Water and Power Employees Retirement Plan

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2 Water and Power Employees Retirement Plan Hedge Fund of Funds Convergent Portfolio Investment Manager Presentation August 31, 2017 November 8, 2017 Meeting

3 Table of Contents Company Overview Section 1 Investment Team Section 2 Hedge Fund Market Environment Section 3 Investment Approach Section 4 Review of Mandate Performance Portfolio Construction Compliance Additional Information Key Contacts Fee Schedule Glossary Section 5 Appendix A 2

4 SECTION 1 Company Overview

5 Morgan Stanley Overview James Gorman Chairman and Chief Executive Officer Colm Kelleher President of Morgan Stanley Institutional Securities Group Wealth Management Investment Management Dan Simkowitz $435Bn Countries Total AUM Years of History 27 Investment Teams 586 Investment Professionals AUM as of June 30, Fund of Fund assets represent assets under management and assets under supervision. Direct private investing assets represents the basis on which the firm earns management fees, not the market value of the assets owned. 4

6 Morgan Stanley Investment Management ( MSIM ) 1 Investment Expertise Across Public and Private Markets $94Bn $66Bn $154Bn ACTIVE FUNDAMENTAL EQUITY GLOBAL FIXED INCOME GLOBAL LIQUIDITY Total AUM $435Bn International Equity Growth Global Emerging Markets European Equity U.S. Fixed Income Global Fixed Income Emerging Markets Debt European Fixed Income Money Markets Ultra-Short Income $58Bn $47Bn $16Bn SOLUTIONS & MULTI-ASSET REAL ASSETS PRIVATE CREDIT & EQUITY $23.3 B Portfolio Solutions Global Multi-Asset Hedge Fund Solutions Managed Futures Applied Equity Advisors Fundamental Equity Advisors Private Structured Credit Solutions Global Listed Real Assets Private Real Estate Investing Private Infrastructure Credit Partners Private Equity Asia Capital Partners Expansion Capital Energy Partners AIP Private Markets Tactical Value Investing 1. AUM figures within each business line may not sum to total AUM due to rounding. Data as of June 30, Fund of Fund assets represent assets under management and assets under supervision. Direct private investing assets represents the basis on which the firm earns management fees, not the market value of the assets owned. 5

7 AIP Hedge Fund Solutions Overview Flexible and innovative approach to partnering with clients $23.3 billion in assets under management and advisement 1 One of few platforms to experience significant organic AUM growth since Ranked among the top ten fund of hedge funds according to InvestHedge Billion Dollar Club Survey 3 AIP Hedge Fund Assets ($ Millions) 25,000 20,000 15,000 10,000 5,000 AUM of FOHF 2 Industry ($ Billions) Apr-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Jun-17 AIP Hedge Fund Assets (Left Hand Side & Bars) FOHF Industry Assets (Right Hand Side & Line) 1. Data as of June 30, AIP Hedge Fund Group s hedge fund s total assets comprises approximately $13.6 billion assets under management ( AUM ) and approximately $9.7 billion assets under advisement 2. Source: AIP Hedge Fund Solutions Team & HFR Global Hedge Fund Industry Report Second Quarter 2017 (FOHF Industry Assets) 3. As reported by Hedge Fund Intelligence on March 6, 2017 with data as of December 31,

8 Organizational Chart Dedicated Team of 64 Professionals Based in New York, West Conshohocken, London, Mumbai and Tokyo Mark van der Zwan, CFA CIO and Head of AIP Hedge Fund Solutions Team Investments 27 Operational Due Diligence 8 Risk & Quantitative Analysis 4 Operations 18 Client Engagement 7 Compliance Human Resources Information Technology Legal Marketing Operations Product Development Tax As of June 30, 2017 Headcount figures include group heads. CIO included in Investments headcount, COO included in Operations. Gray boxes reflect shared resources. 7

9 A Highly Diverse Client Base (1) Assets by Investment Type Assets by Client Type Assets by Geography Multi- Strategy Internal, 2% Other, 1% Strategy- Specific 7% 8% High Net Worth 25% 31% Rest of World Advisory 43% 42% Custom 73% Institutional North America 69% 1. Data as of June 30,

10 Broad Investable Universe of 172 Managers (1) Key Platform Statistics ~66% of our manager relationships have a fee discount, an MFN, favorable liquidity terms, or a combination thereof 17% of approved managers are hard-closed ~9 managers covered per analyst % Funds (2) by Investment Style % Funds (2) by Regional Focus % Funds (2) by Firm AUM (Look-Through) Multi-Strategy 7.0% Relative Value 20.3% Long/Short Equity 30.2% 28.6% Rest of World >$10Bn 41.9% 13.4% <$1Bn 8.7% $1 2Bn Event Driven 18.6% Macro 15.1% CTA/Managed Futures 8.7% 71.4% North America 14.0% 22.1% $2 5Bn $5 10Bn 1. As of August 1, Based on all approved funds. 2. Diversification does not eliminate the risk of loss. 9

11 AIP Awards and Recognition (1)(2) HFMWeek HFMWeek InvestHedge InvestHedge Riverview Global Macro Fund = 2016 Best Fund of Hedge Funds Overall 2016 AIP Macro Registered Fund = 2016 Best Fund of Hedge Funds 40 Act-Compliant Strategy 2016 Morgan Stanley Opportunistic Fund (3) Winner Global Multi- Strategy Fund (Three Years) 2016 Winner 2015 Group of the Year 2015 InvestHedge InvestHedge Hedge Funds Review Hedge Funds Review Riverview Global Macro Fund, Winner 2015 Global Macro Award (Five Years) 2015 Morgan Stanley Opportunistic Fund (3), Winner Global Multi- Strategy Fund (Five Years) 2015 AIP Absolute Return Fund, Winner Best Diversified Fund of Hedge Funds (One-Year) 2015 Winner 2014 Best Overall Fund of Hedge Funds Group and Best Bespoke Fund of Hedge Fund Provider 2014 InvestHedge Hedge Funds Review HFMWeek InvestHedge AIP Global Macro Fund, Winner 2014 Global Macro and Managed Futures Award 2014 Morgan Stanley Opportunistic Fund (3), Winner 2014 Best Diversified Fund of Hedge Funds (Three-Years) 2014 AIP Select Mortgage Fund, Winner 2014 Best Fund of Hedge Fund Newcomer 2014 Winner 2013 Group of the Year Award (Five-Years) 2013 HFM Awards InvestHedge Morgan Stanley Opportunistic Fund (3), Winner 2013 Best Fund of Funds Overall 2013 AIP Global Macro Fund, Winner 2013 Global Macro and Managed Futures Award For illustrative purposes only. Past performance is not indicative of future results. Please see the important disclaimers at the end of this Presentation. 2. As of June 30, Effective October 1, 2016, the fund s name changed to Riverview Opportunistic Fund LP This is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy or fund. The terms of any investment shall be governed by definitive agreements. Any decision to invest should be made solely in reliance upon such agreements. 10

12 SECTION 2 Investment Team

13 Summary of Key Strengths AIP Hedge Fund Team 1. RESOURCES 64 professionals Five teams dedicated by function Portfolio Management Investment Analytics Quantitative Analysis Operational Due Diligence Middle Office functions 2. EXPERIENCE AND ORGANIZATION Seven portfolio managers, with average 19 years of experience Specialized by strategy; knowledgeable across sectors Independent research combines with collaborative decision making 3. ALIGNMENT OF INTERESTS Compensation is tied to investment performance Formal revenue share agreement with parent 1. As of June 30,

14 Stability of Key Personnel Helps Foster a Strong Investment Culture Mark van der Zwan, CFA*: CIO Jose Gonzalez-Heres, CAIA*: Portfolio Manager Paresh Bhatt*: Portfolio Manager Eric Stampfel, CFA, CAIA, CMT*: Portfolio Manager Lawrence Berner, CFA*: Portfolio Manager Jarrod Quigley, CFA*: Portfolio Manager Radha Thillainatesan, CFA*: Portfolio Manager Matthew Graver: COO Christopher Morser, CFA: Head of Portfolio Advisor Group Peter Vasiliadis: Head of ODD Patrick Reid, CFA: Portfolio Advisor Eban Cucinotta: Head of Quantitative Research Years with AIP HFS Years of Prior Experience Total * Denotes member of the Investment Committee As of June 30, 2017 The statements above reflect the opinions and views of the AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date and will not be updated or supplemented. All forecasts are speculative, subject to change at any time and may not come to pass due to economic and market conditions... 13

15 SECTION 3 Hedge Fund Market Environment

16 Active vs. Passive Outperformance Over Time % of Large Blend Managers Outperforming vs. Long-term Average Rolling 3-Year data as of December 31, % 30% Active Outperforms: Interest rate at a thenrecord low of 5%... Active Outperforms: Collapse of the tech bubble, early 2000s recession and 9/11... Active Outperforms: Financial crisis of % 10% 0% (10%) (20%) Active Outperforms: 17 consecutive interest rate hikes from 2004 to (30%) Source: Morgan Stanley, Bloomberg, Factset. Past performance is no guarantee of future results. Estimates of future performance are based on assumptions that may not be realized. This material is not a solicitation of any offer to buy or sell any security or other financial instrument or to participate in any trading strategy. 15

17 Dramatic Drop in Correlations May be Significant for Hedge Funds Morgan Stanley Global Correlation Index (January 2012 June 2017) (%) 50 November 7, Source: Bloomberg 16

18 Current Market Environment STRATEGY IMPACT AIP EXPECTATION Equity Long/Short High Hedge Macro Equity Long/Short Opportunistic Event Driven Credit Delays in execution of Trump policies may lead to increased market volatility Equity Long/Short High Hedge Macro Event Driven Credit Event Driven Equity CBOE Volatility Index (VIX) may spike from recent lows Average of 11.43% in Q was lowest quarterly average since 2006 Equity Long/Short High Hedge Macro Equity Long/Short Opportunistic Decline in equity markets correlations potentially reverses Lowest since 2000, last time was this low was 2007, just preceding financial crisis Event Driven Equity Merger/Risk Arbitrage Elevated levels of global mergers and acquisition volumes persist due to improved regulatory environment and slow organic growth conditions 17

19 SECTION 4 Investment Approach

20 Investment Philosophy An informed market view coupled with top-down strategy analysis can refine portfolio strategy Strategic weightings Tactical shifts Identifying the sources of hedge fund returns is the best way to identify alpha-producing managers Quantitative analysis Qualitative analysis Each hedge fund must offer attractive risk / reward potential Stand-alone investment Portfolio level The statements above reflect the opinions and views of the AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date and will not be updated or supplemented. All forecasts are speculative, subject to change at any time and may not come to pass due to economic and market conditions. 19

21 Investment Process Monitoring Investing Review and re-evaluate Sourcing Identify potential investments ~6,800 fund return streams screened by our proprietary monitoring system Analyzing Evaluate and decide Four phase manager selection process 1. Identify 2. Determine suitability Quantitative assessment Combine top-down and bottom-up views Attribution Forecasting Optimization Investment Committee Review Manager-level Portfolio-level Risk triggers Quantitative Qualitative Investment Committee action ~1,700 funds actively monitored Investment due diligence ~200 funds analyzed indepth each year Operational due diligence ~35 funds approved for investment each year (3) 3. Conduct due diligence 4. Complete due diligence 1. Subject to confidentiality obligations, information barriers established by Morgan Stanley to manage potential conflicts of interest, and applicable allocation policies. 2. As of June 30, Subject to available capacity. The statements above reflect the opinions and views of the AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date and will not be updated or supplemented. All forecasts are speculative, subject to change at any time and may not come to pass due to economic and market conditions 20

22 SECTION 5 Review of Mandate Performance Portfolio Construction Compliance

23 Convergent Portfolio Summary Overview Key overall hedge fund program guidelines Enhance the Plan s long-term risk-adjusted total return Add diversification benefits to overall investment program Hedge against long-term liabilities (inflation) Absolute return orientated, while emphasizing preservation of capital Implement via the construction of two separate complimentary hedge fund portfolios: Convergent & Divergent Transparency 100% on Risk Metrics Mandated characteristics of the Convergent Portfolio are Return Objective Volatility Correlation Leverage Liquidity Diversification CONVERGENT 90-day T-BilI index+ 3% over a full market cycle Medium to low, 5% standard deviation over full market cycle 0.7 or less to Russell 3000 and MSCI ACWI Ex U.S. None at portfolio level; 2x aggregate max. in underlying HFs 12 mos. max. for full redemption; and/or avg. of 6 mos. Max. single manager 10% (at cost) or 14% (at mkt) Max. new emerging manager 5% (at cost) or 7% (at mkt) Water and Power Convergent Fund Ltd. is a Cayman Islands based hedge fund of one portfolio, created specifically for WPERP, and referred to as the WPERP Portfolio in this presentation 22

24 Gross and Net Performance as of August 31, 2017 Since inception 3/1/2014 Gross and Net of fees 1 7% 6% 5.28% 6.07% 5.26% 5% 4.74% 4% 3.64% 3.31% 3.27% 3% 2.50% 2% 1% 1.34% 1.66% 0.57% 0.88% 0% YTD One Year Three Years Since Inception WPERP Portfolio Gross WPERP Portfolio Net Citigroup US Treasury Bills Index +3% 1. Net of fees returns are estimated, unaudited and based upon information received from underlying funds or their service providers as of the date above. Prior month returns are based on the reported net asset value and will not be changed in future months for subsequent non-material revisions to estimated valuations received from underlying managers. If such revisions have a material impact on a prior month s net asset value, the net asset value, unit value and monthly return will be restated. Otherwise, prior month valuation revisions will be accounted for in the current month s net asset value and return. No assurance can be given that any positive return can be achieved by Water and Power Convergent Fund Ltd. and past performance may not be indicative of future results. 23

25 Comparative Performance For the Period March 1, 2014 (Inception) August 31, 2017 NAV: $95,890,504 Number of Funds: 22 YTD 2017 (%) ONE-YEAR (%) THREE YEARS (%) ANNUALIZED SINCE INCEPTION (3/1/2014) (%) WPERP Portfolio Gross WPERP Portfolio Net Hedge Fund Benchmark HFRI FoF Conservative Index Benchmarks Citigroup 3M U.S. Treasury Bill Index + 3% Barclays US Aggregate Index MSCI AC World Index Russell 3000 TR Index S&P GSCI Commodity Total Return Index (6.85) 2.60 (22.04) (20.19) Performance Track Record (%) As of August 31, 2017 YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR 2014 Net (0.67) (0.51) (0.52) 0.48 (0.21) (1.19) 0.70 (0.03) Net (0.36) (0.78) (0.45) (1.14) (2.20) 0.13 (0.43) 0.12 (1.20) 2016 Net (2.11) (1.16) (0.01) (0.33) (0.35) 0.40 (1.00) 2017 Net (0.54) Net of fees returns are estimated, unaudited and based upon information received from underlying funds or their service providers as of the date above. Prior month returns are based on the reported net asset value and will not be changed in future months for subsequent non-material revisions to estimated valuations received from underlying managers. If such revisions have a material impact on a prior month s net asset value, the net asset value, unit value and monthly return will be restated. Otherwise, prior month valuation revisions will be accounted for in the current month s net asset value and return. No assurance can be given that any positive return can be achieved by Water and Power Convergent Fund Ltd. and past performance may not be indicative of future results. 24

26 Strategy Level Performance and Attribution YTD 2017 WPERP Portfolio Each of the six strategies produced positive results in the period Event Driven Equity funds impacted by strong performance by Third Point (+13.4%) and Sachem Head (10.6%). Statistical arbitrage funds generated strong alpha led by Renaissance (+10.6%) Equity Long/Short Opportunistic and Equity Long/Short High Hedge funds profited from advance in global equity markets. For the Period January 1, 2017 to August 31, 2017 YTD 2017 IMPACT (%) RETURN (%) Event Driven Equity Statistical Arbitrage Equity L/S High Hedge Equity L/S Opportunistic Mortgage Arbitrage Multi Strategy

27 Strategy Allocation WPERP Portfolio Strategy Allocation (1) As of August 31, 2017 NAV: $95,890,504 Number of Funds: % 7.6% 13.5% 42.3% Relative Value 42.3% Equity L/S High Hedge 13.6% Statistical Arbitrage 13.4% Mortgage Arbitrage 11.1% Relative Value Credit 1.9% Fixed Income Arbitrage 1.8% Convertible Arbitrage 0.4% Directional 36.6% Equity L/S Opportunistic 33.4% CTA/Managed Futures 1.3% Other Directional 0.8% Macro 0.7% Commodities 0.5% Event Driven 13.5% Event Driven Equity 10.4% Merger / Risk Arbitrage 2.3% Private Placements 0.4% Event Driven Credit 0.2% Distressed 0.2% Cash and Other 7.6% 1. The percent of net asset value is determined by dividing the value of investment in an underlying fund by the net asset value as of the date above. Water and Power Convergent Fund s actual portfolio may vary from that described above, not all of the strategies listed above may be utilized at any given time, and additional strategies not listed above may be utilized by Water and Power Convergent Fund at any given time. The chart above includes investments in Multi-Strategy funds, which invest in more than one strategy at any given time. Multi-Strategy funds are not included as a separate strategy. Rather, Morgan Stanley AIP GP LP attempts to look through to the strategies of these funds holdings, relying on strategy breakdowns from managers of the underlying Multi-Strategy funds when such strategy breakdowns are provided by such managers and otherwise attempting to estimate such strategy breakdowns internally when breakdowns are not provided by such managers. 26

28 Geographic Allocation WPERP Portfolio (1) Geographic Allocation As of August 31, % 4.7% 8.3% North America Developed Europe Emerging/Other Regions Developed Asia 76.0% 1. Water and Power Convergent Fund Ltd. does not maintain a predetermined target allocation to U.S. and non-u.s. markets, and there is no guarantee that the assets will be allocated in the manner described above at any time other than the preceding as of date. Regional allocations exclude cash. 27

29 Portfolio Holdings WPERP PORTFOLIO (8/31/17) STRATEGY % OF NAV Third Point Offshore Fund, Ltd. Event Driven Equity 7.50 Millennium International, Ltd. Equity L/S High Hedge 6.13 Renaissance Institutional Equities Fund International L.P. Statistical Arbitrage 6.03 Anchor Bolt Offshore Fund, Ltd. Equity L/S Opportunistic 5.75 Citadel Kensington Global Strategies Fund Ltd. Multi Strategy 5.20 Shelter Growth Opportunities Fund Ltd. Mortgage Arbitrage 5.19 Atlas Enhanced Fund, Ltd. Equity L/S Opportunistic 4.98 Atlas Fundamental Trading Fund, Ltd. Equity L/S High Hedge 4.90 Sachem Head Offshore Ltd. Event Driven Equity 4.40 Shellback Offshore Fund, Ltd. Equity L/S Opportunistic 4.30 Pleiad Asia Offshore Feeder Fund Equity L/S Opportunistic 4.03 HBK Multi-Strategy Offshore Fund Ltd. Multi Strategy 4.01 Citadel Global Equities Fund Ltd. Equity L/S High Hedge 3.86 GSA QMS Fund Limited Statistical Arbitrage 3.33 HBK Quantitative Strategies Offshore Fund L.P. Statistical Arbitrage 3.14 Spitfire Qualified Fund Ltd. (The) Equity L/S Opportunistic 3.09 SPM Core Offshore Fund, Ltd. Mortgage Arbitrage 3.07 Tide Point Offshore Fund, Ltd. Equity L/S Opportunistic 3.04 Castle Hook Offshore Fund Ltd. Equity L/S Opportunistic 2.97 Ailanthus Capital Partners (QP), Ltd. Equity L/S Opportunistic 2.94 Quentec Fund, Ltd. Equity L/S Opportunistic 2.56 Rimrock Structured Product (Cayman) Fund, Ltd. Mortgage Arbitrage

30 Risk Characteristics WPERP Portfolio For the Period March 1, 2014 (Inception) to August 31, 2017 Annualized Performance (Net of Fees) 0.88% Annualized Volatility (Realized) 3.05% Sharpe Ratio 0.21 Sortino Ratio 0.30 Maximum Drawdown -7.79% Liquidity 100% in 12 months 2 Leverage (Underlying Managers) 1.9x Correlation to Russell 3000 Index 0.53 Correlation to MSCI All Country World Ex-USA Index 0.62 Beta to Russell 3000 Index 0.16 Beta to MSCI All Country World Ex-USA Index 0.16 Annualized Volatility of Russell 3000 Index 9.92% Annualized Volatility of MSCI All Country World Ex-USA Index 11.73% Maximum Drawdown of Russell 3000 Index -8.80% Maximum Drawdown of MSCI All Country World Ex-USA Index % 1. Source: MSCI Riskmetrics, based on 1-day VaR 95% confidence interval. 2. Plus an additional three months for processing. 29

31 Change in Market Value Summary For the Period March 1, 2014 (Inception) to August 31, 2017 BOARD OF ADMINISTRATION OF THE WATER AND POWER EMPLOYEES' RETIREMENT PLAN (ON BEHALF OF THE RETIREE HEALTH BENEFITS FUND) WATER AND POWER EMPLOYEES (1) RETIREMENT PLAN Beginning Capital $0 $0 Contributions $13,000,000 $80,000,000 Withdrawals $0 $0 Net Contributions $13,000,000 $80,000,000 Portfolio Net Return $404,049 $2,486,455 Market Value (August 31, 2017) $13,404,049 $82,486, AIP total $AUM managed in discretionary HFoF portfolios at 6/30/17 totaled approximately $13.6 billion (of this amount $10.2 billion was in portfolios customized to meet individual client needs). The WPERP portfolio represents 0.7% of $13. billion. 30

32 Investment Guidelines and Compliance As of August 31, 2017 MANDATE METRICS METRIC TEST STATUS 8/31/17 VALUE Largest single fund at cost <= 10% 6.5% Largest single fund at market value <= 14% 7.5% Largest emerging manager at cost <= 5% 4.8% Largest emerging manager at market value <= 7% 5.2% Weighted average underlying hedge fund investment leverage <= 2x 1.9 Leverage at the portfolio level <= 1x None Funds liquid within 15 months (additional 3 months for processing) = 100% % Weighted average liquidity (days) <= Macro Strategies Not Predominate 0.7% 1 Commodity Strategies Not Predominate 0.5% 1 CTA/Managed Futures Strategies Not Predominate 1.3% 1 Portfolio Volatility <= 5% 3.1% Correlation to Russell 3000 TR Index <= Correlation to MSCI AC World ex-us Index <= Legend: in compliance; out of compliance. 1. Allocation results from look through to multi strategy funds. There is no direct Macro, Commodities or CTA/Managed Futures exposure. 31

33 APPENDIX A Additional Information

34 Key Contacts for WPERP RELATIONSHIP MANAGEMENT Dan Gifford Head of Client Service Dan McHale Executive Director 100 Front Street West Conshohocken, PA Front Street West Conshohocken, PA PORTFOLIO MANAGEMENT Jose Gonzalez-Heres, CAIA Lead Portfolio Manager 100 Front Street West Conshohocken, PA

35 Fee Schedule Morgan Stanley AIP earns a fixed per annum fee of 77 bps for the management of the WPERP hedge fund of funds portfolio 34

36 Glossary of Investment Terms Annualized Volatility represents the standard deviation of monthly returns since inception. Beta represents the Portfolio s volatility relative to the market. A beta of greater than 1.0 indicates that the Portfolio is more volatile than the market, and less than 1.0 is less volatile than the market. A negative beta indicates the Portfolio volatility has an inverse relationship to the market. Correlation represents the statistical relationship between the movement of the Portfolio s net returns and the stated variable. Cyclically Adjusted Price / Earnings Ratio uses smoothed real earnings to eliminate the fluctuations in net income caused by variations in profit margins over a ten year period. Price / Earnings Ratio is calculated as the stock price divided by earnings per share. Sharpe Ratio is a risk-adjusted measure developed by William F. Sharpe, calculated by dividing the Portfolio s excess return relative to the riskfree rate (defined as the rate of return of the Citi Three-Month U.S. Treasury Bill Index) by the standard deviation of the Portfolio s return. Sortino Ratio is a risk-adjusted measure developed by Brian M. Rom, calculated by dividing the Portfolio s excess return relative to the risk-free rate (defined as the rate of return of the Citi Three-Month U.S. Treasury Bill Index) by the downside deviation of the Portfolio s return. 35

37 Additional Disclaimers HFMWeek US Hedge Fund Performance Awards, October The judging panel comprises representatives from HFM, leading institutional and private investors and industry experts. Judging decisions will be based on performance, qualitative information and structural criteria. This InvestHedge Awards, September For the InvestHedge risk-adjusted performance related awards, funds of hedge funds must submit performance data to the InvestHedge database with no pro-forma data. The three-year awards will run from July 2013 to June 2016, while the 10-year awards will run from July 2006 to June Nominations are primarily decided by those funds that achieve the strongest Sharpe Ratios for the period under review, so long as they also beat the median returns in their relevant peer groups. The eventual winners will be the funds of hedge funds that achieve the best returns, as long as they also achieve Sharpe ratios within 25% of the best of the nominees. This InvestHedge Awards, September The awards are based on quantitative factors such as Sharpe ratio, outperformance, and assets over 5-year period ending August 31, The InvestHedge database tracks approximately 1,400 active funds of hedge funds. Hedge Funds Review, July The winners of the Americas Awards 2015 were selected based on a rigorous methodology that combines quantitative and qualitative analysis. The process started with running a quantitative screen over all funds reporting to the BarclayHedge database to extract raw performance figures as well as other important metrics. Information on non-reporting funds was independently sourced. Funds that met the qualification criteria and had top-quartile returns in their category were ranked based on returns, Sharpe ratio and downside deviation. An independent panel of judges reviewed all the risk and return metrics on the top-ranked funds and selected the winners. Hedge Funds Review, July The winners of the Americas Awards 2014 were selected based on a rigorous methodology that combines quantitative and qualitative analysis. The process started with running a quantitative screen over all funds reporting to the BarclayHedge database to extract raw performance figures as well as other important metrics. Information on non-reporting funds was independently sourced. Funds that met the qualification criteria and had top-quartile returns in their category were ranked based on returns, Sharpe ratio and downside deviation. An independent panel of judges reviewed all the risk and return metrics on the top-ranked funds and selected the winners. InvestHedge Awards, September 2014 The criteria for Global Macro and Managed Futures are based on global macro and managed futures fund of funds returns over a fiveyear period from August 2013 to July The fund must also have achieved a Sharpe ratio within 25% of the best of the nominees. HFMWeek U.S. Performance Awards, October A panel of judges comprised representatives of HFMWeek, leading institutional and private investors and industry experts. The panel considered a combination of quantitative and qualitative considerations including annual performance, volatility and risk management for the period July 2013 to June InvestHedge Awards, September The criteria for Group of the Year is based on various quantitative factors, including Sharpe ratio, outperformance and assets. The time frame for this award takes into account the performance over five years from August 2008 to July To be considered for Group of the Year, a group must have $1 billion in asset under management and at least three nominations to the InvestHedge Awards. The InvestHedge Database of Funds of Hedge Funds tracks 1,998 active funds of hedge funds run by 536 management companies globally. Preqin, 2013 Preqin Private Equity Performance Monitor, July 2013 based on a universe of 73 firms and 644 funds fulfilling the selection criteria. This information is being provided with the permission of Preqin. For informational purposes only and does not constitute an offer or solicitation of an offer, to buy or sell any security or strategy. The information is as of July 2013 and is subject to change. All investing involves risk, including the risk of loss. In compiling this ranking, Preqin considered the quartile rankings assigned to funds and top quartile funds were assigned a score of 1,and funds with vintage years were excluded. The list of managers was restricted to active fund managers, which are managers that have raised 3 or more funds with a similar strategy, with one of those funds being raised in the past six years or currently being raised. HFMWeek U.S. Performance Awards, October A panel of judges comprised representatives of HFMWeek, leading institutional and private investors and industry experts. The panel considered a combination of quantitative and qualitative considerations including annual performance, volatility and risk management for the period July 2013 to June