Jun12 Jul12 Aug12 Sep12 Oct12 Nov12 Dec12 Jan13 Feb13 Mar13 Apr13 May13 AVG
TotalLong 83.6 82.0 83.6 82.2 86.3 81.0 80.6 84.6 79.9 82.3 81.9 87.1 82.8 82.5 82.1 84.0 86.7 83.0 79.8 81.5 82.7 82.9 81.8 84.9 82.9TotalShort (51.1) (41.7) (50.3) (52.4) (45.9) (42.3) (44.6) (43.0) (43.9) (44.7) (49.0) (46.7) (44.0) (49.4) (41.4) (44.9) (50.4) (46.8) (46.8) (48.0) (48.0) (46.9) (47.6) (49.3) (46.6)TotalGross 134.8 123.7 133.9 134.6 132.2 123.4 125.1 127.6 123.7 127.0 130.9 133.8 126.9 131.9 123.5 128.9 137.1 129.9 126.5 129.5 130.7 129.7 129.4 134.2 129.5TotalNet 32.5 40.3 33.3 29.8 40.3 38.7 36.0 41.5 36.0 37.6 32.9 40.3 38.8 33.1 40.6 39.1 36.2 36.2 33.0 33.4 34.6 36.0 34.2 35.6 36.3AUM 6,433 6,490 5,596 5,886 5,958 5,128 6,331 6,490 5,489 5,278 5,415 6,478 5,707 5,925 6,065 5,180 6,218 6,261 6,274 5,846 6,079 5,849 5,822 5,090 5,887Coverage 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
INDIVIDUALEXPOSURESManager11 Long 67.1 69.8 78.3 78.5 76.4 68.2 71.9 73.4 74.7 67.1 69.7 77.6 74.4 78.1 67.4 73.8 78.0 75.7 78.2 70.1 73.4 78.2 69.6 68.9 73.3
Short (41.4) (40.0) (59.4) (57.1) (39.3) (42.8) (47.1) (52.7) (44.7) (42.4) (38.5) (45.1) (42.9) (44.2) (57.4) (47.0) (52.2) (37.5) (49.4) (37.3) (58.5) (52.8) (58.5) (53.7) (47.6)Gross 108.5 109.8 137.7 135.7 115.7 111.0 119.0 126.1 119.5 109.5 108.1 122.7 117.3 122.3 124.7 120.8 130.2 113.2 127.6 107.3 131.9 130.9 128.1 122.6 120.8Net 25.7 29.8 18.9 21.4 37.1 25.4 24.8 20.7 30.0 24.8 31.2 32.5 31.6 33.9 10.0 26.9 25.7 38.2 28.8 32.8 14.8 25.4 11.1 15.3 25.7Weight 0.8% 1.2% 1.0% 1.0% 1.3% 1.2% 0.8% 0.9% 1.1% 1.3% 1.3% 1.0% 0.9% 1.3% 1.3% 1.2% 1.3% 1.0% 1.2% 1.1% 1.2% 1.1% 0.8% 1.1% 1.1%
Manager12 Long 87.1 77.2 83.6 84.4 83.2 81.5 87.2 85.8 86.0 79.4 87.6 85.3 85.9 88.6 83.5 87.6 85.2 83.6 77.1 79.0 88.1 78.2 77.0 88.2 83.8Short (54.6) (37.1) (58.5) (56.0) (44.5) (46.7) (59.6) (52.6) (46.1) (47.6) (49.3) (46.9) (39.0) (59.2) (52.0) (38.9) (47.6) (58.5) (41.1) (43.1) (47.6) (45.1) (53.6) (45.8) (48.8)Gross 141.7 114.3 142.1 140.5 127.8 128.2 146.7 138.4 132.0 127.0 137.0 132.2 124.9 147.8 135.4 126.5 132.8 142.1 118.2 122.1 135.8 123.3 130.6 134.0 132.5Net 32.5 40.0 25.0 28.4 38.7 34.9 27.6 33.2 39.9 31.8 38.3 38.4 46.9 29.4 31.5 48.6 37.6 25.0 36.0 35.9 40.5 33.1 23.4 42.4 35.0Weight 0.4% 0.5% 0.6% 0.5% 0.5% 0.4% 0.7% 0.4% 0.7% 0.7% 0.7% 0.6% 0.4% 0.6% 0.7% 0.4% 0.6% 0.7% 0.5% 0.4% 0.5% 0.6% 0.7% 0.4% 0.6%
Manager13 Long 58.4 65.1 66.9 64.2 57.3 59.6 61.1 62.6 68.8 59.6 61.3 65.8 62.9 58.8 68.6 60.3 68.9 61.3 61.1 65.4 58.5 66.8 65.4 65.3 63.1Short (54.1) (40.2) (58.0) (59.6) (45.5) (42.0) (52.5) (41.4) (40.7) (39.7) (60.9) (55.3) (44.0) (47.8) (38.9) (56.0) (55.6) (52.6) (42.4) (50.7) (51.2) (51.9) (50.7) (55.6) (49.5)Gross 112.5 105.2 124.9 123.7 102.8 101.6 113.6 104.0 109.5 99.2 122.2 121.1 106.9 106.5 107.6 116.3 124.5 113.9 103.4 116.1 109.7 118.8 116.1 120.9 112.5Net 4.3 24.9 9.0 4.6 11.9 17.6 8.6 21.3 28.1 19.9 0.3 10.6 19.0 11.0 29.7 4.4 13.4 8.8 18.7 14.7 7.3 14.9 14.7 9.7 13.6Weight 7.7% 7.0% 6.5% 8.2% 6.5% 7.2% 6.7% 8.0% 6.2% 6.2% 7.1% 8.0% 8.2% 7.9% 8.7% 8.6% 6.5% 8.0% 7.6% 6.2% 6.7% 6.6% 6.7% 8.2% 7.3%
Manager14 Long 109.6 104.9 108.2 101.5 106.6 101.7 100.4 102.1 105.3 101.1 101.5 109.9 97.6 100.4 98.6 104.0 108.3 102.2 100.6 105.5 105.0 107.3 105.3 99.4 103.6Short (54.1) (58.7) (57.3) (46.9) (42.6) (39.5) (44.3) (41.2) (58.0) (45.3) (49.3) (48.2) (43.7) (40.6) (40.9) (50.0) (48.3) (45.9) (59.7) (59.0) (46.5) (53.8) (61.8) (54.9) (49.6)Gross 163.7 163.7 165.6 148.4 149.3 141.3 144.8 143.2 163.4 146.4 150.7 158.1 141.3 141.0 139.4 154.0 156.5 148.1 160.3 164.6 151.5 161.1 167.2 154.3 153.2Net 55.6 46.2 50.9 54.6 64.0 62.2 56.1 60.9 47.3 55.8 52.2 61.7 54.0 59.8 57.7 54.0 60.0 56.3 40.9 46.5 58.4 53.5 43.5 44.6 54.0Weight 4.9% 5.1% 5.3% 4.7% 5.4% 5.0% 4.9% 4.6% 4.7% 4.8% 4.5% 5.1% 4.8% 4.5% 4.4% 5.1% 4.4% 4.9% 4.5% 4.7% 5.3% 4.7% 5.0% 4.5% 4.8%
Manager15 Long 72.7 70.1 76.1 78.6 78.1 67.6 69.4 75.6 74.5 71.2 71.9 67.7 72.5 73.8 74.4 77.9 75.9 72.8 68.1 68.3 76.3 77.8 76.4 78.2 73.6Short (56.2) (38.2) (56.0) (60.8) (61.4) (40.3) (55.1) (38.4) (39.5) (57.8) (49.9) (51.0) (47.6) (56.4) (53.8) (46.3) (40.9) (55.5) (46.9) (58.3) (55.0) (56.6) (53.2) (55.7) (51.3)Gross 128.9 108.3 132.1 139.4 139.5 107.9 124.5 114.0 114.0 129.0 121.8 118.7 120.0 130.2 128.2 124.3 116.8 128.2 115.0 126.6 131.2 134.4 129.6 133.9 124.8Net 16.5 31.9 20.1 17.8 16.8 27.4 14.3 37.2 35.0 13.4 22.1 16.7 24.9 17.4 20.5 31.6 35.1 17.3 21.1 10.1 21.3 21.1 23.2 22.6 22.3Weight 2.8% 2.9% 2.6% 2.7% 2.4% 2.4% 3.0% 2.9% 2.6% 2.9% 2.6% 2.7% 2.7% 2.8% 2.8% 2.5% 2.2% 2.9% 2.2% 2.8% 2.8% 2.9% 2.5% 2.9% 2.7%
Manager16 Long 75.2 80.9 77.9 73.5 76.1 69.1 81.8 79.5 79.3 81.4 86.8 85.5 74.2 84.5 76.7 80.4 87.7 85.9 82.5 78.3 71.1 69.7 73.5 75.1 78.6Short (59.9) (39.9) (47.4) (56.1) (59.1) (42.8) (44.0) (37.5) (43.8) (42.6) (52.3) (39.9) (44.7) (54.0) (41.2) (38.6) (44.7) (51.6) (51.1) (46.0) (38.2) (51.3) (47.7) (46.0) (46.7)Gross 135.0 120.8 125.3 129.6 135.2 111.9 125.8 117.0 123.1 123.9 139.1 125.4 118.9 138.5 117.9 119.0 132.5 137.5 133.6 124.3 109.3 121.0 121.2 121.1 125.3Net 15.3 41.0 30.4 17.4 16.9 26.2 37.8 42.0 35.4 38.8 34.5 45.5 29.6 30.6 35.5 41.8 43.0 34.3 31.4 32.3 32.9 18.3 25.8 29.1 31.9Weight 4.2% 4.0% 4.3% 3.7% 4.2% 3.9% 3.8% 3.8% 4.4% 3.8% 4.2% 4.2% 3.9% 4.1% 4.2% 4.2% 4.3% 3.7% 3.9% 4.0% 4.1% 4.4% 3.7% 4.0% 4.0%
Manager17 Long 77.2 71.8 70.5 68.1 77.0 73.1 71.6 71.3 67.2 76.9 76.5 67.6 76.1 70.3 73.3 78.6 77.6 73.2 73.6 76.1 71.2 67.2 76.6 77.9 73.3Short (43.3) (38.4) (37.8) (60.7) (39.3) (39.3) (45.9) (39.3) (37.8) (43.4) (58.8) (51.4) (41.0) (55.6) (42.6) (53.5) (59.9) (48.1) (61.6) (54.1) (55.7) (48.6) (53.0) (54.2) (48.5)Gross 120.5 110.2 108.2 128.8 116.3 112.4 117.5 110.7 105.0 120.3 135.3 118.9 117.2 125.9 115.9 132.1 137.6 121.2 135.1 130.1 126.9 115.9 129.7 132.1 121.8Net 33.9 33.4 32.7 7.3 37.7 33.8 25.7 32.0 29.3 33.5 17.7 16.2 35.1 14.7 30.7 25.1 17.7 25.1 12.0 22.0 15.4 18.6 23.6 23.8 24.9Weight 1.6% 1.2% 1.3% 1.2% 1.6% 1.8% 1.7% 1.3% 1.8% 1.8% 1.3% 1.9% 1.3% 1.6% 1.7% 1.5% 1.6% 1.6% 1.3% 1.3% 1.3% 1.9% 1.1% 1.2% 1.5%
Manager18 Long 125.8 117.2 123.6 134.1 133.6 133.2 126.8 125.1 118.4 118.0 127.1 137.7 134.0 138.1 130.9 134.5 120.7 127.5 119.9 124.3 123.8 124.2 134.1 127.4 127.5Short (52.1) (54.9) (50.6) (43.9) (42.8) (50.2) (44.5) (44.7) (51.5) (37.4) (60.5) (37.1) (50.5) (55.4) (37.3) (47.9) (56.7) (49.7) (44.6) (47.8) (56.0) (39.0) (41.3) (43.6) (47.5)Gross 177.9 172.1 174.2 177.9 176.4 183.4 171.3 169.8 169.9 155.3 187.6 174.8 184.5 193.5 168.2 182.5 177.4 177.2 164.4 172.1 179.8 163.2 175.4 171.0 175.0Net 73.8 62.4 73.0 90.2 90.8 83.0 82.3 80.4 66.9 80.6 66.7 100.6 83.5 82.7 93.6 86.6 64.0 77.8 75.3 76.5 67.8 85.2 92.8 83.8 80.0Weight 1.4% 1.2% 0.9% 0.8% 1.3% 1.1% 0.8% 1.0% 1.1% 1.3% 1.2% 0.9% 1.2% 1.3% 1.0% 1.0% 1.1% 1.5% 1.0% 0.9% 1.2% 1.5% 1.2% 1.4% 1.1%
Manager19 Long 117.7 116.6 107.6 108.9 108.4 109.0 111.0 111.5 108.2 118.0 115.1 114.4 112.4 111.7 112.5 108.9 115.3 115.1 112.0 117.6 116.7 108.0 108.0 117.2 112.6Short (54.1) (43.5) (47.5) (55.5) (46.3) (46.5) (46.4) (51.0) (56.8) (51.1) (46.0) (53.8) (61.5) (44.1) (43.5) (41.3) (60.8) (45.0) (43.8) (56.9) (49.9) (47.0) (53.4) (38.2) (49.3)Gross 171.8 160.1 155.1 164.4 154.7 155.5 157.4 162.5 165.0 169.2 161.1 168.1 173.9 155.8 156.0 150.2 176.1 160.1 155.8 174.5 166.6 155.0 161.4 155.3 161.9Net 63.7 73.1 60.1 53.5 62.1 62.6 64.6 60.5 51.4 66.9 69.0 60.6 51.0 67.6 69.0 67.7 54.5 70.1 68.1 60.7 66.9 61.0 54.6 79.0 63.2Weight 2.5% 3.1% 2.8% 2.7% 3.0% 3.0% 2.8% 2.9% 2.7% 2.9% 2.5% 2.4% 2.9% 2.9% 2.7% 2.4% 2.8% 2.8% 2.5% 2.7% 2.5% 2.6% 2.9% 2.6% 2.7%
Manager20 Long 72.1 71.7 69.4 77.2 78.7 76.4 68.4 75.0 78.3 70.2 74.2 77.9 78.2 71.5 78.2 77.3 74.5 74.8 75.8 76.4 74.1 67.1 67.1 75.3 74.2Short (50.2) (40.2) (57.9) (52.7) (44.4) (47.9) (38.9) (51.6) (53.0) (60.8) (44.1) (50.1) (45.6) (60.6) (49.0) (45.7) (51.2) (44.1) (53.1) (53.4) (45.3) (37.3) (45.2) (61.4) (49.3)Gross 122.3 111.9 127.3 129.9 123.1 124.4 107.4 126.6 131.2 131.0 118.3 128.1 123.7 132.1 127.2 123.0 125.8 118.9 128.9 129.8 119.4 104.4 112.3 136.7 123.5Net 21.9 31.5 11.5 24.5 34.4 28.5 29.5 23.3 25.3 9.5 30.1 27.8 32.6 10.9 29.1 31.6 23.3 30.8 22.7 22.9 28.8 29.7 21.9 14.0 24.8Weight 4.1% 4.4% 4.0% 4.0% 4.7% 4.4% 4.3% 4.5% 4.0% 4.3% 4.0% 4.4% 4.0% 4.1% 3.6% 3.9% 4.2% 4.3% 4.0% 4.0% 4.0% 3.9% 3.8% 3.9% 4.1%
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HISTORICALEXPOSURESJun11 Jul11 Aug11 Sep11 Oct11 Nov11 Dec11 Jan12 Feb12 Mar12 Apr12 May12 Jun12 Jul12 Aug12 Sep12 Oct12 Nov12 Dec12 Jan13 Feb13 Mar13 Apr13 May13 AVG
TotalLong 83.6 82.0 83.6 82.2 86.3 81.0 80.6 84.6 79.9 82.3 81.9 87.1 82.8 82.5 82.1 84.0 86.7 83.0 79.8 81.5 82.7 82.9 81.8 84.9 82.9TotalShort (51.1) (41.7) (50.3) (52.4) (45.9) (42.3) (44.6) (43.0) (43.9) (44.7) (49.0) (46.7) (44.0) (49.4) (41.4) (44.9) (50.4) (46.8) (46.8) (48.0) (48.0) (46.9) (47.6) (49.3) (46.6)TotalGross 134.8 123.7 133.9 134.6 132.2 123.4 125.1 127.6 123.7 127.0 130.9 133.8 126.9 131.9 123.5 128.9 137.1 129.9 126.5 129.5 130.7 129.7 129.4 134.2 129.5TotalNet 32.5 40.3 33.3 29.8 40.3 38.7 36.0 41.5 36.0 37.6 32.9 40.3 38.8 33.1 40.6 39.1 36.2 36.2 33.0 33.4 34.6 36.0 34.2 35.6 36.3AUM 6,433 6,490 5,596 5,886 5,958 5,128 6,331 6,490 5,489 5,278 5,415 6,478 5,707 5,925 6,065 5,180 6,218 6,261 6,274 5,846 6,079 5,849 5,822 5,090 5,887Coverage 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%
INDIVIDUALEXPOSURESManager21 Long 67.1 69.8 78.3 78.5 76.4 68.2 71.9 73.4 74.7 67.1 69.7 77.6 74.4 78.1 67.4 73.8 78.0 75.7 78.2 70.1 73.4 78.2 69.6 68.9 73.3
Short (41.4) (40.0) (59.4) (57.1) (39.3) (42.8) (47.1) (52.7) (44.7) (42.4) (38.5) (45.1) (42.9) (44.2) (57.4) (47.0) (52.2) (37.5) (49.4) (37.3) (58.5) (52.8) (58.5) (53.7) (47.6)Gross 108.5 109.8 137.7 135.7 115.7 111.0 119.0 126.1 119.5 109.5 108.1 122.7 117.3 122.3 124.7 120.8 130.2 113.2 127.6 107.3 131.9 130.9 128.1 122.6 120.8Net 25.7 29.8 18.9 21.4 37.1 25.4 24.8 20.7 30.0 24.8 31.2 32.5 31.6 33.9 10.0 26.9 25.7 38.2 28.8 32.8 14.8 25.4 11.1 15.3 25.7Weight 1.9% 1.9% 1.9% 1.8% 2.0% 1.9% 1.9% 1.7% 1.5% 1.7% 2.0% 2.2% 1.8% 2.2% 1.7% 1.6% 1.6% 1.5% 1.7% 1.6% 1.8% 2.2% 1.7% 1.6% 1.8%
Manager22 Long 87.1 77.2 83.6 84.4 83.2 81.5 87.2 85.8 86.0 79.4 87.6 85.3 85.9 88.6 83.5 87.6 85.2 83.6 77.1 79.0 88.1 78.2 77.0 88.2 83.8Short (54.6) (37.1) (58.5) (56.0) (44.5) (46.7) (59.6) (52.6) (46.1) (47.6) (49.3) (46.9) (39.0) (59.2) (52.0) (38.9) (47.6) (58.5) (41.1) (43.1) (47.6) (45.1) (53.6) (45.8) (48.8)Gross 141.7 114.3 142.1 140.5 127.8 128.2 146.7 138.4 132.0 127.0 137.0 132.2 124.9 147.8 135.4 126.5 132.8 142.1 118.2 122.1 135.8 123.3 130.6 134.0 132.5Net 32.5 40.0 25.0 28.4 38.7 34.9 27.6 33.2 39.9 31.8 38.3 38.4 46.9 29.4 31.5 48.6 37.6 25.0 36.0 35.9 40.5 33.1 23.4 42.4 35.0Weight 1.5% 1.2% 1.5% 1.7% 1.6% 1.6% 1.2% 1.9% 1.7% 1.3% 1.2% 1.4% 1.6% 1.1% 1.5% 1.6% 1.6% 1.2% 1.2% 1.6% 1.2% 1.2% 1.2% 1.6% 1.4%
Manager23 Long 58.4 65.1 66.9 64.2 57.3 59.6 61.1 62.6 68.8 59.6 61.3 65.8 62.9 58.8 68.6 60.3 68.9 61.3 61.1 65.4 58.5 66.8 65.4 65.3 63.1Short (54.1) (40.2) (58.0) (59.6) (45.5) (42.0) (52.5) (41.4) (40.7) (39.7) (60.9) (55.3) (44.0) (47.8) (38.9) (56.0) (55.6) (52.6) (42.4) (50.7) (51.2) (51.9) (50.7) (55.6) (49.5)Gross 112.5 105.2 124.9 123.7 102.8 101.6 113.6 104.0 109.5 99.2 122.2 121.1 106.9 106.5 107.6 116.3 124.5 113.9 103.4 116.1 109.7 118.8 116.1 120.9 112.5Net 4.3 24.9 9.0 4.6 11.9 17.6 8.6 21.3 28.1 19.9 0.3 10.6 19.0 11.0 29.7 4.4 13.4 8.8 18.7 14.7 7.3 14.9 14.7 9.7 13.6Weight 0.9% 1.1% 1.2% 0.8% 1.3% 1.3% 1.4% 0.8% 1.0% 1.4% 1.1% 1.0% 0.9% 1.4% 0.7% 1.5% 1.1% 1.0% 1.3% 1.4% 1.2% 1.1% 1.2% 0.9% 1.1%
Manager24 Long 109.6 104.9 108.2 101.5 106.6 101.7 100.4 102.1 105.3 101.1 101.5 109.9 97.6 100.4 98.6 104.0 108.3 102.2 100.6 105.5 105.0 107.3 105.3 99.4 103.6Short (54.1) (58.7) (57.3) (46.9) (42.6) (39.5) (44.3) (41.2) (58.0) (45.3) (49.3) (48.2) (43.7) (40.6) (40.9) (50.0) (48.3) (45.9) (59.7) (59.0) (46.5) (53.8) (61.8) (54.9) (49.6)Gross 163.7 163.7 165.6 148.4 149.3 141.3 144.8 143.2 163.4 146.4 150.7 158.1 141.3 141.0 139.4 154.0 156.5 148.1 160.3 164.6 151.5 161.1 167.2 154.3 153.2Net 55.6 46.2 50.9 54.6 64.0 62.2 56.1 60.9 47.3 55.8 52.2 61.7 54.0 59.8 57.7 54.0 60.0 56.3 40.9 46.5 58.4 53.5 43.5 44.6 54.0Weight 2.6% 2.3% 2.9% 2.8% 2.5% 2.6% 2.6% 2.7% 2.3% 2.7% 2.7% 2.7% 2.7% 2.7% 2.6% 2.3% 2.7% 2.6% 2.4% 2.7% 2.6% 3.0% 2.5% 2.3% 2.6%
Manager25 Long 72.7 70.1 76.1 78.6 78.1 67.6 69.4 75.6 74.5 71.2 71.9 67.7 72.5 73.8 74.4 77.9 75.9 72.8 68.1 68.3 76.3 77.8 76.4 78.2 73.6Short (56.2) (38.2) (56.0) (60.8) (61.4) (40.3) (55.1) (38.4) (39.5) (57.8) (49.9) (51.0) (47.6) (56.4) (53.8) (46.3) (40.9) (55.5) (46.9) (58.3) (55.0) (56.6) (53.2) (55.7) (51.3)Gross 128.9 108.3 132.1 139.4 139.5 107.9 124.5 114.0 114.0 129.0 121.8 118.7 120.0 130.2 128.2 124.3 116.8 128.2 115.0 126.6 131.2 134.4 129.6 133.9 124.8Net 16.5 31.9 20.1 17.8 16.8 27.4 14.3 37.2 35.0 13.4 22.1 16.7 24.9 17.4 20.5 31.6 35.1 17.3 21.1 10.1 21.3 21.1 23.2 22.6 22.3Weight 2.9% 2.8% 3.3% 3.4% 2.9% 3.3% 3.4% 2.7% 3.2% 3.3% 2.7% 3.3% 2.8% 3.2% 2.8% 3.0% 3.3% 3.1% 3.3% 3.1% 3.6% 3.5% 3.0% 2.9% 3.1%
Manager26 Long 75.2 80.9 77.9 73.5 76.1 69.1 81.8 79.5 79.3 81.4 86.8 85.5 74.2 84.5 76.7 80.4 87.7 85.9 82.5 78.3 71.1 69.7 73.5 75.1 78.6Short (59.9) (39.9) (47.4) (56.1) (59.1) (42.8) (44.0) (37.5) (43.8) (42.6) (52.3) (39.9) (44.7) (54.0) (41.2) (38.6) (44.7) (51.6) (51.1) (46.0) (38.2) (51.3) (47.7) (46.0) (46.7)Gross 135.0 120.8 125.3 129.6 135.2 111.9 125.8 117.0 123.1 123.9 139.1 125.4 118.9 138.5 117.9 119.0 132.5 137.5 133.6 124.3 109.3 121.0 121.2 121.1 125.3Net 15.3 41.0 30.4 17.4 16.9 26.2 37.8 42.0 35.4 38.8 34.5 45.5 29.6 30.6 35.5 41.8 43.0 34.3 31.4 32.3 32.9 18.3 25.8 29.1 31.9Weight 4.0% 4.2% 4.2% 4.4% 4.6% 3.9% 4.2% 3.9% 4.4% 4.4% 4.0% 4.1% 4.1% 3.7% 3.7% 4.3% 4.2% 3.9% 3.9% 4.2% 4.7% 4.5% 4.2% 4.0% 4.2%
Manager27 Long 77.2 71.8 70.5 68.1 77.0 73.1 71.6 71.3 67.2 76.9 76.5 67.6 76.1 70.3 73.3 78.6 77.6 73.2 73.6 76.1 71.2 67.2 76.6 77.9 73.3Short (43.3) (38.4) (37.8) (60.7) (39.3) (39.3) (45.9) (39.3) (37.8) (43.4) (58.8) (51.4) (41.0) (55.6) (42.6) (53.5) (59.9) (48.1) (61.6) (54.1) (55.7) (48.6) (53.0) (54.2) (48.5)Gross 120.5 110.2 108.2 128.8 116.3 112.4 117.5 110.7 105.0 120.3 135.3 118.9 117.2 125.9 115.9 132.1 137.6 121.2 135.1 130.1 126.9 115.9 129.7 132.1 121.8Net 33.9 33.4 32.7 7.3 37.7 33.8 25.7 32.0 29.3 33.5 17.7 16.2 35.1 14.7 30.7 25.1 17.7 25.1 12.0 22.0 15.4 18.6 23.6 23.8 24.9Weight 4.5% 5.0% 4.7% 4.9% 5.1% 5.4% 4.8% 5.0% 4.7% 4.7% 4.8% 4.8% 4.6% 4.5% 4.7% 4.5% 5.1% 5.1% 4.8% 4.5% 5.0% 5.0% 4.9% 4.7% 4.8%
Manager28 Long 125.8 117.2 123.6 134.1 133.6 133.2 126.8 125.1 118.4 118.0 127.1 137.7 134.0 138.1 130.9 134.5 120.7 127.5 119.9 124.3 123.8 124.2 134.1 127.4 127.5Short (52.1) (54.9) (50.6) (43.9) (42.8) (50.2) (44.5) (44.7) (51.5) (37.4) (60.5) (37.1) (50.5) (55.4) (37.3) (47.9) (56.7) (49.7) (44.6) (47.8) (56.0) (39.0) (41.3) (43.6) (47.5)Gross 177.9 172.1 174.2 177.9 176.4 183.4 171.3 169.8 169.9 155.3 187.6 174.8 184.5 193.5 168.2 182.5 177.4 177.2 164.4 172.1 179.8 163.2 175.4 171.0 175.0Net 73.8 62.4 73.0 90.2 90.8 83.0 82.3 80.4 66.9 80.6 66.7 100.6 83.5 82.7 93.6 86.6 64.0 77.8 75.3 76.5 67.8 85.2 92.8 83.8 80.0Weight 7.0% 7.1% 6.4% 6.4% 7.4% 6.4% 6.2% 7.3% 6.1% 6.5% 6.5% 6.2% 6.8% 7.2% 7.2% 6.9% 6.9% 6.6% 7.0% 6.4% 7.2% 6.6% 7.2% 6.2% 6.7%
Cash&Other Long Short Gross Net Weight 3.1% 3.9% 3.0% 4.3% 2.0% 3.4% 4.5% 2.4% 6.6% 3.8% 6.4% 2.4% 5.5% 5.6% 5.3% 4.3% 3.8% 4.6% 6.2% 6.1% 2.7% 1.9% 6.0% 2.7% 4.2%
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FundsValue($000) Percent Cumul. Long Short Gross Net Gross Net Fund Strat Firm Owned MTD 3M TTM MTD 3M TTM Gross Net
SAManager1 19,500 13.0% 13.0% 377 (348) 725 29 22.6% 10.7% N/A N/A N/A N/A 2.2% (0.0%) (2.1%) 0.3% (0.0%) (0.3%)SAManager2 3,000 2.0% 15.0% 50 (50) 100 0 0.5% 0.0% N/A N/A N/A N/A 0.7% 4.6% 4.9% 0.0% 0.1% 0.1%SAManager3 0 0.0% 15.0% 50 (50) 100 0 0.0% 0.0% N/A N/A N/A N/A (1.5%) (3.6%) (2.1%) 0.0% 0.0% 0.0%SAManager4 7,500 5.0% 20.0% 50 (50) 100 0 1.2% 0.0% N/A N/A N/A N/A 3.8% 6.4% 14.0% 0.2% 0.3% 0.7%SAManager5 6,000 4.0% 24.0% 82 (103) 185 (21) 1.8% (2.4%) 199 2,248 2,248 3.0% (1.2%) (3.2%) 12.3% (0.0%) (0.1%) 0.5%SAManager6 13,500 9.0% 33.0% 50 (50) 100 0 2.2% 0.0% N/A N/A N/A N/A 3.0% (0.3%) (5.6%) 0.3% (0.0%) (0.5%)SAManager7 3,000 2.0% 35.0% 317 (299) 616 17 2.9% 1.0% 3,493 11,454 N/A 0.1% 3.6% 8.8% (1.0%) 0.1% 0.2% (0.0%)SAManager8 18,000 12.0% 47.0% 880 (795) 1675 86 48.1% 29.5% 1,288 5,370 N/A 1.4% (0.9%) (2.0%) 22.7% (0.1%) (0.2%) 2.7%SAManager9 4,500 3.0% 50.0% 151 (195) 347 (44) 2.5% (3.8%) 2,345 3,193 N/A 0.2% (3.2%) 1.5% 14.3% (0.1%) 0.0% 0.4%SAManager10 10,500 7.0% 57.0% 50 (50) 100 0 1.7% 0.0% N/A N/A N/A N/A (4.2%) 5.8% 17.6% (0.3%) 0.4% 1.2%SAManager11 16,500 11.0% 68.0% 89 (21) 110 68 2.9% 21.5% 5,600 5,600 19,500 0.3% (2.5%) 6.3% 18.3% (0.3%) 0.7% 2.0%SAManager12 6,000 4.0% 72.0% 89 (40) 129 50 1.2% 5.7% N/A N/A N/A N/A 3.4% 1.0% 6.8% 0.1% 0.0% 0.3%SAManager13 9,000 6.0% 78.0% 102 (83) 185 19 2.7% 3.3% 859 1,205 N/A 1.0% (1.9%) 3.8% 16.3% (0.1%) 0.2% 1.0%SAManager14 0 0.0% 78.0% 50 (50) 100 0 0.0% 0.0% N/A N/A N/A N/A (2.3%) 8.2% 13.1% 0.0% 0.0% 0.0%SAManager15 1,500 1.0% 79.0% 50 (50) 100 0 0.2% 0.0% N/A N/A N/A N/A 1.2% 6.3% 3.6% 0.0% 0.1% 0.0%SAManager16 0 0.0% 79.0% 50 (50) 100 0 0.0% 0.0% N/A N/A N/A N/A (4.7%) (3.8%) (4.8%) 0.0% 0.0% 0.0%SAManager17 12,000 8.0% 87.0% 127 (87) 214 40 4.1% 9.1% 19,179 19,179 33,666 0.1% 2.9% 0.4% 5.5% 0.2% 0.0% 0.4%SAManager18 3,000 2.0% 89.0% 153 (26) 179 128 0.9% 7.3% 2,161 2,161 33,666 0.1% (3.2%) 7.5% 21.3% (0.1%) 0.2% 0.4%SAManager19 9,000 6.0% 95.0% 85 (24) 109 61 1.6% 10.5% 1,350 1,350 N/A 0.7% 3.3% 0.1% 11.6% 0.2% 0.0% 0.7%SAManager20 1,500 1.0% 96.0% 105 (12) 117 93 0.3% 2.7% 1,184 3,639 3,639 0.1% 1.8% 1.2% 2.3% 0.0% 0.0% 0.0%SAManager21 1,500 1.0% 97.0% 198 (142) 340 56 0.8% 1.6% N/A N/A N/A N/A 0.7% (4.4%) 17.4% 0.0% (0.0%) 0.2%SAManager22 1,500 1.0% 98.0% 234 (138) 373 96 0.9% 2.7% 558 558 N/A 0.3% 2.0% 8.5% 6.0% 0.0% 0.1% 0.1%SAManager23 1,500 1.0% 99.0% 176 (160) 335 16 0.8% 0.5% 34 410 N/A 4.4% (2.2%) 7.8% 15.6% (0.0%) 0.1% 0.2%SAManager24 1,500 1.0% 100.0% 50 (50) 100 0 0.2% 0.0% N/A N/A N/A N/A (2.9%) 0.2% 6.5% (0.0%) 0.0% 0.1%
CashPortfolio 226.3 (191.4) 417.6 34.9 100.0% 100.0% 3,188 4,697 18,544 1.0%
AttributionAllocation Exposure %ofPortfolio Assets($MM) Performance Exposure
725100100100185
100616
1,675347
100110129185
100100100214179109117
340373335
100
29
21
1786
44
6850
19
40128
6193
5696
16
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FrequencybyStrategy GrossExposurebyStrategy NetExposurebyStrategySE EquityLongShort 14 5.1% 0.7% 5.4% 4.7%SEMarketNeutral 0 #####SE ShortBias 0 #####SE LongBias/EqLongOnly 0 #####SE EquityOther 0 #####SEMergerArbitrage 4 2.8% 16.2% 1.6% 3.9%SE ActivistSituations 0 #####SE SpecialSituations 2 0.6% 1.6% 0.5% 0.7%SEDistressed/HighYield 4 1.1% 13.2% 0.0% 2.0%SE EventOther 6 6.3% 12.5% 5.7% 6.8%SRConvertibleArbitrage 2 0.2% 0.1% 0.2% 0.2%SRFixedIncomeArbitrage 1 3.8% 8.2% 3.4% 4.1%SRMBS/ABSArbitrage 0 #####SRVolatilityArbitrage 1 16.1% 2.7% ##### 14.6%SRStatisticalArbitrage 0 #####SRIndexArbitrage 1 0.0% 0.1% 0.0% 0.0%SRRelValArb(Multistrat) 3 10.3% 7.5% ##### 10.1%SCCreditLongShort 10 4.5% 5.4% 4.4% 4.6%SCStructuredCredit 7 6.7% 2.4% 7.5% 6.0%SCCapitalStructureArb 3 0.1% 0.0% 0.1% 0.1%SCLoans 3 4.8% 2.4% 5.1% 4.6%SCHighYield 1 0.0% 0.1% 0.0% 0.0%SCAssetBackedLending 0 #####SCFixedIncomeMultistrat 0 #####SRRealEstate 2 0.7% 5.8% 0.2% 1.1%ST CTA 5 0.4% 0.0% 0.4% 0.4%ST ShortTermSystematic 0 #####ST Currency 1 0.2% 0.5% 0.2% 0.2%ST Directional 0 #####SPPrivateSecurities 5 2.3% 11.8% 1.4% 3.0%SGGlobalMacro 7 24.7% 11.8% ##### 23.7%SMMultistrategyDiversified 0 #####SOOther 6 9.3% 8.1% 9.5% 9.3%
0 #N/A #N/A #N/A #N/A0 #N/A #N/A #N/A #N/A
ExposurebyStrategy 0 #N/A #N/A #N/A #N/A0 #N/A #N/A #N/A #N/A
LongandShortExposurebyStrategy14
4
24
62
1
1
13
107
33
1
25
1
57
6
5.05%
2.84%
0.62%1.10%
6.29%0.17%
3.78%
16.05%
0.03%10.31%
4.51%6.66%
0.06%4.84%
0.01%
0.66%0.39%
0.22%
2.28%24.71%
9.35%
5.45%
1.62%
0.52%0.00%
5.72%0.17%
3.37%
17.76%
0.02%10.56%
4.43%7.49%
0.07%5.06%
0.19%0.42%
0.19%
1.41%25.88%
9.46%
4.72%
3.87%
0.70%2.03%
6.77%0.16%
4.12%
14.61%
0.04%10.09%
4.58%5.96%
0.05%4.65%
0.01%
1.06%0.37%
0.24%
3.01%23.71%
9.25%
0.72%
16.21%
1.65%13.17%12.51%
0.12%8.24%
2.66%
0.15%7.54%
5.39%2.44%
0.02%2.41%
0.08%
5.82%0.04%
0.49%
11.77%11.82%
8.07%
30.0%
20.0%
10.0%
0.0%
10.0%
20.0%
30.0%
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STRATEGYLong Short Gross Net Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G
Manager1 377 (348) 725 29 24 (17) 41 8 24 (17) 41 8Manager2 50 (50) 100 0Manager3 50 (50) 100 0 50 (50) 100 0 50 (50) 100 0Manager4 50 (50) 100 0Manager5 82 (103) 185 (21) 61 (72) 133 (10) 61 (72) 133 (10)Manager6 50 (50) 100 0Manager7 317 (299) 616 17 55 (52) 108 3 55 (52) 108 3Manager8 880 (795) 1675 86Manager9 151 (195) 347 (44) 10 (12) 22 (3) 10 (12) 22 (3)Manager10 50 (50) 100 0 12 (12) 24 0 12 (12) 24 0Manager11 89 (21) 110 68Manager12 89 (40) 129 50 15 (37) 52 (21) 15 (37) 52 (21)Manager13 102 (83) 185 19 11 (8) 19 4 11 (8) 19 4Manager14 50 (50) 100 0Manager15 50 (50) 100 0 50 (50) 100 0 50 (50) 100 0Manager16 50 (50) 100 0 50 (50) 100 0 50 (50) 100 0Manager17 127 (87) 214 40Manager18 153 (26) 179 128Manager19 85 (24) 109 61Manager20 105 (12) 117 93 9 (0) 10 9 9 (0) 10 9Manager21 198 (142) 340 56 41 (36) 77 5 41 (36) 77 5Manager22 234 (138) 373 96 48 (33) 81 15 48 (33) 81 15Manager23 176 (160) 335 16 7 (3) 9 4 7 (3) 9 4Manager24 50 (50) 100 0
CashPortfolio 100% 100% 100% 100% 5% 5% 5% 1% 5% 5% 5% 1%
StrategyExposure EquityLongShortLONG/SHORTEQUITY
MarketNeutral ShortBias LongBias/EquityLongOnly EquityOther TOTALL/SEQUITY
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STRATEGYLong Short Gross Net Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G
Manager1 377 (348) 725 29Manager2 50 (50) 100 0 50 (50) 100 0 50 (50) 100 0Manager3 50 (50) 100 0Manager4 50 (50) 100 0 50 (50) 100 0 50 (50) 100 0Manager5 82 (103) 185 (21)Manager6 50 (50) 100 0 50 (50) 100 0 50 (50) 100 0Manager7 317 (299) 616 17Manager8 880 (795) 1675 86Manager9 151 (195) 347 (44)Manager10 50 (50) 100 0Manager11 89 (21) 110 68 5 (1) 6 4 0 0 0 0 5 (1) 6 4Manager12 89 (40) 129 50 58 (0) 58 58 58 (0) 58 58Manager13 102 (83) 185 19 10 0 10 10 82 (57) 139 24 91 (57) 149 34Manager14 50 (50) 100 0 50 (50) 100 0 50 (50) 100 0Manager15 50 (50) 100 0Manager16 50 (50) 100 0Manager17 127 (87) 214 40 103 (37) 140 66 25 0 25 25 127 (37) 164 90Manager18 153 (26) 179 128 153 (26) 179 128 153 (26) 179 128Manager19 85 (24) 109 61 0 0 0 0 5 0 5 5 6 0 6 6 11 0 11 11Manager20 105 (12) 117 93 0 0 0 0 0 0 0 0Manager21 198 (142) 340 56Manager22 234 (138) 373 96Manager23 176 (160) 335 16Manager24 50 (50) 100 0
CashPortfolio 100% 100% 100% 100% 4% 2% 3% 16% 1% 1% 1% 2% 2% 0% 1% 13% 7% 6% 6% 13% 13% 8% 11% 44%
Distressed/HighYield EventOther TOTALEVENTEVENTDRIVEN
StrategyExposure MergerArbitrage ActivistSituations SpecialSituations
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STRATEGYLong Short Gross Net Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G
Manager1 377 (348) 725 29 3 (3) 5 0 72 (50) 121 22 254 (261) 516 (7) 1 (0) 1 0Manager2 50 (50) 100 0Manager3 50 (50) 100 0Manager4 50 (50) 100 0Manager5 82 (103) 185 (21)Manager6 50 (50) 100 0Manager7 317 (299) 616 17Manager8 880 (795) 1675 86Manager9 151 (195) 347 (44)Manager10 50 (50) 100 0Manager11 89 (21) 110 68Manager12 89 (40) 129 50Manager13 102 (83) 185 19Manager14 50 (50) 100 0Manager15 50 (50) 100 0Manager16 50 (50) 100 0Manager17 127 (87) 214 40Manager18 153 (26) 179 128Manager19 85 (24) 109 61Manager20 105 (12) 117 93 0 0 0 0Manager21 198 (142) 340 56Manager22 234 (138) 373 96Manager23 176 (160) 335 16Manager24 50 (50) 100 0
CashPortfolio 100% 100% 100% 100% 0% 0% 0% 0% 4% 3% 4% 8% 15% 18% 16% 3% 0% 0% 0% 0%
FixedIncomeArbitrage MBS/ABSArbitrage VolatilityArbitrage StatisticalArbitrage IndexArbitrageRELATIVEVALUE
StrategyExposure ConvertibleArbitrage
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STRATEGYLong Short Gross Net Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G
Manager1 377 (348) 725 29 4 0 4 4 333 (314) 647 19 2 (1) 3 2Manager2 50 (50) 100 0Manager3 50 (50) 100 0Manager4 50 (50) 100 0Manager5 82 (103) 185 (21) 15 (31) 46 (17)Manager6 50 (50) 100 0Manager7 317 (299) 616 17 35 (33) 68 2 35 (33) 68 2 38 (36) 74 2Manager8 880 (795) 1675 86 180 (163) 343 18 180 (163) 343 18 79 (72) 151 8Manager9 151 (195) 347 (44) 109 (126) 235 (17)Manager10 50 (50) 100 0 13 (13) 26 0Manager11 89 (21) 110 68 33 (5) 38 28Manager12 89 (40) 129 50 14 0 14 14 2 (3) 6 (1)Manager13 102 (83) 185 19 0 (18) 18 (18)Manager14 50 (50) 100 0Manager15 50 (50) 100 0Manager16 50 (50) 100 0Manager17 127 (87) 214 40 0 (50) 50 (50)Manager18 153 (26) 179 128Manager19 85 (24) 109 61 2 0 2 2 0 0 0 0 0 0 0 0Manager20 105 (12) 117 93 0 0 0 0 86 (1) 87 85 5 0 5 5 1 (0) 1 1Manager21 198 (142) 340 56 92 (65) 157 27Manager22 234 (138) 373 96 131 (64) 195 67Manager23 176 (160) 335 16 104 (52) 157 52Manager24 50 (50) 100 0
CashPortfolio 100% 100% 100% 100% 10% 11% 10% 8% 29% 32% 30% 13% 5% 4% 5% 5% 6% 7% 7% 2% 0% 0% 0% 0%
StructuredCredit CapitalStructureArbitrageCREDITRELATIVEVALUEcont'd
StrategyExposure RelValArbitrage(Multistrategy) TOTALRELATIVEVALUE CreditLongShort
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STRATEGYLong Short Gross Net Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G
Manager1 377 (348) 725 29 2 (1) 3 2Manager2 50 (50) 100 0Manager3 50 (50) 100 0Manager4 50 (50) 100 0Manager5 82 (103) 185 (21) 15 (31) 46 (17)Manager6 50 (50) 100 0Manager7 317 (299) 616 17 16 (15) 31 1 54 (51) 105 3Manager8 880 (795) 1675 86 70 (64) 134 7 150 (135) 285 15Manager9 151 (195) 347 (44) 109 (126) 235 (17)Manager10 50 (50) 100 0 25 (25) 50 0 38 (38) 76 0Manager11 89 (21) 110 68 33 (5) 38 28Manager12 89 (40) 129 50 16 (3) 20 13Manager13 102 (83) 185 19 0 (18) 18 (18)Manager14 50 (50) 100 0Manager15 50 (50) 100 0Manager16 50 (50) 100 0Manager17 127 (87) 214 40 0 (50) 50 (50)Manager18 153 (26) 179 128Manager19 85 (24) 109 61 0 0 0 0 3 0 3 3Manager20 105 (12) 117 93 92 (1) 93 91Manager21 198 (142) 340 56 92 (65) 157 27Manager22 234 (138) 373 96 131 (64) 195 67Manager23 176 (160) 335 16 104 (52) 157 52Manager24 50 (50) 100 0
CashPortfolio 100% 100% 100% 100% 5% 5% 5% 2% 0% 0% 0% 0% 15% 17% 16% 5%
Distressed/HighYield AssetBasedLending FixedIncomeMultistrategy TOTALCREDITCREDITcont'd
StrategyExposure Loans
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STRATEGYLong Short Gross Net Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G
Manager1 377 (348) 725 29 1 0 1 1 1 0 1 1Manager2 50 (50) 100 0Manager3 50 (50) 100 0Manager4 50 (50) 100 0Manager5 82 (103) 185 (21)Manager6 50 (50) 100 0Manager7 317 (299) 616 17Manager8 880 (795) 1675 86Manager9 151 (195) 347 (44) 16 (14) 30 2 16 (14) 30 2Manager10 50 (50) 100 0Manager11 89 (21) 110 68Manager12 89 (40) 129 50Manager13 102 (83) 185 19Manager14 50 (50) 100 0Manager15 50 (50) 100 0Manager16 50 (50) 100 0Manager17 127 (87) 214 40Manager18 153 (26) 179 128Manager19 85 (24) 109 61Manager20 105 (12) 117 93Manager21 198 (142) 340 56 11 (4) 15 7 54 (37) 91 17 65 (41) 106 24Manager22 234 (138) 373 96 5 (8) 13 (3) 5 (8) 13 (3)Manager23 176 (160) 335 16 6 (28) 33 (22) 6 (28) 33 (22)Manager24 50 (50) 100 0
CashPortfolio 100% 100% 100% 100% 0% 0% 0% 0% 0% 0% 0% 0% 1% 1% 1% 1%
Systematic/TrendFollowing Currency Directional TOTALCTACTA
StrategyExposure ManagedFutures
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STRATEGYLong Short Gross Net Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G Long Short Gross Net %G
Manager1 377 (348) 725 29 16 (14) 30 2Manager2 50 (50) 100 0Manager3 50 (50) 100 0Manager4 50 (50) 100 0Manager5 82 (103) 185 (21) 6 0 6 6Manager6 50 (50) 100 0Manager7 317 (299) 616 17 19 (18) 37 1 78 (73) 151 4 16 (15) 31 1 60 (57) 117 3Manager8 880 (795) 1675 86 427 (385) 812 42 123 (111) 234 12Manager9 151 (195) 347 (44) 17 (43) 59 (26)Manager10 50 (50) 100 0Manager11 89 (21) 110 68 18 0 18 18 25 (11) 36 14 8 (3) 11 5Manager12 89 (40) 129 50Manager13 102 (83) 185 19Manager14 50 (50) 100 0Manager15 50 (50) 100 0Manager16 50 (50) 100 0Manager17 127 (87) 214 40Manager18 153 (26) 179 128Manager19 85 (24) 109 61 38 0 38 38 33 (24) 56 9Manager20 105 (12) 117 93 0 0 0 0 0 (10) 10 (9) 3 (1) 4 2Manager21 198 (142) 340 56Manager22 234 (138) 373 96 50 (34) 85 16Manager23 176 (160) 335 16 59 (77) 136 (17)Manager24 50 (50) 100 0 50 (50) 100 0
CashPortfolio 100% 100% 100% 100% 1% 0% 1% 6% 3% 1% 2% 12% 24% 26% 25% 12% 9% 9% 9% 8%
PrivateSecurities GlobalMacro MultistrategyDiversified OtherStrategiesILLIQUID GLOBALMACRO MULTISTRATDIVERSIFIED OTHERREALESTATE
StrategyExposure RealEstate