Water and Power Employees’ Retirement Plan

YTD 2017 Review October 2017

Arvin Soh – Portfolio Manager, GAM Alternative Investments Solutions Jim Ha – Portfolio Manager, GAM Alternative Investments Solutions

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. GAM Attendee Bios

Arvin Soh – Portfolio Manager

Arvin Soh is a Portfolio Manager in GAM’s Alternative Investments Solutions team, responsible for their 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 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 investments for the Avaya Inc. corporate pension plans. Jim holds a BA in Economics from Northwestern University in Evanston, Illinois, an MBA in and Management from New York University – Stern School of Business, and is a CFA charterholder. He is based in New York.

2 Table of contents

 Company overview

 WPERP Portfolio review

 Holdings

 Outlook

 Investment Process

 Appendix

3 COMPANY OVERVIEW About GAM Bringing experience, resources and institutional discipline to traditional and alternative investments

GAM GAM Investment Solutions (GIS)

 Part of GAM Holding AG, a publicly listed company  Over 25 years’ experience in fund investing with $137.1bn in assets* ††  Founded in 1983 with a sole focus on asset  AIS has 22 professionals working out of offices management located in New York, London and Zurich

 Specialist teams in the full range of asset classes  Approximately $2.5 billion in assets under  Over 950 employees** globally, with in fund of assets as of June centres in 30, 2017 – London – Cambridge – Milan – Zurich – Hong Kong – Lugano  Specialty research teams review around 300 – New York managers per year  SEC registered investment advisers and GIPS compliant firm  Qualitative judgment on approximately 85%††† of the universe by number of funds  GAM became a signatory of the UN Principles for Responsible Investment (PRI) in December 2014

 Acquired $1.2bn European CRE private debt team Renshaw Bay***

 Acquired , a $4.1bn UK- based multi-strategy systematic manager†

Source: GAM. Past performance is not indicative of future returns. figures as at 30 Jun 2017. *Listed on the SIX Swiss Exchange. **Staff 5 information as of Dec 31, 2016 for the GAM Holding Group. ***As of Aug 11, 2015. †As of Oct 1, 2016. †† As of Jun 30, 2017. Includes employees who are on leave. ††† As of Jun 30, 2017.

GAM’s substantial global resources Deep and experienced teams

Group CEO

Distribution Private Control Investment Operations Function & Marketing Labelling Functions Fixed Income, L&C, Internal Audit, Distribution, Alternative Portfolio Marketing and Equity and Operations & Finance, HR, PLF Investments Management Product Technology Brand & Comms, Solutions & Private Clients Development Investment General Management teams No of staff 174 16 229 346 174

Group Head of GAM Investments Solutions and Chief Economist

Larry Hatheway*

Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Manager Manager Manager Manager Manager Manager Manager Manager Risk

Kier Arvin Amir Jim Julian Charles Andrea Reto Ken Boley** Soh** Madden** Ha** Howard* Hepworth* Quapp* Hintemann* Liew*

Investment Research Analysts 10 GAM Operational Risk team Quant Team 8 3 Operations & Client Reporting Analysts 3

* Member MACS Investment Strategy Group ** Member AIS Investment Management Committee

Source: GAM. Firm information as of 30 June 2017. Latest data available at time of production. Number of staff include permanent and investment consultant professionals. 6

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 Senior Quantitative Analysts 1 2

Operational Due Diligence Managers Quantitative Analysts 1 4

 Exclusive focus on mitigating non-investment risks ● Monitor, collect and report on risk across asset classes and strategies  Qualifications include accountants/auditors and lawyer ● Report on and analyse risk premia portfolios through – Daily risk reports  Benefit from considerable industry experience across – Daily leverage reports – – Auditing – Monthly performance contribution – – Trading – Monthly VaR  Hold veto authority over appointing managers ● Regularly validate VaR modeling methodology due to operational concerns and results ● Highlight risk hotspots, engage with portfolio managers and escalate issues if relevant

Source: GAM as at Sep 30, 2017. 7 WPERP Portfolio REVIEW Water and Power Employees’ Retirement Plan Asset Growth

Portfolio Changes Amount (Retirement Fund)

Initial Value Invested as of 11/29/13 $80,000,000

Net Additions/(Withdrawals) $0

Income Received $0

Market Appreciation $5,464,000

Market Value as of 9/30/17 $85,464,000

Portfolio Changes Amount (Retiree Health Benefits Fund)

Initial Value Invested as of 11/29/13 $13,000,000

Net Additions/(Withdrawals) $0

Income Received $0

Market Appreciation $887,900

Market Value as of 9/30/17 $13,887,900

Source: GAM 9 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.

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, 2016. *Based upon guidelines provided by the investor. There can be no assurance that these objectives will be realized. Investment 10 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. Water and Power Employees’ Retirement Plan Performance from Nov 29, 2013 (inception) to Sep 30, 2017

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. Water and Power Employees’ Retirement Plan 2017 quarterly performance (%)

3.50 3.28

3.00 2.89 2.67

2.50

2.00 1.91

1.50

0.97 1.00 1.00 0.89 0.85 0.66

0.50 0.21

0.00 (0.09) (0.28) (0.50) (0.36) (0.54) (0.74) (1.00) Q1 Q2 Q3 YTD Since inception

WPERP - gross WPERP - net GAM - US Treasury Bill 3 Month + 3 % Index

Source: GAM, Hedge Fund Research. 12 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.

Water and Power Employees’ Retirement Plan Performance detail for 2017

2017 (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year

Water and Power Employees’ Retirement Plan -1.06 0.82 -0.03 -0.34 0.06 -0.46 -0.01 0.90 -0.23 -0.36 - net

Water and Power Employees’ Retirement Plan -1.00 0.88 0.03 -0.27 0.13 -0.40 0.06 0.97 -0.17 0.21 - gross

US Treasury Bill 3 Month + 3 % Index in USD 0.30 0.27 0.31 0.29 0.35 0.33 0.34 0.34 0.32 2.89

Source: GAM as of Sep 30, 2017. 13 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.

Water and Power Employees’ Retirement Plan Performance detail for 2015 and 2016

2016 (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year

Water and Power Employees’ Retirement Plan 0.51 -0.40 -1.59 0.35 -0.03 0.03 0.41 -0.27 0.05 0.23 -1.07 1.49 -0.30 - net

Water and Power Employees’ Retirement Plan 0.58 -0.33 -1.52 0.41 0.04 0.09 0.48 -0.21 0.12 0.23 -1.05 1.55 0.35 - gross

US Treasury Bill 3 Month + 3 % Index in USD 0.25 0.28 0.28 0.25 0.28 0.27 0.26 0.29 0.27 0.28 0.28 0.29 3.33

2015 (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year

Water and Power Employees’ Retirement Plan 1.00 1.27 0.72 -0.86 1.56 -2.22 3.05 -1.27 -1.40 0.27 2.03 -0.86 3.19 - net

Water and Power Employees’ Retirement Plan 1.07 1.33 0.78 -0.80 1.62 -2.15 3.11 -1.20 -1.34 0.34 2.10 -0.80 3.99 - gross

US Treasury Bill 3 Month + 3 % Index in USD 0.24 0.23 0.26 0.25 0.23 0.27 0.25 0.26 0.25 0.24 0.26 0.27 3.05

Source: GAM 14 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.

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 -0.94 0.12 -0.39 -0.53 0.97 0.05 1.50 0.26 2.05 -0.62 1.61 -0.37 3.71 - net

Water and Power Employees’ Retirement Plan -0.87 0.18 -0.33 -0.47 1.03 0.11 1.57 0.32 2.12 -0.56 1.67 -0.30 4.51 - gross

US Treasury Bill 3 Month + 3 % Index in USD 0.25 0.23 0.26 0.25 0.24 0.27 0.25 0.24 0.26 0.25 0.23 0.27 3.03

2013 (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year

Water and Power Employees’ Retirement Plan 1.14 1.14 - net

Water and Power Employees’ Retirement Plan 1.22 1.22 - gross

US Treasury Bill 3 Month + 3 % Index in USD 0.27 0.27

Source: GAM. 15 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.

Water and Power Employees’ Retirement Plan Return statistics

Water and Power Return statistics Employees’ Retirement Russell 3000 MSCI AC World (since Inception)* Index in USD Index in USD Plan Cumulative return (%) 6.83 49.07 33.60

Return YTD (%) -0.36 13.91 17.75 Max drawdown (%) -3.63 -8.80 -13.07

Fund vs Russell 3000 Fund vs MSCI AC Relative statistics (since inception)* Index in USD World Index in USD

Beta 0.04 0.03

Correlation 0.11 0.08

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, 2017. Please see "Disclaimer" at the end of this material for important disclosures regarding the 16 information contained herein.

Water and Power Employees’ Retirement Plan Breakdown of risk as at Sep 30, 2017

Breakdown by geography Breakdown by asset class

8.0% 12.5%

24.5% 19.0%

21.2% 39.5%

5.9%

33.4% 35.9%

Emerging Mkts Asia Pac Western Europe North America Commodity Currency Govt Bond Credit Equity

Source: GAM. 17 Holdings and allocations are subject to change. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein.

Portfolio Cluster Map* 36 months ended Sep 30, 2017

MaxQ Enhanced

Autonomy Global 0.6 < 0.8 < S&P in USD Gemsstock

LindenGrove Alphadyne Global Rates II

Two Sigma AR Return Macro Enhanced Compass Enhanced Laurion Trading

GTS Master Fund Crabel Multi-Product Karya

Winton Futures Pharo Trading GSA Trend Edgestream Nias QMS Diversified Global Macro

Jefferies Systematic 0.6 < 0.8 < US 10 year government bond index in USD

Source: GAM. For illustrative purposes only. *The cluster map is calculated using GAM proprietary cluster mapping system along with actual historic index information. 18 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 36 months data to Sep 30, 2017. 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.

Water and Power Employees’ Retirement Plan YTD Performance attribution: as at Sep 30, 2017

Exposure Return Contribution Exposure Return Contribution Strategies Strategies (%) (%) (%) (%) (%) (%)

Trading 87.5 0.4 0.3 Managed Futures – Trend 10.4 -2.0 -0.2

Macro – Discretionary 46.6 5.4 2.6 Winton Futures 6.0 0.6 0.0

Alphadyne Global Rates II 11.3 10.6 1.1 GSA Trend 4.4 -10.8 -0.2 Managed Futures – - LindenGrove 9.7 2.8 0.3 23.1 -4.4 -1.1 Term/Active Trading Karya 7.1 0.5 0.0 Crabel Multi-Product 6.5 -3.9 -0.3 Autonomy Global 6.3 12.4 0.9 Jefferies Systematic 6.5 -4.0 -0.3 Pharo Trading 5.4 23.5 1.0 Edgestream Nias 6.1 3.8 0.2 MaxQ Enhanced 4.8 -8.0 -0.4 GTS Master Fund 4.0 -11.4 -0.5 Gemsstock Fund 2.0 0.2* 0.0 Relative Value 4.2 -0.9 0.0 Macro – Systematic 7.4 -11.7 -1.0 Volatility 4.2 -0.9 0.0 QMS Diversified Global Macro 3.4 -10.7 -0.4 Laurion Capital 4.2 -0.9 0.0 Two Sigma AR Macro 3.1 -13.0 -0.5 Enhanced Other 8.4 - -0.1 Two Sigma Compass 0.8 -10.8 -0.1 Enhanced Total Portfolio 91.6 0.2 0.2

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. 19 Holdings and allocations are subject to change. *Part period return.

Water and Power Employees’ Retirement Plan Q3 2017 top underlying fund gross contributors

Contribution Top contributors Comment (%) Alphadyne had a strong 3Q with gains coming from fixed income as well as currency trading. After a flat July, August and September were strong performance months as the fund was receiving rates in Brazil in Europe while paying the in the US. Relative value basis trading, Alphadyne Global Rates II 0.6 particularly in the UK was positive for the quarter. In currencies, a long CNH position was the largest contributor to returns.

Strong quarter with gains driven by sovereign credit, rates and FX. Guillaume was Pharo Trading 0.2 concentrated in Russia across several asset classes which drove a large part of the returns, as did European and latam positions.

The Crabel Multi-Product had a good quarter as the fund saw gains from short term momentum strategies despite the continued subdued market volatility. Short-term mean- reversion approaches were also positive contributors followed by smaller gains in the unique strategy group and long-term strategies. Performance was driven by stock Crabel Multi-Product Ltd 0.2 indices and commodities. WTI crude oil and Brent crude oil were among the most profitable commodity markets on the quarter. FX was also a positive contributor while fixed income detracted from performance. New short-term momentum models which do not require high one-day volatility were major positive contributors to performance.

Source: GAM 20 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.

Water and Power Employees’ Retirement Plan Q3 2017 bottom underlying fund gross contributors

Contribution Bottom contributors Comment (%)

The bulk of GTS' 3Q losses came in July with losses coming across asset classes. Rates trading was hurt by curve flattening trades in Europe and Australia, while FX losses came from GTS Master Fund -0.2 short GBP trades. Bearish equity index positions in US, Europe, and VIX also underperformed. The fund had smaller losses in the balance of 3Q at significantly reduced risk levels.

Jefferies Systematic saw losses in Q3 driven by the futures approaches which gave back about twice as much as the single stock book. In the futures strategy set momentum models were the worst performer with posting mixed results. The event models on balance were mixed to slightly positive for the period. Stock indices, fixed income and grains were the worst performing sectors in the quarter while energy and currencies posted gains. In the cash equity Jefferies Systematic -0.2 book, mean reversion approaches were mixed to slightly negative while momentum was mixed to slightly positive for the quarter. Fundamental models were negative for the early part of the quarter but finished with gains in September. Event models were positive for the quarter. Sentiment models faltered early in the quarter but finished with gains in September. International stock strategies on balance were mixed for the quarter.

Two Sigma Absolute Return Macro Enhanced was down in Q3 as the fund lost money in commodities led by energies. Metals gave back about half as much as energies did and ags had a much smaller loss. Fixed income was also down led by losses in the US. European fixed income made a small positive contribution while Asia contributed a small loss. Equity indices Two Sigma Absolute -0.1 were up in Q3 as all geographies saw profits. Trading in credit indices was also up slightly and Return Macro Enhanced FX was down slightly. Short term models lost money in Q3 which exceeded the gains from the long term models. Technical futures models made gains followed by a smaller positive contribution from technical FX models. Fundamental futures models were the biggest detractors on the quarter followed by fundamental FX approaches.

Source: GAM 21 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.

HOLDINGS Water and Power Employees’ Retirement Plan Portfolio adjustments: Sep 30, 2016 vs. Sep 30, 2017

As at Sep 30, 2016 Strategy Weight (%) As at Sep 30, 2017 Strategy Weight (%)

Alphadyne Global Rates II Macro - Discretionary 9.8 Alphadyne Global Rates II Macro - Discretionary 11.3

LindenGrove Macro - Discretionary 9.0 LindenGrove Macro - Discretionary 9.7

Karya Macro - Discretionary 7.4 Karya Macro - Discretionary 7.1 Managed Futures - Short- Autonomy Global Macro - Discretionary 7.4 Jefferies Systematic 6.5 Term/Active Trading Managed Futures - Short- Managed Futures - Short- Jefferies Systematic 6.9 Crabel Multi-Product 6.5 Term/Active Trading Term/Active Trading MaxQ Enhanced Macro - Discretionary 6.4 Autonomy Global Macro - Discretionary 6.3 Managed Futures - Short- Managed Futures - Short- Edgestream Nias 6.2 Edgestream Nias 6.1 Term/Active Trading Term/Active Trading Winton Futures Managed Futures - Trend 6.1 Winton Futures Managed Futures - Trend 6.0

Field Street Macro - Discretionary 5.4 Pharo Trading Macro - Discretionary 5.4 Managed Futures - Short- Crabel Multi-Product 4.8 MaxQ Enhanced Macro - Discretionary 4.8 Term/Active Trading

% held in top 10 69.3 % held in top 10 69.7 % held in holdings 11-19 28.8 % held in holdings 11-17 21.9 Total no of holdings 19 Total no of holdings 17

Average size of a top 10 position 6.9 Average size of a top 10 position 7.0 Average size of a top 19 position 5.2 Average size of a top 17 position 5.4

Source: GAM. 23 Allocations and holdings are subject to change. Totals may not sum due to rounding.

Water and Power Employees’ Retirement Plan Fund strategy descriptions

Holdings Strategy Description

Macro – Discretionary

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 Alphadyne Global Rates Fund II 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 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 LindenGrove macro credit markets and have smaller allocations to macro equities and commodities. Both relative value and directional trading are deployed. Leverage of 1.25-2x is applied.

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 Karya 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 Autonomy Global 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 MaxQ Enhanced class, the fund focuses on fixed income, followed by currencies and to a lesser extent equities.

The Pharo Trading Fund is a discretionary macro fund which focuses on emerging markets. The Fund can express its views in various asset Pharo Trading classes, but primarily in currencies and fixed income and has a shorter term approach than the Pharo Macro Fund.

Gemsstock Fund is a global macro fund with a focus on emerging markets. The approach is based on an assessment of the business cycle at the economy and sector level. They then look for opportunities where valuations do not reflect this backdrop. Views will typically be expressed through Gemsstock Fund credit and equities, though rates and FX positions will be taken where they have a strong view on direction. Core strategic investments are held on a 12 month view, but an overlay is used to manage short-run portfolio risk where appropriate.

Source: GAM as of Sep 30, 2017. 24 Allocations and holdings are subject to change. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein.

Water and Power Employees’ Retirement Plan Fund strategy descriptions

Holdings Strategy Description

Macro - Systematic

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 market- QMS Diversified Global Macro based 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 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 Two Sigma AR Macro Enhanced 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 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. Two Sigma Compass Enhanced 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, 2017. 25 Allocations and holdings are subject to change. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein.

Water and Power Employees’ Retirement Plan Fund strategy descriptions

Holdings Strategy Description

Managed Futures - 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 Winton Futures meaningful risk weight to single stock systems which are hedged to be 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 GSA Trend 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

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 Jefferies Systematic variety of strategies with an average holding period of about 4 days within a range of hours to weeks. Approaches include momentum, counter- trend/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 Edgestream Nias 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, Crabel Multi-Product 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, 2017. 26 Allocations and holdings are subject to change. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein.

Water and Power Employees’ Retirement Plan Fund strategy descriptions

Holdings Strategy Description

Managed Futures – Short-Term/Active Trading

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 GTS Master Fund 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%.

Volatility

The Laurion Capital fund is a 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 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 Laurion Capital 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, 2017. 27 Allocations and holdings are subject to change. Please see "Disclaimer" at the end of this material for important disclosures regarding the information contained herein.

OUTLOOK Trading Outlook

 Central banks are starting to reverse the QE experiment, increasing opportunities in fixed income and currencies

 Market volatility should increase as a result, benefiting tactical and options based approaches

 Liquidation risk will likely increase in markets given tightening conditions, making it more difficult for larger managers

 Key to adding value will remain via expression, specialisation 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 outlook very different by country and more alpha driven opportunities

There is no guarantee that forecasts will be achieved.

Source: GAM. 29 Views expressed are those of the manager at the time and are subject to change. INVESTMENT PROCESS Periodic Table of Hedge Fund Returns* Strategy Returns as at June 30, 2017

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 YTD 2017

Emg Mkts 20.20% Global Macro

17.40% L/S Equity Conv Arb Global Macro Distr Secs L/S Equity

13.70% 47.30% 13.50% 11.80% 17.70% Multi Strat Emg Mkts Fxd Inc Arb Multi Strat Distr Secs Multi Strat Emg Mkts

10.10% 30.00% 12.50% 11.20% 16.00% 3.80% 7.00% Eq Mkt Neutral Fxd Inc Arb Mgd Futures Global Macro Fxd Inc Arb Multi Strat Mgd Futures L/S Equity Conv Arb L/S Equity

9.30% 27.40% 12.20% 6.40% 11.00% 11.20% 18.40% 3.60% 6.60% 6.60% Risk Arb Multi Strat Emg Mkts Fxd Inc Arb Emg Mkts Eq Mkt Neutral Multi Strat Short Bias Distr Secs Multi Strat

8.80% 24.60% 11.30% 4.70% 10.30% 9.30% 6.10% 2.40% 6.40% 5.10% Distr Secs Distr Secs Conv Arb Eq Mkt Neutral L/S Equity Emg Mkts L/S Equity Eq Mkt Neutral Risk Arb Fxd Inc Arb

8.40% 21.00% 11.00% 4.50% 8.20% 8.80% 5.50% 1.70% 5.90% 4.00% Short Bias L/S Equity Distr Secs Short Bias Conv Arb Conv Arb Fxd Inc Arb Conv Arb Emg Mkts Risk Arb

6.00% 19.50% 10.30% 3.90% 7.80% 6.00% 4.40% 0.80% 4.50% 4.00% Mgd Futures Risk Arb Multi Strat Multi Strat Global Macro Risk Arb Global Macro Fxd Inc Arb Multi Strat Distr Secs

6.00% 12.00% 9.30% 1.80% 4.60% 4.90% 3.10% 0.60% 4.40% 3.90% Conv Arb Mgd Futures Global Macro L/S Equity Conv Arb Risk Arb Global Macro Distr Secs Risk Arb Fxd Inc Arb Eq Mkt Neutral 5.20% 18.30% 11.50% 9.30% 1.10% 2.80% 4.30% 2.60% 0.40% 4.30% 2.50% Fxd Inc Arb Short Bias Eq Mkt Neutral Risk Arb Risk Arb Eq Mkt Neutral Fxd Inc Arb Emg Mkts Global Macro Global Macro Conv Arb 3.80% 14.90% 4.10% 3.20% 0.80% 0.90% 3.80% 1.50% 0.20% 3.60% 2.45% Risk Arb Mgd Futures Eq Mkt Neutral Mgd Futures Mgd Futures Mgd Futures Eq Mkt Neutral Emg Mkts L/S Equity Global Macro

-3.30% -6.60% -0.80% -4.20% -2.90% -2.60% -1.20% -0.20% -3.40% -1.50% Global Macro Short Bias Short Bias Distr Secs Short Bias Short Bias Risk Arb Mgd Futures Eq Mkt Neutral Mgd Futures

-4.60% -25.00% -22.50% -4.20% -20.40% -24.90% -1.30% -0.90% -4.60% -4.40% L/S Equity Emg Mkts Conv. Arb Distr Secs Mgd Futures

-19.70% -6.70% -1.70% -5.30% -6.80% Distr Secs L/S Equity Short Bias Short Bias

-20.50% -7.30% -5.60% -16.90% Multi Strat

-23.60% Fxd Inc Arb

-28.80% Emg Mkts

-30.40% Conv Arb

-31.60% Eq Mkt Neutral

-40.30%

Source: *Prepared by GAM based upon performance (net of fees) data from the applicable Hedge Fund Index. GAM has not independently verified the information from other 31 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. GAM Trading Strategy* Attractive long-term correlation profile versus equities as of Sep 30, 2017

Correlation of HFRI indices and GAM Trading Strategy to the S&P 500 Index 1.00

0.90 0.86 0.86 0.88 0.82 0.80 0.74 0.74 0.70 0.71 0.70 0.68

0.60

0.50

0.40

0.30 0.25 0.18 0.19 0.18 0.20

0.10 0.06 0.02 0.00 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 32 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.

GAM Trading Strategy* Performance during down equity markets

Past performance is not indicative of future performance.

Source: GAM, Thomson Reuters. 33 *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. Investment Process – Overview Performance is driven by consistent application of our process

Asset Investment Operational Portfolio Operations allocation research due diligence management & back office

Risk management

Source: GAM 34 Investment research Identification of talent

● Dedicated research team conducts ongoing search for new managers – Maps approximately 6,000* hedge funds on proprietary databases Investment Research ● 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  Universe – Reviewed ~300 hedge funds in 2016 mapping  Quantitative and ● Quantitative and qualitative analysis linked to prioritise research qualitative analysis ● Emphasis on finding talent: willingness to invest in new managers / strategies  Prioritisation – focus on talent

Source: GAM 35 As at Dec 31, 2016. The views are those of the manager at the time of publication and are subject to change. 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 36 For discussion purposes only. Portfolio management – Overview Bottom-up views drive Portfolio construction

 Manager sizing is determined by combination of:

Portfolio Strong, bottom-up analysis of managers management + Forward-looking return and risk metrics +  Manager sizing Actual strategy weights influenced by IMC  Intra-Portfolio views and tactical allocation guidelines correlation analysis  Proprietary Portfolio modelling and liquidity tools support judgment  Portfolio risk  exposures Investment Management Committee meets monthly to:  Investment and  Revalidate each manager’s investment case risk meetings  Consolidate bottom-up views  Discuss target strategy weights

Source: GAM 37 Risk management – Overview Proprietary tools utilised to monitor Portfolios at multiple levels

● AIS Quantitative Research Team oversees on-going risk analysis Risk – Aggregate and analyse Portfolio level risks, including risk exposures and holdings management – “Risk Dashboard” tool collates information – Structured quarterly risk review process ● Structured performance monitoring conducted by Investment Management Committee – Monthly performance analysis  Manager and Portfolio – Contribution and attribution analysis monitoring  Transparency analysis  Scenario stress testing  Factor analysis

Source: GAM 38 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

Risk Factor Full Valuation Liquidity Analysis Stress Testing Transparency Monitoring Monitoring Tool (RFA)

GAM’s Invested Managers

Confirmed FAS157 Positional data Pricing data Liquidity profile

exposure data accounting Input

Source: GAM 39 APPENDIX Water and Power Employees’ Retirement Plan Key Contacts

GAM USA Inc. One Rockefeller Plaza, 21st Floor New York, NY 10020

Relationship Management:

Peter Mostarac Dir : 212-407-4754 Client Manager Email: [email protected] Fax: 917-267-7105

Portfolio Management:

Arvin Soh Dir : 212-407-4660 Portfolio Manager Email: [email protected] Fax: 917-267-7105

Jim Ha Dir : 212-407-4622 Portfolio Manager Email: [email protected] Fax: 917-267-7105

41 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 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 2012. 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.

42 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.

43 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.

44 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.

45

GAM Alternative Investments Solutions Investment Support Analysts

Lauren Villano James Daly Investment Support Analyst Investment Support Analyst

Misha Patel Shuiab Ali Baig Lisa Shen Investment Support Assistant Investment Support Assistant Investment Support Assistant

46 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 2009. 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.

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 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.

Peter Mostarac – Client Manager, Institutional Sales Peter Mostarac is a Client Manager at GAM, responsible for business development and client services. Prior to joining GAM in 2011, he was a due diligence analyst at Morgan Stanley. Mr. Mostarac holds a BS in Business Administration from Fordham University, and is a CFA charterholder. He is based in New York.

47 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 . 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. 48

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. 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 '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. 49

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 . The index covers nonconvertible government and corporate bonds, agency mortgage pass-through securities, asset- backed 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. .

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. 50

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 1996. Indices other than the benchmark are sometimes used in presentations for illustrative purposes. Please refer to the relevant GIPS compliant report.

51 GAM Trading Composite (G098)

Past performance is not indicative of Composite Performance 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 future performance.

GAM has prepared and presented this Composite Returns % 8.68 9.48 7.58 8.32 7.8 -2.4 4.72 1.46 6.21 2.27 1.92 report in compliance with the Global Benchmark Returns % 5.28 5.44 3.13 0.76 0.34 0.33 0.44 0.27 0.23 0.3 0.69 Investment Performance Standards (GIPS®). A complete list and description Composite Standard Dev 3Yr % 4.86 5.5 6.6 6.09 5.39 4.12 4.39 4.75 4.56 5.26 4.71 of composites is available on request.

Benchmark Standard Dev 3Yr % 0.45 0.27 0.32 0.55 0.37 0.09 0.03 0.03 0.03 0.01 0.06 *The benchmark shown is for comparative purposes only. The Number of Portfolios in Composite < 6 < 6 < 6 < 6 < 6 < 6 < 6 < 6 < 6 < 6 < 6 composite is not managed to a specific benchmark. High Return % N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

Low Return % N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A There is no guarantee that targets will be achieved. Composite Asset Value (USDm) 4,405.5 4,483.9 3,757.3 3,317.2 3,908.7 3,571.4 2,713.1 1,687.7 1,144.3 556.4 344.4

Total Firm Assets (USDm) 68,177 75,783 39,207 49,372 56,725 47,246 50,683 54,616 47,925 41,816 55,461

1: Established in 1983, GAM delivers active investment management to private clients, institutions and intermediaries.The firm is defined as all institutional mandates and funds managed by GAM on a global basis (the “Global Firm”). The Global Firm was incepted on 1 January 2016 and is comprised of GAM fund management business divisions in London and Zurich including those derived from historic acquisitions. Prior to 31 December 2015, these divisions and legacy acquisitions were two separately defined GIPS compliant firms. Composite returns and firm assets prior to 2016 represent those of the legacy GIPS compliant firm that managed the composite. 2: GAM claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. GAM has been independently verified from 1 January 1996 through 31 December 2015. The verification reports are available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation. 3: The composite consists of trading funds of hedge funds. Rigorous and structured analysis of underlying managers identifies those with the strongest competitive edge. 4: The composite was created in Nov 2002 and applied retrospectively. 5: At the portfolio level currency hedging may be employed to cover against exchange rate risk. Within a portfolio's underlying funds, instruments and leverage may play a significant part in investment strategy. Leverage may be used as part of the underlying funds investment philosophy, as well as for the purposes of efficient portfolio management. Further detail can be found in the relevant product documentation which is available on request. 6: Composite results are presented gross of investment management fees and net of trading expenses and net of withholding taxes on dividends, capital gains and interest. For some of the constituent accounts the presented gross of fee returns are also net of administrative expenses. Benchmarks are gross of withholding taxes on dividends. 7: The maximum investment management fee for accounts is 1.7625% per annum. Management fees may vary by product and jurisdiction. 8: High and low returns (for those constituents present in the composite throughout each period) are presented above to demonstrate dispersion within the composite. Dispersion information is only required by GIPS where there are 6 or more portfolios in the composite. 9: As of 1 Apr 2010 the CISDM benchmark was changed to show 1. the 3 Month Libor Index and 2. the HFRI/HFRX Macro Index. These benchmarks are a better representation of this investment strategy. The HFRI/HFRX Macro Index comprises the returns of the HFR Investable Index since launch in Mar 2003 and the returns of the HFR Non-Investable Index prior to this. The current month and the prior 3 months are based on estimated month end performance and are subject to change. All other performance values prior to that are locked. 10: The WM 4pm (GMT) FX rates are used for valuation of funds and portfolios within the composite and for benchmark and composite calculation. 11: Policies for valuing portfolios, calculating performance and preparing compliant presentations are available on request. 12: Where there are fewer than 36 monthly returns for the Composite, Standard Deviation 3Yr% is shown as ‘N/A’ for both the Composite and the Benchmark.

Source: GAM as at 31 Dec 2016 Disclaimer

FOR SOPHISTICATED INVESTORS ONLY.

This material has not been filed with FINRA and cannot be used as sales literature with members of the public. This presentation has been prepared for sophisticated investors and the funds, strategies and views described may not be suitable for all investors.

The performance information shown in this presentation is supplemental to, and should be read in conjunction with, the applicable GIPS-compliant composite found in this presentation.

Source of data: GAM (unless otherwise stated). GAM has not independently verified the 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. While every effort has been made to ensure the accuracy of the financial information herein, you should note that some of the information may be based on unaudited or otherwise unverified information. The client is urged to compare information provided herein with the statements sent by the client’s custodian.

This presentation is for information only and the information contained in this presentation is confidential to GAM and has been produced solely for the use of the person to whom it is given or sent. It may not be used for any other purpose and may not be reproduced, copied, given, distributed or disclosed, in whole or in part, to any other person. This is not an invitation to invest in any GAM product or strategy and subscriptions will only be received on the basis of the relevant offering document or investment management agreement.

By acquiring an interest in a fund or entering into an investment management agreement with GAM, the investor acknowledges and agrees that (i) any information provided by GAM or any of its affiliates (including information set forth in the memorandum or investment management agreement) is not a recommendation to invest and that none of the fund, GAM or any of their respective affiliates is undertaking to provide any investment advice to you (impartial or otherwise), or to give advice to you in a fiduciary capacity in connection with an investment in the fund or your investment management account and, accordingly, no part of any compensation received by the GAM or any of its affiliates is for the provision of investment advice to you, and (ii) GAM and/or its affiliates have a financial interest in the investor’s investment in the fund or your investment management account on account of the fees and other compensation they expect to receive from the fund or you as disclosed in the memorandum or investment management agreement with GAM, as applicable, and in the other documents governing the fund or investment management account with GAM.

Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be relied on in making an investment or other decision. Nothing in this presentation should be construed as a solicitation, offer or recommendation to acquire or dispose of any investment or to engage in any other transaction.

Not all products mentioned in this presentation are registered for public sale in all jurisdictions. Therefore, no public marketing must be carried out for them. GAM products are not available for sale in any state or jurisdiction in which such sale would be prohibited and are not aimed at persons in those jurisdictions and in those cases where the law prohibits this type of information from being provided.

53 Disclaimer

None of the shares, units or interests of the products mentioned in this presentation have been registered under the US Securities Act of 1933, as amended (the “Securities Act”), and none of the products mentioned in this presentation are registered under the US Investment Company Act of 1940, as amended (the “Company Act”). Accordingly, unless an exemption is available, such shares, units or interests may not be offered, sold or distributed in the United States or to US persons. However, pursuant to an exemption from registration under the Securities Act and the Company Act, such shares, units or interests may be sold or resold in the United States or to certain qualified US investors in transactions that do not constitute a public offering. In addition, certain GAM products are closed to all US investors.

Unless otherwise noted, where shown, performance figures are net of fees and reflect reinvestment of dividends. However, taxes and sales charges are not taken into account; therefore, the figures do not give a true measure of return to the investor. Products and services may vary from country to country. Please consult your financial professional for more information on GAM products. Past performance is not an indication of future performance. An investor may not get back the amount invested. Historic data may be subject to restatement from time to time. Investors may not purchase indices directly. Holdings and allocations are subject to change. There is no guarantee that the strategies or objectives presented will be achieved and the value of the Portfolio may go down as well as up and may be affected by changes in rates of exchange.

The views contained herein are as of the date of this presentation and may not reflect the views any time thereafter. These views are aimed to help the reader in understanding the investment manager’s investment process and should not be construed as investment advice.

Important Information on hedge funds: Hedge fund strategies are speculative and are not suitable for all investors, nor do they represent a complete investment program. GAM hedge fund products are only available to qualified investors who are comfortable with the substantial risks associated with investing in hedge funds. Many of the investment programs are speculative and entail substantial risks. An investment in hedge fund strategies includes the risks inherent in an investment in securities, as well as specific risks associated with limited liquidity, the use of leverage, short sales, options, futures, derivative instruments, investments in non-US securities, “junk” bonds and illiquid investments. Investors should recognize that they will bear asset-based fees and expenses at the fund of hedge fund level, and indirectly, fees, expenses and performance-based compensation of the investment funds in which these funds of hedge funds invest. In addition, the overall performance of fund of hedge fund products is dependent not only on the investment performance of individual managers, but also on the ability of a GAM investment manager to allocate assets amongst such managers on an ongoing basis. There can be no assurances that an investment strategy (hedging or otherwise) will be successful or that a manager will employ such strategies with respect to all or any portion of a Portfolio.

Hedge fund strategies may be highly leveraged and the volatility of the price of their interests may be great. Investors could lose some or all of their investments. Investing in securities of foreign issuers involves special risks including currency rate fluctuations, political and economic instability, foreign taxes and different auditing and reporting standards. These risks are greater in emerging market countries. The investment funds in which GAM fund of hedge fund products invest can be highly illiquid, are not required to provide periodic reporting or valuation information to investors and may involve complex tax strategies. GAM makes no representation that an investment in any GAM fund of hedge fund product will provide transparency as GAM cannot fully monitor the leverage of underlying funds and their day-to-day activity. The use of leverage may cause an underlying Portfolio to liquidate positions when it may not be advantageous to do so in order to satisfy its obligations or to meet segregation requirements. Leverage, including borrowing, may cause an underlying Portfolio to be more volatile than if the Portfolio had not been leveraged.

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Notes to Performance Compliance Statement for US Investment Consultants

Communication of gross only performance figures must be on a one-on-one basis, private and of a confidential nature. They may not be disseminated to the public in any print, electronic or other medium, to include a web-site or any database of general circulation. The following disclosures must be provided in writing when communicating gross only performance figures.

• Performance figures do not reflect the deduction of investment advisory fees. • Returns will be reduced by investment advisory fees and any other expenses that may be incurred in the management of an account. • The investment advisory fees are described in Part 2A of the applicable Form ADV. • As an example of the effect of investment advisory fees on the total value of an account, a three year compound return of 8.83% before the deduction of investment advisory fees would be 7.74% after deduction of investment advisory fees of 1.00% per annum accrued monthly and payable quarterly. • GAM composites may include funds not registered under the Company Act and shares, units or interests not registered under the Securities Act. Accordingly, such funds may only be offered, sold or distributed in the United States or to US persons under limited circumstances.

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