Alternative Credit Convertibles

Monthly Commentary

November 2016

Alternative Credit Convertibles Strategy November Performance +1.35% The portfolio had a strong positive November despite a negative month for high yield (ML High Yield Master II Index -0.39%). Performance also exceeded yield alternative convertibles, while equities experienced a strong rebound (ML Yield Alternative Convertibles Index +0.55%, S&P 500 +3.70%, Russell 2000 +11.14%, NASDAQ +2.80%). Third quarter earnings performance was generally favorable for most portfolio names, strengthening the credit profiles of several companies.

Overall, non-investment grade convertible bond spreads, however, actually widened 33 bps relative to straight high yield spreads during the month and stood at 103 bps wider at the end of the month, continuing to indicate greater appreciation potential for alternative credit convertibles moving forward. Zazove selectively reviews new opportunities in the alternative credit convertible space as sell-offs occur, and continues to believe that the portfolio maintains a strong risk/return profile relative to broader credit and convertible markets.

*Equal weight index. The returns for the Zazove Alternative Credit Convertibles Composite are reflected before management fees.

Benchmark returns include reinvestment of interest/dividends. Past results are not a guarantee of future performance. See, “Notes to

Performance Summaries” for additional information that is an integral part of this sheet. Print date 12/14/2016

“Alternative credit

convertibles stood 103

bps wider than straight

HY at the end of the

month, continuing to

indicate greater

appreciation potential

for the strategy.”

1.35%0.55%

-0.39%

3.70%

11.14…

16.42%

9.32%

15.22%

9.79%

17.97%

-5%

0%

5%

10%

15%

20%

Zazove AltCredit Converts

ML YieldAlternativeConverts*

ML HY MasterII

S&P 500 Russell 2000

Re

turn

s

November YTD