0001104659-20-139227.txt : 20201223 0001104659-20-139227.hdr.sgml : 20201223 20201223171614 ACCESSION NUMBER: 0001104659-20-139227 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20201031 FILED AS OF DATE: 20201223 PERIOD START: 20210131 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AETOS LONG/SHORT STRATEGIES FUND LLC CENTRAL INDEX KEY: 0001169583 IRS NUMBER: 000000000 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-21058 FILM NUMBER: 201413518 BUSINESS ADDRESS: STREET 1: CLIFFORD CHANCE US LLP STREET 2: 31 WEST 52ND STREET CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 212-201-2500 MAIL ADDRESS: STREET 1: AETOS ALTERNATIVES MANAGEMENT, LP STREET 2: 875 THIRD AVENUE, 6TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10022 FORMER COMPANY: FORMER CONFORMED NAME: AETOS CAPITAL LONG/SHORT STRATEGIES FUND LLC DATE OF NAME CHANGE: 20060605 FORMER COMPANY: FORMER CONFORMED NAME: AETOS LONG SHORT STRATEGIES FUND LLC DATE OF NAME CHANGE: 20020320 NPORT-P 1 primary_doc.xml NPORT-P false 0001169583 XXXXXXXX AETOS LONG/SHORT STRATEGIES FUND LLC 811-21058 0001169583 254900I9U7EX4E2X4B11 875 Third Avenue New York 10022 2122012500 AETOS LONG/SHORT STRATEGIES FUND LLC 254900I9U7EX4E2X4B11 2021-01-31 2020-10-31 N 606738649.89 34519688.17 572218961.72 0 0 0 0 0 0 0 0 0 0 0 0 0 13688056.45 N Kriticos International Limited 549300O3DCZ3ROU48W16 Kriticos International Limited / Class B / SP (November 2018) N/A 2000 NS USD 1497336.67 0.002617 Long PF KY Y N/A N N N Woodline Fund LP N/A Woodline Fund LP / Class A USD N/A 1000 OU LP Interest USD 15415107.99 0.026939 Long PF US Y N/A N N N Sachem Head LP 549300XUCQ2O928JKP21 Sachem Head LP / Class Common Series / ACLSFLLC N/A 969.631004 OU LP Interest USD 37729632.45 0.065936 Long PF US Y N/A N N N Naya Fund LP N/A Naya Fund LP / Class D / ACLSFLLC N/A 1190.835781 OU LP Interest USD 33131427.48 0.0579 Long PF US Y N/A N N N Kriticos International Limited N/A Kriticos International Limited / Class B / SP (December 2017) N/A 5000 NS USD 3330493.51 0.00582 Long PF KY Y N/A N N N Eton Park Fund, L.P. N/A Eton Park Fund, L.P. / Class E / ACLSFLLC N/A 1.701924 OU LP Interest USD 86114.16 0.00015 Long PF US Y N/A N N N Kriticos International Limited 549300O3DCZ3ROU48W16 Kriticos International Limited / Class B / SP (May 2013) N/A 6450.929331 NS USD 2533921.74 0.004428 Long PF KY Y N/A N N N Kriticos International Limited 549300O3DCZ3ROU48W16 Kriticos International Limited / Class B / SP (Nov 2013) N/A 21136.05279 NS USD 9737490.21 0.017017 Long PF KY Y N/A N N N Children's Investment Fund LP N/A The Children's Investment Fund LP / Class F1 USD New Issues / MAY 2020 N/A 1000 OU LP Interest USD 5620500 0.009822 Long PF US Y N/A N N N Cadian Fund LP 549300HER03L1RVG1658 Cadian Fund LP / Class A Blend / ACLSFLLC N/A 254.974135 OU LP Interest USD 48037313.3 0.083949 Long PF US Y N/A N N N Highfields Capital II LP 9UBO3GFT0NB4CQOTKP95 Highfields Capital II LP / ACLSFLLC N/A 60.711314 OU LP Interest USD 1229768 0.002149 Long PF US Y N/A N N N North River Partners, L.P. U3CIGUZN1CD4S78KYL98 North River Partners, L.P. / ACLSFLLC N/A 1269.64669 OU LP Interest USD 32522417.01 0.056836 Long PF US Y N/A N N N Crescent Park Partners, L.P. N/A Crescent Park Partners, L.P. / ACLSFLLC N/A 577.080107 OU LP Interest USD 9116397.46 0.015932 Long PF US Y N/A N N N MW Market Neutral TOPS Fund 7DPR22GRM1USIZ3QYV28 MW Market Neutral TOPS Fund / B USD Mainline N/A 69572.7212 NS USD 15456985.38 0.027012 Long PF IE Y N/A N N N MW TOPS Fund N/A MW TOPS Fund / Class A USD / MAINLINE N/A 98073.5625 NS USD 29706148.62 0.051914 Long PF IE Y N/A N N N Cadian Fund LP 549300HER03L1RVG1658 Cadian Fund LP / Class C Blend / ACLSFLLC N/A 294.855442 OU LP Interest USD 6244588.85 0.010913 Long PF US Y N/A N N N Kriticos International Limited 549300O3DCZ3ROU48W16 Kriticos International Limited / Class B / SP (September 2017) N/A 2500 NS USD 1607771.47 0.00281 Long PF KY Y N/A N N N Encompass Capital Fund L.P. N/A Encompass Capital Fund L.P. / Class Tranche 1 UR / ACLSFLLC N/A 901.388355 OU LP Interest USD 34687296.02 0.060619 Long PF US Y N/A N N N Nitorum Fund, L.P. N/A Nitorum Fund, L.P. / Class B / ACLSFLLC N/A 1203.39499 OU LP Interest USD 49936839.45 0.087269 Long PF US Y N/A N N N Long Pond Capital QP Fund, LP N/A Long Pond Capital QP Fund, LP / Class B / ACLSFLLC N/A 1044.649936 OU LP Interest USD 29564383.92 0.051666 Long PF US Y N/A N N N Egerton Capital Partners, L.P. N/A Egerton Capital Partners, L.P. / Class Series B10% / ACLSFLLC N/A 502.96765 OU LP Interest USD 59729827 0.104383 Long PF US Y N/A N N N Junto Capital Partners LP N/A Junto Capital Partners LP N/A 1745.753869 OU LP Interest USD 50470366.31 0.088201 Long PF US Y N/A N N N Kriticos International Limited 549300O3DCZ3ROU48W16 Kriticos International Limited / Class B / SP (July 2016) N/A 2500 NS USD 1212465.17 0.002119 Long PF KY Y N/A N N N Kriticos International Limited 549300O3DCZ3ROU48W16 Kriticos International Limited / Class B / SP (August 2016) N/A 2500 NS USD 1290105.82 0.002255 Long PF KY Y N/A N N N Viking Global Equities LP J4JZ17DKXS4P567SUN29 Viking Global Equities LP / Class H / ACLSFLLC N/A 1267.109651 OU LP Interest USD 68189848.98 0.119167 Long PF US Y N/A N N N Lakewood Capital Partners, LP UC3UX6ZJBQ77UJ37LI53 Lakewood Capital Partners, LP / Series 1 N/A 1587.65093 OU LP Interest USD 42176181.43 0.073706 Long PF US Y N/A N N N 2020-12-23 AETOS LONG/SHORT STRATEGIES FUND LLC Michael Klein Michael Klein President XXXX NPORT-EX 2 tm2038542d10_Aetos_nportex.htm

 

AETOS MULTI-STRATEGY ARBITRAGE FUND, LLC

 

AETOS DISTRESSED INVESTMENT STRATEGIES FUND, LLC

 

AETOS LONG/SHORT STRATEGIES FUND, LLC

 

 

Quarterly Report (unaudited)

 

October 31, 2020

 

 

 

 

Aetos Multi-Strategy Arbitrage Fund, LLC

Schedule of Investments (Unaudited)

October 31, 2020

 

Investments Date(s) of Acquisition  Cost   Fair Value   Percentage
of
Members'
Capital (1)		   Liquidity
                  
Investments in Portfolio Funds**                      
Commodity Trading Advisor (3)                      
GSA Trend Fund LP  08/01/18 - 10/01/20  $21,311,526   $19,886,208    4.02%   Daily
Total Commodity Trading Advisor      21,311,526    19,886,208    4.02     
                       
Credit - Convertible Arbitrage (4)                      
Aequim Arbitrage Fund LP  03/01/19 - 06/01/19   30,000,000    37,683,234    7.61    Quarterly*
Total Credit - Convertible Arbitrage      30,000,000    37,683,234    7.61     
                       
Event Driven Arbitrage (5)                      
Davidson Kempner Partners  07/01/06 - 07/01/12   49,041,414    85,686,589    17.31    Semi-Annual
Farallon Capital Offshore Investors, Inc.  02/01/07 - 04/01/12   45,554,327    87,927,006    17.76    Semi-Annual*
Governors Lane Onshore Fund LP  08/01/15 - 08/01/16   35,000,000    39,680,562    8.02    Quarterly*
Luxor Capital Partners Liquidating SPV, LLC  07/01/16   279,527    226,079    0.05    Liquidating
Oceanwood European Financials Capital Structure                      
Opportunities Segregated Portfolio  08/01/19   15,000,000    15,395,941    3.11    Quarterly*
Oceanwood Opportunities Fund L.P.  02/01/12 - 07/01/16   41,969,897    59,029,949    11.92    Quarterly
Total Event Driven Arbitrage      186,845,165    287,946,126    58.17     
                       
Fixed Income Arbitrage (6)                      
FFIP, L.P.  04/01/07 - 04/01/12   37,984,278    79,479,164    16.06    Annual*
Parsec Onshore Partners, L.P.  07/01/07 - 04/01/12   34,127,311    56,590,849    11.43    Monthly
Total Fixed Income Arbitrage      72,111,589    136,070,013    27.49     
                       
Total investments in Portfolio Funds      310,268,280    481,585,581    97.29     
                       
Money Market Investment                      
JPMorgan U.S. Government Money Market Fund,                      
Agency Shares, 0.01%(2) (Shares 14,877,820)      14,877,820    14,877,820    3.01     
                       
Total investments     $325,146,100   $496,463,401    100.30%    

 

 

 

 

Aetos Multi-Strategy Arbitrage Fund, LLC

Schedule of Investments (Unaudited) (Concluded)

October 31, 2020

 

*The liquidity of the Portfolio Funds may be further restricted due to withdrawal limitations.
**Non-income producing investments.

 

(1)Percentages are based on Members’ Capital of $494,987,115.
(2)Rate disclosed is the 7-day effective yield as of 10/31/2020.
(3)Portfolio Funds in this strategy invest in futures contracts and foreign exchange forwards contracts using a variety of systematic trading strategies to meet investment objectives, which are typically the capturing of directional moves, both long and short, across diversified portfolios of markets and asset classes.
(4)Portfolio Funds in this strategy generally look to exploit relative mispricings between securities in a company’s capital structure where the manager can go long the undervalued security and hedge out resulting equity and/or credit betas. In convertible bonds, opportunities can be found where sellers do not properly assess the value of the embedded credit and equity option components, resulting in convertibles that trade either cheap or expensive to their fundamental value. In other corporate credit situations, opportunities arise when different components of a company’s capital structure imply very different fundamental outcomes (i.e. equity near zero and debt near par), creating the opportunity to structure long and short positions that have favorable payoff profiles. Both of these strategies are implemented with the use of leverage.
(5)Portfolio Funds in this strategy invest in securities of companies involved in certain special situations, including mergers, acquisitions, asset sales, spin-offs, balance sheet restructuring, bankruptcy and other situations. These special situations constitute an “event” which the Portfolio Managers believe will trigger a change in the price of securities relative to their current price or close the gap between securities that are being arbitraged.
(6)Portfolio Funds in this strategy look to exploit mispricings between related fixed income instruments, including sovereign debt, corporate debt and derivative instruments such as futures, options and swaps. Exploitable opportunities may be found in closely related securities trading at different prices, in the value between fixed income instruments and related derivative instruments, in the shape of yield curves and in credit spreads. These strategies typically require leverage in order to exploit relatively small mispricings.

 

The aggregate cost of investments for tax purposes was $473,581,515. Net unrealized appreciation on investments for tax purposes was $22,881,886 consisting of $24,239,625 of gross unrealized appreciation and $1,357,739 of gross unrealized depreciation.

 

The investments in Portfolio Funds shown above, representing 97.29% of Members’ Capital, have been fair valued using NAV as a practical expedient.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual financial statements.

 

 

 

 

Aetos Distressed Investment Strategies Fund, LLC

Schedule of Investments (Unaudited)

October 31, 2020

 

Investments  Date(s) of Acquisition  Cost   Fair Value   Percentage
of Members'
Capital (1)		   Liquidity
                       
Investments in Portfolio Funds***                      
Distressed - Long Biased (3)                      
AG Mortgage Value Partners, L.P.  05/01/13  $1,239,304   $1,902,340    0.65%   Side Pockets Only
Centerbridge Credit Partners, L.P.  06/01/10 - 05/01/16   30,328,799    43,807,865    14.92    Bi-Annual**
Davidson Kempner Distressed Opportunities Fund LP  11/01/09 - 05/01/13   28,597,674    51,024,041    17.38    Annual
Marble Ridge LP  02/01/17 - 06/01/20   14,273,502    13,467,612    4.59    Liquidating
Total Distressed - Long Biased      74,439,279    110,201,858    37.54     
                       
Distressed - Variable Biased (4)                      
Anchorage Capital Partners, L.P.  09/01/08 - 07/01/16   28,601,088    49,733,619    16.94    Annual*
Aurelius Capital Partners, LP  07/01/08 - 01/01/13   23,259,994    39,182,559    13.35    Semi-Annual*
King Street Capital, L.P.  08/01/07 - 07/01/08   25,140,115    43,894,676    14.96    Quarterly*
Total Distressed - Variable Biased      77,001,197    132,810,854    45.25     
                       
Total investments in Portfolio Funds      151,440,476    243,012,712    82.79     
                       
Money Market Investment                      
JPMorgan U.S. Government Money Market Fund,                      
Agency Shares, 0.01%(2) (Shares 38,936,230)      38,936,230    38,936,230    13.27     
                       
Total investments     $190,376,706   $281,948,942    96.06%    

 

 

 

 

Aetos Distressed Investment Strategies Fund, LLC

Schedule of Investments (Unaudited) (Concluded)

October 31, 2020

 

*The liquidity of the Portfolio Funds may be further restricted due to withdrawal limitations.
**All or a portion of the investment is subject to lock-up provision.
***Non-income producing investments.

 

(1)Percentages are based on Members’ Capital of $293,503,026.
(2)Rate disclosed is the 7-day effective yield as of 10/31/2020.
(3)Portfolio Funds in this strategy invest in securities of companies in various levels of financial distress, including bankruptcy, exchange offers, workouts, financial reorganizations and other credit-related situations. Corporate bankruptcy or distress often causes a company’s securities to trade at a discounted value. The Portfolio Funds will tend to run their investment portfolios with a long bias net exposure.
(4)Portfolio Funds in this strategy invest in securities of companies in various levels of financial distress, including bankruptcy, exchange offers, workouts, financial reorganizations and other credit-related situations. Corporate bankruptcy or distress often causes a company’s securities to trade at a discounted value. The Portfolio Funds will tend to run their investment portfolios with a variable net exposure.

 

The aggregate cost of investments for tax purposes was $295,688,430. Net unrealized depreciation on investments for tax purposes was $13,739,488 consisting of $5,882,366 of gross unrealized appreciation and $19,621,854 of gross unrealized depreciation.

 

The investments in Portfolio Funds shown above, representing 82.79% of Members’ Capital, have been fair valued using NAV as a practical expedient.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual financial statements.

 

 

 

 

Aetos Long/Short Strategies Fund, LLC

Schedule of Investments (Unaudited)

October 31, 2020

 

Investments Date(s) of Acquisition  Cost   Fair Value   Percentage of
Members'
Capital (1)		   Liquidity
                  
Investments in Portfolio Funds***                      
Directional Equity (3)                      
Egerton Capital Partners, L.P.  07/01/11 - 05/01/15  $28,244,171   $59,729,827    10.44%    Monthly
Sachem Head LP  05/01/15 - 09/01/17   25,762,438    37,729,632    6.59     Quarterly*
The Children's Investment Fund LP  05/01/20   5,000,000    5,620,500    0.98     Monthly**
Total Directional Equity      59,006,609    103,079,959    18.01     
                       
Equity Hedged - Generalist (4)                      
Eton Park Fund, L.P.  05/01/15   59,407    86,114    0.02     Liquidating
Highfields Capital II LP  07/01/15   1,847,005    1,229,768    0.21     Liquidating
Junto Capital Partners LP  01/01/19 - 10/01/19   45,000,000    50,470,366    8.82     Quarterly*
Lakewood Capital Partners, LP  05/01/17 - 05/01/19   48,592,909    42,176,181    7.37     Quarterly
MW Market Neutral TOPS Fund  07/01/20    10,492,447    15,456,985    2.70     Monthly
MW TOPS Fund  05/01/15 - 05/01/19   26,143,993    29,706,149    5.19     Monthly
Naya Fund LP  02/01/19 - 07/01/19   29,873,598    33,131,428    5.79     Quarterly
Nitorum Fund, L.P.  12/01/17 - 06/01/19   42,705,264    49,936,840    8.73     Annual**
Viking Global Equities LP  08/01/06 - 03/01/11   16,107,423    68,189,849    11.92     Annual
Total Equity Hedged - Generalist      220,822,046    290,383,680    50.75     
                       
Equity Hedged - Sector Specialist (5)                      
Cadian Fund LP  05/01/10 - 11/01/13   15,459,023    54,281,902    9.49     Quarterly*
Crescent Park Partners, L.P.  02/01/15   5,858,727    9,116,398    1.59     Semi-Annual*
Encompass Capital Fund L.P.  06/01/15 - 07/01/16   22,235,926    34,687,296    6.06     Quarterly*
Long Pond Capital QP Fund, LP  01/01/14 - 02/01/14   26,410,798    29,564,384    5.17     Quarterly*
North River Partners, L.P.  11/01/13   16,000,533    32,522,417    5.68     Quarterly
Woodline Fund LP  08/01/20   15,000,000    15,415,108    2.70     Quarterly**
Total Equity Hedged - Sector Specialist      100,965,007    175,587,505    30.69     

 

 

 

 

Aetos Long/Short Strategies Fund, LLC

Schedule of Investments (Unaudited)

October 31, 2020

 

Investments Date(s) of Acquisition  Cost   Fair Value   Percentage of
Members'
Capital (1)		   Liquidity
                  
Short-Biased Equity (6)                      
Kriticos International Limited  05/01/13 - 11/01/18   40,950,929    21,209,585    3.71    Quarterly
Total Short-Biased Equity      40,950,929    21,209,585    3.71     
                       
Total investments in Portfolio Funds      421,744,591    590,260,729    103.16     
                       
Money Market Investment                      
JPMorgan U.S. Government Money Market Fund,                      
Agency Shares, 0.01%(2) (Shares 13,688,056)      13,688,056    13,688,056    2.39     
                       
Total investments     $435,432,647   $603,948,785    105.55%    

 

*The liquidity of the Portfolio Funds may be further restricted due to withdrawal limitations.
**All or a portion of the investment is subject to lock-up provision.
***Non-income producing investments.

 

(1)Percentages are based on Members’ Capital of $572,218,962.
(2)Rate disclosed is the 7-day effective yield as of 10/31/2020.
(3)Portfolio Funds in this strategy make investments that combine long positions in undervalued common stocks or corporate bonds and short positions in overvalued common stocks or corporate bonds in order to focus on generating positive returns through the Portfolio Managers’ ability to select securities through fundamental analysis, while hedging out some portion of market risk. The Portfolio Funds will tend to run their investment portfolios with a relatively high or variable net exposure.
(4)Portfolio Funds in this strategy make investments that combine long positions in undervalued common stocks or corporate bonds and short positions in overvalued common stocks or corporate bonds in order to focus on generating positive returns through the Portfolio Managers’ ability to select securities through fundamental analysis, while hedging out some portion of market risk. The Portfolio Funds will tend to run their investment portfolios with a relatively low net exposure and will invest broadly across all market sectors.
(5)Portfolio Funds in this strategy make investments that combine long positions in undervalued common stocks or corporate bonds and short positions in overvalued common stocks or corporate bonds in order to focus on generating positive returns through the Portfolio Managers’ ability to select securities through fundamental analysis, while hedging out some portion of market risk. The Portfolio Funds will tend to run their investment portfolios with a relatively low net exposure and will focus on investing in specific market sectors.

 

 

 

 

Aetos Long/Short Strategies Fund, LLC

Schedule of Investments (Unaudited) (Concluded)

October 31, 2020

 

(6)Portfolio Funds in this strategy make investments in short positions in overvalued common stocks or corporate bonds in order to focus on generating positive returns through the Portfolio Managers’ ability to select securities through fundamental analysis, while hedging out some portion of market risk. The Portfolio Funds will tend to run their investment portfolios with a permanent net short or short-only exposure.

 

The aggregate cost of investments for tax purposes was $519,368,047. Net unrealized appreciation on investments for tax purposes was $84,580,738 consisting of $137,756,497 of gross unrealized appreciation and $53,175,759 of gross unrealized depreciation.

 

The investments in Portfolio Funds shown above, representing 103.16% of Members’ Capital, have been fair valued using NAV as a practical expedient.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual financial statements.

 

 

 

 

The following table presents information about the level within the fair valuation hierarchy at which the Funds’ investments are measured as of October 31, 2020:

 

Aetos Multi-Strategy Arbitrage Fund, LLC            
Strategy  Level 1   Level 2   Level 3   Total 
Investments in Portfolio Funds (1)  $—   $—   $—   $481,585,581 
Money Market Investment   14,877,820    —    —    14,877,820 
Total Investments  $14,877,820   $—   $—   $496,463,401 
                     
Aetos Distressed Investment Strategies Fund, LLC                    
Strategy   Level 1    Level 2    Level 3    Total 
Investments in Portfolio Funds (1)  $-   $—   $—   $243,012,712 
Money Market Investment   38,936,230    —    —    38,936,230 
Total Investments  $38,936,230   $—   $—   $281,948,942 
                     
Aetos Long/Short Strategies Fund, LLC                    
Strategy   Level 1    Level 2    Level 3    Total 
Investments in Portfolio Funds (1)  $—   $—   $—   $590,260,729 
Money Market Investment   13,688,056    —    —    13,688,056 
Total Investments  $13,688,056   $—   $—   $603,948,785 

 

(1)In accordance with ASC 820-10-35-54B investments in Portfolio Funds that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Schedule of Investments.