Hedge Fund Strategies – Market Update

Q2 2020 CONFIDENTIAL – NOT FOR REDISTRIBUTION

The Notes and Disclosures following this presentation are an integral part of this presentation and must be read in connection with your review of this presentation. GCM Grosvenor®, Grosvenor®, Grosvenor Capital Management®, GCM Customized Fund Investment Group® and Customized Fund Investment Group® are trademarks of Grosvenor Capital Management, L.P. and its affiliated entities. This presentation has been prepared by Grosvenor Capital Management, L.P. and GCM Customized Fund Investment Group, L.P. ©2020 Grosvenor Capital Management, L.P. and GCM Customized Fund Investment Group, L.P. All rights reserved. The Crisis in Context How Should We Think About This Market? The Q1 drop in equity markets had few historic parallels with respect to both the speed and depth of the market’s decline. This was a historically deep and rapid drawdown The speed of the market decline was unprecedented Every S&P 500 drawdown (-5% or more) from a market top, The 2020 market decline was among the fastest 10% corrections since 1928 (64 observations) (6 trading days) in the S&P 500's history

20% 0% Feb 20th to March 23rd 2020 COVID-19 (Feb 2020) COVID-19, -34% -1% Feb 20th to Feb 27rth 2020 0% (6 trading days) -2%

-3% -20% -4%

-40% Jan -5% Slowest 10% 1973, - correction (1980) 48% 190 trading days -6% Mar 2000, -49% -60% -7% Oct 2007, -57% Fastest previous 10% correction -8% (2018) Average for all 8 trading days -80% previous 10% Sep 1929, -86% -9% corrections (1928-2019)

-100% -10% 0 100 200 300 400 500 600 0 50 100 150 200 Trading Days to Market Bottom Trading Days Since Market Top Data source: Bloomberg Finance L.P. Past performance is not necessarily indicative of future results. No assurance can be given that any investment will achieve its objectives or avoid losses.

2 COVID-19 is Not Yet Receding

While some nations in Europe and Asia have managed to reduce COVID-19 new infection rates, case counts in the U.S. and globally continue to rise.

U.S. COVID-19 cases and deaths Global COVID-19 cases and deaths Weekly increase in confirmed cases and deaths Weekly increase in confirmed cases and deaths

500,000 20,000 1,500,000 50,000 Total global cases Cases (LHS) Cases (LHS) topped 13 million Deaths (RHS) The rate at which Deaths (RHS) new cases are 400,000 being confirmed 16,000 1,200,000 40,000 in the U.S. has doubled since June 22

300,000 12,000 900,000 30,000 Total deaths represent over 4%

of total cases 19 19 Cases Reported

19 19 ReportedCases reported

19 19 Related Deaths

19 19 Related Deaths -

200,000 8,000 - 600,000 20,000

COVID

New New COVID New COVID

100,000 4,000 300,000 10,000 Total deaths topped 130,000 in the U.S.

0 0 0 0 Jan Feb Mar Apr May Jun Jan Feb Mar Apr May Jun

Data as of July 13, 2020. Data source: Bloomberg Finance L.P.

3 Aggressive Policy Response

The COVID-19 crisis is causing economic contraction at unprecedented speed and scale globally, the monetary and fiscal policy responses to the crisis have been similarly unprecedented.

Q2 GDP decline is estimated to be worse than the Central banks swiftly initiated aggressive monetary Great Depression, coupled with higher policy in response to the Growing Economic Crisis unemployment than the Global Financial Crisis1 15 week change in G3 central bank balance sheets (USD$ in billions) January 1, 2017 to June 30, 2020

$6,000

G3 Central Bank Asset Purchases exceed $5.0 trillion in the past 15 weeks $5,000

$4,000

$3,000

$2,000

$1,000

($1,000) 2017 2018 2019 2020

Fed ECB BOJ Total 1 Estimates provided by Goldman Sachs. Data as of June 30, 2020. Data sources: Bloomberg Finance, L.P. Goldman Sachs.

4 Substantial Divergence in Market Recovery

There has been a stark divergence within equity markets in 1H 2020: › Growing solvency concerns have led firms with strong balance sheets to materially outperform those with weak balance sheets. › Rapid transition towards the digital workplace is helping growth equities, led by mega-cap U.S. technology equities, to outperform value by a significant margin. Growth equity materially outperforming value Strong balance sheets outperforming as well December 31, 2019 to June 30, 2020 December 31, 2019 to June 30, 2020 30% 30%

20% +21.0% 20% FANGMA Stocks1

10% 10% +9.1% +7.9% Goldman Sachs’ Strong Balance Sheet Index 0% 0% S&P 500 Growth Total Return Index 27% gap -10% -10%

-15.5% -20% -20% -17.9%

-30% -30% S&P 500 Value Total Goldman Sachs’ Weak Return Index Balance Sheet Index -40% -40%

-50% -50% Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20

1 Includes market cap weighted performance of Facebook, Apple, Netflix, Google, Microsoft and Amazon. Data sources: Bloomberg Finance L.P.; Goldman Sachs. Past performance is not necessarily indicative of future results. No assurance can be given that any investment will achieve its objectives or avoid losses.

5 Headwinds for Beta Driven Returns

As global central banks lower rates and infuse liquidity into markets, beta driven returns appear challenged; yields in corporate credit markets have been driven to record lows while the recovery in equity markets has pushed forward P/E multiples towards record highs.

Historically high equity multiples are a headwind for Historically low yields reduce return expectations in expected ‘beta’ returns long-only credit markets as well S&P 500 P/E Ratio (12m Consensus Forward Earnings) Bloomberg Barclays U.S. Aggregate Corporate Yield to Worst December 31, 2009 to June 30, 2020 December 31, 2009 to June 30, 2020

26 6/30: 5.0% Current level 99.6th Percentile

24 4.5% 22

4.0%

20 500 Price Per Earnings Ratio Earnings Per Price 500

S&P 18 3.5% 50th percentile 50th percentile 16 3.0% 14

2.5% 12 Current level: lowest in last 10 years

10 2.0% 2010 2012 2014 2016 2018 2020 2010 2012 2014 2016 2018 2020

Data source: Bloomberg Finance, L.P. Unless apparent from context, all statements herein represent GCM Grosvenor’s opinion. Past performance is not necessarily indicative of future results. No assurance can be given that any investment will achieve its objectives or avoid losses.

6 Tailwinds for Equity Alpha

While elevated valuations and a tenuous macroeconomic environment are a headwind for equity beta returns, we expect rising dispersion in equity markets to provide a tailwind for hedge fund alpha generation as the pandemic drives increased dispersion and volatility in the marketplace.

S&P 500 single stock dispersion: 1991-2020 Higher rates of equity market dispersion have Spread between top & bottom quartile returns (trailing 90 days) for historically benefitted hedge fund alpha generation underlying stocks in the S&P 500: January 1, 1991 to July 1, 2020 Next 24mo HFRI FW Index ann. alpha vs. trailing S&P 500 dispersion 1991-2020

60% 25% July 1, 2020 Equity Market Dispersion 50% 20%

40% 1 15%

Current level: 24% 10% 30%

Hedge Fund Alpha Fund Hedge 5% 20%

10% -5% 5% 10% 15% 20% 25% 30% 0% Equity Market Dispersion2 1991 1998 2005 2012 2020

1 HFRI FW Index Annualized Alpha next 24 months. 2 Trailing 3mo Total Return Differential Between Top & Bottom Quartile Individual Stocks in S&P 500. Data source: Bloomberg Finance L.P. Past performance is not necessarily indicative of future results. No assurance can be given that any investment will achieve its objectives or avoid losses.

7 Tailwinds for Credit Alpha

The pre-crisis surge in high risk borrowing, combined with COVID-19 induced economic stress, is leading to a growing pool of stressed and distressed credit securities. We expect this to create a ripe backdrop for fundamental and distressed credit strategies. Leveraged credit has grown substantially High yield spreads remain elevated on a historical basis Billions outstanding in face value Credit Suisse U.S. High Yield Spread to Worst

2,000 bps $1,523 $1,420 1,500 bps

1,000 bps Current level: 711 bps 2.8x Third Quartile 3.1x 500 bps

4.8x 0 bps 13.5x 2000 2004 2008 2012 2016 2020

$542 Number of bonds trading at >1000 bps spread $452 3000

$320 2500 2000 1500 $105 1000 661 bonds 500 as of 6/30 YE YE YTD YE YE YTD 2000 2008 2020 2000 2008 2020 0 High Yield Leveraged Loans 2008 2011 2014 2017 2020

Data as of June 30, 2020. Data source: Bloomberg Finance, L.P. Unless apparent from context, all statements herein represent GCM Grosvenor’s opinion. Past performance is not necessarily indicative of future returns. No assurance can be given that any investment will achieve its objectives or avoid losses.

8 Hedge Fund Industry Perspective The Role of Hedge Funds Taking a Long Term View on Absolute Returns Focusing on absolute returns and limiting drawdowns are essential aspects of hedge fund investing. Over time, this approach has been effective, and has displayed less than half the volatility of broad equity markets. Despite industry challenges, investors remain supportive and hedge fund assets are near all time highs. Pre-Global Financial Crisis Estimated hedge fund industry AUM Cumulative returns: January 1, 1990 to February 28, 2009 $ billions: January 1990 to June 2020 1000% HFRI FW Composite 4,000 800% 600% YTD Q2 2020:

400% $3,176.8 Thousands 200% 3,000 Risk Free Rate1 + 500 bps 0%

Post-Global Financial Crisis 2,000 Cumulative returns: March 1, 2009 to June 30, 2020 100% HFRI FW Composite 80% 1,000 60% 40% 20% Risk Free Rate1 + 500 bps 0

1994 1995 2005 2006 2016 2017 1990 1991 1992 1993 1996 1997 1998 1999 2000 2001 2002 2003 2004 2007 2008 2009 2010 2011 2012 2013 2014 2015 2018 2019

1 Risk Free Rate defined as the FTSE 3-Month U.S. Treasury Bill Index. YTD Q2 YTD 2020 Data source: HFR Global Hedge Fund Industry Report – Second Quarter 2020 © HFR, Inc. 2020, www.hedgefundresearch.com. Past performance is not necessarily indicative of future results. No assurance can be given that any investment will achieve its objectives or avoid losses.

10 Q2 2020 Market Review and Strategy Performance Attribution Q2 2020 Credit Market Themes Hedge Fund Strategies

U.S. investment-grade credit was positive in Q2 Emerging market bond performance was positive in Q2 Cumulative total return, December 31, 2019 to June 30, 2020 Cumulative total return, December 31, 2019 to June 30, 2020

8% Q2: +2.9% 10% YTD: +6.1% JP Morgan Emerging Markets Bond Index Global 5% Q2: +11.2% 4% YTD: -1.9% 0% Q2: +3.3% 0% YTD: +3.0% -5%

-10% -4% Bloomberg Barclays Global Aggregate Bond Index -15% Bloomberg Barclays U.S. Aggregate Bond Index -8% -20% Dec-31 Mar-31 Jun-30 Dec-31 Mar-31 Jun-30

Overall structured credit was positive in Q2 U.S. high yield bond market performance was positive in Q2 Cumulative total return, December 31, 2019 to June 30, 2020 Cumulative total return, December 31, 2019 to June 30, 2020 6% 5% Q2: +0.9% Q2: +10.0% YTD:+3.6% 0% 4% YTD: -5.3% -5% Q2: +1.1% 2% YTD: +3.3% -10%

-15% 0% Bloomberg Barclays Global Aggregate Securitized Index (USD hedged) -20% Credit Suisse High Yield Index Bloomberg Barclays U.S. Aggregate Securitized Index -2% -25% Dec-31 Mar-31 Jun-30 Dec-31 Mar-31 Jun-30

Data source: Bloomberg Finance, L.P.

12 Q2 2020 Equity Market Themes Hedge Fund Strategies

Positive global equity market performance in Q2 Equity market implied volatility decreased in Q2 Cumulative total return, December 31, 2019 to June 30, 2020 Daily data, December 31, 2019 to June 30, 2020 10% 100 Q2: +20.5% 3/16: 82.7 CBOE Volatility Index (VIX) 0% YTD: -3.1% 85 Q2: +16.0% 70 -10% YTD: -6.3% Q2: +13.5% 55 -20% YTD: -12.1% 40 6/30: 30.4 Average: 32.3 -30% S&P 500 Index 25 STOXX Europe 600 Index -40% MSCI AC Asia Pacific Index 10 Dec-31 Mar-31 Jun-30 Dec-31 Mar-31 Jun-30

Positive U.S. equity sector performance in Q2 Positive equity market breadth in Q2 Cumulative total return, March 31, 2020 to June 30, 2020 Percent of S&P 500 Index constituents advancing vs. declining Consumer Discretionary 32.9% Information Technology 30.5% Q2 2020 9% 91% Energy 30.5% Materials 26.0% April 6% 94% Communication Services 20.0% Industrials 17.0% Health Care 13.6% May 23% 77% Real Estate 13.2% S&P 500 Index Financials 12.2% sectors June 46% 53% Consumer Staples 8.1% Utilities 2.7% Declining Advancing

Data source: Bloomberg Finance, L.P.

13 Q2 2020 Macroeconomic Market Themes Hedge Fund Strategies

Commodity market performance was positive in Q2 Oil prices increased and natural gas prices decreased in Q2 Cumulative total return, December 31, 2019 to June 30, 2020 Cumulative total return, December 31, 2019 to June 30, 2020 10% 20% Brent Crude Oil, Active Futures Contract - ICE Bloomberg Commodity Index Natural Gas, Active Futures Contract - NYMEX 0% 0% Q2: -11.5% -10% -20% YTD: -24.5% Q2: +5.1% YTD: -19.4% -20% -40% Q2: +20.9% YTD: -33.9%

-30% -60% Dec-31 Mar-31 Jun-30 Dec-31 Mar-31 Jun-30

U.S. treasury note yields remained relatively constant in Q2 Yen depreciated and euro appreciated against the dollar in Q2 Yield (%), December 31, 2019 to June 30, 2020 December 31, 2019 to June 30, 2020 $1.25 ¥100 2.00 12/31: 1.9

1.60 $1.20 Q2: +1.8% ¥105 1.20 $1.15 YTD: +0.2% Q2: +0.4% YTD: -0.6% 0.80 6/30: 0.7 $1.10 ¥110

0.40 3/9: 0.5 $1.05 EUR/USD (left, dollars per euro) 10-Year U.S. Treasury Note USD/JPY (right, yen per dollar, inverted) 0.00 $1.00 ¥115 Dec-31 Mar-31 Jun-30 Dec-31 Mar-31 Jun-30

Data source: Bloomberg Finance, L.P.

14 Appendix Notes and Disclosures Data Sources Notes and Disclosures

Bloomberg Finance L.P. Credit Suisse. Preqin. Hedge Fund Research (HFR). S&P. S&P and its third-party information providers do not accept liability for the information and the context from which it is drawn. FTSE International Limited ("FTSE") © FTSE 2020. FTSE is a trade mark of the London Stock Exchange Group companies and is used by FTSE under license. All rights in the FTSE Indices and/or FTSE ratings vest in FTSE and/or its licensors. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE Indices and/or FTSE ratings or underlying data. No further distribution of FTSE Data is permitted without FTSE's express written consent. FTSE Russell. Source: London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group”). © LSE Group 2020. FTSE Russell is a trading name of certain of the LSE Group companies. “FTSE®” “Russell®”, “FTSE Russell®”, “MTS®”, “FTSE4Good®”, “ICB®”, “Mergent®, The Yield Book®,” are a trade mark(s) of the relevant LSE Group companies and is/are used by any other LSE Group company under license. “TMX®” is a trade mark of TSX, Inc. and used by the LSE Group under license. All rights in the FTSE Russell indexes or data vest in the relevant LSE Group company which owns the index or the data. Neither LSE Group nor its licensors accept any liability for any errors or omissions in the indexes or data and no party may rely on any indexes or data contained in this communication. No further distribution of data from the LSE Group is permitted without the relevant LSE Group company’s express written consent. The LSE Group does not promote, sponsor or endorse the content of this communication. MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used to create indices or financial products. This report is not approved or produced by MSCI. STOXX Limited ("STOXX") is the source of Euro Stoxx 50 and Euro Stoxx 600 and the data comprised therein. STOXX has not been involved in any way in the creation of any reported information and does not give any warranty and excludes any liability whatsoever (whether in negligence or otherwise) - including without limitation for the accuracy, adequateness, correctness, completeness, timeliness, and fitness for any purpose - with respect to any reported information or in relation to any errors, omissions or interruptions in the Euro Stoxx 50 and Euro Stoxx 600 or its data. Any dissemination or further distribution of any such information pertaining to STOXX is prohibited.

16 GCM Grosvenor Notes and Disclosures Grosvenor Capital Management, L.P. (“GCMLP”) serves as investment adviser of Hedge Fund Guided Portfolio Solution (the “Fund”). The Fund invests substantially all of its assets in investment funds (“Investment Fund”) managed by third-party investment management firms (“Investment Managers”). This presentation is general in nature and does not take into account any investor’s particular circumstances. Receipt of this presentation should not be considered a recommendation with respect to the purchase, sale, holding or management of securities or other assets. This presentation is neither an offer to sell, nor a solicitation of an offer to buy shares of the Fund (“Shares”) or interests in any Investment Fund in which the Fund invests. An offer to sell, or a solicitation of an offer to buy, Shares of the Fund, if made, must be preceded or accompanied by the Fund’s current Prospectus (which, among other things, discusses certain risks and other special considerations associated with an investment in the Fund). Before investing in the Fund, you should carefully review the Fund’s current Prospectus. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS, AND THE PERFORMANCE OF THE FUND COULD BE VOLATILE. AN INVESTMENT IN THE FUND IS SPECULATIVE AND INVOLVES SUBSTANTIAL RISK (INCLUDING THE POSSIBLE LOSS OF THE ENTIRE AMOUNT INVESTED). NO ASSURANCE CAN BE GIVEN THAT THE FUND WILL ACHIEVE ITS OBJECTIVES OR AVOID SIGNIFICANT LOSSES. This presentation may not include the most recent month of performance data of the Fund; such performance, if omitted, is available upon request. Interpretation of the performance statistics (including statistical methods), if used, is subject to certain inherent limitations. YOU SHOULD NOT INVEST IN THE FUND UNLESS YOU HAVE NO NEED FOR LIQUIDITY WITH RESPECT TO SUCH INVESTMENT, YOU ARE FULLY ABLE TO BEAR THE FINANCIAL RISKS OF SUCH INVESTMENT FOR AN INDEFINITE PERIOD OF TIME AND YOU ARE FULLY ABLE TO SUSTAIN THE POSSIBLE LOSS OF THE ENTIRE INVESTMENT. YOU SHOULD CONSIDER AN INVESTMENT IN THE FUND AS A LONG-TERM INVESTMENT THAT IS APPROPRIATE ONLY FOR A LIMITED PORTION OF YOUR OVERALL PORTFOLIO. In reviewing the performance of the Fund or any Investment Fund, you should not consider any index shown to be a performance benchmark. Such indices are provided solely as an indication of the performance of various capital markets in general. Except as expressly otherwise provided, the figures for each index are presented in U.S. dollars. Index figures may include “estimated” figures in circumstances where “final” figures are not yet available. Set forth below are general categories of risks that apply to investing in the Fund. The risks that apply to investing in the Fund are described in greater detail in the Fund’s current Prospectus. Market Risks – the risks that economic and market conditions and factors may materially adversely affect the value of the Fund’s investments. Illiquidity Risks – the risks arising from the fact that Shares are not traded on any securities exchange or other market and are subject to substantial restrictions on transfer; although the Fund may offer to repurchase Shares from time to time, a shareholder may not be able to liquidate its Shares of the Fund for an extended period of time. Strategy Risks – the risks associated with the possible failure of GCMLP’s asset allocation methodology, investment strategies, or techniques used by GCMLP (as defined below) or an Investment Manager. Manager Risks – the risks associated with the Fund’s investments with Investment Managers. Structural and Operational Risks – the risks arising from the organizational structure and operative terms of the Fund and the Investment Funds. Cybersecurity Risks – technology used by the Fund and by its service providers could be compromised by unauthorized third parties. Foreign Investment Risks – the risks of investing in non-U.S. investment products and non-U.S. Dollar currencies. Leverage Risks – the risks of using leverage, which magnifies the volatility of changes in the value of an investment, including losses.

17 GCM Grosvenor Notes and Disclosures (continued) Valuation Risks – the risks relating to GCMLP’s reliance on Investment Managers to accurately value the financial instruments in the Investment Funds they manage. Institutional Risks – the risks that the Fund could incur losses due to failures of counterparties and other financial institutions. Regulatory Risks – the risks associated with investing both in unregulated entities and in unregistered offerings of securities. Investment Funds generally will not be registered as investment companies under the Investment Company Act of 1940 (“1940 Act”). Therefore, the Fund, as a direct or indirect investor in Investment Funds, will not have the benefit of the protections afforded by the 1940 Act to investors in registered investment companies. Tax Risks – the tax risks and special tax considerations arising from the operation of and investment in pooled investment vehicles such as the Fund and the Investment Funds. GCMLP and its affiliates have not independently verified third-party information included in this presentation and make no representation or warranty as to its accuracy or completeness. The information and opinions expressed are as of the date set forth therein and may not be updated to reflect new information. Assets under management include all subscriptions to, and are reduced by all redemptions from, the Fund in conjunction with the close of business as of the date indicated. GCMLP classifies Investment Funds as pursuing particular “strategies” or “sub-strategies” (collectively, “strategies”) using its reasonable discretion; GCMLP may classify an Investment Fund in a certain strategy even though it may not invest all of its assets in such strategy. If returns of a particular strategy or Investment Fund are presented, such returns are presented net of any fees and expenses charged by the relevant Investment Fund(s), but do not reflect the fees and expenses charged by the Fund to its investors/participants. This presentation may contain exposure information that GCMLP has estimated on a “look through” basis based upon: (i) the most recent, but not necessarily current, exposure information provided by Investment Managers, or (ii) a GCMLP estimate, which is inherently imprecise. GCMLP employs certain conventions and methodologies in providing this presentation that may differ from those used by other investment managers. This presentation does not make any recommendations regarding specific securities, investment strategies, industries or sectors. Risk management, diversification and due diligence processes seek to mitigate, but cannot eliminate risk, nor do they imply low risk. To the extent this presentation contains “forward-looking” statements, such statements represent GCMLP’s good-faith expectations concerning future actions, events or conditions, and can never be viewed as indications of whether particular actions, events or conditions will occur. All expressions of opinion are subject to change without notice in reaction to shifting market, economic or other conditions. Additional information is available upon request. GCMLP and/or certain qualified officers and employees of GCMLP and its affiliates (together with members of their families, “GCM Grosvenor Personnel”) currently have investments in the Fund and additional GCM Grosvenor Personnel may invest in the Fund in the future. Except as otherwise expressly contemplated by the Fund’s governing documents, however, no such person is required to maintain an investment in the Fund. GCM Grosvenor®, Grosvenor®, and Grosvenor Capital Management are trademarks of Grosvenor Capital Management, L.P. and its affiliated entities. ©2020 Grosvenor Capital Management, L.P. All rights reserved. Grosvenor Capital Management, L.P. is a member of the National Futures Association. GRV Securities LLC (“GSLLC”), a member of the Financial Industry Regulatory Authority, Inc. and an affiliate of GCMLP, serves as the distributor of the Fund. GSLLC does not offer any investment products other than interests in certain funds managed by GCMLP and/or its affiliates. Neither GCMLP nor any of its affiliates acts as agent/broker for prospective investors or any Investment Fund.