0001773262-19-000071.txt : 20191202 0001773262-19-000071.hdr.sgml : 20191202 20191202134340 ACCESSION NUMBER: 0001773262-19-000071 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20191031 FILED AS OF DATE: 20191202 PERIOD START: 20200131 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: 191262817 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 6TH FLOOR NEW YORK 10022 2122012500 AETOS LONG/SHORT STRATEGIES FUND LLC 254900I9U7EX4E2X4B11 2020-01-31 2019-10-31 N 1010833103.00 1641329.39 1009191773.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 23411036.91 N Cadian Fund LP 549300HER03L1RVG1658 Cadian Fund LP / Class A Blend / ACLSFLLC N/A 56819998.45 OU LP Interest USD 56819998.45 5.6302479 Long PF US Y N/A N N N Cadian Fund LP 549300HER03L1RVG1658 Cadian Fund LP / Class C Blend / ACLSFLLC N/A 3970801.73 OU LP Interest USD 3970801.73 0.393 Long PF US Y N/A N N N Crescent Park Partners, L.P. N/A Crescent Park Partners, L.P. / ACLSFLLC N/A 25738629.91 OU LP Interest USD 25738629.91 2.5504201 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 101531136.00 OU LP Interest USD 101531136.00 10.0606385 Long PF US Y N/A N N N Eminence Partners, L.P. 30M5CO4DV9KNXS7ZN759 Eminence Partners, L.P. / ACLSFLLC N/A 92299197.00 OU LP Interest USD 92299197.00 9.1458531 Long PF US 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 55023720.02 OU LP Interest USD 55023720.02 5.4522561 Long PF US Y N/A N N N Eton Park Fund, L.P. N/A Eton Park Fund, L.P. / Class E / ACLSFLLC N/A 123845.08 OU LP Interest USD 123845.08 0.0122717 Long PF US Y N/A N N N Highfields Capital II LP 9UBO3GFT0NB4CQOTKP95 Highfields Capital II LP / ACLSFLLC N/A 2613400.00 OU LP Interest USD 2613400.00 0.2589597 Long PF US Y N/A N N N Junto Capital Partners LP N/A Junto Capital Partners LP / Class J / ACLSFLLC N/A 46569810.59 OU LP Interest USD 46569810.59 4.614565 Long PF US Y N/A N N N Kriticos International Limited 549300O3DCZ3ROU48W16 Kriticos International Limited / Class B / SP (August 2016) N/A 2500.00 NS USD 1674986.33 0.165973 Long PF KY Y N/A N N N Kriticos International Limited N/A Kriticos International Limited / Class B / SP (December 2017) N/A 5000.00 NS USD 4324087.95 0.4284704 Long PF KY Y N/A N N N Kriticos International Limited 549300O3DCZ3ROU48W16 Kriticos International Limited / Class B / SP (Jan 2012) N/A 21507.19674 NS USD 8521097.54 0.8443487 Long PF KY Y N/A N N N Kriticos International Limited 549300O3DCZ3ROU48W16 Kriticos International Limited / Class B / SP (July 2016) N/A 2500.00 NS USD 1574182.98 0.1559845 Long PF KY Y N/A N N N Kriticos International Limited 549300O3DCZ3ROU48W16 Kriticos International Limited / Class B / SP (May 2013) N/A 10000.00 NS USD 5099843.47 0.5053394 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 12642500.01 1.2527351 Long PF KY Y N/A N N N Kriticos International Limited 549300O3DCZ3ROU48W16 Kriticos International Limited / Class B / SP (November 2018) N/A 2000.00 NS USD 1944040.89 0.1926334 Long PF KY Y N/A N N N Kriticos International Limited 549300O3DCZ3ROU48W16 Kriticos International Limited / Class B / SP (September 2017) N/A 2500.00 NS USD 2087421.93 0.206841 Long PF KY Y N/A N N N Lakewood Capital Partners, LP UC3UX6ZJBQ77UJ37LI53 Lakewood Capital Partners, LP / Series 1 N/A 79912480.98 OU LP Interest USD 79912480.98 7.9184634 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 64952477.58 OU LP Interest USD 64952477.58 6.4360887 Long PF US Y N/A N N N MW TOPS Fund N/A MW TOPS Fund / Class A USD / MAINLINE N/A 264926.8562 NS USD 75165339.06 7.4480729 Long PF IE Y N/A N N N Naya Fund LP N/A Naya Fund LP / Class D / ACLSFLLC N/A 36979864.18 OU LP Interest USD 36979864.18 3.664305 Long PF US Y N/A N N N Nitorum Fund, L.P. N/A Nitorum Fund, L.P. / Class B / ACLSFLLC N/A 50276228.13 OU LP Interest USD 50276228.13 4.981831 Long PF US Y N/A N N N North River Partners, L.P. U3CIGUZN1CD4S78KYL98 North River Partners, L.P. / ACLSFLLC N/A 65290036.21 OU LP Interest USD 65290036.21 6.4695371 Long PF US Y N/A N N N Sachem Head LP 549300XUCQ2O928JKP21 Sachem Head LP / Class Common Series / ACLSFLLC N/A 60089665.72 OU LP Interest USD 60089665.72 5.9542366 Long PF US Y N/A N N N Turiya Fund LP N/A Turiya Fund LP / Class A / ACLSFLLC N/A 36857760.74 OU LP Interest USD 36857760.74 3.6522058 Long PF US Y N/A N N N Viking Global Equities LP J4JZ17DKXS4P567SUN29 Viking Global Equities LP / Class H / ACLSFLLC N/A 95300781.14 OU LP Interest USD 95300781.14 9.4432776 Long PF US Y N/A N N N 2019-12-02 AETOS LONG/SHORT STRATEGIES FUND LLC /s/ Michael Klein Michael Klein President XXXX NPORT-EX 2 tm1924059d1_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, 2019

 

 

 

Aetos Multi-Strategy Arbitrage Fund, LLC

Schedule of Investments (Unaudited)

October 31, 2019

 

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 - 06/01/19   $20,311,526   $20,530,560    4.14%   Daily  
Total Commodity Trading Advisor        20,311,526    20,530,560    4.14      
                          
Credit - Convertible Arbitrage (4)                         
Aequim Arbitrage Fund LP   03/01/19 - 06/01/19    30,000,000    30,807,206    6.20    Quarterly*  
Total Credit - Convertible Arbitrage        30,000,000    30,807,206    6.20      
                          
Event Driven Arbitrage (5)                         
Davidson Kempner Partners   07/01/06 - 07/01/12    51,298,152    87,441,880    17.61    Semi-Annual  
Farallon Capital Offshore Investors, Inc.   02/01/07 - 04/01/12    49,314,304    91,261,520    18.38    Semi-Annual*
Governors Lane Onshore Fund LP   08/01/15 - 08/01/16    35,000,000    38,651,479    7.78    Quarterly*  
Luxor Capital Partners Liquidating SPV, LLC07/01/16    279,527    305,122    0.06    Liquidating  
Oceanwood European Financials Capital Structure                     
Opportunities Segregated Portfolio   08/01/19    15,000,000    15,936,559    3.21    Quarterly*  
Oceanwood Opportunities Fund L.P.   02/01/12 - 07/01/16    44,841,399    58,583,627    11.80    Quarterly  
Total Event Driven Arbitrage        195,733,382    292,180,187    58.84      
                          
Fixed Income Arbitrage (6)                         
FFIP, L.P.   01/01/07 - 04/01/12    42,515,142    89,406,766    18.01    Annual*  
Parsec Onshore Partners, L.P.   07/01/07 - 04/01/12    34,127,311    52,956,451    10.66    Monthly  
Total Fixed Income Arbitrage        76,642,453    142,363,217    28.67      
                          
Total investments in Portfolio Funds        322,687,361    485,881,170    97.85      
                          
Money Market Investment                         
JPMorgan U.S. Government Money Market Fund,                     
Agency Shares, 1.62%(2) (Shares 12,260,250)        12,260,250    12,260,250    2.47      
                          
Total investments       $334,947,611   $498,141,420    100.32%     

 

 

 

Aetos Multi-Strategy Arbitrage Fund, LLC

Schedule of Investments (Unaudited) (Concluded)

October 31, 2019

 

* 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 $496,570,817.
(2) Rate disclosed is the 7-day effective yield as of 10/31/2019.
(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 $479,897,208. Net unrealized appreciation on investments for tax purposes was $18,244,212 consisting of $27,467,454 of gross unrealized appreciation and $9,223,242 of gross unrealized depreciation.

 

The investments in Portfolio Funds shown above, representing 97.85% of Members’ Capital, have been fair valued.

 

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, 2019

 

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   $2,027,784   $2,936,266    0.95%  Side Pockets Only
Centerbridge Credit Partners, L.P.   06/01/10 - 05/01/16    30,351,604    44,274,433    14.35   Bi-Annual*
Davidson Kempner Distressed Opportunities Fund LP11/01/09 - 05/01/13    28,597,674    54,292,683    17.59   Annual
Marble Ridge LP   12/01/16 - 02/01/17    25,000,000    27,921,391    9.05   Quarterly*
Silver Point Capital Fund, L.P.   07/01/08    390,994    —    0.00   Side Pockets Only
Total Distressed - Long Biased        86,368,056    129,424,773    41.94    
                        
Distressed - Variable Biased (4)                       
Anchorage Capital Partners, L.P.   09/01/08 - 07/01/16    28,601,088    49,449,162    16.02   Annual*
Aurelius Capital Partners, LP   07/01/08 - 01/01/13    25,646,328    45,129,605    14.62   Semi-Annual*
King Street Capital, L.P.   08/01/07 - 07/01/08    25,140,116    44,011,521    14.26   Quarterly*
Total Distressed - Variable Biased        79,387,532    138,590,288    44.90    
                        
Distressed - Short Biased Credit (5)                       
Anchorage Short Credit Fund, L.P.   11/01/16 - 06/01/19    24,500,000    21,508,219    6.97   Monthly
Total Distressed - Short Biased Credit        24,500,000    21,508,219    6.97    
                        
Total investments in Portfolio Funds        190,255,588    289,523,280    93.81    
                        
Money Market Investment                       
JPMorgan U.S. Government Money Market Fund,                       
Agency Shares, 1.62%(2) (Shares 20,082,244)        20,082,244    20,082,244    6.50    
                        
Total investments       $210,337,832   $309,605,524    100.31%   

 

 

 

Aetos Distressed Investment Strategies Fund, LLC

Schedule of Investments (Unaudited) (Concluded)

October 31, 2019

 

* 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 $308,636,618.
(2) Rate disclosed is the 7-day effective yield as of 10/31/2019.
(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.
(5) 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 short bias net exposure.

 

The aggregate cost of investments for tax purposes was $306,345,541. Net unrealized appreciation on investments for tax purposes was $3,259,983 consisting of $11,789,584 of gross unrealized appreciation and $8,529,601 of gross unrealized depreciation.

 

The investments in Portfolio Funds shown above, representing 93.81% of Members’ Capital, have been fair valued.

 

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, 2019

 

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.   05/01/11 - 05/01/15   $50,152,454   $101,531,136    10.06%   Monthly
Sachem Head LP   05/01/15 - 09/01/17    50,000,000    60,089,666    5.96    Quarterly*
Total Directional Equity        100,152,454    161,620,802    16.02    
                        
Equity Hedged - Generalist (4)                       
Eminence Partners, L.P.   01/01/14 - 05/01/19    71,000,000    92,299,197    9.15    Quarterly**
Eton Park Fund, L.P.   05/01/15    59,406    123,845    0.01    Liquidating
Highfields Capital II LP   07/01/15    2,349,140    2,613,400    0.26    Liquidating
Junto Capital Partners LP   01/01/19 – 10/01/19    45,000,000    46,569,811    4.62    Quarterly**
Lakewood Capital Partners, LP   05/01/17 - 05/01/19    75,000,000    79,912,481    7.92    Quarterly**
MW TOPS Fund   06/01/13 - 05/01/19    59,961,818    75,165,339    7.45    Monthly
Naya Fund LP   02/01/19 - 07/01/19    35,000,000    36,979,864    3.66    Quarterly**
Nitorum Fund, L.P.   12/01/17 - 06/01/19    45,000,000    50,276,228    4.98    Annual**
Turiya Fund LP   03/01/12 - 05/01/14    30,015,166    36,857,761    3.65    Quarterly*
Viking Global Equities LP   11/01/05 - 03/01/11    24,795,574    95,300,781    9.44    Annual
Total Equity Hedged - Generalist        388,181,104    516,098,707    51.14    
                        
Equity Hedged - Sector Specialist (5)                       
Cadian Fund LP   07/01/08 - 11/01/13    27,371,158    60,790,800    6.02    Quarterly*
Crescent Park Partners, L.P.   02/01/15    17,576,182    25,738,630    2.55    Semi-Annual*
Encompass Capital Fund L.P.   06/01/15 - 07/01/16    35,000,000    55,023,720    5.45    Quarterly*
Long Pond Capital QP Fund, LP   01/01/14 - 02/01/14    42,217,853    64,952,477    6.44    Quarterly*
North River Partners, L.P.   06/01/13 - 11/01/13    36,713,495    65,290,036    6.47    Quarterly
Total Equity Hedged - Sector Specialist        158,878,688    271,795,663    26.93    

 

 

 

Aetos Long/Short Strategies Fund, LLC

Schedule of Investments (Unaudited)

October 31, 2019

 

Investments  Date(s) of
Acquisition		   Cost   Fair Value   Percentage
of Members'
Capital (1)		   Liquidity
                        
Short-Biased Equity (6)                       
Kriticos International Limited   01/01/12 - 11/01/18    66,007,196    37,868,161    3.75    Quarterly
Total Short-Biased Equity        66,007,196    37,868,161    3.75    
                        
Total investments in Portfolio Funds        713,219,442    987,383,333    97.84    
                        
Money Market Investment                       
JPMorgan U.S. Government Money Market Fund,                       
Agency Shares, 1.62%(2) (Shares 23,411,037)        23,411,037    23,411,037    2.32    
                        
Total investments       $736,630,479   $1,010,794,370    100.16% 

 

 

* 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 $1,009,191,773.
(2) Rate disclosed is the 7-day effective yield as of 10/31/2019.
(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, 2019

 

(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 $919,468,947. Net unrealized appreciation on investments for tax purposes was $91,325,423 consisting of $128,289,606 of gross unrealized appreciation and $36,964,183 of gross unrealized depreciation.

 

The investments in Portfolio Funds shown above, representing 97.84% of Members’ Capital, have been fair valued.

 

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, 2019:

 

Aetos Multi-Strategy Arbitrage Fund, LLC            
Strategy  Level 1   Level 2   Level 3   Total 
Investments in Portfolio Funds (1)  $—   $—   $—   $485,881,170 
Money Market Investment   12,260,250    —    —    12,260,250 
Total Investments  $12,260,250   $          —   $    —   $498,141,420 
                     
Aetos Distressed Investment Strategies Fund, LLC                    
Strategy   Level 1    Level 2    Level 3    Total 
Investments in Portfolio Funds (1)  $—   $—   $—   $289,523,280 
Money Market Investment   20,082,244    —    —    20,082,244 
Total Investments  $20,082,244   $—   $—   $309,605,524 
                     
Aetos Long/Short Strategies Fund, LLC                    
Strategy   Level 1    Level 2    Level 3    Total 
Investments in Portfolio Funds (1)  $—   $—   $—   $987,383,333 
Money Market Investment   23,411,037    —    —    23,411,037 
Total Investments  $23,411,037   $—   $—   $1,010,794,370 

 

(1) In accordance with ASU 2015-07 investments in Portfolio Funds that are measured at fair value using the net asset value per share (or its equivalent) 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.