Picton Mahoney Fortified Multi-Strategy Alternative Fund

Company Profile

The fund tactically allocates between traditional and alternative asset classes based on a short to intermediate time horizon and may employ portfolio hedges through the use of options, futures and other securities. The fund utilizes a proprietary multi-layered investment process based on modern portfolio construction technique. To determine its allocation the fund utilizes multiple strategies such as long/short positions in a variety of asset classes, including equity, fixed income, commodities, and currencies, factor risk premia strategies, by ranking groups of securities by their exposure to a factor such as momentum, and alpha processes, by investing in strategies, such as market neutral. A risk-budgeting process is also employed to weigh different components of the portfolios. To measure risk, the fund uses volatility, maximum drawdown experienced through time, tail-risk (a large loss over a short time horizon) as well as both historical and hypothetical stress tests.