INVESTMENT MANAGER SUMMARY

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1 Item No. 19: Annual Presentation by GAM Hedge Fund of Funds Manager (November 9, 2016, Regular Retirement Board Meeting) INVESTMENT MANAGER SUMMARY Firm Name Manager Tenure with Fund Investment Strategy/Vehicle Contract Expiration MANAGEMENT GAM 2.8 years Absolute Return / Hedge Fund of Funds N/A Total Firm AUM Total Firm Assets in Strategy Total Assets Managed for WPERP (as of 9/30/16) ASSETS* $123 Billion N/A** RP - $85.2 Million HP - $13.9 Million PERFORMANCE (net of fees)* as of 9/30/16 QTD YTD 1-Year Inception GAM -0.44% -1.57% -0.17% 2.26% Index: T-Bills + 3% 0.82% 2.46% 3.26% 3.11% Difference -1.26% -4.03% -3.43% -0.85% Inception Date: Dec. 1, 2013 FEES Schedule Annual Management Fee 0.65% Annual Administration Fee 0.10% * Per GAM ** WPERP portfolio is a customized fund of one. WATCH STATUS Not Applicable 19

2 Water and Power Employees Retirement Plan YTD 2016 Review November 2016 Arvin Soh Portfolio Manager, GAM Alternative Investments Solutions Jim Ha Portfolio Manager, GAM Alternative Investments Solutions Kristin Hovencamp Director, Institutional Sales This document is confidential and intended solely for the use of the person to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person.

3 GAM Attendee Bios Arvin Soh Portfolio Manager Arvin Soh is a Portfolio Manager in GAM s Alternative Investments Solutions team, responsible for their global macro and managed futures investments. Prior to joining GAM in 2005, Arvin was a manager within the pension group at Pfizer, with primary responsibility for manager selection in international equity, global macro and currency funds. Before that, he was an assistant Portfolio manager with a quantitatively based fundamental hedge fund and a vice president with Bankers Trust Asset Management focused on global markets. He holds a BA in Economics from Cornell University and an MBA from the Wharton School of the University of Pennsylvania. He is based in New York. Jim Ha - Portfolio Manager Jim Ha is a Portfolio Manager in GAM's Alternative Investments Solutions team, with a specific focus on trading strategies. Prior to joining GAM in May 2007, he worked as a senior manager covering hedge funds and fixed income investments for the Avaya Inc. corporate pension plans. Jim holds a BA in Economics from Northwestern University in Evanston, Illinois, an MBA in Finance and Management from New York University Stern School of Business, and is a CFA charterholder. He is based in New York. Kristin Hovencamp Director, Institutional Sales Kristin Hovencamp is a Director of Institutional Sales in North America. Prior to joining GAM in 2005, Ms. Hovencamp was Vice President of Sales at Information Management Network in New York. This followed two years as a senior marketing consultant at the Institute for International Research. Prior to this, she was a regional sales manager at CertCo, Inc., a division of Bankers Trust. Ms. Hovencamp holds a BA in Communications from the University of Arizona. She is based in New York. 2

4 Table of contents Company overview WPERP Portfolio review Holdings Outlook Investment Process Appendix 3

5 COMPANY OVERVIEW

6 About GAM Bringing experience, resources and institutional discipline to traditional and alternative investments GAM Founded in 1983 with a sole focus on asset management USD bn in assets under management, of which Investment management business is USD 67.2 bn Private label business is USD 49.3 bn SIX Swiss Exchange Public Company Distinctive offering covering the full spectrum of asset classes and strategies Over 1,000 employees* globally in Bermuda London Singapore Dublin New York Zurich Hong Kong Tokyo Aligned interests through long-term equity incentives for key personnel SEC registered investment advisers and GIPS compliant firm Acquired $1.2bn European CRE private debt team Renshaw Bay*** Acquired Cantab Capital Partners, a $4.1bn UK-based multi-strategy systematic manager*** GAM s Alternative Investments Team Over 25 years experience in hedge fund investing AIS has 30** professionals working out of offices located in New York, London, Hong Kong and Zurich Approximately $3.2 billion in assets under management in hedge fund of fund assets; $1.1 billion in Trading assets Specialty research teams review over 300 managers and risk premia per year Qualitative judgment on approximately 90%*** of the universe by number of funds Source: GAM. Assets under management figures as of June 30, Staff information as of June 30, 2016 for the GAM Holding Group. *In 2013, the Group changed its operating model, moving it from a pure financial holding company with two largely autonomous operating entities to a more integrated functional organizational structure. Throughout 2013 and 2014, many functions were combined and as a result, personnel figures for GAM and Swiss & Global Asset Management are no longer reported separately the figures provided from Dec 31, 2014 onwards are consolidated for the whole GAM group, and are given in place of the GAM operating entity only, which was given in previous years. **As of Sep 30, Includes employees who are on leave. ***As of Sep 30,

7 GAM s substantial global resources Deep and experienced teams Group CEO Function Distribution & Marketing Investment Operations Control Functions No of staff Distribution, Marketing and Product Development 190 Fixed Income, Equity & Absolute Return Investment Teams Systematic 204 Investment Solutions Portfolio Management & Private Clients Operations & Technology 465 L&C, Internal Audit, Finance, HR, Brand & Comms, General Management 152 Group Head GAM Investment Solutions and Chief Economist Larry Hatheway* Portfolio Manager Portfolio Manager Portfolio Manager Portfolio Manager Portfolio Manager Portfolio Manager Portfolio Manager Portfolio Manager Portfolio Manager Portfolio Risk Anthony Lawler* Kier Boley* Arvin Soh* Amir Madden* Jim Ha* Julian Howard Charles Hepworth Andrea Quapp Reto Hintemann Ken Liew GAM Operational Risk team 3 Investment Research Analysts 10 Quant Team 6 Operations & Client Reporting Analysts 4 * Member AIS Investment Management Committee Source: GAM. Firm information as of June 30, 2016, team information as of Sep 30, Latest data available at time of production. Number of staff include permanent and investment consultant professionals. Number in parenthesis indicate years of investment experience, Investment experience includes relevant experience for investment managers and analysts. 6

8 Independent risk oversight Operational risk and investment risk each assessed by dedicated teams GAM Head of Risk & Governance GAM Head of Operations Head of Operational Due Diligence Quantitative Analysis Co-Managers Deputy Head of Operational Due Diligence 1 Senior Quantitative Analysts 2 Operational Due Diligence Managers 1 Quantitative Analysts 4 Exclusive focus on mitigating non-investment risks Qualifications include accountants/auditors and lawyer Benefit from considerable industry experience across Investment banking Auditing Risk management Trading Hold veto authority over appointing managers due to operational concerns Source: GAM as at Sep 30, Monitor, collect and report on risk across asset classes and strategies Report on and analyse risk premia Portfolios through Daily risk reports Daily leverage reports Monthly performance contribution Monthly VaR Regularly validate VaR modelling methodology and results Highlight risk hotspots, engage with Portfolio managers and escalate issues if relevant 7

9 WPERP Portfolio REVIEW

10 Water and Power Employees Retirement Plan Asset Growth Portfolio Changes (Retirement Fund) Amount Initial Value Invested as of 11/29/13 $80,000,000 Net Additions/(Withdrawals) $0 Income Received $0 Market Appreciation $5,232,000 Market Value as of 9/30/16 $85,232,000 Portfolio Changes (Retiree Health Benefits Fund) Amount Initial Value Invested as of 11/29/13 $13,000,000 Net Additions/(Withdrawals) $0 Income Received $0 Market Appreciation $850,200 Market Value as of 9/30/16 $13,850,200 Source: GAM Past performance is not indicative of future returns. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. 9

11 Water and Power Employees Retirement Plan Portfolio strategy ranges & objectives Investment guidelines* Objective of long-term capital appreciation with diversification of risk Long-term over a 3-5 year rolling market cycle: Return Objective: 90 day T-Bills +3% Average Annual Volatility Objective: 4-7% Correlation Objective to Russell 3000 index and MSCI AWCI ex US index: 0.2 Divergent Portfolio Targeted Diversification: Investment concentration 14% at market value and 10% at cost Fee Schedule Flat management fee 65 bps Fund Administration fee - 10 bps Source: GAM as of Sep 30, *Based upon guidelines provided by the investor. There can be no assurance that these objectives will be realized. Investment objectives do not represent a prediction of returns, volatility or a promise to deliver any particular investment goal. Actual performance and volatility may be greater or less than these objectives. 10

12 Water and Power Employees Retirement Plan Performance from Nov 29, 2013 (inception) to Sep 30, % Simple Perf. % Ann. Perf. % Perf. YTD 8 % 6 % 4 % Water and Power Employees Retirement Plan GAM - US Treasury Bill 3 Month + 3 % Index in USD HFRI/HFRX Macro Index in USD % 0 % -2 % Water and Power Employees Retirement Plan GAM - US Treasury Bill 3 Month + 3 % Index in USD HFRI/HFRX Macro Index in USD Past performance is not indicative of future performance. Performance is provided net of fees. Source: GAM, Hedge Fund Research 11 Indices cannot be purchased directly. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein.

13 Water and Power Employees Retirement Plan 2016 quarterly performance (%) (1.00) (2.00) (-1.29) (-0.25) -(0.44) (-1.00) (-1.48) (-1.57) Q1 Q2 Q3 YTD Since inception WPERP - gross WPERP - net GAM - US Treasury Bill 3 Month + 3 % Index Source: GAM, Hedge Fund Research. Past performance is not indicative of future returns. Indices cannot be purchased directly. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. 12

14 Water and Power Employees Retirement Plan Performance detail for 2015 and (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year Water and Power Employees Retirement Plan -net Water and Power Employees Retirement Plan -gross US Treasury Bill 3 Month + 3 % Index in USD (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year Water and Power Employees Retirement Plan -net Water and Power Employees Retirement Plan -gross US Treasury Bill 3 Month + 3 % Index in USD Source: GAM as of Sep 30, Past performance is not indicative of future returns. Indices cannot be purchased directly. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. 13

15 Water and Power Employees Retirement Plan Performance detail for 2013 and 2014 (inception Nov 29, 2013) 2014 (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year Water and Power Employees Retirement Plan -net Water and Power Employees Retirement Plan -gross US Treasury Bill 3 Month + 3 % Index in USD (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year Water and Power Employees Retirement Plan -net Water and Power Employees Retirement Plan -gross US Treasury Bill 3 Month + 3 % Index in USD Source: GAM. Past performance is not indicative of future returns. Indices cannot be purchased directly. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. 14

16 Water and Power Employees Retirement Plan Return statistics Return statistics (since Inception)* Water and Power Employees Retirement Plan Russell 3000 Index in USD MSCI AC World Index in USD Cumulative return (%) Return YTD (%) Max drawdown (%) Relative statistics (since inception)* Fund vs Russell 3000 Index in USD Fund vs MSCI AC World Index in USD Beta Correlation Past performance is not indicative of future performance. Performance is provided net of fees. Indices cannot be purchased directly. Source: GAM., Thomson Reuters, MSCI. *From Nov 29, 2013 to Sep 30, Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. 15

17 Water and Power Employees Retirement Plan Breakdown of risk as at Sep 30, 2016 Breakdown by geography Breakdown by asset class 5.9% 10.6% 16.8% 32.0% 21.9% 48.3% 6.0% 29.0% 29.5% Emerging Mkts Asia Pac Western Europe North America Commodity Currency Govt Bond Credit Equity Source: GAM. Holdings and allocations are subject to change. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. 16

18 Portfolio Cluster Map* 24 months ended Sep 30, 2016 Source: GAM. For illustrative purposes only. *The cluster map is calculated using GAM proprietary cluster mapping system along with actual historic index information. The distances between any two points on the map is proportional to the correlation between the indices represented by those points. Circles indicate correlation to the indices shown. Analysis using 24 months data to Sep 30, Past performance is not indicative of future performance. Please see Disclaimer at the end of this material for important disclosures regarding the information contained herein. 17

19 Water and Power Employees Retirement Plan YTD Performance attribution: as at Sep 30, 2016 Strategies Exposure (%) Return (%) Contribution (%) Strategies Exposure (%) Return (%) Contribution (%) Trading Macro Discretionary Alphadyne Global Rates II LindenGrove * -0.2 Karya Autonomy Global MaxQ Enhanced Field Street Pharo Trading * 0.5 Guard Macro Macro Systematic QMS Diversified Global Macro Two Sigma AR Macro Enhanced Two Sigma Compass Enhanced * 0.0 Managed Futures Trend Winton Futures GSA Trend * -0.1 Managed Futures Short- Term/Active Trading Jefferies Systematic Edgestream Nias Crabel Multi-Product GTS Master Fund RG Niederhoffer Diversified * -0.3 Relative Value * 0.1 Volatility * 0.1 Laurion Capital * 0.1 Other Total Portfolio Past performance is not indicative of future performance. Performance is provided gross of fees. Source: GAM. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. Holdings and allocations are subject to change. *Part period return. 18

20 Water and Power Employees Retirement Plan Q top underlying fund gross contributors Top contributors Contribution (%) Comment Alphadyne Global Rates II 0.5 Alphadyne had a strong Q3, almost entirely driven by rates trading. The main exposures included cash-futures basis trading, a short duration bias in the US, and a curve steepening bias in Japan. Karya 0.4 Karya continued to perform well in the third quarter, largely maintaining a similar Portfolio construction. ABS trading continued to generated consistent returns, and duration trading in the US and Europe also contributed to performance. Autonomy Global 0.4 FX losses in July resulted in flat overall performance for the month, however long positions in Latin American credit (particularly Venezuela and Brazil) and the rouble generated strong returns for the remainder of the quarter. Source: GAM Past performance is not indicative of future performance. Allocations and holdings are subject to change. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. 19

21 Water and Power Employees Retirement Plan Q bottom underlying fund gross contributors Bottom contributors Contribution (%) Comment MaxQ Enhanced -0.7 MaxQ had a challenging Q3, underperforming on short GBP and short FTSE 250 positions, which continued to drag on performance post-brexit. Short NZD exposures also detracted. Crabel Multi-Product -0.3 The Crabel Multi-Product was down in Q3 as short term momentum and trend following models suffered when major financial markets saw tight ranges with generally low volatility in the latter part of the quarter. Mean reversion strategies continued to contribute to performance as has been the case during each month of 2016 but not enough to offset the losses from elsewhere. Currencies and fixed income were the worst performing sectors on the quarter followed by commodities. Equity indices made a small positive contribution. RG Niederhoffer Diversified -0.3 RG Niederhoffer Diversified was down in Q3 as the fund saw losses in all asset classes led by equity indices and fixed income. Momentum models fared the worst as very low volatility and range-bound markets combined to make very poor conditions for these approaches. Record low volatility in many markets did not lead to the trends which the momentum systems were expecting. August saw day after day of small intra-day reversals which the models predicted would break out in the low volatility environment but did not. The contrarian models suffered as there were no reversals large enough for them to latch on to. The models reacted to August's poor performance by cutting risk by about one half. Source: GAM Past performance is not indicative of future performance. Allocations and holdings are subject to change. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. 20

22 HOLDINGS

23 Water and Power Employees Retirement Plan Portfolio adjustments: Sep 30, 2015 vs. Sep 30, 2016 As at Sep 30, 2015 Strategy Weight (%) Alphadyne Global Rates II Macro - Discretionary 9.9 Laurion Global Markets Managed Futures - Short- Term/Active Trading 8.6 Winton Futures Managed Futures - Trend 8.2 MaxQ Enhanced Macro - Discretionary 8.1 Tudor DM Macro - Discretionary 7.9 Karya Macro - Discretionary 6.8 Autonomy Global Macro - Discretionary 5.9 LindenGrove Macro - Discretionary 5.7 Edgestream Nias Managed Futures - Short- Term/Active Trading 5.6 Field Street Macro - Discretionary 5.2 % held in top % held in holdings Total no of holdings 16 Average size of a top 10 position 7.2 Average size of a top 16 position 6.0 As at Sep 30, 2016 Strategy Weight (%) Alphadyne Global Rates II Macro - Discretionary 9.8 LindenGrove Macro - Discretionary 9.0 Karya Macro - Discretionary 7.4 Autonomy Global Macro - Discretionary 7.4 Jefferies Systematic Managed Futures - Short- Term/Active Trading 6.9 MaxQ Enhanced Macro - Discretionary 6.4 Edgestream Nias Managed Futures - Short- Term/Active Trading 6.2 Winton Futures Managed Futures - Trend 6.1 Field Street Macro - Discretionary 5.4 Crabel Multi-Product Managed Futures - Short- Term/Active Trading % held in top % held in holdings Total no of holdings 19 Average size of a top 10 position 6.9 Average size of a top 19 position Source: GAM. Allocations and holdings are subject to change. Totals may not sum due to rounding. 22

24 Water and Power Employees Retirement Plan Fund strategy descriptions Holdings Strategy Description Macro Discretionary Alphadyne Global Rates Fund II The Alphadyne Global Rates Fund II is a discretionary macro fund that focuses on global interest rate and foreign exchange markets. The fund looks to take advantage of changes in monetary policy and fluctuating relationships in foreign exchange rates. It uses a directional and relative value trading style and primarily uses interest rate swaps and swaptions; futures and options; and FX forward and option instruments. Alphadyne uses both top down and bottom-up analysis and invests in all geographical regions. This product mirrors the exposure of the Alphadyne International Fund, although with 1.5X greater volatility. LindenGrove Karya Autonomy Global MaxQ Enhanced Field Street Pharo Trading LindenGrove is a liquid global macro fund managed by Borut and 2 other PMs each with their own book; they trade inflation, interest rates, FX and macro credit markets and have smaller allocations to macro equities and commodities. Both relative value and directional trading are deployed. Leverage of x is applied. The fund targets returns of 10-15% p.a. on 7-8% volatility. Karya is a diversified discretionary macro fund trading predominantly in global fixed income markets. The Fund also engages in a relative value strategies seeking to capture excess yield differentials between Agency Residential Mortgage Backed Securities and comparable benchmark securities for example. The investment process uses a combination of fundamental and technical analyses to identify market mispricings relative to key macro themes. These trades are expressed in both directional and relative value fashion across the spectrum of fixed income instruments ranging from developed market rates through credit products like mortgage backed securities or corporate credit. The Autonomy Global Macro Fund is a global macro fund with a focus on emerging markets. The Fund expects to generate the majority of its returns through trading in fixed income and currencies. At certain times the Fund will also trade equity indices or baskets of equities but this is not a major source of return. The Fund can be either directional or relative value and will normally not use leverage in emerging market assets due to liquidity and borrow but will use leverage in G7 assets. The MaxQ fund is a macro hedge fund, predominantly focused on the European time zone and, in particular, the peripheral markets. By asset class, the fund focuses on fixed income, followed by currencies and to a lesser extent equities. The Fund focuses on diversified trading strategies, engaging in both relative value and macro opportunities across liquid fixed-income, currency and options markets. The primary focus is on G10 sovereign debt, interest rate swaps, futures, currencies and options markets. The majority of capital is invested in the US and Europe, with smaller exposure to the UK, Canada, Japan. Proprietary quantitative models support subjective investment decision-making process. The Fund s approach is more short-term trading oriented than longer, structural term plays. The Pharo Trading Fund is a discretionary macro fund which focuses on emerging markets. The Fund can express its views in various asset classes, but primarily in currencies and fixed income and has a shorter term approach than the Pharo Macro Fund. Source: GAM as of Sep 30, Allocations and holdings are subject to change. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. 23

25 Water and Power Employees Retirement Plan Fund strategy descriptions Holdings Strategy Description Macro Discretionary Guard Macro This is a fundamental global macro fund with a focus on Asia. The approach tends to be more directional in nature, and performance attribution tends to be driven by 2-4 medium-term themes per year. Themes are based on macroeconomic fundamentals, although tactical trades are regularly implemented with shorter holding periods. The fund expresses themes primarily in FX and rates instruments using predominantly futures, forwards, swaps, or options. The Fund tends to be more active in FX than it is in rates, although this is wholly dependent on the opportunity set at a given point in time. Macro - Systematic QMS Diversified Global Macro The QMS Diversified Global Macro strategy is a systematic macro program which trades about 70 equity index, sovereign rate/bond, commodity and currency markets. It trades models applying lower-frequency fundamental economic views and higher frequency models driven by marketbased signals. The long-term risk allocation is about half to each of macro and technical approaches and a similar split between directional and RV models although both allocations are tactically adjusted based on the opportunity set. The longer-term fundamental models hold positions from one month to one quarter and shorter-term models hold a few days to one month resulting in an overall average holding period of one month. Two Sigma AR Macro Enhanced Two Sigma Compass Enhanced Two Sigma Absolute Return Macro Enhanced Fund is a systematic program which employs numerous technical and fundamental inputs to invest in over 230 markets in all four asset classes. Its models are taken from those used in the Two Sigma Compass program. It primarily trades in futures, FX and G-10 interest rate swaps but also includes smaller allocations to credit indices, equity index ETFs and options on futures and currencies. It has an average holding period of three to four weeks. Technical systems including trend following and mean reversion make up about 60% of the fund's risk. Fundamental systems make up the balance of the risk and focus on inputs which are updated more frequently than traditional quarterly economic data releases. Macro PICS is the firm's macro alpha capture system and has a less than 5% weight. The majority of the models are directional and the Portfolio is optimized on a daily basis. The Absolute Return Macro Enhanced Fund runs at 1.5x the base program's targeted net volatility of around 10% annualized. Two Sigma Compass is a systematic program which employs numerous technical and fundamental inputs to invest in over 230 markets in all four asset classes. It primarily trades in futures, FX and G-10 interest rate swaps but also includes smaller allocations to credit indices, equity index ETFs and options on futures and currencies. It has an average holding period of one to two weeks within a range of intra-day to several months. Technical systems including trend following and mean reversion make up about 60% of the fund's risk. Fundamental systems make up the balance of the risk and focus on inputs which are updated more frequently than traditional quarterly economic data releases. Macro PICS is the firm's macro alpha capture system and has a less than 5% weight. The majority of the models are directional and the Portfolio is optimized continuously. The Compass Enhanced product runs at twice the base program's targeted net volatility of around 11% annualized. Source: GAM as of Sep 30, Allocations and holdings are subject to change. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. 24

26 Water and Power Employees Retirement Plan Fund strategy descriptions Holdings Strategy Description Managed Futures - Trend Winton Futures GSA Trend The Winton Diversified Program systematically trades over 120 futures and FX markets across all four asset classes by employing primarily a trend following approach. The program's average holding period is about four months and it takes advantage of the firm's ability to predict returns and volatility based on explanatory variables which are optimized for each market via statistical analysis. The majority of the directional approaches use technical inputs while non-directional approaches such as relative value and carry primarily use fundamental inputs. There is also a meaningful risk weight to single stock systems which are hedged to be beta neutral. This allocation uses approaches such as value, momentum and others such as seasonality. Deutsche Bank have wrapped the Winton Diversified Program to create a UCITS compliant fund which is run at the same leverage as Winton's base program. The Cavendish Systematic fund is a GAM-specific vehicle which trades the Winton Diversified Program at 2x. The GSA Trend Fund is a systematic managed futures program offering alternative beta access to medium term trend following. Six types of equally-weighted trend signals are employed which combine for an average holding period of about 120 business days (5 1/2 months). More than 85 futures contracts are traded in all four asset classes along with 20 FX forwards. Commodities have the largest risk allocation. Managed Futures Short-Term/Active Trading Jefferies Systematic Edgestream Nias Crabel Multi-Product The Jefferies Structured Alpha Fund consists of quantitative strategies applied to the largest 3,000 US and global equities and 55 global futures markets across all four asset classes. Single stocks have about two thirds of the fund's risk. The fund utilizes primarily technical data to trade a variety of strategies with an average holding period of about 4 days within a range of hours to weeks. Approaches include momentum, countertrend/mean reversion/stat arb, fundamental (in equities only) and events/special situations. Strategies traded in the futures book have one third of the fund's risk and include mean reversion, momentum and event driven. Non-price based approaches have about a 20% risk weight. The Edgestream Nias Fund uses a single core model with an average holding period of one to two days to systematically trade more than 65 futures markets and currency crosses. The trading decisions are based on technical factors which identify price patterns rather than fundamental data. Instruments traded include stock index futures, currency futures, fixed income futures and commodity futures (agriculturals, metals and energy). Because the core model is adaptive, the impact of actual price series analysis makes the model traded for each instrument different. A risk allocation of 13% trades large cap US, UK, Australia and Japanese individual equities using a similar approach. The Crabel Multi-Product is a multi-strategy approach that mixes all of the major systematic investment programs at Crabel, the vast majority of which are short-term futures programs evenly split between mean reversion and short-term momentum. The average holding period of the preponderance of trades is under 2 days. The fund allocates to Crabel Diversified Futures, Buethe Crabel Futures, WPD Crabel Futures, Advanced Trend, Crabel Gemini and Hansen Crabel. Trading is systematic, although the allocation of weights among the programs is discretionary. More than 200 markets are traded in all four asset classes as well as a small allocation to individual equities. A key differentiator of Crabel's approach is that about 85% of position exits are via time based stops. The Crabel Fund SPC, Ltd-Segregated Portfolio A runs at 9% annualized volatility and the Crabel Fund SPC and Ltd-Segregated Portfolio AA at 14%. Source: GAM as of Sep 30, Allocations and holdings are subject to change. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. 25

27 Water and Power Employees Retirement Plan Fund strategy descriptions Holdings Strategy Description Managed Futures Short-Term/Active Trading GTS Master Fund RG Niederhoffer Diversified The GTS Master Fund employs a liquid, developed markets discretionary global macro strategy with a focus on currencies and interest rates. Equity exposure is via major listed index futures only and commodities exposure is only via major listed futures contracts. The strategy uses medium term thematics as a framework within which to execute shorter term trading and the approach is a combination of fundamental and technical trading. GTS has a target volatility of 8-10%. The R. G. Niederhoffer Diversified program employs a short-term systematic approach to trade a Portfolio of about 60 futures and OTC FX markets across all four asset classes as well as large cap US individual equities. The fund uses a mix of about 60 models across 9 groups with about 55% of the risk in contrarian and 45% of the risk in momentum approaches. The average holding period is about one and a half days and the holding periods of the fund's various systems can range from minutes to about 10 days. One system also trades options on futures seeking to capture the option premia when volatility in the markets is low. Volatility Laurion Capital The Laurion Capital fund is a market neutral relative value fund that seeks to quantitatively analyze common sense structural and behavioural inefficiencies in the markets and then employ both model-based and discretionary trading strategies to profit. Approximately 70% of the capital is allocated to discretionary volatility arbitrage trading which is based on a combination of quantitative screens to identify opportunities and recommendations from the Portfolio management and trading group. The balance of the capital is allocated to systematic strategies, the vast majority of which trades single stocks with a minority in machine learning futures trading approaches. Assets traded include global currencies, fixed income, commodities and equities and their derivatives. Geographical allocation is across North America, Western Europe, Asia Pacific and Emerging Markets. Capital is allocated based on expected risk/return of each strategy and its contribution to the Portfolio as a whole. The fund's strategy does not rely on favourable conditions in any particular market or on general appreciation of assets. The Portfolio is constrained by a wide variety of limits that cover stock, option, factor and scenario effects. Historically, the fund has had no correlation to traditional equity markets. Source: GAM as of Sep 30, Allocations and holdings are subject to change. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein. 26

28 OUTLOOK

29 Trading outlook Central bank policy divergence has finally arrived, impacts will be both positive and negative Market volatility is likely to increase relative to that experienced in past few years, which should be positive Liquidation risk will continue to be an issue for markets, making it more difficult for larger firms Key to adding value will remain via expression, specialization, and time horizon Less directional approaches should continue to offer consistent opportunities Directional approaches will require ability to withstand significant reversals or be very tactical Emerging markets continue to be attractively priced but recent rally requires greater selectivity Commodity outlook has improved due to fewer market participants and improved balances Opportunities in fixed income and currency markets will arise but non-directional expressions will be important Views expressed are those of the manager at the time and are subject to change. 28

30 INVESTMENT PROCESS

31 Periodic Table of Hedge Fund* Strategy Returns as of Dec 31, % Emg Mkts 20.2% Emg Mkts Global Macro 20.5% 17.4% Emg Mkts Distr Secs L/S Equity Conv Arb Global Macro Distr Secs L/S Equity 17.4% 15.6% 13.7% 47.3% 13.5% 11.8% 17.7% Short Bias Multi Strat Multi Strat Emg Mkts Fxd Inc Arb Multi Strat Distr Secs Multi Strat 17.0% 14.5% 10.1% 30.0% 12.5% 11.2% 16.0% 3.8% Distr Secs L/S Equity Eq Mkt Neutral Fxd Inc Arb Mgd Futures Global Macro Fxd Inc Arb Multi Strat Mgd Futures L/S Equity 11.7% 14.4% 9.3% 27.4% 12.2% 6.4% 11.0% 11.2% 18.4% 3.6% L/S Equity Conv Arb Risk Arb Multi Strat Emg Mkts Fxd Inc Arb Emg Mkts Eq Mkt Neutral Multi Strat Short Bias 9.7% 14.3% 8.8% 24.6% 11.3% 4.7% 10.3% 9.3% 6.1% 2.4% Global Macro Global Macro Distr Secs Distr Secs Conv Arb Eq Mkt Neutral L/S Equity Emg Mkts L/S Equity Eq Mkt Neutral 9.2% 13.5% 8.4% 21.0% 11.0% 4.5% 8.2% 8.8% 5.5% 1.7% Multi Strat Eq Mkt Neutral Short Bias L/S Equity Distr Secs Short Bias Conv Arb Conv Arb Fxd Inc Arb Conv Arb 7.5% 11.2% 6.0% 19.5% 10.3% 3.9% 7.8% 6.0% 4.4% 0.8% Eq Mkt Neutral Fxd Inc Arb Mgd Futures Risk Arb Multi Strat Multi Strat Global Macro Risk Arb Global Macro Fxd Inc Arb 6.1% 8.7% 6.0% 12.0% 9.3% 1.8% 4.6% 4.9% 3.1% 0.6% Risk Arb Risk Arb Conv Arb Mgd Futures Global Macro L/S Equity Conv Arb Risk Arb Global Macro Distr Secs Risk Arb 3.1% 8.1% 5.2% 18.3% 11.5% 9.3% 1.1% 2.8% 4.3% 2.6% 0.4% Fxd Inc Arb Mgd Futures Fxd Inc Arb Short Bias Eq Mkt Neutral Risk Arb Risk Arb Eq Mkt Neutral Fxd Inc Arb Emg Mkts Global Macro 0.6% 8.1% 3.8% 14.9% 4.1% 3.2% 0.8% 0.9% 3.8% 1.5% 0.2% Mgd Futures Short Bias Risk Arb Mgd Futures Eq Mkt Neutral Mgd Futures Mgd Futures Mgd Futures Eq Mkt Neutral Emg Mkts -0.1% -6.6% -3.3% -6.6% -0.8% -4.2% -2.9% -2.6% -1.2% -0.2% Conv Arb Global Macro Short Bias Short Bias Distr Secs Short Bias Short Bias Risk Arb Mgd Futures -2.5% -4.6% -25.0% -22.5% -4.2% -20.4% -24.9% -1.3% -0.9% L/S Equity Emg Mkts Conv. Arb Distr Secs -19.7% -6.7% -1.7% -5.3% Distr Secs L/S Equity Short Bias -20.5% -7.3% -5.6% Multi Strat -23.6% Fxd Inc Arb -28.8% Emg Mkts -30.4% Conv Arb -31.6% Eq Mkt Neutral -40.3% Source: *Prepared by GAM based upon performance (net of fees) data from the applicable Dow Jones Credit Suisse hedge fund indices. GAM has not independently verified the 30 information from other sources and no assurance can be given as to whether such information is accurate, true or complete and GAM makes no warranty, expressed or implied, regarding such information. Every effort has been made to ensure the accuracy of the information provided, but GAM cannot be held responsible for any errors or omissions. Past performance is not indicative of future returns.

32 GAM Trading Strategy* Attractive long-term correlation profile versus equities as of Sep 30, Correlation of HFRI indices and GAM Trading Strategy to the S&P 500 Index HFRI Equity Hedge Index HFRI Event Driven Index HFRI Relative Value Index HFRI Macro Index GAM Trading Strategy (Net of 1.25%) 3 years (annualized) 5 years (annualized) 10 years (annualized) Source: Bloomberg, HFR. *The net performance shown is supplemental information and calculated by deducting an aggregate fee of 1.25% per annum from the performance of the GAM Trading Strategy Composite (gross) in USD. The actual fee charged for an account may vary. Please note the indices shown are not the benchmarks for the GAM Trading Strategy in USD and is shown for illustrative purposes only. Past performance is not indicative of future returns. Indices cannot be purchased directly. Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS Supplemental Information text for further details. Please see Disclaimer at the end of this material for important disclosures regarding the information contained herein. 31

33 GAM Trading Strategy* Performance during down equity markets Russian Debt Crisis - 30 Jun 1998 to 31 Aug 1998 Tech Bubble - 31 Mar 2000 to 30 Sep % 40 % 41.1 % 0 % 20 % -5 % 0 % -10 % -20 % -15 % Jul 98 Aug % -40 % Dec 00 Dec 01 Sep % 20 % 10 % 0 % -10 % -20 % -30 % -40 % -50 % Credit Crisis - 31 Aug 2007 to 28 Feb 2009 Dec 07 Dec % % 4 % 3 % 2 % 1 % 0 % -1 % 30 Jun 2014 to 30 Sep 2014 Jul 14 Aug 14 Sep % 1.1 % GAM Trading Strategy (Net of 1.25%) S&P 500 in USD Past performance is not indicative of future performance. Source: GAM, Thomson Reuters. 32 *The net performance shown is supplemental information and calculated by deducting an aggregate fee of 1.25% per annum from the performance of the GAM Trading Strategy Composite (gross) in USD. The actual fee charged for an account may vary. Indices cannot be purchased directly. Please refer to the relevant GIPS compliant report and the GIPS supplemental text for further details. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein.

34 Investment Process Overview Performance is driven by consistent application of our process Asset allocation Investment research Operational due diligence Portfolio management Operations & back office Risk management Source: GAM 33

35 Investment research Identification of talent Investment Research Universe mapping Quantitative and qualitative analysis Dedicated research team conducts ongoing search for new managers Maps approximately 6,000* hedge funds on proprietary databases Quantitative screening of: Returns and risk, both absolute and relative to hedge fund indices Fee levels, liquidity and asset size Qualitative view and action agreed Reviewed ~300 hedge funds in 2015 Quantitative and qualitative analysis linked to prioritise research Emphasis on finding talent: willingness to invest in new managers / strategies Prioritisation focus on talent Source: GAM * As at 30 June

36 Operational due diligence Executive summary Traffic light assessment summarises the detailed findings on each holding Risk Areas Red Amber Green Is the Fund self-administered or administered on a NAV-lite basis (including pricing and manager marks)? The Fund trades only FX, futures & equities all are easy to price. The Administrator, Citi Hedge Fund Services, was appointed in late 2009 and provides a full-service NAV the Administration Agreement specifically states that duties include pricing the Portfolio. Are there any significant weaknesses in corporate governance? Include in this section share voting arrangements and board composition. Shares are voting, except with respect to the appointment or removal of directors over which the IM has sole voting rights (as holder of the Management Shares). Are there any issues or points to note with respect to types of fees/expenses charged to the Fund? The IM re-charges some internal staff costs which relate to salary & bonuses (but no other overheads) of staff who are specifically responsible for middle office services (such as cash & bank reconciliations) since these functions were taken in-house from the Administrator in 2005 (and resulted in a reduction of the Administrator fees at the time) as well as the cost of multiple data feeds. Staff costs re-charged are approximately $1.3m p.a and data feed costs are around $3.5m p.a (total $4.9m p.a), which are re-charged pro rata across all funds based on AuM. The IM has confirmed in writing that non-standard expenses will be capped at 30bp of average NAV. Source: GAM For discussion purposes only. 35

37 Portfolio management Overview Bottom-up views drive Portfolio construction Manager sizing is determined by combination of: Portfolio management Manager sizing Intra-Portfolio correlation analysis Portfolio risk exposures Investment and risk meetings Strong, bottom-up analysis of managers + Forward-looking return and risk metrics + Actual strategy weights influenced by IMC views and tactical allocation guidelines Proprietary Portfolio modelling and liquidity tools support judgment Investment Management Committee meets monthly to: Revalidate each manager s investment case Consolidate bottom-up views Discuss target strategy weights Source: GAM 36

38 Risk management Overview Proprietary tools utilised to monitor Portfolios at multiple levels Risk management Manager and Portfolio monitoring AIS Quantitative Research Team oversees on-going risk analysis Aggregate and analyse Portfolio level risks, including risk exposures and holdings Risk Dashboard tool collates information Structured quarterly risk review process Structured performance monitoring conducted by Investment Management Committee Monthly performance analysis Contribution and attribution analysis Transparency analysis Scenario stress testing Factor analysis Source: GAM 37

39 Risk management Quantitative risk aggregation Collating key risk metrics into one report Invested managers provide detailed Portfolio data GAM s risk systems check and analyse data Aggregate data into risk dashboard quarterly Triangulate with information from quant reports Risk Dashboard Tool Risk Factor Analysis (RFA) Full Transparency Stress Testing Valuation Monitoring Liquidity Monitoring GAM s Invested Managers Input Confirmed exposure data Positional data Pricing data FAS157 accounting Liquidity profile Source: GAM 38

40 APPENDIX

41 Water and Power Employees Retirement Plan Key Contacts GAM USA Inc. One Rockefeller Plaza, 21 st Floor New York, NY Relationship Management: Kristin Hovencamp Dir : Director, Institutional kristin.hovencamp@gam.com Fax: Peter Mostarac Dir : Client Manager peter.mostarac@gam.com Fax: Portfolio Management: Arvin Soh Dir : Portfolio Manager arvin.soh@gam.com Fax: Jim Ha Dir : Portfolio Manager jim.ha@gam.com Fax:

42 GAM Alternative Investments Solutions Members of the Investment Management Committee Larry Hatheway Group Head of MAPS and Group Economist Larry Hatheway is GAM's Group Head of Multi Asset Portfolio Solutions and Group Chief Economist. He oversees GAM's multi asset and alternative investment solutions teams. He is also a member of the GAM Group Management Board. Prior to joining GAM in September 2015 he was managing director and chief economist at UBS Investment Bank. Larry Hatheway also served as UBS s global head of macro strategy from 2008 to 2012 and global head of asset allocation from 2000 to Earlier in his career he held roles at Citibank and Manufacturers Hanover Trust. Larry Hatheway holds a PhD in Economics from the University of Texas, a MA from the Johns Hopkins University, and a BA from Whitman College. He is based in London. Anthony Lawler Head of Portfolio Management Anthony Lawler is Head of Portfolio Management for GAM Alternative Investments Solutions (AIS). He is a member of the AIS Investment Management Committee, which is responsible for managing all AIS client Portfolios. Prior to joining GAM in November 2011, Mr Lawler spent eight years with Man Group based in London and Chicago, latterly as head of Portfolio management, leading a global team covering all of Man Investments multi-manager mandates. Prior to this, he was head of hedge fund research at Man Glenwood, the US alternative investment firm. Before that, Mr Lawler was an equity research analyst at Prudential Securities. Prior to this, he was a manager at venture capital firm, Castling Group. He began his career as an M&A analyst at Merrill Lynch in San Francisco. Mr Lawler holds an MBA in Finance and Economics from the University of Chicago Booth School of Business, and a BS (highest Honours) in Finance from the University of Illinois. He is based in London. 41

43 GAM Alternative Investments Solutions Members of the Investment Management Committee Kier Boley Portfolio Manager Kier Boley is a Portfolio Manager and Investment Committee member of GAM s Alternative Investments Solutions team. He is responsible for non-us equity investments. Prior to joining GAM in April 2000, Kier spent six years with City of London Investment Management, where, as a director, he was responsible for its London investment team dealing in non-us traded emerging market and Asian funds. Before that, Kier worked in Asia for two years. He holds a BA (Hons) in Economics from Portsmouth University, an MSc in Economics from Southampton University and is a member of the CFA Society of the UK. He is based in London. Amir Madden Portfolio Manager Amir Madden is a Portfolio Manager and Investment Committee Member of GAM s Alternative Investments Solutions team, responsible for event driven and US equity investments. Prior to joining GAM in August 2002, he spent two years at JP Morgan Private Bank in the multi-manager investment advisory group performing manager due diligence, having previously worked at Jennison Associates. Amir holds an MBA in Banking and Finance from Hofstra University and a BBA in International Finance and Marketing from the University of Miami. He is based in New York. 42

44 GAM Alternative Investments Solutions Members of the Investment Management Committee Arvin Soh Portfolio Manager Arvin Soh is a Portfolio Manager and Investment Committee Member of GAM s Alternative Investments Solutions team, responsible for trading investments. Prior to joining GAM in February 2005, Arvin was a manager within the pension group at Pfizer, with primary responsibility for manager selection in international equity, global macro and currency funds. Before that, he was an assistant Portfolio manager with a quantitatively based fundamental hedge fund and a vice president with Bankers Trust Asset Management focused on global markets. He holds a BA in Economics from Cornell University and an MBA from the Wharton School of the University of Pennsylvania. He is based in New York. Jim Ha Portfolio Manager Jim Ha is a Portfolio Manager in GAM's Alternative Investments Solutions (AIS) team, with a specific focus on trading strategies. Prior to joining GAM in May 2007, he worked as a senior manager covering hedge funds and fixed income investments for the Avaya Inc. corporate pension plans. Mr Ha holds a BA in Economics from Northwestern University in Evanston, Illinois, an MBA in Finance and Management from New York University Stern School of Business, and is a CFA charterholder. He is based in New York. 43

45 GAM Alternative Investments Solutions Investment Research Analysts Carl Hunermund - Senior Investment Analyst Carl Hunermund is a Senior Investment Analyst in GAM s Alternative Investments Solutions (AIS) team, with a specific focus on systematic trading strategies. Before joining GAM in May 2005, he was a vice president of investment banking with Bear, Stearns & Co in New York. Mr Hunermund holds an MBA from the University of Michigan, where his studies focused on finance and accounting, a BSc in Materials Science and Engineering from the Massachusetts Institute of Technology, and is a CFA charterholder. He is based in New York. Susanna King Senior Investment Analyst Susanna King is a Senior Investment Analyst in GAM's Alternative Investments Solutions (AIS) team, with a specific focus on credit and relative value credit strategies. Ms King began her career at GAM in August 2008 as an Investment Support Assistant. Prior to this, she was an intern - research assistant at State Street Bank & Trust. Ms King holds a BSc in Economics from the University of Surrey and the Investment Management Certificate. She is based in London Anthony Murphy Senior Investment Analyst Anthony Murphy is a Senior Investment Analyst in GAM s Alternative Investments Solutions (AIS) team, with a focus on fixed income, macro and relative value strategies. Prior to joining GAM in January 2012, he was an investment analyst at Mercer and before that, he was a mergers and acquisitions analyst at Stamford Partners. Anthony Murphy holds a MA in Economics from Cambridge University, is a CFA charterholder and holds the Investment Management Certificate. He is based in London. Ellie Clapton - Investment Analyst Ellie Clapton is an Investment Analyst in GAM s Alternative Investment Solutions (AIS) team, with a specific focus on European and UK equity strategies. Prior to joining GAM in June 2014, she worked as a Junior Analyst at Wellian Investment Solutions, focusing on international equity strategies. Ellie Clapton holds a BA (Hons) in Economics and Social Studies, specialising in Development Economics; she holds the Diploma in Regulated Financial Planning, the IMC and is a 2016 Level II Candidate in the CFA Program. She is based in London. Robert White - Investment Analyst Robert White is an Investment Analyst in GAM s Alternative Investment Solutions (AIS) team, with a specific focus on Asia and Emerging Market strategies. Prior to joining GAM in December 2014, he worked in the investment team at GHC Capital Markets. Robert White holds a BA (Hons) in Politics and Philosophy from The University of York, is a CFA charterholder and an Associate member of the CISI. He is based in London. 44

46 GAM Alternative Investments Solutions Investment Support Analysts Alexandra Gormley Investment Support Analyst Lauren Villano Investment Support Analyst James Daly Investment Support Analyst Misha Patel Investment Support Assistant Sarah Jackson-Koufie Investment Support Assistant 45

47 GAM Marketing and Client Service Team Gary Droscoski Senior Director, Institutional Sales Gary Droscoski is a Director of Business Development at GAM, where he heads up business development and client services in North America. Gary joined GAM following its acquisition of the fixed income and foreign exchange specialist, Augustus, in May Gary joined Augustus in June 2007 from Atlantic Asset Management where he was vice president of business development. Prior to this he held the same role at Conning Asset Management. Gary holds a BBA in Marketing from Hofstra University and an MBA in Finance from the University of Connecticut. He is based in New York. Kristin Hovencamp Director, Institutional Sales Kristin Hovencamp is a Director of Institutional Sales in North America. Prior to joining GAM in 2005, Ms. Hovencamp was Vice President of Sales at Information Management Network in New York. This followed two years as a senior marketing consultant at the Institute for International Research. Prior to this, she was a regional sales manager at CertCo, Inc., a division of Bankers Trust. Ms. Hovencamp holds a BA in Communications from the University of Arizona. She is based in New York. Christopher Todisco Director, Institutional Sales Christopher Todisco is an Institutional Sales Director for North America at GAM. Prior to joining GAM in 2005, he held marketing support and client service positions at Royal Alliance Associates in New York and Sun Life Financial in Boston. Mr. Todisco holds a BA in Sociology from the University of Connecticut. He is based in New York. Andrew Higginson Director, Institutional Sales Andrew Higginson is a Director Institutional Sales for North America, responsible for business development and client services. Before joining the sales team, Mr. Higginson was the business manager in GAM s institutional and fund distribution team. Prior to 2006, he was an assistant manager in GAM's operational risk team responsible for GAM's Alternative Investments Solutions strategies and third party managers. Before joining GAM in April 2005, he was a risk manager at Perpetual, Australia. Mr. Higginson is a Chartered Accountant and holds a BEc and a Masters in Accounting from Macquarie University, Sydney. He is based in New York. 46

48 Index Descriptions HFRI Equity Hedge (Total) Index The HFRI Equity Hedge Index is an equally weighted index that represents the performance net of fees. Funds included must report monthly returns net of all fees in USD. There is no required asset-size minimum and no required length of time a fund must be actively trading before inclusion in the HFRI. Both domestic and offshore funds are included in the HFRI. Equity Hedge investing consists of a core holding of long equities hedged at all times with short sales of stocks and/or stock index options. Some managers maintain a substantial portion of assets within a hedged structure and commonly employ leverage. Where short sales are used, hedged assets may be comprised of an equal dollar value of long and short stock positions. Other variations use short sales unrelated to long holdings and/or puts on the S&P 500 index and put spreads. Conservative funds mitigate market risk by maintaining market exposure from zero to 100 percent. Aggressive funds may magnify market risk by exceeding 100 percent exposure and, in some instances, maintain a short exposure. In addition to equities, some funds may have limited assets invested in other types of securities. HFRI Event Driven (Total) Index The HFRI Event Driven Index is an equally weighted index that represents the performance net of fees. Funds included must report monthly returns net of all fees in USD. There is no required asset-size minimum and no required length of time a fund must be actively trading before inclusion in the HFRI. Both domestic and offshore funds are included in the HFRI. Event-Driven is also known as ""corporate life cycle"" investing and encompasses a combination of investment processes targeting securities which experience a change in valuation due to corporate transactions. For instance, a strategy focusing on acquisitions and bankruptcies combines elements of two investment processes: Merger Arbitrage and Distressed Securities. In general, the triggers are announced events and may include mergers and acquisitions, bankruptcy announcements, proxy battles, corporate restructurings, spin-offs, litigation outcomes, leveraged buyouts, share buybacks, leveraged recapitalizations. The decision making process typically involves assessing the expected return of an investment in relation to the probability of the event occurring. Pure merger arbitrage funds are separately classified in the Relative Value process group. Event-Driven funds will often have a significant portion in merger arbitrage although it does not exceed 80% of their risk capital. Unlike pure merger arbitrage, participation in other event driven transactions may involve taking positions of a more directional nature, potentially without a direct hedge. HFRI Macro (Total) Index The HFRI Macro Index is an equally weighted index that represents the performance net of fees. Funds included must report monthly returns net of all fees in USD. There is no required asset-size minimum and no required length of time a fund must be actively trading before inclusion in the HFRI. Both domestic and offshore funds are included in the HFRI. Macro funds take long and short positions in currencies, bonds, equities, and commodities. The manager tries to exploit perceived divergences between and within these various asset classes. The investment decisions are based on a manager s top-down or macro views of the world, economy, government policy, interest rates, inflation, market dynamics, and sentiment. The manager may also base investment decisions on relative valuations of financial instruments within or between asset classes. Source: Standard and Poor s and Hedge Fund Research. 47

49 Index Descriptions HFRI Relative Value (Total) Index The HFRI Relative Value Arbitrage Index is an equally weighted index that represents the performance net of fees. Funds included must report monthly returns net of all fees in USD. There is no required asset-size minimum and no required length of time a fund must be actively trading before inclusion in the HFRI. Both domestic and offshore funds are included in the HFRI. Statistical Arbitrage is a model-based investment process, which aims to build long and short Portfolios whose relative value is currently different from a theoretically or quantitatively predicted value. The investment process is systematized, but implementation may differ substantially in terms of the underlying models and the frequency of trading. The models are central to Statistical Arbitrage and serve two purposes. First to identify securities (individually or in baskets) that are mispriced against an internal benchmark, and second to construct a Portfolio which is market neutral. All models assume that the time series involved (representing an individual security's price or fundamental data, or other market data, or a group of similar securities)contain information relevant to the future performance of the security that has not been discounted in the current market price. The methodologies used to identify this information are quantitative and trading is generally automated. The Portfolio performance depends on future security prices converging to model equilibrium prices. A hedge fund investment approach is considered to be Statistical Arbitrage if positions are entered into on the basis of systematic models designed to find opportunities where the relative value of two or more assets is currently different from a theoretically or quantitatively predicted value. HFRI/HFRX Macro Index Macro strategy managers which trade a broad range of strategies in which the investment process is predicated on movements in underlying economic variables and the impact these have on equity, fixed income, hard currency and commodity markets. Managers employ a variety of techniques, both discretionary and systematic analysis, combinations of top down and bottom up theses, quantitative and fundamental approaches and long and short term holding periods. Although some strategies employ RV techniques, Macro strategies are distinct from RV strategies in that the primary investment thesis is predicated on predicted or future movements in the underlying instruments, rather than realization of a valuation discrepancy between securities. In a similar way, while both Macro and equity hedge managers may hold equity securities, the overriding investment thesis is predicated on the impact movements in underlying macroeconomic variables may have on security prices, as opposes to EH, in which the fundamental characteristics on the company are the most significant and integral to investment thesis S&P 500 Index The S&P 500 Index is a free-float adjusted market-capitalization-weighted index designed to measure the performance of 500 leading companies in leading industries of the U.S. economy. The stocks included have a market capitalization in excess of USD 4 billion and cover over 75% of U.S. equities. A balance for the S&P 500 in line with the sector balance of the universe of eligible companies is maintained. Source: Standard and Poor s and Hedge Fund Research. 48

50 Index Descriptions Barclays US Aggregate Bond Index The BarCap US Aggregate Bond Index is a market-capitalization weighted index that measures the performance of the US investment grade fixed-rate bond market. The index covers nonconvertible government and corporate bonds, agency mortgage pass-through securities, assetbacked issues and ERISA-qualified CMBS denominated in USD with a remaining maturity of at least one year and a rating of Baa3 or better by Moody's. Russell 3000 Index The Russell 3000 Index consists of the 3000 largest publicly listed U.S. companies, representing about 98% of the total capitalization of the entire U.S. stock market. MSCI AC World Index The MSCI AC World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI AC World Index consists of 46 country indexes comprising 23 developed and 23 emerging market country indexes. The developed market country indexes included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indexes included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey* and United Arab Emirates. Source: Standard and Poor s and Hedge Fund Research. 49

51 GIPS Supplemental Information All GAM's discretionary assets have been allocated to appropriate GIPS composites. GAM's funds often are structured as investment pools with underlying currency classes and it is at the investment pool level that GIPS composite allocations have been made. Supplemental information shown in GAM's materials, including performance, geographic/industrial asset allocations, attribution details and other statistical analyses are based on a sample account of the relevant composite that represents the management style. Other accounts in the composite may have slightly different Portfolio characteristics. In some cases sample accounts have history that pre-dates GAM's compliance with GIPS of 30 June Indices other than the benchmark are sometimes used in presentations for illustrative purposes. Please refer to the relevant GIPS compliant report. 50