Long / Short Credit

Performance Risk1:

Summary LCP
Ann. Return (net) 0.71%
Ann. Standard Deviation 2.86%
Sharpe Ratio 1.16
Maximum Drawdown -7.15%
Percent Positive (Mo) 69%

Exposure LCP Average
Net Notional Exposure 61.45% 53.98%
Gross Notional Exposure 143.31% 170.24%
Duration 1.37 1.21
Average Quality BBB-
Risk Postions 31

Attribution1:

Investment Category (%) % of Port
Long -0.13% 26.47%
Capital Structure -0.08% 21.26%
Pair Trades -0.03% 51.19%
Opportunistic Trading 0.08% 14.03%
Credit Shorts 0.00% 0.00%
Rate Hedging 0.08% 30.36%

1 The indices presented include the HFRX Fixed Income – Credit Index, HFRX Global Hedge Fund Index, BofA Merrill Lynch US High Yield Constrained Index; Barclays U.S. Corporate Investment Grade Index; Barclays U.S. Aggregate Index, the BofA Merrill Lynch Current 10 Year U.S. Treasury Index. The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. The HFRX Fixed Income – Credit Index includes strategies with exposure to credit across a broad continuum of credit sub-strategies, including corporate, sovereign, distressed, convertible, asset backed, Capital Structure Arbitrage, Multi-Strategy and other Relative Value and Event Drive sub-strategies. The Barclays Aggregate Bond Index, which is a broad based index, measures the investment grade, U.S. dollar denominated, fixed rate, taxable bond market. The Bank of America Merrill Lynch US High Yield Constrained Index is an unmanaged portfolio constructed to mirror the high yield debt market. The Barclays US Corporate Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable corporate bond market. These indices are presented here to demonstrate correlation and beta information and are used for discussion purposes only.