FORTIFIED FUNDS AT A GLANCE - JUNE 2021 - Picton Mahoney
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FORTIFIED FUNDS AT A GLANCE JUNE 2021 This material is intended for use by Investment Advisors, including with their clients.
“WE BELIEVE MOST INVESTOR PORTFOLIOS ARE VULNERABLE TO CHANGES IN MARKET AND ECONOMIC CONDITIONS. THERE IS A BETTER WAY TO BUILD PORTFOLIOS, USING MORE PRECISION IN MANAGING RISK EXPOSURES.” David Picton, President and Lead Canadian Portfolio Manager
Markets have evolved. The traditional 60/40 balance of stocks and bonds
no longer offers adequate protection for your wealth.
That’s why we introduced Fortified Funds. To offer investors more
protection when investing in traditional asset classes—to make it easier
to stay invested and grow wealth over time.
For decades, we’ve specialized in helping clients manage volatility to
protect and grow their wealth.
Let us help you stay ahead by staying invested.
PICTON MAHONEY FORTIFIED MULTI-ASSET
Offers the blend of growth and protection most clients are looking for in a balanced fund,
with less correlation to overall markets, and precise risk management
PICTON MAHONEY FORTIFIED INCOME
Receive regular income and capital growth potential with active management of
interest, credit and price risk
PICTON MAHONEY FORTIFIED EQUITY
Access the growth potential of global equities with active protection from downside riskOUR COMPANY
FOUNDED:
WHO WE ARE
2004 WE ARE A TIGHTKNIT TEAM OF INVESTMENT
ASSETS*:
PROFESSIONALS UNITED BY A MISSION: TO HELP
~$9.4 B
AS AT JUNE 2021
CLIENTS ACHIEVE THEIR LONG-TERM INVESTMENT
OBJECTIVES WITH GREATER CERTAINTY.
EMPLOYEES*:
98
AS AT JUNE 2021
HEAD OFFICE TRUSTED PARTNERS EXPERIENCED INNOVATORS PROVEN PERFORMERS
33 Yonge Street, Suite 830 Founded in 2004 and 100% We have an established track Our founding portfolio
Toronto, ON M5E 1G4 employee-owned, we are entrusted record of bringing innovative management team has decades of
CALGARY with managing billions in assets for strategies and global best practices combined experience managing
institutional and individual to Canadian investors. Our money through all market cycles,
Bankers Hall, West Tower
investors across North America. founders were principals at following the same proven
888 – 3rd Street SW, 10th Floor
Synergy Asset Management, investment approach since
Calgary, AB T2P 5C5 Over the years, we have earned our pioneering style diversification in inception. 2008 provided the
reputation as a trusted source of the 1990s. A decade later, they perfect litmus test for our flagship
MONTRÉAL unbiased facts—as people who do
1250 René Lévesque West, Suite 2200 formed Picton Mahoney to make funds. We take pride in the fact that
what they say they’ll do. authentic hedge strategies more our funds did exactly what we said
Montréal, QC H3B 4W8
widely available in Canada (in they’d do: protect and grow capital
VANCOUVER addition to continuing to sub-advise in difficult markets.
Four Bentall Centre the Synergy mandates).
1055 Dunsmuir Street, Suite 3370
Vancouver, BC V7X 1L3
pictonmahoney.comOUR STRATEGIES
FORTIFIED MUTUAL FUNDS WHAT WE OFFER
PIC 8400/ 8401
PIC 8402 /8403
PIC 8500/ 8501
WE PROVIDE THOUGHT-LEADING INVESTMENT
PIC 8402 /8403
PIC 8600/ 8601
SOLUTIONS TO INDIVIDUALS AND INSTITUTIONS,
PIC 8602 /8603
WHILE INVESTING ALONGSIDE THEM IN OUR FUNDS.
FORTIFIED ALTERNATIVE FUNDS & ETF CLASSES
PIC 3000/3001/
PFAE
PIC 3200/3201/
PFLS PRECISE PORTFOLIOS SOPHISTICATED CONTROLS CRITICAL THINKING
PIC 3100/3101/
PIC 3103/PFMN We believe most investor Precisely managing risks is at A blend of art and science, our
PIC 3500/3501/ portfolios are too vulnerable to the core of what we do. To investment process is
PFIA changes in market and economic that end, our agile and disciplined, consistent and
Picton Mahoney Fortified Special Situations Alternative Fund PIC 3550/3551 conditions. There is a better way sophisticated controls repeatable. We employ
PIC 3600/3601/
to build portfolios, using more constantly test and retest our innovative strategies rooted in
PIC 3603/PFMS precision in managing risk outlook and allocations fundamental change,
PIC 3800/3801 exposures. We offer a range of (disrupting our assumptions) sophisticated modeling,
solutions, calibrated to meet the to think ahead and stay ahead institutional-grade stress
PIC 3900/3901
varied needs of our clients, from of the market. testing, and forward thinking
zero to full market exposure. to maximize return for each
AUTHENTIC HEDGE® FUNDS What unites all our strategies is intended risk taken.
our focus on maximizing risk
Picton Mahoney Market Neutral Equity Fund PIC 100/101
adjusted returns.
Picton Mahoney Long Short Equity Fund PIC 200/201
PIC 500/507 (Class UA)
Picton Mahoney Income Opportunities Fund PIC 501/508 (Class UF)
Picton Mahoney Special Situations Fund PIC 500/501 This material is intended for use by Investment Advisors, including with their clients.
Picton Mahoney Absolute Alpha Fund PIC 1350/1351 The offering of units of the Picton Mahoney hedge funds are made pursuant to an Offering Memorandum only to those investors in jurisdictions of
Canada who meet certain eligibility or minimum purchase requirements. Mutual funds and hedge funds are not guaranteed, their values change
Picton Mahoney Arbitrage Fund PIC 1801
frequently and past performance may not be repeated. Please see the Confidential Offering Memorandum for more details on our authentic hedge
Picton Mahoney Arbitrage Plus Fund PIC 1900/ PIC 1901 funds; please read the prospectus before investing in our mutual funds. Commissions, trailing commissions, management fees, performance fees and
expenses all may be associated with mutual fund and hedge fund investments.PICTON MAHONEY
PIC 8401 FORTIFIED EQUITY FUND — CLASS F
AT A GLANCE
JUNE 2021
FUND OVERVIEW WHY INVEST
The investment objective of the Fund is to achieve long-term capital
appreciation by investing primarily in global equity securities while GROW Through the growth potential of an actively managed portfolio
YOUR WEALTH of global equities.
mitigating capital loss by engaging in hedging strategies for downside risk
protection. BENEFIT FROM With experience running Authentic Hedge® strategies for over
PROVEN MANAGERS a decade.
FUND DETAILS
DIVERSIFY YOUR With a core equity holding designed to help grow your wealth
Inception October 29, 2015 PORTFOLIO while reducing downside risk.
Min investment C$2000 initial ($500 additional)
Distribution (Class T and FT) Monthly; targeting a rate of 5% per annum COMPOUND RETURNS % — CLASS F
Fund/Index 1M 3M 6M YTD 1Y 3Y* 5Y* Inception*
Valuation Daily
Picton Mahoney Fortified
Management fee 1.90% (Class A, T), 0.90% (Class F, FT) 2.89% 5.23% 11.14% 11.14% 30.01% 12.76% 11.31% 9.84%
Equity Fund
Performance fee 20% (of performance above the benchmark) Benchmark 2.79% 5.29% 9.17% 9.17% 21.31% 9.66% 9.99% 8.72%
David Picton, Michael Kimmel,
Portfolio Management Team MSCI World Index (Net
Michael Kuan 4.35% 6.33% 9.86% 9.86% 26.71% 12.78% 13.79% 11.46%
Returns) (in CAD ‡)
25% S&P/TSX Composite Index (TR), 50% * Annualized performance
Benchmark MSCI World Index (Net Returns) (in CAD ‡),
25% FTSE TMX Canada 30 Day TBill Index (TR) GROWTH OF $10,000 INVESTMENT — CLASS F
$17,500 Picton Mahoney Fortified Equity Fund – Class F
FUND CODES Benchmark
$16,500
Class A Class F Class T Class FT $15,500
PIC 8400 PIC 8401 PIC 8402 PIC 8403 $14,500
$13,500
RISK CLASSIFICATION $12,500
Low Medium $11,500
Low Medium High
to Medium to High $10,500
$9,500
‡Calculated in USD by the index provider and converted to CAD using a foreign $8,500
exchange rate of $1.24. 2015-10-29 2016-10-29 2017-10-29 2018-10-29 2019-10-29 2020-10-29
pictonmahoney.com PMAM-FE-ATA-LR-JUNE 2021PICTON MAHONEY
PIC 8401 FORTIFIED EQUITY FUND — CLASS F
AT A GLANCE
JUNE 2021
WHAT WE’RE HOLDING RIGHT NOW
EXPOSURE BREAKOUT RISK/REWARD ANALYSIS — CLASS F SECTOR BREAKOUT (%)
Fund Benchmark MSCI World Index
Exposure % Delta Options (Net Returns) Short Net Long
adjusted* (in CAD ‡) Information Technology
Long 95.8 95.4 -0.4 Annualized 9.84% 8.72% 11.46%
Financials
Short -3.2 -3.2 0.0 Compound Return Industrials
Health Care
Gross 99.0 98.6 -0.4 Annualized
Standard Deviation 12.61% 10.99% 14.79% Consumer Discretionary
Communication Services
Net 92.6 92.2 -0.4
Upside Capture > 1.08 0.73 Materials
Cash and Cash Consumer Staples
Equivalents 7.4 Downside Capture > 1.07 0.71 Energy
Maximum Drawdown -25.37% -23.83% -27.79% Utilities
Total 100.0 Real Estate
Beta > 1.07 0.78 Other
-5% 0% 5% 10% 15% 20% 25%
GEOGRAPHIC TOP 10 BY ACTIVE WEIGHT BOTTOM 10 BY ACTIVE WEIGHT
ALLOCATION Name Portfolio Comparative Active Name Portfolio Comparative Active
Net exposure % Weight Benchmark Weight Weight Benchmark Weight
Weight Weight
1. Alphabet Inc. Class A 2.56% 0.56% 2.00% 1. Shopify, Inc. Class A 0.00% 1.89% -1.89%
Canada 7.8 2. Royal Bank of Canada 0.00% 1.65% -1.65%
2. Microsoft Corporation 3.42% 1.55% 1.87%
United States 51.3 3. Toronto-Dominion Bank 0.00% 1.46% -1.46%
Rest of Americas 2.8 3. Amazon.com, Inc. 2.67% 1.12% 1.55%
4. Enbridge Inc. 0.00% 0.93% -0.93%
Emerging Market 0.3 4. Norfolk Southern Corporation 1.52% 0.05% 1.47%
5. Canadian National Railway Company 0.00% 0.86% -0.86%
Europe 21.1 5. Mastercard Incorporated Class A 1.62% 0.24% 1.37%
6. Brookfield Asset Management Inc.
Pacific Rim 9.2 0.00% 0.82% -0.82%
6. Morgan Stanley 1.31% 0.10% 1.21% Class A
Cash and Cash 7. Facebook, Inc. Class A 1.77% 0.63% 1.13% 7. Bank of Montreal 0.00% 0.76% -0.76%
7.4
Equivalents 8. Canadian Pacific Railway Limited 0.00% 0.59% -0.59%
8. Eli Lilly and Company 1.05% 0.14% 0.91%
Total 100.0
9. Canadian Imperial Bank of
9. Wells Fargo & Company 1.03% 0.14% 0.89% 0.00% 0.58% -0.58%
Commerce
10. First Quantum Minerals Ltd. 1.03% 0.15% 0.89% 10. TC Energy Corporation 0.00% 0.55% -0.55%
The Comparative Benchmark used for the Top and Bottom 10 by Active Weight is a blended benchmark comprised of 50% S&P Global Large Mid Cap Index (Net Returns) (in CAD ‡),
25% S&P/TSX Composite Index (TR), 25% FTSE TMX Canada 30 Day TBill Index (TR), which differs from the fund’s blended benchmark. The Manager believes that the S&P Global
Large Mid Cap Index (Net Returns) (in CAD ‡) is largely comparable and correlated to the MSCI World Index (Net Returns) (in CAD ‡), the largest component of the fund’s benchmark.
PMAM-FE-ATA-LR-JUNE 2021PICTON MAHONEY
PIC 8401 FORTIFIED EQUITY FUND — CLASS F
AT A GLANCE
JUNE 2021
This material is intended for use by Investment Advisors, including with their clients.
*Delta-adjusted exposure indicates a fund’s overall sensitivity to a financial instrument, aggregating the exposure created by combining long (or short) holdings with option
positions.
Risk/Reward Analysis results are calculated based on Class F fund unit’s daily data since inception. Due to the fund’s limited history, all risk/reward analysis results may not
be statistically relevant. Beta measures the fund’s volatility relative to its benchmark: a rating of “1” implies the fund’s movements are identical to the index (typically you pay
a manager to achieve beta of less than 1). Up/Downside Capture is a measure of an investment manager’s performance during only the up or down movements of an index
(ideally you want low downside and a fairly high level of upside): the numbers shown here are the fund’s up/down capture relative to the benchmark(s). Maximum drawdown
measures the largest single drop in a class’s Net Asset Value Per Unit from peak to trough before establishing a higher peak (the smaller, the better). Top/Bottom 10 Holdings
by Active Weight is a measure of a stock’s contribution to the fund’s active performance. A stock’s active weight is determined by calculating the difference between the stock’s
% weighting in the fund as compared to stock’s % weighting in the benchmark, and, ranking the difference for all stocks in the fund to generate the top and bottom 10 holdings.
Active weight differs from the fund’s absolute % holding of the stock and, as a result, a stock that is a top or bottom 10 holding by portfolio weight may not necessarily be a
top or bottom 10 holding by active weight.
The compounded rate of return in “Growth of $10,000 Investment” chart is used only to illustrate the effects of the compound growth rate and is not intended to reflect future
values of the investment fund or returns on investment in the investment fund. Commissions, trailing commissions, management fees, performance fees and expenses all may
be associated with mutual fund investments. Please read the prospectus before investing. The indicated rates of return are the historical annual compounded total returns
including changes in unit value and reinvestment of all distributions and do not take into account sales, redemption, distribution or optional charges or income taxes payable
by any unitholder that would have reduced returns. Mutual funds are not guaranteed, their values change frequently and past performance may not be repeated.
PMAM-FE-ATA-LR-JUNE 2021PICTON MAHONEY
PIC 8501 FORTIFIED INCOME FUND — CLASS F
AT A GLANCE
JUNE 2021
FUND OVERVIEW WHY INVEST
The investment objective of the Fund is to maximize total return to
unitholders through income and capital appreciation by investing primarily GENERATE Through a portfolio that invests primarily in medium-grade fixed
SUSTAINABLE INCOME income securities (rated B-BBB) issued in developed markets.
in global income securities while mitigating capital loss by engaging in
hedging strategies for downside risk protection. BENEFIT FROM With experience running Authentic Hedge® income strategies for
PROVEN MANAGERS almost a decade.
FUND DETAILS
DIVERSIFY YOUR With a high yield income portfolio designed to complement long-only
Inception October 29, 2015 PORTFOLIO income and equity investments while reducing downside risk.
Min investment C$2000 initial ($500 additional)
Distribution (Class A and F) Quarterly (reinvested) COMPOUND RETURNS % — CLASS F
Distribution (Class T and FT) Monthly; targeting a rate of 5% per annum Fund/Index 1M 3M 6M YTD 1Y 3Y* 5Y* Inception*
Valuation Daily Picton Mahoney
0.04% 0.92% 3.17% 3.17% 10.14% 4.88% 6.83% 6.83%
Fortified Income Fund
Management fee 1.90% (Class A, T), 0.90% (Class F, FT)
Benchmark 1.03% 2.43% 2.11% 2.11% 11.33% 6.45% 5.95% 6.08%
Performance fee 20% (of performance above the benchmark) * Annualized performance
Portfolio Management Team Phil Mesman, Sam Acton
GROWTH OF $10,000 INVESTMENT — CLASS F
75% ICE BofAML Global High Yield Index /
Benchmark 25% ICE BofAML Global Corporate Index $15,000 Picton Mahoney Fortified Income Fund - Class F
(TR) (Hedged to CAD) Benchmark
$14,000
FUND CODES $13,000
Class A Class F Class T Class FT
$12,000
PIC 8500 PIC 8501 PIC 8502 PIC 8503
$11,000
RISK CLASSIFICATION
$10,000
Low Medium
Low Medium High
to Medium to High $9,000
2015-10-29 2016-10-29 2017-10-29 2018-10-29 2019-10-29 2020-10-29
pictonmahoney.com PMAM-FI-ATA-LR-JUNE 2021PICTON MAHONEY
PIC 8501 FORTIFIED INCOME FUND — CLASS F
AT A GLANCE
JUNE 2021
WHAT WE’RE HOLDING RIGHT NOW
RATING DISTRIBUTION PORTFOLIO CHARACTERISTICS RISK/REWARD ANALYSIS — CLASS F
32.13% Fund Benchmark* Fund Benchmark*
35%
30% 24.90%
25% Weighted Average Yield (NET) 3.0 3.41 Annualized
20% 14.69% Compound Return 6.93% 5.97%
15%
Weighted Average Modified Duration 1.7 4.6
Credit Rating BB BB- Annualized 3.03% 4.58%
10% Standard Deviation
5% 0.93% 2.36%
0%
Upside Capture 0.52 1.00
-5% -1.34%
Downside Capture 0.26 1.00
A or BBB BB B CCC or Unrated Maximum Drawdown -10.16% -19.88%
Better Below Beta 0.44 1.00
SECTOR BREAKOUT (%)
Short Net Long
Materials
Financials
Energy
Industrials
Consumer Discretionary
Health Care
Utilities
Communication Services
Real Estate
Information Technology
Other
Consumer Staples
-5% 0% 5% 10% 15% 20%
* 75% ICE BofAML Global High Yield Index/
25% ICE BofAML Global Corporate Index (TR) (Hedged to CAD) PMAM-FI-ATA-LR-JUNE 2021PICTON MAHONEY
PIC 8501 FORTIFIED INCOME FUND — CLASS F
AT A GLANCE
JUNE 2021
WHAT WE’RE HOLDING RIGHT NOW
TOP 10 HOLDINGS BY ACTIVE LONG WEIGHT BOTTOM 10 HOLDINGS BY ACTIVE LONG WEIGHT
Name Portfolio Benchmark Active Name Portfolio Benchmark Active
Weight Weight Long Weight Weight Long
Weight Weight
1. Cleveland-Cliffs Inc 9.875 2025-10-17 2.46% 0.02% 2.44% 1. Petroleos Mexicanos 7.69 2050-01-23 0.00% 0.21% -0.21%
2. NRG Energy Inc 6.625 2027-01-15 2.26% 0.03% 2.23% 2. Petroleos Mexicanos 6.5 2027-03-13 0.00% 0.16% -0.16%
3. L Brands Inc 9.375 2025-07-01 2.10% 0.02% 2.08% 3. Petroleos Mexicanos 6.75 2047-09-21 0.00% 0.14% -0.14%
4. Centene Corp 4.625 2029-12-15 1.98% 0.10% 1.88% 4. Sprint Corp 7.875 2023-09-15 0.00% 0.13% -0.13%
5. TransDigm UK Holdings 6.875 2026-05-15 1.86% 0.01% 1.85% 5. TransDigm Inc 6.25 2026-03-15 0.00% 0.12% -0.12%
6. Tervita Corp 11 2025-12-01 1.86% 0.01% 1.84% 6. Carnival Corp 11.5 2023-04-01 0.00% 0.12% -0.12%
7. Barclays Bank PLC 1.125% Perpetual (Series ONE) 1.74% 0.00% 1.74% 7. Petroleos Mexicanos 6.84 2030-01-23 0.00% 0.12% -0.12%
8. Builders Firstsource Inc 6.75 2027-06-01 1.73% 0.02% 1.71% 8. Ford Motor Company 9 2025-04-22 0.00% 0.11% -0.11%
9. Jaguar Holding 5 2028-06-15 1.70% 0.02% 1.68% 9. Ford Motor Company 8.5 2023-04-21 0.00% 0.10% -0.10%
10. CSC Holdings LLC 7.5 2028-04-01 1.67% 0.03% 1.64% 10. China Evergrande Group 8.75 2025-06-28 0.00% 0.10% -0.10%
This material is intended for use by Investment Advisors, including with their clients.
Risk/Reward Analysis results are calculated based on Class F fund unit’s daily data since inception. Due to the fund’s limited history, all risk/reward analysis results may not
be statistically relevant. Beta measures the fund’s volatility relative to its benchmark: a rating of “1” implies the fund’s movements are identical to the index (typically you pay
a manager to achieve beta of less than 1). Up/Downside Capture is a measure of an investment manager’s performance during only the up or down movements of an index
(ideally you want low downside and a fairly high level of upside): the numbers shown here are the fund’s up/down capture relative to the benchmark(s). Maximum drawdown
measures the largest single drop in a class’s Net Asset Value Per Unit from peak to trough before establishing a higher peak (the smaller, the better). Holdings by Active
Long Weight is a measure of a stock’s contribution to the Fund’s active long performance. Duration To Worst is the weighted average modified duration of bonds in portfolio.
The compounded rate of return in “Growth of $10,000 Investment” chart is used only to illustrate the effects of the compound growth rate and is not intended to reflect future
values of the investment fund or returns on investment in the investment fund. Commissions, trailing commissions, management fees, performance fees and expenses all may
be associated with mutual fund investments. Please read the prospectus before investing. The indicated rates of return are the historical annual compounded total returns
including changes in unit value and reinvestment of all distributions and do not take into account sales, redemption, distribution or optional charges or income taxes payable
by any unitholder that would have reduced returns. Mutual funds are not guaranteed, their values change frequently and past performance may not be repeated.
PMAM-FI-ATA-LR-JUNE 2021PICTON MAHONEY
PIC 8601 FORTIFIED MULTI-ASSET FUND — CLASS F
AT A GLANCE
JUNE 2021
FUND OVERVIEW WHY INVEST
The investment objective of the Fund is to achieve long-term capital
appreciation by investing primarily in global equity securities and global BALANCE GROWTH Through a tactically allocated mix of global equities and
& INCOME income securities.
income securities while mitigating capital loss by engaging in hedging
strategies for downside risk protection. BENEFIT FROM With experience running Authentic Hedge® strategies for over
PROVEN MANAGERS a decade.
FUND DETAILS
Inception October 29, 2015 DIVERSIFY YOUR With a core portfolio holding designed to grow your wealth
PORTFOLIO while reducing downside risk.
Min investment C$2000 initial ($500 additional)
Distribution (Class T and FT) Monthly; targeting a rate of 5% per annum
COMPOUND RETURNS % — CLASS F
Valuation Daily Fund/Index 1M 3M 6M YTD 1Y 3Y* 5Y* Inception*
Management fee 1.90% (Class A, T), 0.90% (Class F, FT) Picton Mahoney Fortified
1.37% 3.60% 6.58% 6.58% 20.34% 9.83% 8.84% 8.79%
Multi-Asset Fund
Performance fee 20% (of performance above the benchmark)
Michael White, Dave Picton, Michael Kimmel, Benchmark 2.06% 4.05% 5.86% 5.86% 16.01% 8.43% 8.20% 7.61%
Portfolio Management Team
Michael Kuan, Phil Mesman * Annualized performance
15% S&P/TSX Composite Index (TR), 30% MSCI
World Index (Net Returns) (in CAD ‡), 10% FTSE GROWTH OF $10,000 INVESTMENT — CLASS F
TMX Canada 30 Day TBill Index (TR),25% ICE $17,000 Picton Mahoney Fortified Multi-Asset Fund – Class F
Benchmark BofAML Global High Yield Index (TR) (Hedged to
Benchmark
CAD), 5% ICE BofAML Global Corporate Index $16,000
(TR) (Hedged to CAD), 15% ICE BofAML G7
$15,000
Global Government Index (TR) (Hedged to CAD)
$14,000
FUND CODES
$13,000
Class A Class F Class T Class FT
$12,000
PIC 8600 PIC 8601 PIC 8602 PIC 8603 $11,000
RISK CLASSIFICATION $10,000
$9,000
Low Medium
Low Medium High 2015-10-29 2016-10-29 2017-10-29 2018-10-29 2019-10-29 2020-10-29
to Medium to High
‡Calculated in USD by the index provider and converted to CAD using a foreign exchange rate of $1.24
pictonmahoney.com PMAM-FMA-ATA-LR-JUNE 2021PICTON MAHONEY
PIC 8601 FORTIFIED MULTI-ASSET FUND — CLASS F
AT A GLANCE
JUNE 2021
WHAT WE’RE HOLDING RIGHT NOW
DIRECT HOLDINGS RISK/REWARD ANALYSIS — CLASS F PORTFOLIO CHARACTERISTICS
% Fund Benchmark
Picton Mahoney Fortified Equity Fund 44.0 Annualized Compound Return 8.79% 7.61% Yield (%) 1.69
Picton Mahoney Fortified Income Fund 31.8 Annualized Standard Deviation 7.32% 7.37% Duration 1.26
Picton Mahoney Fortified Active Extension Upside Capture 0.92 1.00
0.7
Alternative Fund Downside Capture 0.87 1.00 ASSET ALLOCATION
Picton Mahoney Arbitrage Alternative Fund 0.7
Maximum Drawdown -18.25% -20.32% Net exposure %
Picton Mahoney Fortified Long Short Alternative Fund 8.5
Beta 0.91 1.00 Equities 53.5
Gold 1.9
G7 Government Bonds / Other 9.5 Fixed Income 29.2
Cash and Cash Equivalents 13.7
Cash & Cash Equivalents 3.0
Derivatives 3.6
Total 100.0
GEOGRAPHIC ALLOCATION SECTOR BREAKOUT (%)
Net exposure %
Canada 21.8 Short Net Long
United States 45.2 Financials
Rest of Americas 1.8 Materials
Information Technology
Emerging Market 0.1
Industrials
Europe 13.1 Other
Pacific Rim 4.2 Consumer Discretionary
Cash and Cash Equivalents 13.7 Health Care
Energy
Total 100.0
Communication Services
Consumer Staples
Utilities
Real Estate
-5% 0% 5% 10% 15% 20%
PMAM-FMA-ATA-LR-JUNE 2021PICTON MAHONEY
PIC 8601 FORTIFIED MULTI-ASSET FUND — CLASS F
AT A GLANCE
JUNE 2021
WHAT WE’RE HOLDING RIGHT NOW
TOP 5 HOLDINGS BY ACTIVE WEIGHT IN TOP 5 HOLDINGS BY ACTIVE LONG WEIGHT IN Risk/Reward Analysis results are calculated based on Class
PICTON MAHONEY FORTIFIED EQUITY FUND PICTON MAHONEY FORTIFIED INCOME FUND F fund unit’s daily data since inception. Due to the fund’s
limited history, all risk/reward analysis results may not be
Name Portfolio Comparative Active Name Portfolio Comparative Active statistically relevant. Beta measures the fund’s volatility
Weight Benchmark Weight Weight Benchmark Weight relative to its benchmark: a rating of “1” implies the fund’s
Weight Weight
movements are identical to the index (typically you pay a
1. Cleveland-Cliffs
1. Alphabet Inc. Class A 2.56% 0.56% 2.00% Inc 9.875 manager to achieve beta of less than 1). Up/Downside Capture
2.46% 0.02% 2.44%
2025-10-17 is a measure of an investment manager’s performance during
2. Microsoft Corporation 3.42% 1.55% 1.87% only the up or down movements of an index (ideally you want
2. NRG Energy Inc 6.625 2027-01-15 2.26% 0.03% 2.23% low downside and a fairly high level of upside): the numbers
3. Amazon.com, Inc. 2.67% 1.12% 1.55%
3. L Brands Inc 9.375 2025-07-01 2.10% 0.02% 2.08% shown here are the fund’s up/ down capture relative to the
4. Norfolk Southern Corporation 1.52% 0.05% 1.47% benchmark(s). Maximum drawdown measures the largest
4. Centene Corp 4.625 2029-12-15 1.98% 0.10% 1.88% single drop in a class’s Net Asset Value Per Unit from peak
5. Mastercard Incorporated Class A 1.62% 0.24% 1.37%
to trough before establishing a higher peak (the smaller, the
5. TransDigm UK Holdings 6.875 1.86% 0.01% 1.85% better).Holdings by Active Weight is a measure of a stock’s
2026-05-15
contribution to the fund’s active performance. Holdings by
Active Long Weight is a measure of a stock’s contribution to
the Fund’s active long performance. A stock’s active weight is
BOTTOM 5 HOLDINGS BY ACTIVE WEIGHT IN BOTTOM 5 HOLDINGS BY ACTIVE LONG WEIGHT IN determined by calculating the difference between the stock’s
PICTON MAHONEY FORTIFIED EQUITY FUND PICTON MAHONEY FORTIFIED INCOME FUND % weighting in the fund as compared to stock’s % weighting
in the benchmark, and, ranking the difference for all stocks
Name Portfolio Comparative Active Name Portfolio Comparative Active
Weight Benchmark Weight
in the fund to generate the top and bottom 5 holdings. Active
Weight Benchmark Weight weight differs from the fund’s absolute % holding of the stock
Weight Weight
and, as a result, a stock that is a top or bottom 5 holding
1. Petroleos
1. Shopify, Inc. Class A 0.00% 1.89% -1.89% Mexicanos 7.69 by portfolio weight may not necessarily be a top or bottom 5
0.00% 0.21% -0.21%
2050-01-23 holding by active weight.
2. Royal Bank of Canada 0.00% 1.65% -1.65%
2. Petroleos Mexicanos 6.5 The compounded rate of return in “Growth of $10,000 Investment”
0.00% 0.15% -0.15%
3. Toronto-Dominion Bank 0.00% 1.46% -1.46% 2027-03-13 chart is used only to illustrate the effects of the compound
3. Petroleos
4. Enbridge Inc. 0.00% 0.93% -0.93% Mexicanos 6.75 growth rate and is not intended to reflect future values of the
0.00% 0.14% -0.14%
2047-09-21 investment fund or returns on investment in the investment
5. Canadian National Railway fund. Commissions, trailing commissions, management fees,
Company 0.00% 0.86% -0.86% 4. Sprint Corp 7.875 2023-09-15 0.00% 0.13% -0.13% performance fees and expenses all may be associated with
5. TransDigm Inc 6.25 2026-03-15 0.00% 0.12% -0.12% mutual fund investments. Please read the prospectus before
investing. The indicated rates of return are the historical annual
This material is intended for use by Investment Advisors, including with their clients. compounded total returns including changes in unit value and
The Comparative Benchmark used for the Top and Bottom 5 by Active Weight for the Picton Mahoney Fortified Equity Fund (FEQ) is a blended benchmark comprised of 50% reinvestment of all distributions and do not take into account
S&P Global Large Mid Cap Index (Net Returns) (in CAD ‡), 25% S&P/TSX Composite Index (TR), 25% FTSE TMX Canada 30 Day TBill Index (TR), which differs from FEQ’s blended sales, redemption, distribution or optional charges or income
benchmark. The Manager believes that the S&P Global Large Mid Cap Index (Net Returns) (in CAD ‡) is largely comparable and correlated to the MSCI World Index (Net taxes payable by any unitholder that would have reduced
Returns) (in CAD ‡), the largest component of FEQ’s benchmark. The benchmark used for the Top and Bottom 5 by the Active Long Weight for the Picton Mahoney Fortified returns. Mutual funds are not guaranteed, their values change
Income Fund (FINC) is a blended benchmark comprised of the 75% ICE BofAML Global High Yield Index / 25% ICE BofAML Global Corporate Index (TR) (Hedged to CAD). frequently and past performance may not be repeated.
PMAM-FMA-ATA-LR-JUNE 2021FORTIFIED FUNDS: PROTECTION WHEN YOU NEED IT. PERFORMANCE WHEN YOU DON’T. This material is intended for use by Investment Advisors, including with their clients. Founded in 2004 and 100% employee-owned, Picton Mahoney Asset Management is entrusted with approximately $9.4 billion* in client assets under management. Over the years, we have earned our reputation as a trusted source of unbiased facts. As people who do what they say they’ll do. We think and act differently, investing alongside clients in our funds. Wespecialize in precision-engineered volatility management—a skill we’ve honed over the years and through difficult markets. *As at june 2021 pictonmahoney.com PMAMAT A GLANCEBOOKLETCLASSFLRJUNE 2021
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