| | |
| | ALPHA CORE STRATEGIES FUND |
SCHEDULE OF INVESTMENTS | | JUNE 30, 2023 (UNAUDITED) |
| | | | |
| | | VALUE
(ROUNDED TO
THOUSANDS) | |
SUB-FUNDS – 90.7% | | | | |
Credit/Distressed – 25.5% (Cost $124,162,000) | | | | |
140 Summer Partners Onshore LP | | $ | 23,331,000 | |
AG Corporate Credit Opportunities Fund, L.P. | | | 24,571,000 | |
Antara Capital Onshore Fund LP | | | 16,363,000 | |
Bybrook Capital Fund Limited | | | 10,073,000 | |
Diameter Onshore Fund LP | | | 27,332,000 | |
Nut Tree Offshore Fund, Ltd. | | | 25,962,000 | |
Pearlstone Alternative Fund L.P. | | | 2,874,000 | |
Tresidor Europe Credit Fund LP | | | 26,674,000 | |
Wasserstein Debt Opportunities Fund, LP* | | | — | |
| | | | |
| | | 157,180,000 | |
| | | | |
Global Macro – 3.6% (Cost $13,654,000) | | | | |
Gemsstock Fund | | | 21,954,000 | |
| | | | |
Non-U.S. Equity Hedge – 6.4% (Cost $25,577,000) | | | | |
Anatole Partners Ltd.* | | | 1,677,000 | |
BlackRock Emerging Frontiers Fund Ltd | | | 19,924,000 | |
TIG Zebedee Core Fund Limited | | | 17,984,000 | |
| | | | |
| | | 39,585,000 | |
| | | | |
Opportunistic – 3.3% (Cost $16,307,000) | | | | |
Bellus Ventures II LP | | | 10,458,000 | |
Downriver SPC Ltd., For And On Behalf Of Its Segregated Portfolio B | | | 3,179,000 | |
FourWorld Special Opportunities Fund, LLC* | | | 6,983,000 | |
| | | | |
| | | 20,620,000 | |
| | | | |
Relative Value Multi-Strategy – 23.5% (Cost $112,217,000) | | | | |
Acasta Global Fund LP | | | 22,885,000 | |
AG Mortgage Value Partners, L.P. | | | 19,314,000 | |
Frere Hall Fund | | | 16,158,000 | |
Investcorp Interlachen Multi-Strategy Fund, LLC* | | | 8,000 | |
Mariner Atlantic Multi-Strategy Fund, L.P. | | | 23,689,000 | |
Old Orchard Credit Fund, Ltd. | | | 22,355,000 | |
Opti Opportunity Fund, LP | | | 22,092,000 | |
Varadero Partners, L.P. | | | 18,509,000 | |
| | | | |
| | | 145,010,000 | |
| | | | |
| | | | | | | | |
| | | | | | VALUE
(ROUNDED TO
THOUSANDS) | |
SUB-FUNDS – 90.7% continued | | | | | |
Sector Hedge – 8.7% (Cost $41,043,000) | | | | | | | | |
Asturias Fund LP | | | | | | $ | 18,500,000 | |
Camber Capital Fund L.P. | | | | | | | 19,854,000 | |
Energy Dynamics Fund, L.P. | | | | | | | 15,589,000 | |
| | | | | | | | |
| | | | | | | 53,943,000 | |
| | | | | | | | |
Special Situations – 13.8% (Cost $71,680,000) | | | | | | | | |
Engine No. 1 Perennial Total Value Fund, LP | | | | | | | 22,558,000 | |
HG Vora Special Opportunities Fund LP | | | | | | | 21,201,000 | |
Nekton Global Fund Limited | | | | | | | 20,545,000 | |
Pentwater Merger Arbitrage Fund Ltd. | | | | | | | 21,022,000 | |
| | | | | | | | |
| | | | | | | 85,326,000 | |
| | | | | | | | |
U.S. Equity Hedge – 5.9% (Cost $26,790,000) | | | | | | | | |
BBCM Offshore Fund Ltd. | | | | | | | 18,395,000 | |
TPG Public Equity Partners-A, L.P. | | | | | | | 18,175,000 | |
| | | | | | | | |
| | | | | | | 36,570,000 | |
| | | | | | | | |
Total Investments In Sub-Funds (Cost $431,430,000) | | | | | | $ | 560,188,000 | |
| | |
| | | NUMBER
OF
SHARES | | | VALUE
(ROUNDED TO
THOUSANDS) | |
CASH EQUIVALENT – 0.1% | | | | | | | | |
Goldman Sachs Financial Square Government Fund Institutional Shares 5.01%(1) | | | 471,000 | | | $ | 471,000 | |
| | | | | | | | |
Total Cash Equivalent (Cost $471,000) | | | | | | $ | 471,000 | |
| | | | | | | | |
TOTAL INVESTMENTS – 90.8% (Cost $431,901,000) | | | | | | $ | 560,659,000 | |
Other Assets less Liabilities – 9.2% | | | | 56,714,000 | |
NET ASSETS - 100.0% | | | | | | $ | 617,373,000 | |
| (1) | 7-day simple yield as of June 30, 2023 is disclosed. |
| * | During the current year, a portion or all of the underlying investments’ value in these Sub-Funds were held in a side-pocket arrangement. The Fund will not be able to redeem such value from any particular underlying investment until such amount is released from its respective side-pocket arrangement. In the aggregate, approximately 1.40% of the Fund’s net assets are in side-pocket arrangements. The Fund is not able to estimate the timing of receipt of such amounts. |
Percentages shown are based on net assets.
Sub-Fund investments are non-income producing.
See Notes to the Quarterly Report.
QUARTERLY REPORT 1 ALPHA CORE STRATEGIES FUND
| | |
ALPHA CORE STRATEGIES FUND | | |
SCHEDULE OF INVESTMENTS continued | | JUNE 30, 2023 (UNAUDITED) |
At June 30, 2023, the investment strategies of Sub-Funds as a percentage of the Fund’s net assets were as follows:
| | | | |
| STRATEGY WEIGHTINGS | | PERCENTAGE | |
Credit/Distressed | | | 25.5 | % |
Global Macro | | | 3.6 | |
Non-U.S. Equity Hedge | | | 6.4 | |
Opportunistic | | | 3.3 | |
Relative Value Multi-Strategy | | | 23.5 | |
Sector Hedge | | | 8.7 | |
Special Situations | | | 13.8 | |
U.S. Equity Hedge | | | 5.9 | |
Cash Equivalent and Other Assets less Liabilities | | | 9.3 | |
| | | | |
Total | | | 100.0 | % |
| | | | |
At June 30, 2023, the Fund’s Sub-Funds investments were domiciled as follows:
| | | | | | | | |
| COUNTRIES | | COST | | | VALUE | |
Cayman Islands-32.3% | | $ | 142,766,000 | | | $ | 199,228,000 | |
United States-58.4% | | | 288,664,000 | | | | 360,960,000 | |
| | | | | | | | |
Total | | $ | 431,430,000 | | | $ | 560,188,000 | |
| | | | | | | | |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. The Fund’s investment in the Goldman Sachs Financial Square Government Fund, an open-end investment company, is valued at its net asset value and is classified as Level 1 in the fair value hierarchy under Accounting Standard Codification 820, Fair Value Measurement.
In February of 2023 the Investment Manager was notified by Interlachen Capital Group, the Investment Manager for the Investcorp Interlachen Multi-Strategy Fund, LLC (Interlachen Fund or Sub-Fund), that a pending litigation claim held within the Interlachen Fund received a favorable jury verdict that could result in a cash judgement for the Fund. Due to the uncertainty and the timing of ultimate cash judgement, the Investment Manager has not included any potential gain associated with this claim for the Fund. The range of outcomes is estimated between $0.7 and $1.9 Million.
Substantially all uncertainties about the realization of a gain contingency should be resolved before the gain contingency is considered realized or realizable and recognized in the financial statements. A gain is realized when cash or a claim to cash has been received and the cash (or claim to cash) is not subject to refund or clawback. At which time there is certainty to the amount of recovery and the timing of the cash payment the Fund will increase the NAV of the Sub-Fund accordingly.
The Investment Manager has determined that the Sub-Fund’s NAV not to be reasonable based the uncertainty, range of values and timing of the litigation claim, as such, the Sub-Fund is being fair valued as a Level 3 investment.
All other Sub-Funds were valued at fair value, considering the net asset value per share (or its equivalent) provided to the Fund by the Sub-Fund as a practical expedient for fair value, and have not been classified in the fair value hierarchy. See Notes to the Quarterly Report for further risk and liquidity information of the Fund’s underlying investments by major category.
The Fund is not able to obtain complete investment holdings details on each of the Sub-Funds held within the Fund’s portfolio in order to determine whether the Fund’s proportional share of any investments held by the Sub-Funds exceeds 5% of the net assets of the Fund as of June 30, 2023.
See Notes to the Quarterly Report.
ALPHA CORE STRATEGIES FUND 2 QUARTERLY REPORT
| | |
| | ALPHA CORE STRATEGIES FUND |
NOTES TO THE QUARTERLY REPORT | | JUNE 30, 2023 (UNAUDITED) |
1. RISK FACTORS
Financial Accounting Standards Board Accounting Standards Codification 820, Fair Value Measurement requires disclosure to assist in understanding the nature and risk of the investments by major category. The table below summarizes the fair value and other pertinent liquidity information of the Fund’s underlying investments by major category.
| | | | | | | | | | | | | | |
| | | VALUE (IN
MILLIONS) | | | UNFUNDED
COMMITMENTS | | | REDEMPTION FREQUENCY* | | REDEMPTION
NOTICE
PERIOD | |
Credit/Distressed (a) | | $ | 157 | | | $ | — | | | Not Eligible, Quarterly | | | 60-90 Days | |
Global Macro (b) | | | 22 | | | | — | | | Monthly | | | 30 Days | |
Non-U.S. Equity Hedge (c) | | | 40 | | | | — | | | Not Eligible, Monthly, Quarterly | | | 30-90 Days | |
Opportunistic (d) | | | 21 | | | | — | | | Not Eligible, Monthly | | | 90 Days | |
Relative Value Multi-Strategy (e) | | | 145 | | | | — | | | Not Eligible, Monthly, Quarterly | | | 30-90 Days | |
Sector Hedge (c) | | | 54 | | | | — | | | Monthly, Quarterly | | | 60-90 Days | |
Special Situations (a) | | | 85 | | | | — | | | Monthly, Quarterly | | | 60-92 Days | |
U.S. Equity Hedge (c) | | | 36 | | | | — | | | Quarterly | | | 60 Days | |
| | | | | | | | | | | | | | |
| | $ | 560 | | | $ | — | | | | | | | |
| | | | | | | | | | | | | | |
| * | Not eligible is only applicable for side pockets. |
| (a) | Event Driven – The managers in this category seek to profit from opportunities arising from specific situations affecting individual stocks or unique circumstances in a particular industry, sector or market. These market participants typically specialize in certain sectors of the Event Driven space, utilizing unique skills or knowledge of bankruptcy law, specific market events, or otherwise. Sub-strategies in this category include Credit/Distressed and Special Situations. The fair values of the investments in this category have been estimated using the NAV per share (or its equivalent) of the investments. One investment representing approximately 1.18% of the fair value of investments in this category cannot be immediately redeemed because the investment includes restrictions that do not allow for full redemptions within twelve months after acquisition and includes investor-level gate restrictions. The remaining initial investment restriction period for the investment is approximately eight months at June 30, 2023. The subsequent investor-gate level is for fifteen months and does not allow for full redemptions. Investments representing approximately 81.67% of the fair value of investments in this category include shares that cannot be immediately redeemed because the investments include investor-level gate restrictions. These gates are twelve months and do not allow for full redemptions on newly acquired shares. For one investment representing less than 0.01% of the fair value of investments in this category, no redemptions are currently permitted. The Fund is not able to estimate when the redemption restrictions might lapse. |
| (b) | Global Macro – The managers in this category employ strategies directed more heavily towards the ebbs and flows of markets on a larger scale, as opposed to focusing on the relative attractiveness between individual securities. Managers seek to identify the direction that certain markets will follow over various time periods and position their portfolios accordingly. Sub-strategies in this category include Global Macro. The fair values of the investments in this category have been estimated using the NAV per share (or its equivalent) of the investments. As of June 30, 2023, there are no redemption restrictions. |
| (c) | Hedged Equity – The managers in this category seek to identify and select equity securities that will rise in price on the long side and those that will fall in price on the short side. Equity securities make up the large bulk of their underlying exposure. Net exposure ranges from zero to 100%, while gross exposure can be 200% or more. Sub-strategies in this category include Non-U.S. Equity Hedge, Sector Hedge and U.S. Equity Hedge. The fair values of the investments in this category have been estimated using the NAV per share (or its equivalent) of the investments. One investment representing approximately 14.14% of the fair value of investments in this category cannot be immediately redeemed because the investment includes investor-level gate restrictions. The gate is six months and does not allow for full redemptions. For one investment representing approximately 1.29% of the fair value of investments in this category, no redemptions are currently permitted. The Fund is not able to estimate when the redemption restrictions might lapse. |
| (d) | Opportunistic – The managers in this category seek to produce differentiated return streams often with lower fees by offering access to specific trades, based on high conviction ideas, directly to investors. The specific trades that could fall under any of the other vehicles may offer more frequent liquidity. Sub-strategies in this category include Opportunistic. The fair values of the investments in this category have been estimated using the NAV per share (or its equivalent) of the investments. For investments representing 33.86% of the fair value of investments in this category, no redemptions are currently permitted. The Fund is not able to estimate when the redemption restrictions might lapse. |
| (e) | Relative Value – The managers in this category seek to deliver alpha without subjecting themselves to or relying on beta or general market exposure for performance. They seek to do this by identifying and exploiting various arbitrage opportunities between and among related groups of securities, with the expectation that returns will have a low correlation to the markets in which those securities trade. Sub-strategies in this category include Relative Value Multi-Strategy. The fair values of the investments in this category have been estimated using the NAV per share (or its equivalent) of the investments. Investments representing approximately 28.55% of the fair value of investments in this category cannot be immediately redeemed because the investments include investor-level gate restrictions. These gates are for twelve months and do not allow for full redemptions. For one investment representing approximately 0.01% of the fair value of investments in this category, no redemptions are currently permitted. The Fund is not able to estimate when the redemption restrictions might lapse. |
2. SUBSEQUENT EVENTS
Management has evaluated subsequent events for the Fund through the date the quarterly report was issued, and has concluded that there are no recognized or non-recognized subsequent events relevant for disclosure.
QUARTERLY REPORT 3 ALPHA CORE STRATEGIES FUND
