Fresno County Employees' Retirement Association

Fresno County Employees’ Retirement Association

November 2019

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. ©2019 Grosvenor Capital Management, L.P. and GCM Customized Fund Investment Group, L.P. All rights reserved. Table of Contents

. Tab A Proposed Portfolio for Fresno County Employees’ Retirement Association

. Tab B Portfolio Roster Descriptions

. Tab C Position Level Transparency

. Appendix Risk Reports and Notes and Disclosures

2 Introduction and Overview

We value our ongoing partnership with FCERA, and welcome the opportunity to modify the Better Futures Fund’s (“BFF”) structure and mandate. Our goal, as always, is to provide an optimal investment solution to meet the plan’s evolving needs within its overall asset allocation, and to do so in an economically advantageous manner and with the highest standards of transparency and accountability.

As FCERA’s “custom” investment vehicle, the BFF structure was purposefully designed with the flexibility to evolve over time. While the structure itself will remain in place, we will modify the formal objectives to meet the Board’s revised mandate for the allocation. The focus of the revised mandate will be:

› Absolute return orientation (consistently positive returns, with low sensitivity to equity markets and a priority on mitigating downside risk in challenging market environments)

› Low volatility

› Full transparency

. The proposed portfolio is discretionary to GCM Grosvenor, which shifts the investment responsibilities to us rather than the trustees . The revised fee proposal has been modified to lower the ongoing management fee and better align fees with performance, despite the overall reduction in assets

No assurance can be given that any investment will achieve its objectives or avoid losses. Past performance is not necessarily indicative of future results.

3 Tab A Proposed Portfolio Fresno County Employees’ Retirement Association Portfolio Highlights Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Proposed Portfolio”) The goal of this proposal is to transition the existing BFF structure to meet the Board’s evolving use of alternative investment strategies. Portfolio Overview Investment . Seek to provide consistently positive returns, low volatility, and mitigate downside risk during challenging market Strategy environments, while maintaining low sensitivity to global equity and fixed income markets . Construct a modestly concentrated portfolio comprised of high conviction investments from our “less correlated” strategies including: non-directional quantitative strategies, diversified relative value, non-traditional credit, market neutral and lower- net equities Investment . Underlying portfolio constituents with varying and complementary investment strategies, though with a common thread of a Highlights keen focus on “down market” loss mitigation, and idiosyncratic or non-directional drivers of returns . Highly liquid and transparent . Emphasize allocations to managers we deem to be higher return seeking and persistent alpha generators1

Investment objectives2 Investment constraints

Return To exceed 90-Day U.S. T-Bills + 300 bps net over a Liquidity 40% of NAV available quarterly, and full market cycle 75% of NAV available within 1-year Volatility Below 6% annualized standard deviation Manager count Target 10-15 Beta < 0.2 to the S&P 500 (realized) Full Transparency Underlying investments which allow complete fee transparency and provide full position level transparency

1 Defined as managers that historically generated alpha above a threshold as determined by GCM in its sole discretion. 2 Target returns, forward looking estimates, and risk parameters are shown to illustrate the current risk/return profile of how the fund or investment is/will be managed. They do not forecast, predict, or project any fund, investment, or investor return. See the Notes and Disclosures following this report for additional information regarding target returns, forward looking estimates and risk parameters. No assurance can be given that any investment will achieve its target return, forward looking estimate, risk parameters, or investment objectives. See the slide titled “Proposed Portfolio Notes and Disclosures” following this presentation.

5 Proposed Hedge Fund Roster Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Proposed Portfolio”)

Since hedge fund inception Proposed Beta to S&P Provides Position Hedge fund Portfolio Ann ROR Ann Std Dev 500 Fund inception Level Transparency1 RIDGE Offshore 15.0% 9.1% 8.6% -0.10 April 2016 P Steadfast Intl Ltd 12.5% 9.2% 8.6% 0.07 April 2002 P Weiss Multi-Strategy Ltd 11.0% 6.3% 5.6% 0.09 October 2006 P Concordia G-10 FIRV Ltd 10.0% 8.8% 8.9% 0.02 November 1998 P CVI Int Credit Ltd 10.0% 10.1% 4.3% 0.20 November 2011 P Linden International Ltd 10.0% 10.0% 8.3% 0.29 August 2004 P Magnetar Constell Ltd 10.0% 11.3% 7.3% 0.10 March 2007 P Waterfall Victoria Ltd 8.0% 9.4% 2.3% 0.02 July 2007 P Atlas Enhanced Fund Ltd 7.5% 12.2% 8.3% 0.14 January 2006 P Sculptor GC Opp Ltd 6.0% 7.5% 4.8% 0.13 January 2013 P Total Portfolio 100.0%

Hedge funds are separate accounts created by managers exclusively for GCM Grosvenor capital

Data as of October 31, 2019. 1 Position Level Transparency is provided to independent risk aggregator State Street TruView or GCM Grosvenor. If only State Street TruView receives the positions, GCM Grosvenor still receives position level details with security and issuer names and identifiers masked. See the slide titled “Proposed Portfolio Notes and Disclosures” following this presentation. For illustrative purposes only and subject to change. No assurance can be given that any investment will achieve its objectives or avoid losses. Past performance is not necessarily indicative of future results.

6 Summary of Key Statistics1 Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Proposed Portfolio”)

Historically simulated risk/return statistics (through October 2019) Forward-looking estimates 3 year 5 year Annualized ROR 7.3% Annualized ROR 8.3% 7.4% Annualized standard deviation (base case) 3.7% Annualized standard deviation 2.2% 2.3% Annualized standard deviation (stress case) 4.6% Sharpe Ratio 3.03 2.75 Severe case loss (base case) -5.2% Beta to S&P 500 Index 0.09 0.09 Severe case loss (stress case) -8.1% Max peak-to-trough -1.5% -1.5% Beta to S&P 500 Index 0.15 Simulated return history Calendar years 2019 (through October) 7.7% 2018 5.0% 2017 11.1% 2016 7.8% 2015 3.9% 2014 9.1% 2013 13.6% 2012 8.7% 2011 1.3%

1 Forward looking estimates (“FLEs”) are based solely upon GCM Grosvenor’s view of the potential returns and risk parameters for the portfolio funds that comprise the proposed portfolio. FLEs and historical simulation returns and related statistics are net of the fees and expenses of the underlying funds, but are before fees and expenses at the GCM Grosvenor portfolio level. There are inherent biases (including survivorship and expectation bias) in the methodology used to calculate both the FLE “Annualized ROR” and historically simulated “Annualized ROR” statistics presented above; as such, the statistics presented above could be overstated. In connection with providing you the hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN.

7 Look-Through Portfolio Liquidity Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Proposed Portfolio”)

Proposed Portfolio Liquidity frequency Liquidity frequency after lockups expire Cumulative As a percentage of portfolio capital Monthly 25.0% Quarterly 54.8% Quarterly Semi-annually 65.2% 29.8% Semi-annually 10.4% Annually 84.3% Biannually 96.7% Triannually 100.0%

Annually 19.2%

Monthly 25.0% Biannually Triannually 12.3% 3.3%

No assurance can be given as to when investments will be liquidated, and investors must be prepared to maintain their investment for an indeterminate period of time. Additional detail, including detail with respect to the methodology used for any investment, is available upon request. THE STATISTICS ON THIS SLIDE ARE FOR ILLUSTRATIVE PURPOSES ONLY, AND ARE SUMMARIZED FROM DATA CONTAINED IN THE ATTACHED PORTFOLIO REPORTS. SEE THE NOTES AND DISCLOSURES TITLED “PROPOSED PORTFOLIO” FOLLOWING THIS PRESENTATION AND ACCOMPANYING THE ATTACHED PORTFOLIO REPORTS IN CONNECTION WITH YOUR REVIEW OF THE STATISTICS.

8 Fee Savings with Managers Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Fund”)

We generally pay lower management and performance fees to managers Proposed Portfolio fee and structure benefits: Management fee Incentive fee 73% of investments allocated to 29 bps lower funds with economic and 163 bps lower structural benefits from 1.57% 18.00% underlying hedge fund 1.28% managers 16.37% 3.06% cap weighted hurdle rate2

6.00% cap weighted preferred Managers’ Managers’ Our Terms Our Terms return2 standard terms standard terms

44 bps of aggregate fee savings assuming gross 8% ROR for underlying investments1 All fee savings are passed directly through to our clients

1 The analysis presented assumes a gross rate of return for the underlying funds of 8%. At 0% or any negative gross hedge fund returns, the annual potential fee savings would be 29 bps. In instances where the negotiated deal includes an asset threshold, the calculation assumes the current threshold. 2 Cap weighted hurdle and preferred return are computed using portfolio funds that have a hurdle and/or a preferred return, respectively. This information is provided to present the potentially lower effective fees that apply to GCM Grosvenor-advised assets in certain underlying funds. The analysis is presented, and assumes certain gross return rates for the underlying funds, for illustrative purposes only; it is not intended to imply that any GCM Grosvenor-advised assets will achieve a specific return or “fee savings” over any period. This analysis ignores the impact of operating expenses, which may be material for certain managers, particularly those that pass through firm operating expenses. The inclusion of such operating expenses would result in significantly higher Standard and GCM Grosvenor weighted average management fee terms, but would not result in a change to the potential fee savings. A number of assumptions were made and significant limitations exist in preparing this analysis. See the slide titled “Fee Savings Notes and Disclosures” following this presentation.

9 Indicative Terms – Customized Portfolios Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Proposed Portfolio”) Planned structure Delaware limited partnership

Fee Options 1. Fixed annual management fee + incentive fee structure Effective fee at: $150 million: 0.68% + 5% incentive fee, after hurdle rate is achieved $250 million: 0.55% + 5% incentive fee, after hurdle rate is achieved The hurdle rate, which is defined as 90-day U.S. T-Bill + 2%, is capped at 5%.

2. Fixed annual management fee only structure (currently applicable to FCERA’s investment in GIP) Effective fee at: $150 million: 0.83% $250 million: 0.75%

Lock-up None – Liquidity based upon liquidity of underlying managers

Fee savings that GCM Grosvenor achieves at the underlying manager level effectively offset part of our management fee.

10 Tab B Portfolio Roster Descriptions Portfolio Roster Descriptions Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Proposed Portfolio”) (1 of 3)

Hedge fund Fund description Atlas Enhanced Fund Ltd Strategy: A low-correlation, market-neutral fund that invests primarily in equities with smaller allocations to macro, liquid credit and quantitative strategies. Geographic focus: Global Perceived edge: Deep fundamental research, what we view as superior risk management practices and minimal correlation to the broader equity markets. Typical exposure: The fund typically maintains low net exposure, ranging from -10% to 10%. Typical gross exposure is approximately 300% to 500%. Concordia G-10 FIRV Ltd Strategy: The Fund seeks to capture micro relative value opportunities derived from inefficiencies in liquid government bond markets using a market-neutral, catalyst-driven approach Geographic focus: Global, primarily G-4 Perceived edge: Long-standing investment team with demonstrated ability to navigate adverse market environments; low historical correlation to traditional asset classes; highly liquid trading instruments and Fund terms; stringent risk management and exposure constraints Typical exposure: 80-90% cash vs. futures, 5-15% yield curve relative value, 5-10% swap spreads, <5% option volatility

CVI Intl Credit Ltd Strategy: A long-biased corporate and structured credit fund that invests primarily in bank debt, high yield and distressed debt, trade claims, loan portfolios and mortgage-backed securities. Geographic focus: U.S., Europe and, to a lesser extent, Emerging Markets Perceived edge: Deep, experienced team and the resources and infrastructure of a global investment platform. Typical exposure: 130% gross and 100% net Linden International Ltd Strategy: A multi-strategy fund that employs three core strategies: i) convertible bond strategy, including traditional convertible arbitrage, event-driven, and catalyst-driven opportunities expressed through convertible securities and synthetic puts created using convertible securities; ii) credit strategy; and iii) equity volatility strategy. Geographic focus: Global Perceived edge: Ability to dynamically allocate capital among the three core strategies, which inform and complement one another to create a differentiated portfolio mix. Typical exposure: 70%-90% convertible bond strategy, 10%-25% credit strategy and 0.5%-5% equity volatility strategy

Each portfolio fund description is for illustrative purposes only. Past performance is not necessarily indicative of future results. No assurance can be given that any investment will achieve its performance objectives or avoid losses.

12 Portfolio Roster Descriptions Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Proposed Portfolio”) (2 of 3)

Hedge fund Fund description Magnetar Constell Ltd Strategy: The fund invests opportunistically in a number of credit strategies including both corporate and structured credit. Strategies include commercial lending activity as well as regulatory capital relief transactions for financial institutions. The fund has a broad mandate to pursue investments across the spectrum of credit securities globally, ranging from pooled vehicles, such as CLOs and CDOs, to single-name and indexed securities and derivatives. Geographic focus: U.S. and Europe Perceived edge: The manager has a history of identifying opportunities and structuring trades in corporate and structured credit markets; the fund provides unique exposures to trades such as regulatory capital transactions and narrowly syndicated originations with strategic counterparties in a number of commercial lending strategies. Typical exposure: 100% gross and 70% net RIDGE Offshore Strategy: Quantitative equity beta neutral strategy that utilizes a combination of fundamental, technical, and other alpha factors and has a long- term holding period Geographic focus: Global Perceived edge: Long-standing expertise in and dedication to quantitative investing, with a demonstrated ability to innovate; low correlation to hedge funds and equity markets Typical exposure: 390% gross Sculptor GC Opp Ltd Strategy: An opportunistic, corporate and structured credit fund that invests primarily in securitized products (residential mortgage-backed securities, commercial mortgage-backed securities and collateralized loan obligations) and stressed and distressed corporate debt. Geographic focus: U.S. and Europe Perceived edge: Experienced team with one of the largest U.S. and European mortgage and structured credit platforms. Typical exposure: 100%-150% gross and 90%-140% net, typically levered 100%-150% of net asset value Steadfast Intl Ltd Strategy: A long-biased equity fund that invests primarily in equity securities where the manager's fundamental research results in an investment thesis that is different than the market consensus. Geographic focus: Global, with a bias toward the U.S. Perceived edge: Moderate appetite for risk; seeks to avoid large drawdowns. Typical exposure: 100%-180% gross and 0%-65% net

13 Portfolio Roster Descriptions Proposed Portfolio for Fresno County Employees’ Retirement Association (the “Proposed Portfolio”) (3 of 3)

Hedge fund Fund description Waterfall Victora Ltd Strategy: A structured credit fund focused on the origination and acquisition of commercial and residential mortgage loans, including non- performing loans, new issue jumbo mortgages and reverse mortgages. Geographic focus: U.S. Perceived edge: We believe the manager’s focus on the reverse mortgage and small-balance loan pools differentiates it from its structured credit peers; additionally, the manager is typically the only buyer negotiating with regional and community banks for small pools of non- performing loans, potentially allowing for a more attractive purchase price as compared to large, competitive auction processes Typical exposure: 100% U.S. structured credit Weiss Multi-Strategy Ltd Strategy: Diversified, multi-strategy fund that allocates capital across over 20 strategies with a bias toward equity market neutral strategies. Geographic focus: Global, with a U.S. focus Perceived edge: History of strong performance with systematic risk control that can result in alpha generation with low correlation and low volatility. Highly liquid underlying holdings with liquid fund terms. Typical exposure: Gross exposure between 200% and 600% of NAV with minimal net exposure.

14 Tab C Position Level Transparency Investment Tools: Exposure Concentrations

Region and Country Concentration Sector Concentration Top Long and Short Issuers

Observe net and gross exposures across Summarize exposures across sectors, highlight Identify crowded names and see top long and regions, country of risk, country of issue, or sector, industry, sub-industry concentrations short issuers across portfolios and hedge currency. Identify hedging opportunities and or rotations, with transparency into hedge funds, with insight into how issuer over or underrepresented geographies. funds leading or lagging market shifts. concentration is held (equity, debt, option, credit protection, etc.).

No assurance can be given that any investment will achieve its objectives or avoid losses. ALL DATA CONTAINED HEREIN IS FOR ILLUSTRATIVE PURPOSES ONLY. RETURNS, IF PRESENTED, ARE NOT INTENDED TO REPRESENT THE PERFORMANCE OF ANY PORTFOLIO.

16 Investment Tools: Sensitivity, Correlation, and Liquidity Metrics

Risk Statistics and Sensitivities Correlation Matrix Liquidity

Analyze Greek sensitivities (delta, gamma, Identify unintended correlations across Manage liquidity of the underlying positions of Vega, theta), sensitivities to risk factors (Beta), sectors, asset classes and strategies. Confirm hedge funds to the stated fund liquidity terms. interest rates (DV01), credit spreads (CS01), fund diversification and highlight diversifiers. Construct and maintain portfolios to meet and inflation (IE01). client liquidity objectives.

17 Investment Tools: P&L Analysis, VaR, and Stress Testing

Profit and Loss Vectors Risk and VaR Contribution Historic and Predictive Stresses

Perform distribution, sensitivity and Inform allocation decisions and risk Models performance in historical stress analysis using daily time series sizing. Highlight risk diversifiers or scenarios and stressed market conditions. of current positions. outsized risk contributors. Identify fund and position performance drivers of market stresses.

18 Appendix Risk Reports and Notes and Disclosures Allocation Report Expressed in US Dollars (in 1,000s) | For the period November 2019 to April 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Current Allocation as of 11/01/2019 Proposed Change Proposed Allocation Notice Liquidity Terms

Strategy - Substrategy - Region - Current % of % of Proposed Effct Proposed % of % of Effct Amount Portfolio Fund Allocation Equity Inv. Change Date Impl Allocation Equity Inv. Sent Date Given Freq Days Rev LU RC Gate Credit Fundamental Credit Canyon Balanced Fund LP 33,159 23.39% 24.01% (33,159) 04/20 No 0 0.00% 0.00% Q 93 NS 25% MN - IL CVI Intl Credit Ltd 0 0.00% 0.00% 14,177 04/20 No 14,177 10.00% 10.00% SA 90 NS 6 M 16.7% MN - IL Sculptor GC Opp Ltd 0 0.00% 0.00% 8,506 04/20 No 8,506 6.00% 6.00% Q 48 NS 1 Q 25% MN - GLCOffOn

33,159 23.39% 24.01% (10,476) 22,683 16.00% 16.00% Structured Credit Magnetar Constell Ltd 0 0.00% 0.00% 14,177 04/20 No 14,177 10.00% 10.00% Q 90 UA 12.5% MN - GLSF

0 0.00% 0.00% 14,177 14,177 10.00% 10.00% Specialist Credit Waterfall Victoria Ltd 0 0.00% 0.00% 11,342 04/20 No 11,342 8.00% 8.00% Q 180 NS 5%-0 MN 12.5% MN - IL

0 0.00% 0.00% 11,342 11,342 8.00% 8.00%

Total Credit 33,159 23.39% 24.01% 15,043 48,202 34.00% 34.00% Equities Directional Equity / U.S./Canada Steadfast Intl Ltd 0 0.00% 0.00% 17,721 04/20 No 17,721 12.50% 12.50% Q 60 UA 25% MN - IL

0 0.00% 0.00% 17,721 17,721 12.50% 12.50% Market Neutral Eqty / Global Atlas Enhanced Fund Ltd 0 0.00% 0.00% 10,633 04/20 No 10,633 7.50% 7.50% Q 68 N 25% MN - IL Weiss Multi-Strategy Ltd 0 0.00% 0.00% 15,595 04/20 No 15,595 11.00% 11.00% Q 48 NS 2%-0 MN

0 0.00% 0.00% 26,228 26,228 18.50% 18.50%

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report.

Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 03:58 PM page 1 Allocation Report Expressed in US Dollars (in 1,000s) | For the period November 2019 to April 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Current Allocation as of 11/01/2019 Proposed Change Proposed Allocation Notice Liquidity Terms

39,407 27.80% 28.54% (39,407) 0 0.00% 0.00%

Total Equities 39,407 27.80% 28.54% 4,542 43,949 31.00% 31.00% Quantitative NonDirectional Quant RIDGE Offshore 0 0.00% 0.00% 21,266 04/20 No 21,266 15.00% 15.00% M 62 N

0 0.00% 0.00% 21,266 21,266 15.00% 15.00%

Total Quantitative 0 0.00% 0.00% 21,266 21,266 15.00% 15.00% Relative Value Diversified RV Double Black Diamond Ltd 30,547 21.55% 22.12% (30,547) 04/20 No 0 0.00% 0.00% Q 63 UA 5%-0 MN 20% DS - FLOffOn HBK Multi Strategy Ltd 33,746 23.80% 24.44% (33,746) 04/20 No 0 0.00% 0.00% Q 90 UA 25% MN - GLCOffOn Linden International Ltd 0 0.00% 0.00% 14,177 04/20 No 14,177 10.00% 10.00% Q 65 UA 20% MN - MFL

64,293 45.35% 46.56% (50,116) 14,177 10.00% 10.00% FI Arb Concordia G-10 FIRV Ltd 0 0.00% 0.00% 14,177 04/20 No 14,177 10.00% 10.00% M 26 UA

0 0.00% 0.00% 14,177 14,177 10.00% 10.00%

Total Relative Value 64,293 45.35% 46.56% (35,939) 28,354 20.00% 20.00% Other Other Investments

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report.

Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 03:58 PM page 2 Allocation Report Expressed in US Dollars (in 1,000s) | For the period November 2019 to April 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Current Allocation as of 11/01/2019 Proposed Change Proposed Allocation Notice Liquidity Terms

1,238 0.87% 0.90% (1,238) 0 0.00% 0.00%

Total Other 1,238 0.87% 0.90% (1,238) 0 0.00% 0.00%

Total Investments 138,098 97.41% 100.00% 3,673 141,771 100.00% 100.00% Cash 27,509 19.40% 19.92% (3,673) 23,835 16.81% 16.81% NOAL (23,729) -16.74% -17.18% (23,729) -16.74% -16.74% OPEX (107) -0.08% -0.08% (107) -0.08% -0.08%

Total Cash and Other 3,673 2.59% 2.66% (3,673) 0 0.00% 0.00%

Total Portfolio 141,771 100.00% 102.66% 141,771 100.00% 100.00%

Footnotes: Unless otherwise noted in portfolio fund name, currency of portfolio fund capital accounts is the same as that for the Grosvenor fund. An asterisk (*) displayed with days notice indicates more than one value may exist, with the most conservative value being displayed. An ‘X’ in the complex field denotes a portfolio fund has complex liquidity terms. ***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report.

Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 03:58 PM page 3 Allocation Report Expressed in US Dollars (in 1,000s) | For the period November 2019 to April 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Legend Redemption Frequency Nov 30 Nov 30 18M 18 Month Oct 31 Oct 31 2Y Two Year QE Quarter End 3M Three Month SAE Semi-Annual End 3Y Three Year Sep 30 Sep 30 4Y Four Year Redemption Charge 5Y Five Year DS Discretionary A Annual MN Mandatory Bckt Bucket MPR Mgr Permission Required D Daily Revocation Status DP Distribution Provision N Not Revocable - Disallow Protect FT Fund Termination NS Not Specified IL Illiquid UA Revocable - Mgr Permission Required M Monthly wC Revocable with Charge Mult Multiple Y Revocable - Allow Protect NYA Not Yet Assigned Lockups Other Other CY Calendar Year End(s) Q Quarterly DC Date Certain SA Semiannual M Month(s) Tri Trimester Q Quarter End(s) Redemption Conditions Y Year(s) 2QE Second Quarter End Gate Method 3MAnniv 3 Month Anniversary All All Manager's Funds (Regardless of Strategy) 4MAnniv 4 Month Anniversary FL Fund Level 6MAnniv 6 Month Anniversary FLOffOn Fund Level - Combined Off/Onshore Anniv Anniversary GLAllSS GCM Level - All Manager's Funds (with Same Strategy) Apr 30 Apr 30 GLCOffOn GCM Level - Combined Off/Onshore Aug 31 Aug 31 GLOffSS GCM Level - All Manager's Offshore Funds (with Same Strategy) Dec 31 Dec 31 GLOnSS GCM Level - All Manager's Onshore Funds (with Same Strategy) Feb 28 Feb 28/29 GLSF GCM Level - Specific Fund Jan 31 Jan 31 IL Investor Level Jul 31 Jul 31 MFL Master Fund Level Jun 30 Jun 30 SC Share Class Level Mar 31 Mar 31 May 31 May 31

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report.

Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 03:58 PM page 4 Allocation Report Expressed in US Dollars (in 1,000s) | For the period November 2019 to April 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Gate Type DS Discretionary MN Mandatory Loss Carry Forward Clawback Clawback HWM 1yr High water Mark - 1-Year Limit HWM 2009 High water Mark - 2009 Fee Negotiations HWM 2yr High water Mark - 2-Year Limit HWM 3yr High water Mark - 3-Year Limit HWM Mod High water Mark - Modified HWM NR High water Mark - No Restriction HWMMod19HL High water Mark - Modified - 19% Historical Loss HWMreset High water Mark - no restriction w/reset option No IC 2yr No IC for 2yr; HWM reset Day1 NAV of precede yr none None Fees CI Carried Interest H With Hurdle NH No Hurdle REB Rebate

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report.

Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 03:58 PM page 5 Risk Based Allocation Report As of April 1, 2020 BFF - GCM Better Futures Fund, LLC (the "Fund")

Actual Historical Performance ROR Impact Using ROR Impact Using Since the Later of 11/2009 or Portfolio Fund Information Forward Looking Estimates Actual Historical Performance Forward Looking Estimates Inception

Strategy / Substrat. / Region / % of ROR - 2 ROR - 2 Max PTT Beta vs. Max PTT Beta vs. Specialty / Portfolio Fund Equity ROR SDev SDev SCL ROR SDev SDev Ddown ROR SDev SCL S&P 500 ROR SDev Ddown S&P 500 Credit Fundamental Credit / Global CVI Intl Credit Ltd 10.00% 0.60% 0.50% -0.40% -1.00% 1.09% 0.47% 0.16% -0.45% 6.00% 5.00% -10.00% 0.20 10.88% 4.66% -4.46% 0.22 Sculptor GC Opp Ltd 6.00% 0.48% 0.30% -0.12% -0.60% 0.60% 0.31% -0.01% -0.68% 8.00% 5.00% -10.00% 0.30 10.07% 5.13% -11.40% 0.16 16.00% 1.08% 0.80% -0.52% -1.60% 1.69% 0.77% 0.15% -1.13% 6.75% 5.00% -10.00% 0.24 10.58% 4.83% -7.06% 0.19 Structured Credit / Global Magnetar Constell Ltd 10.00% 0.80% 0.60% -0.40% -1.50% 0.70% 0.26% 0.17% -0.43% 8.00% 6.00% -15.00% 0.15 6.96% 2.65% -4.28% 0.10 10.00% 0.80% 0.60% -0.40% -1.50% 0.70% 0.26% 0.17% -0.43% 8.00% 6.00% -15.00% 0.15 6.96% 2.65% -4.28% 0.10 Specialist Credit / U.S./Canada Waterfall Victoria Ltd 8.00% 0.72% 0.40% -0.08% -1.20% 0.86% 0.18% 0.49% -0.12% 9.00% 5.00% -15.00% 0.10 10.73% 2.30% -1.45% 0.02 8.00% 0.72% 0.40% -0.08% -1.20% 0.86% 0.18% 0.49% -0.12% 9.00% 5.00% -15.00% 0.10 10.73% 2.30% -1.45% 0.02 Total Credit 34.00% 2.60% 1.80% -1.00% -4.30% 3.25% 1.22% 0.80% -1.67% 7.65% 5.29% -12.65% 0.18 9.55% 3.60% -4.92% 0.12

Equities Directional Equity / U.S./Canada Steadfast Intl Ltd 12.50% 1.00% 1.00% -1.00% -2.50% 0.96% 0.96% -0.97% -2.43% 8.00% 8.00% -20.00% 0.15 7.68% 7.71% -19.41% 0.11 12.50% 1.00% 1.00% -1.00% -2.50% 0.96% 0.96% -0.97% -2.43% 8.00% 8.00% -20.00% 0.15 7.68% 7.71% -19.41% 0.11 Fundamental Market Neutral Equity / Global Atlas Enhanced Fund Ltd 7.50% 0.53% 0.68% -0.83% -1.35% 0.61% 0.57% -0.53% -1.01% 7.00% 9.00% -18.00% 0.20 8.18% 7.62% -13.44% 0.18 Weiss Multi-Strategy Ltd 11.00% 0.55% 0.44% -0.33% -1.10% 0.46% 0.43% -0.39% -0.71% 5.00% 4.00% -10.00% 0.10 4.22% 3.88% -6.44% 0.04 18.50% 1.08% 1.12% -1.16% -2.45% 1.08% 1.00% -0.92% -1.72% 5.81% 6.03% -13.24% 0.14 5.82% 5.40% -9.28% 0.10 Total Equities 31.00% 2.08% 2.12% -2.16% -4.95% 2.04% 1.96% -1.89% -4.14% 6.69% 6.82% -15.97% 0.14 6.57% 6.33% -13.36% 0.10

Quantitative Non-Directional Quantitative / Global RIDGE Offshore 15.00% 1.20% 1.50% -1.80% -3.00% 1.42% 1.50% -1.57% -1.31% 8.00% 10.00% -20.00% 0.10 9.47% 9.97% -8.76% 0.01 15.00% 1.20% 1.50% -1.80% -3.00% 1.42% 1.50% -1.57% -1.31% 8.00% 10.00% -20.00% 0.10 9.47% 9.97% -8.76% 0.01 Total Quantitative 15.00% 1.20% 1.50% -1.80% -3.00% 1.42% 1.50% -1.57% -1.31% 8.00% 10.00% -20.00% 0.10 9.47% 9.97% -8.76% 0.01

Relative Value Diversified Relative Value / Global Linden International Ltd 10.00% 0.70% 0.50% -0.30% -1.50% 0.94% 0.70% -0.46% -1.70% 7.00% 5.00% -15.00% 0.20 9.44% 7.04% -17.05% 0.30 10.00% 0.70% 0.50% -0.30% -1.50% 0.94% 0.70% -0.46% -1.70% 7.00% 5.00% -15.00% 0.20 9.44% 7.04% -17.05% 0.30

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report. In connection with providing you the hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN.

Allocation: BFF Revision - November 2019 Run Date 11/19/2019 at 3:58 PM Page 1 of 4

Risk Based Allocation Report As of April 1, 2020 BFF - GCM Better Futures Fund, LLC (the "Fund")

Total Investments 100.00% 7.28% 4.14% -1.00% -6.71% 8.21% 3.68% 0.84% -3.03% 7.28% 6.52% -14.75% 0.15 8.21% 5.70% -9.18% 0.10 Cash (Leverage) 0.00% 0.00% 0.00% 1.50% 0.53% Total Grosvenor Fund 100.00% 7.28% 8.21% 7.28% 0.15 8.21% 0.10

Allocation: BFF Revision - November 2019 Run Date 11/19/2019 at 3:58 PM Page 2 of 4

Risk Based Allocation Report As of April 1, 2020 BFF - GCM Better Futures Fund, LLC (the "Fund")

Portfolio RBA Statistics (in percent) Portfolio RBA Statistics (in percent) Using Forward Looking Estimates Using Actual Historical Performance

Portfolio ROR 7.28 Portfolio ROR 8.21 Portfolio (Index) Beta 0.15 Portfolio (Index) Beta 0.10 Portfolio Standard Deviation Portfolio Standard Deviation Substrategy Correlation = 0.00 2.50 Substrategy Correlation = 0.00 2.34 Substrategy Correlation = 0.10 3.14 Substrategy Correlation = 0.10 2.86 Substrategy Correlation = 0.20 3.67 Substrategy Correlation = 0.20 3.30 Substrategy Correlation = 0.30 4.14 Substrategy Correlation = 0.30 3.68 Substrategy Correlation = 0.40 4.55 Substrategy Correlation = 0.40 4.03 Substrategy Correlation = 0.50 4.94 Substrategy Correlation = 0.50 4.36 Substrategy Correlation = 0.80 5.93 Substrategy Correlation = 0.80 5.20 Substrategy Correlation = 1.00 6.52 Substrategy Correlation = 1.00 5.70 Portfolio Severe Case Loss Portfolio PTT Ddown Substrategy Correlation = 0.00 -1.19 Substrategy Correlation = 0.00 1.08 Substrategy Correlation = 0.10 -3.35 Substrategy Correlation = 0.10 -0.51 Substrategy Correlation = 0.20 -5.15 Substrategy Correlation = 0.20 -1.85 Substrategy Correlation = 0.30 -6.71 Substrategy Correlation = 0.30 -3.03 Substrategy Correlation = 0.40 -8.12 Substrategy Correlation = 0.40 -4.10 Substrategy Correlation = 0.50 -9.41 Substrategy Correlation = 0.50 -5.08 Substrategy Correlation = 0.80 -12.78 Substrategy Correlation = 0.80 -7.67 Substrategy Correlation = 1.00 -14.75 Substrategy Correlation = 1.00 -9.18

Footnotes: "ROR" = rate of return; "SDev" = standard deviation; "SCL" = severe case loss; "PTT Ddown" = peak-to-trough drawdown Weighted average implied substrategy correlation of 0.3 assumed for SDev and SCL "ROR Impact" calculations The portfolio SCL and PTT Ddown estimates calculated using various correlation assumptions utilize portfolio ROR, Sdev and weighted-average Z-scores where (portfolio SCL or PTT Ddown = portfolio ROR - weighted-average manager Z-scores X portfolio SDev)

Allocation: BFF Revision - November 2019 Run Date 11/19/2019 at 3:58 PM Page 3 of 4

Risk Based Allocation Report As of April 1, 2020 BFF - GCM Better Futures Fund, LLC (the "Fund")

Allocation: BFF Revision - November 2019 Run Date 11/19/2019 at 3:58 PM Page 4 of 4

Historical Simulation Summary As of April 1, 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Time Period Statistics Returns in Beta vs. S&P 500 in

Up S&P 500 Down S&P 500 From To Years Ann ROR Ann Sdev Sharpe Ratio Sortino Ratio Alpha Beta vs. S&P 500 Max PTT Ddown Markets Markets Up S&P 500 Markets Down S&P 500 Markets ϮϬϬϵͲϭϭϮϬϭϵͲϭϬ 10 8.14% 2.70% 2.82 6.95 6.03% 0.11 -3.56% 0.91% 0.01% 0.05 0.10 ϮϬϭϮͲϭϭϮϬϭϵͲϭϬ 7 8.49% 2.46% 3.16 10.59 6.26% 0.11 -1.53% 0.88% 0.10% 0.08 0.04 ϮϬϭϰͲϭϭϮϬϭϵͲϭϬ 5 7.42% 2.34% 2.75 8.13 5.48% 0.09 -1.53% 0.81% 0.03% 0.02 0.05 ϮϬϭϱͲϭϭϮϬϭϵͲϭϬ 4 8.03% 2.17% 3.13 11.23 5.76% 0.08 -1.53% 0.80% 0.08% 0.04 N/M ϮϬϭϲͲϭϭϮϬϭϵͲϭϬ 3 8.34% 2.24% 3.03 11.01 5.52% 0.09 -1.53% 0.78% 0.12% 0.06 N/M ϮϬϭϳͲϭϭϮϬϭϵͲϭϬ 2 6.80% 2.13% 2.25 6.46 3.90% 0.09 -1.53% 0.70% 0.12% 0.11 N/M ϮϬϭϴͲϭϭϮϬϭϵͲϭϬ 1 6.87% 2.09% 2.17 8.33 3.52% 0.07 -0.74% 0.67% 0.23% N/M N/M

Historical Simulation Returns

Year January February March April May June July August September October November December Annual 2019 1.88 % 0.89 % 0.93 % 0.73 % 0.58 % 0.78 % 0.96 % 0.38 % 0.13 % 0.16 % 7.67 % 2018 1.03 % -0.41 % 1.22 % 1.40 % 0.38 % 0.23 % 0.85 % 1.03 % 0.71 % -0.80 % -0.47 % -0.27 % 4.99 % 2017 0.77 % 1.18 % 0.95 % 1.22 % 2.05 % -0.16 % 0.73 % 1.16 % 0.18 % 1.61 % 0.30 % 0.60 % 11.10 % 2016 0.23 % -0.57 % 0.45 % 0.36 % 1.26 % 0.69 % 1.54 % 1.05 % 1.05 % 0.27 % -0.09 % 1.35 % 7.84 % 2015 0.79 % 1.29 % 0.59 % 0.23 % 0.50 % -0.99 % 1.60 % -0.82 % 0.21 % -0.07 % 0.41 % 0.14 % 3.92 % 2014 1.16 % 2.25 % -0.07 % 0.45 % 1.15 % 0.56 % -0.38 % 0.97 % 1.07 % -0.03 % 1.69 % -0.06 % 9.09 % 2013 2.10 % 0.85 % 1.67 % 0.56 % 0.95 % -0.70 % 1.47 % 0.53 % 1.56 % 2.37 % 0.79 % 0.68 % 13.57 % 2012 1.61 % 0.99 % 1.42 % 0.42 % -1.31 % 0.22 % 1.69 % 0.88 % 0.89 % 0.12 % 0.84 % 0.61 % 8.66 % 2011 1.72 % 1.22 % 0.95 % 0.86 % -0.15 % -0.47 % 0.87 % -2.01 % -1.11 % 0.16 % -0.40 % -0.24 % 1.34 % 2010 1.47 % 0.45 % 1.77 % 1.33 % -0.87 % 0.31 % 0.96 % 1.41 % 1.65 % 1.41 % 0.67 % 0.94 % 12.11 % 2009 0.63 % 0.92 % 1.56 %

Footnotes: All returns and related statistics are gross of all fees & expenses. Rebalancing: Semiannual Manager and index return series are converted, if necessary, to US Dollars using actual month end spot and forward exchange rates.

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report. In connection with providing you the Run Date 11/19/2019 at 3:58 PM hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON 1 of 2 SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF Allocation: BFF Revision - CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE November 2019 BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. Historical Simulation Summary As of April 1, 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report. In connection with providing you the Run Date 11/19/2019 at 3:58 PM hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON 2 of 2 SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF Allocation: BFF Revision - CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE November 2019 BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. Historical Simulation Detail

As of April 1, 2020 | For the period November 2009 to October 2019

BFF - GCM Better Futures Fund, LLC (the "Fund")

Statistics Statistics vs. S&P 500 History

Portfolio Fund / Strategy / Sharpe Sortino Returns in Up Returns in Beta in Up Beta in Down Max PTT Returns Substrategy / Region % of Equity Ann ROR Ann Sdev Ratio Ratio Beta Alpha Rϸ Mkts Down Mkts Mkts Mkts Ddown From Returns To Credit Fundamental Credit CVI Intl Credit Ltd 10.00 % 10.88 % 4.66 % 2.22 5.28 0.22 7.36 % 33.22 % 1.29 % -0.19 % 0.16 0.22 -4.46 % ϭϭͬϮϬϬϵϭϬͬϮϬϭϵ Sculptor GC Opp Ltd 6.00 % 10.07 % 5.13 % 1.84 3.85 0.16 7.31 % 10.89 % 1.20 % -0.28 % -0.02 0.02 -11.40 % ϭϭͬϮϬϭϭϭϬͬϮϬϭϵ 16.00 % Structured Credit Magnetar Constell Ltd 10.00 % 6.96 % 2.65 % 2.43 5.24 0.10 5.10 % 20.66 % 0.78 % 0.03 % 0.05 0.08 -4.28 % ϭϭͬϮϬϬϵϭϬͬϮϬϭϵ 10.00 % Specialist Credit Waterfall Victoria Ltd 8.00 % 10.73 % 2.30 % 4.43 25.91 0.02 9.91 % 1.00 % 0.93 % 0.66 % -0.01 -0.05 -1.45 % ϭϭͬϮϬϬϵϭϬͬϮϬϭϵ 8.00 % Total Credit 34.00 % Equities Directional Equity-U.S./Canada Steadfast Intl Ltd 12.50 % 7.68 % 7.71 % 0.93 1.56 0.11 5.86 % 3.31 % 0.99 % -0.22 % -0.07 0.13 -19.41 % ϭϭͬϮϬϬϵϭϬͬϮϬϭϵ 12.50 % Fundamental Market Neutral Equity-Global Atlas Enhanced Fund Ltd 7.50 % 8.18 % 7.62 % 1.00 1.74 0.18 5.38 % 8.83 % 1.04 % -0.24 % 0.12 0.20 -13.44 % ϭϭͬϮϬϬϵϭϬͬϮϬϭϵ Weiss Multi-Strategy Ltd 11.00 % 4.22 % 3.88 % 0.95 1.53 0.04 3.22 % 1.55 % 0.51 % -0.06 % -0.02 -0.08 -6.44 % ϭϭͬϮϬϬϵϭϬͬϮϬϭϵ 18.50 % Total Equities 31.00 % Quantitative

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report. In connection with providing you the Run Date 11/19/2019 at 3:58 PM hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON 1 of 3 SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF Allocation: BFF Revision - CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE November 2019 BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. Historical Simulation Detail

As of April 1, 2020 | For the period November 2009 to October 2019

BFF - GCM Better Futures Fund, LLC (the "Fund")

Statistics Statistics vs. S&P 500 History

Portfolio Fund / Strategy / Sharpe Sortino Returns in Up Returns in Beta in Up Beta in Down Max PTT Returns Substrategy / Region % of Equity Ann ROR Ann Sdev Ratio Ratio Beta Alpha Rϸ Mkts Down Mkts Mkts Mkts Ddown From Returns To Non-Directional Quantitative RIDGE Offshore 15.00 % 9.47 % 9.97 % 0.88 1.73 0.01 9.20 % 0.00 % 0.77 % 0.86 % 0.03 0.06 -8.76 % ϬϯͬϮϬϭϮϭϬͬϮϬϭϵ 15.00 % Total Quantitative 15.00 % Relative Value Diversified Relative Value Linden International Ltd 10.00 % 9.44 % 7.04 % 1.26 2.21 0.30 4.99 % 27.37 % 1.37 % -0.73 % 0.21 0.27 -17.05 % ϭϭͬϮϬϬϵϭϬͬϮϬϭϵ 10.00 % Fixed Income Arbitrage Concordia G-10 FIRV Ltd 10.00 % 5.60 % 3.14 % 1.61 3.13 -0.04 5.61 % 2.18 % 0.41 % 0.58 % 0.00 -0.17 -3.46 % ϭϭͬϮϬϬϵϭϬͬϮϬϭϵ 10.00 % Total Relative Value 20.00 % Cash/(Leverage) 0.00 % Total Grosvenor Fund 100.00 % 8.14 % 2.70 % 2.82 6.95 0.11 6.03 % 27.11 % 0.91 % 0.01 % 0.05 0.10 -3.56 % 11/2009 10/2019

Footnotes: Manager and index return series are converted, if necessary, to US Dollars using actual month end spot and forward exchange rates.

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report. In connection with providing you the Run Date 11/19/2019 at 3:58 PM hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON 2 of 3 SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF Allocation: BFF Revision - CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE November 2019 BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. Historical Simulation Detail

As of April 1, 2020 | For the period November 2009 to October 2019

BFF - GCM Better Futures Fund, LLC (the "Fund")

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report. In connection with providing you the Run Date 11/19/2019 at 3:58 PM hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON 3 of 3 SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF Allocation: BFF Revision - CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE November 2019 BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. Stress Test As of April 1, 2020 BFF - GCM Better Futures Fund, LLC (the "Fund")

Maximum Cumulative Drawdown Maximum Cumulative Positive Return

Proposed Proposed Index Rank Period Index Portfolio Rank Period Index Portfolio

Index Returns

S&P 500 1 05/2011 to 09/2011 -16.26% -2.32% 1 09/2010 to 02/2011 27.73% 8.44%

2 10/2018 to 12/2018 -13.52% -1.53% 2 10/2011 to 03/2012 25.89% 3.30%

3 05/2010 to 06/2010 -12.80% -0.43% 3 01/2019 to 06/2019 18.54% 5.93%

NASDAQ Composite 1 09/2018 to 12/2018 -17.88% -0.83% 1 09/2010 to 02/2011 32.23% 8.44%

2 05/2011 to 09/2011 -15.58% -2.32% 2 10/2011 to 03/2012 28.70% 3.30%

3 05/2010 to 06/2010 -14.14% -0.43% 3 07/2013 to 12/2013 23.53% 7.63%

Russell 2000 1 05/2011 to 09/2011 -25.10% -2.32% 1 09/2010 to 02/2011 37.55% 8.44%

2 09/2018 to 12/2018 -22.12% -0.83% 2 10/2011 to 03/2012 29.83% 3.30%

3 08/2015 to 01/2016 -15.80% 0.10% 3 11/2009 to 04/2010 28.17% 7.79%

Other - S&P/Citi Value vs Growth 1 01/2017 to 05/2017 -9.79% 6.31% 1 09/2012 to 01/2013 7.38% 4.64%

2 01/2018 to 05/2018 -9.20% 3.66% 2 08/2016 to 12/2016 7.00% 3.68%

3 04/2011 to 09/2011 -8.14% -1.40% 3 06/2019 to 09/2019 6.94% 2.27%

Other - S&P small vs S&P midcap 1 12/2013 to 05/2014 -6.07% 5.73% 1 03/2018 to 08/2018 8.77% 5.22%

2 10/2018 to 03/2019 -5.67% 2.16% 2 06/2013 to 11/2013 7.96% 6.16%

3 01/2017 to 05/2017 -4.35% 6.31% 3 07/2016 to 12/2016 6.95% 5.27%

Other - S&P small vs S&P large 1 09/2018 to 12/2018 -10.54% -0.83% 1 12/2009 to 05/2010 15.67% 5.98%

2 04/2014 to 09/2014 -10.46% 3.88% 2 03/2018 to 08/2018 11.21% 5.22%

3 03/2019 to 07/2019 -8.47% 4.04% 3 07/2016 to 12/2016 10.96% 5.27%

Other - S&P midcap vs S&P large 1 07/2018 to 12/2018 -7.42% 1.05% 1 12/2009 to 05/2010 11.90% 5.98%

2 04/2011 to 09/2011 -7.38% -1.40% 2 10/2012 to 03/2013 6.80% 6.34%

3 07/2015 to 12/2015 -6.47% 1.46% 3 11/2010 to 03/2011 6.21% 6.11%

TOPIX JPY 1 05/2010 to 08/2010 -18.25% 2.33% 1 11/2012 to 04/2013 58.82% 6.81%

2 01/2016 to 06/2016 -18.13% 2.44% 2 07/2016 to 12/2016 24.10% 5.27%

3 03/2011 to 08/2011 -17.90% 0.46% 3 11/2014 to 04/2015 20.85% 4.62%

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this Run Date 11/19/2019 at 3:58 PM report. In connection with providing you the hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Page 1 of 3 Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS Allocation: BFF Revision - DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE November 2019 UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. Stress Test As of April 1, 2020 BFF - GCM Better Futures Fund, LLC (the "Fund")

Maximum Cumulative Drawdown Maximum Cumulative Positive Return

Proposed Proposed Index Rank Period Index Portfolio Rank Period Index Portfolio

MSCI Europe P%C 1 05/2011 to 09/2011 -27.76% -2.32% 1 07/2010 to 10/2010 23.93% 6.12%

2 01/2010 to 06/2010 -18.38% 5.43% 2 12/2010 to 04/2011 23.22% 6.32%

3 03/2012 to 05/2012 -16.33% 0.50% 3 07/2013 to 12/2013 21.67% 7.63%

MSCI Emerging Mkts P%C 1 05/2011 to 09/2011 -26.88% -2.32% 1 07/2010 to 12/2010 25.43% 7.92%

2 05/2015 to 09/2015 -24.41% 0.47% 2 10/2011 to 02/2012 22.60% 1.86%

3 05/2018 to 10/2018 -17.91% 2.42% 3 03/2016 to 08/2016 20.71% 5.47%

Yields, Spreads, and Volatility

ICE BAML US HY 1 08/2015 to 01/2016 -8.51% 0.10% 1 03/2016 to 08/2016 15.92% 5.47%

2 08/2011 to 09/2011 -7.46% -2.74% 2 10/2011 to 02/2012 11.75% 1.86%

3 10/2018 to 12/2018 -4.67% -1.53% 3 11/2009 to 04/2010 11.65% 7.79%

S&P VIX LVL 1 10/2011 to 12/2011 -19.56% -0.90% 1 07/2011 to 09/2011 26.44% -1.70%

2 09/2015 to 10/2015 -13.36% 0.14% 2 04/2010 to 06/2010 16.95% 1.13%

3 01/2019 to 03/2019 -11.71% 3.75% 3 08/2015 to 08/2015 16.31% -0.82%

3M Tbill Yld LVL 1 08/2019 to 10/2019 -53 0.68% 1 12/2017 to 02/2018 40 1.21%

2 05/2019 to 06/2019 -32 1.36% 2 03/2017 to 05/2017 37 4.27%

3 03/2016 to 03/2016 -12 0.45% 3 08/2018 to 10/2018 30 0.94%

ICE BAML BB CrdSpd LVL 1 12/2011 to 02/2012 -158 2.43% 1 07/2011 to 09/2011 236 -1.70%

2 02/2016 to 04/2016 -134 0.23% 2 10/2018 to 12/2018 147 -1.53%

3 01/2019 to 02/2019 -121 2.79% 3 11/2015 to 01/2016 132 0.78%

5Y Swap Spd LVL 1 09/2015 to 11/2015 -18 0.55% 1 04/2010 to 05/2010 16 0.66%

2 06/2010 to 07/2010 -16 1.45% 2 12/2016 to 02/2017 14 3.34%

3 01/2012 to 03/2012 -16 4.24% 3 01/2018 to 03/2018 12 1.84%

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this Run Date 11/19/2019 at 3:58 PM report. In connection with providing you the hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Page 2 of 3 Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS Allocation: BFF Revision - DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE November 2019 UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. Stress Test As of April 1, 2020 BFF - GCM Better Futures Fund, LLC (the "Fund") Footnotes:

1. All returns are in US dollars unless otherwise noted and represent the period 2000-02 to 2019-10 2. Maximum Cumulative Drawdown (or Positive Return) is calculated over consecutive rolling periods from 1 to 6 months 3. For Yields, Spreads, and Volatility, values represent Maximum Cumulative Drawdown or Positive Return over a 3-month period 4. For results that are one index vs. another index, Positive Return represents the first index outperforming the second index 5. For 3-Month Generic Treasury Bill, ML BB Credit Spread, and U.S. 5-Year Swap Spread, Maximum Cumulative Drawdown or Positive Return is in basis points 6. For S&P Volatility (VIX) Index, Maximum Cumulative Drawdown or Positive Return indicates the change in level of implied volatility

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this Run Date 11/19/2019 at 3:58 PM report. In connection with providing you the hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Page 3 of 3 Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS Allocation: BFF Revision - DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE November 2019 UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. Historical Financial Shock Analysis As of April 1, 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Russian Debt/LTCM Crisis (1998-08 through 1998-08) On August 17, 1998, the Russian government defaulted on its short-term debt. This unprecedented default of a sovereign debtor roiled the global bond markets. A global flight-to-quality ensued which caused credit spreads to widen and liquidity to evaporate. Highly levered investors experienced significant losses. LTCM, with reported notional exposure of over $125 billion, exacerbated pricing declines as they were forced to liquidate large relative value, distressed, convertible arbitrage, merger arbitrage and equity positions.

Simulated Actual MSCI EM Russia MSCI Emerging Mkt MSCI World x-USA S&P 500 S&P Vol (VIX) CS BB CreditSpd LVL Portfolio Portfolio P%C LCL P%C LCL P%C LCL Total ROR Total ROR Change (bps) Return Return* Total ROR Total ROR Total ROR

-3.12% -- -59.23% -26.94% -13.83% -14.46% 78.55% +125

Technology Meltdown (2000-03 through 2001-03) The unprecedented bull market in technology stocks was brought to an abrupt end in early 2000, as slower economic numbers and earnings disappointments led to a crisis of confidence and increased volatility in the technology markets. A major equity sell-off, led by technology stocks, commenced in March of 2000 and continued into early 2001.

Simulated Actual NYSE Technology NASDAQ Composite Russell 2000 S&P 500 S&P Vol (VIX) CS BB CreditSpd LVL Portfolio Portfolio Total ROR Total ROR Total ROR Total ROR Total ROR Change (bps) Return Return*

15.24% -- -49.37% -60.73% -20.91% -14.02% 22.57% +98

* Actual portfolio inception 10/01/2016; returns are net (after fees and expenses). * Expressed in US Dollars (except where noted). ***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report. In connection with providing you the hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 03:59 PM page 1 Historical Financial Shock Analysis As of April 1, 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

9/11 Terrorist Attacks (2001-09 through 2001-09) The September 11, 2001 terrorist attacks on the World Trade Center in New York and the Pentagon in Washington D.C. disrupted global financial markets and heightened investor uncertainty. The resulting flight-to-quality created an increase in the risk premium and drove equity prices lower.

Simulated Actual 3M FTSE Tbill 10Y ICE BAML Tsy MSCI World x-USA S&P 500 S&P Vol (VIX) CS BB CreditSpd LVL Portfolio Portfolio Total ROR Total ROR P%C LCL Total ROR Total ROR Change (bps) Return Return* Total ROR

-0.67% -- 0.29% 2.28% -10.43% - 8.08% 28.13% +158

Corporate Fraud Crisis (2002-06 through 2002-09) In the summer of 2002, a series of corporate accounting scandals rocked the markets: Enron, Worldcom, Tyco, Adelphia and others. Volatility spiked across the financial markets and credit spreads widened, particularly for distressed securities, as the market expected additional scandals to surface.

Simulated Actual 5Y Swap Spd LVL ICE BAML US HY BLMBRG BC US S&P 500 S&P Vol (VIX) CS BB CreditSpd LVL Portfolio Portfolio Change (bps) Total ROR Aggregate Total ROR Total ROR Change (bps) Return Return* Total ROR

-2.69% -- +22 -10.52% 5.50% -23.17% 98.64% +262

* Actual portfolio inception 10/01/2016; returns are net (after fees and expenses). * Expressed in US Dollars (except where noted). ***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report. In connection with providing you the hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 03:59 PM page 2 Historical Financial Shock Analysis As of April 1, 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Global Financial Crisis: Bear Stearns Collapse (2007-11 through 2008-03) In early November, several global financial institutions, including Citigroup and Bank of America, announced large write-offs related to structured credit investments. In late November, Government-sponsored enterprises Fannie Mae and Freddie Mac, the two largest suppliers of mortgages for the U.S. housing market, also announced large write-downs due to mortgage defaults and credit losses. On December 3, Moody's announced that it would lower its AAA-ratings on virtually all mortgage-related securities. These downgrades resulted in another wave of forced selling, putting additional price pressure on mortgage-related assets and threatening the solvency of many mortgage lenders. On January 11, Bank of America announced its agreement to purchase Countrywide Financial Corporation, one of the largest mortgage lending groups in the U.S., saving Countrywide from bankruptcy. During the period under consideration, over 70 mortgage originators failed. The decline of the global equity markets and the effective freeze-up of the credit markets forced the U.S. Federal Reserve to cut the discount interest rate by 75 bps on January 22, the largest cut in over two decades. However, this easing of monetary conditions did little to un-freeze global credit markets; credit spread widening continued in February, sparking concerns of a global financial meltdown. In mid-March, due to an inability to fund overnight due to market concerns, Bear Stearns effectively collapsed. With U.S. Treasury and Federal Reserve guarantees, J.P. Morgan purchased Bear Stearns at a fire-sale price to avoid the firm filing for bankruptcy. Panic selling, especially in the shares of large financial institutions, ensued and forced the U.S. Federal Reserve to open its discount window to broker-dealers for the first time in order to provide access to emergency short-term financing and prevent additional failures.

Simulated Actual CS Lev Loan ICE BAML US HY S&P 500 S&P Vol (VIX) CS BB CreditSpd LVL Portfolio Portfolio Total ROR Total ROR Total ROR Total ROR Change (bps) Return Return*

-0.32% -- - 6.60% - 4.74% -13.83% 38.21% +206

* Actual portfolio inception 10/01/2016; returns are net (after fees and expenses). * Expressed in US Dollars (except where noted). ***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report. In connection with providing you the hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 03:59 PM page 3 Historical Financial Shock Analysis As of April 1, 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Global Financial Crisis: Lehman Brothers Failure and Contagion (2008-09 through 2009-02) Throughout 2008, most large global financial institutions continued to struggle due to severe losses in mortgages, leveraged loans, and various types of structured credit in the context of over leveraged balance sheets. Various agencies of the U.S. government as well as the Federal Reserve intervened extensively in an attempt to calm panicking investors and protect the global banking system. On September 7, the U.S. government placed Fannie Mae and Freddie Mac under the conservatorship of the Federal Housing Finance Agency. This development heightened market concerns about the solvency of global financial institutions, resulting in sharp price declines and credit spread widening for almost all financial securities. On September 15, Lehman Brothers filed for bankruptcy, the largest such filing in U.S. history, as private efforts to purchase the broker-dealer failed. On September 16, the U.S. Federal Reserve rescued American International Group (AIG) by providing $85 billion in emergency funds. On September 19, the U.S. government announced a temporary ban on the short selling of 799 financial stocks (regulators in a number of other countries soon followed suit), which sparked a sharp, but short lived, rally. On September 21, the U.S. government expedited the conversion of Goldman Sachs and Morgan Stanley to bank holding companies, providing these firms with permanent access to the Fed's discount window for short- and intermediate-term funding. On October 3, the U.S government established the Troubled Asset Relief Program (TARP), which provided the U.S. Treasury Department with $700 billion to purchase toxic assets from banks. The Treasury Department tapped into the first $250 billion of TARP funds on October 14 to directly inject equity into specific financial institutions. Even with the availability of TARP funds and the U.S. government's stated willingness to support financial institutions, financial stocks continued to struggle. For example, the share prices of Goldman Sachs and Morgan Stanley fell 32% and 45%, respectively, during the period from September 15 to October 31. On November 23, following a 60% share price decline in one week, the U.S. government pledged an additional $20 billion to forestall a possible bankruptcy filing by Citigroup. On November 25, the Federal Reserve pledged an additional $800 billion to further support the U.S. financial system. The collapse in the equity and credit markets had a significant impact on the real economy. During Q4 2008, the U.S. economy contracted at -6.3% annualized, the fastest pace in a quarter century. On January 10, reported unemployment in the U. S. reached 7.2%, the highest in 16 years. On February 17, the U.S. Congress enacted a $787 billion stimulus, the American Recovery and Reinvestment Act of 2009. Notwithstanding the unprecedented level of U.S. government intervention, indiscriminate selling across all asset classes continued until mid-March, when markets finally began to move higher as additional government plans to address bank toxic assets and economic recovery were being formulated and discussed. On March 23, U.S. Treasury Secretary Timothy Geithner announced the Public-Private Investment Program, backed by $30 billion in additional U.S. government support, to purchase a variety of real-estate related loans from banks. By the end of March, the Dow Jones Industrial Average had rebounded 16% from its March 9 low.

Simulated Actual CS Lev Loan ICE BAML US HY S&P 500 S&P Vol (VIX) CS BB CreditSpd LVL Portfolio Portfolio Total ROR Total ROR Total ROR Total ROR Change (bps) Return Return*

-4.62% -- -22.21% -23.21% -41.82% 124.46% +372

* Actual portfolio inception 10/01/2016; returns are net (after fees and expenses). * Expressed in US Dollars (except where noted). ***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report. In connection with providing you the hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 03:59 PM page 4 Historical Financial Shock Analysis As of April 1, 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Summer 2011 - European Financial Crisis (2011-07 through 2011-09) During the summer of 2011, the markets were feeling the effects of European financial crisis (lack of equity in European banks, high budget deficits and skyrocketing yields on sovereign debt). From July through September, the S&P 500 declined 13.9%.

Simulated Actual S&P 500 STOXX 50 EUR S&P Vol (VIX) CS BB CreditSpd LVL CS Lev Loan Portfolio Portfolio Total ROR Total ROR Total ROR Change (bps) Total ROR Return Return*

-1.70% -- -13.87% -23.07% 160.05% +161 - 3.76%

Oil Shock - Sell-off 2014 (2014-07 through 2014-12) Increases in oil supply coming from technological advances in shale oil extraction in the United States, combined with a slowing EM and China growth contributed to the dramatic decline in the price of oil between July 2014 - December 2014.

Simulated Actual S&P 500 10Y FTSE Treasury HFRX Eqty Hedge W Tex Crude Oil Portfolio Portfolio Total ROR Total ROR Total ROR Total ROR Return Return*

3.29% -- 6.12% 4.33% 0.15% -49.44%

Taper Tantrum (2013-05 through 2013-06) In the late Spring of 2013, U.S. Treasury yields rose dramatically as the Federal Reserve's tapering of Quantitative Easing was announced.

Simulated Actual S&P 500 10Y FTSE Treasury HFRX Eqty Hedge Portfolio Portfolio Total ROR Total ROR Total ROR Return Return*

0.24% -- 0.96% - 6.23% - 1.08%

* Actual portfolio inception 10/01/2016; returns are net (after fees and expenses). * Expressed in US Dollars (except where noted). ***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report. In connection with providing you the hypothetical performance information in this presentation, the U.S. Commodity Futures Trading Commission requires us to provide you the following statement: THESE RESULTS ARE BASED ON SIMULATED OR HYPOTHETICAL PERFORMANCE RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD, THESE RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THESE RESULTS MAY HAVE UNDER-OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 03:59 PM page 5 Grosvenor Fund Exposure Summary Expressed in Percent | As of April 1, 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Notional Capital Exposure Category Long Short Gross Net Long Short Gross Net Leverage Credit 77.3 18.1 95.4 59.2 36.3 1.9 38.2 34.4 2.5 Sovereign Credit 0.1 0.1 0.2 -0.1 0.0 0.0 0.1 0.0 3.0 Corporate Credit 52.0 16.9 68.9 35.1 18.0 1.8 19.8 16.2 3.5 Investment Grade 1.3 1.3 2.6 0.0 0.2 0.2 0.4 0.0 6.9 Crossover ------Bank Debt (Par) 3.2 0.1 3.3 3.1 2.5 0.1 2.5 2.4 1.3 Direct Lending 2.7 0.0 2.7 2.7 2.1 0.0 2.1 2.1 1.2 High Yield 6.7 2.6 9.3 4.2 2.2 0.8 3.0 1.4 3.1 Distressed 3.3 0.7 4.0 2.6 2.1 0.2 2.3 1.8 1.7 Credit Default Swap Index 0.1 11.8 11.9 -11.6 0.0 0.2 0.2 -0.2 72.3 Other Corporate Credit 34.7 0.5 35.2 34.2 8.9 0.3 9.3 8.6 3.8 Structured Credit 25.2 1.0 26.3 24.2 18.2 0.0 18.3 18.2 1.4 Mortgage Credit 11.7 0.3 12.0 11.4 8.8 0.0 8.8 8.8 1.4 CLOs 5.9 - 5.9 5.9 3.4 - 3.4 3.4 1.7 ABS 1.0 - 1.0 1.0 0.8 - 0.8 0.8 1.3 Other Structured Credit 6.7 0.8 7.4 5.9 5.2 0.0 5.3 5.2 1.4 Equities 96.5 92.3 188.8 4.2 25.8 17.8 43.5 8.0 4.3 Communication Services 5.8 4.9 10.7 0.9 1.7 1.0 2.8 0.7 3.9 Consumer Discretionary 10.5 13.0 23.5 -2.4 2.7 2.7 5.4 0.0 4.3 Consumer Staples 5.3 2.6 7.9 2.7 1.1 0.6 1.7 0.5 4.5 Energy 4.8 5.2 10.0 -0.4 1.5 1.7 3.2 -0.2 3.2 Financials 17.2 9.0 26.2 8.2 4.2 1.3 5.4 2.9 4.8 Health Care 9.0 9.7 18.6 -0.7 2.2 1.7 4.0 0.5 4.7 Industrials 7.9 8.6 16.5 -0.7 2.0 1.7 3.7 0.2 4.5 Information Technology 12.9 19.6 32.5 -6.7 4.4 3.5 8.0 0.9 4.1 Materials 3.0 2.7 5.7 0.4 0.8 0.5 1.3 0.3 4.4 Real Estate 5.4 5.6 11.0 -0.2 1.4 1.4 2.9 0.0 3.8 Utilities 6.4 1.5 7.8 4.9 1.9 0.3 2.2 1.6 3.5 Conglomerates 3.2 0.0 3.2 3.2 1.3 0.0 1.3 1.3 2.6 Broad Market Indices 3.7 10.0 13.7 -6.4 0.2 1.1 1.4 -0.9 9.9 Other Equities 1.4 0.0 1.4 1.3 0.4 0.0 0.4 0.4 3.8 Currencies - - - - 0.0 - 0.0 0.0 0.0 Rates 43.3 46.5 89.8 -3.1 11.1 6.1 17.2 4.9 5.2 Volatility - - - - - 0.0 0.0 0.0 0.0 Inflation 8.0 7.0 15.0 1.0 0.3 0.2 0.5 0.1 28.3 Commodities 5.3 4.2 9.5 1.1 0.1 0.0 0.1 0.0 126.3 Energy 2.9 2.7 5.6 0.2 0.0 0.0 0.0 0.0 303.8 Base Metals 0.6 0.8 1.4 -0.1 0.0 0.0 0.0 0.0 302.1 Precious Metals 0.7 0.1 0.9 0.6 0.0 0.0 0.0 0.0 25.9 Agriculture/Softs 0.7 0.6 1.2 0.1 0.0 0.0 0.0 0.0 80.2 Freight ------Other Commodities 0.3 - 0.3 0.3 0.0 - 0.0 0.0 108.6 FX Hedges - - - - 0.1 0.1 0.3 0.0 0.0 Other 0.3 0.0 0.3 0.2 0.2 0.0 0.2 0.2 1.4 Cash - - - - 0.0 - 0.0 - - Hedge Fund Cash ------Grosvenor Fund Cash - - - - 0.0 - 0.0 - - Opportunistic Hedging ------Total Grosvenor Fund 230.6 168.2 398.8 - 73.8 26.2 100.0 - 4.0

Run Date: 11/19/2019 3:59:05 PM ***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes Page 1 of 2 following this report. Allocation: BFF Revision - November 2019 Grosvenor Fund Exposure Summary Expressed in Percent | As of April 1, 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

By Region Notional Capital Exposure Category Long Short Gross Net Long Short Gross Net Leverage U.S./Canada 130.3 102.3 232.6 28.0 49.9 15.2 65.1 34.6 3.6 Latin America 0.7 1.2 1.9 -0.4 0.4 0.2 0.6 0.2 3.3 Europe - Developed 48.3 33.6 81.9 14.7 11.4 4.3 15.7 7.2 5.2 Europe - Emerging 0.7 0.5 1.2 0.3 0.2 0.0 0.2 0.2 6.0 Asia - Japan 2.9 2.9 5.8 0.0 0.3 0.3 0.6 0.1 10.1 Asia - Developed ex Japan 4.4 3.5 7.8 0.9 0.6 0.3 0.9 0.3 8.4 Asia - Emerging 6.3 2.8 9.1 3.5 1.2 0.4 1.6 0.8 5.7 Middle East/Africa 0.7 0.4 1.1 0.2 0.3 0.1 0.3 0.2 3.4 Global 36.3 21.1 57.4 15.2 9.5 5.5 15.0 4.0 3.8 Hedge Fund Cash ------Grosvenor Fund Cash - - - - 0.0 - 0.0 - - Opportunistic Hedging ------Total Grosvenor Fund 230.6 168.2 398.8 - 73.8 26.2 100.0 - 4.0 Footnotes: 1) Exposure ʹLeverage is calculated as long delta adjusted notional exposure plus short delta adjusted notional exposure divided by capital and is categorized into total longs, total shorts, gross and net exposure. 2) For interest rate sensitive positions, delta adjusted notional exposure is typically calculated by converting into 10-year maturity equivalents netted by currency and maturity group. 3) Geographic data that is not specifically attributable to one region is placed in the ͞Global͟category.

Run Date: 11/19/2019 3:59:05 PM ***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes Page 2 of 2 following this report. Allocation: BFF Revision - November 2019 Grosvenor Fund Liquidity Schedule Expressed In US Dollars (In 1,000s) | As of April 1, 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Investments Invested Assets Cum. Invested Assets Liquidity Details % % Locked Days Details Frequency Amount Available Amount Available Until Date Notice Monthly Concordia G-10 FIRV Ltd M 14,177 10.00% 26 RIDGE Offshore M 21,266 15.00% 62 Total Monthly 35,443 25.00% 35,443 25.00% Quarterly Weiss Multi-Strategy Ltd Q 15,595 11.00% 48 Steadfast Intl Ltd Q 4,430 3.13% 60 Linden International Ltd Q 14,177 10.00% 65 Atlas Enhanced Fund Ltd Q 2,658 1.88% 68 Magnetar Constell Ltd Q 1,772 1.25% 90 Waterfall Victoria Ltd Q 1,418 1.00% 180 Total Quarterly 40,050 28.25% 75,493 53.25% Semi-annually Sculptor GC Opp Ltd Q 2,127 1.50% 10/01/2020 48 Steadfast Intl Ltd Q 4,430 3.13% 60 Atlas Enhanced Fund Ltd Q 2,658 1.88% 68 Magnetar Constell Ltd Q 1,772 1.25% 90 Waterfall Victoria Ltd Q 1,418 1.00% 180 Total Semi-annually 12,405 8.75% 87,898 62.00% Annually Sculptor GC Opp Ltd Q 4,253 3.00% 10/01/2020 48 Steadfast Intl Ltd Q 8,861 6.25% 60 Atlas Enhanced Fund Ltd Q 5,316 3.75% 68 CVI Intl Credit Ltd SA 2,363 1.67% 11/01/2020 90 Magnetar Constell Ltd Q 3,544 2.50% 90 Waterfall Victoria Ltd Q 2,835 2.00% 180 Total Annually 27,173 19.17% 115,071 81.17% Every 18 Months Sculptor GC Opp Ltd Q 2,127 1.50% 10/01/2020 48 CVI Intl Credit Ltd SA 2,363 1.67% 11/01/2020 90 Magnetar Constell Ltd Q 3,544 2.50% 90 Waterfall Victoria Ltd Q 2,835 2.00% 180 Total Every 18 Months 10,870 7.67% 125,941 88.83%

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report.

Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 03:59 PM page 1 Grosvenor Fund Liquidity Schedule Expressed In US Dollars (In 1,000s) | As of April 1, 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Investments Invested Assets Cum. Invested Assets Liquidity Details % % Locked Days Details Frequency Amount Available Amount Available Until Date Notice Biannually CVI Intl Credit Ltd SA 2,363 1.67% 11/01/2020 90 Magnetar Constell Ltd Q 3,544 2.50% 90 Waterfall Victoria Ltd Q 2,835 2.00% 180 Total Biannually 8,743 6.17% 134,684 95.00% Triannually CVI Intl Credit Ltd - Default SA 4,727 3.33% 11/01/2020 90 Total Triannually 4,727 3.33% 139,410 98.34% Four Year CVI Intl Credit Ltd SA 2,360 1.66% 11/01/2020 90 Total Four Year 2,360 1.66% 141,771 100.00%

Total Capital 141,771 100.00%

Notes: An asterisk (*) displayed with days notice indicates more than one value may exist, with the most conservative value being displayed. Mandatory Investor Gates Applied. To the extent that a fund has a mandatory investor-level gate, the available liquidity amounts shown reflect the imposition of such gate. However, other types of gates (e.g., mandatory share-class or Portfolio Fund-level gates and all discretionary gates) are not taken into account in determining available liquidity amounts. As a result, the ultimate liquidity available may differ from what is shown. In addition, there may be other discretionary restrictions imposed under certain circumstances which may also impact the ultimate available liquidity at any redemption date. ***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report.

Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 03:59 PM page 2 Grosvenor Fund Liquidity Schedule Expressed In US Dollars (In 1,000s) | As of April 1, 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Investments Invested Assets Cum. Invested Assets Liquidity Details % % Locked Days Details Frequency Amount Available Amount Available Until Date Notice Monthly Concordia G-10 FIRV Ltd M 14,177 10.00% 26 RIDGE Offshore M 21,266 15.00% 62 Total Monthly 35,443 25.00% 35,443 25.00% Quarterly Sculptor GC Opp Ltd Q 2,127 1.50% 48 Weiss Multi-Strategy Ltd Q 15,595 11.00% 48 Steadfast Intl Ltd Q 4,430 3.13% 60 Linden International Ltd Q 14,177 10.00% 65 Atlas Enhanced Fund Ltd Q 2,658 1.88% 68 Magnetar Constell Ltd Q 1,772 1.25% 90 Waterfall Victoria Ltd Q 1,418 1.00% 180 Total Quarterly 42,177 29.75% 77,620 54.75% Semi-annually Sculptor GC Opp Ltd Q 2,127 1.50% 48 Steadfast Intl Ltd Q 4,430 3.13% 60 Atlas Enhanced Fund Ltd Q 2,658 1.88% 68 CVI Intl Credit Ltd SA 2,363 1.67% 90 Magnetar Constell Ltd Q 1,772 1.25% 90 Waterfall Victoria Ltd Q 1,418 1.00% 180 Total Semi-annually 14,768 10.42% 92,388 65.17% Annually Sculptor GC Opp Ltd Q 4,253 3.00% 48 Steadfast Intl Ltd Q 8,861 6.25% 60 Atlas Enhanced Fund Ltd Q 5,316 3.75% 68 CVI Intl Credit Ltd SA 2,363 1.67% 90 Magnetar Constell Ltd Q 3,544 2.50% 90 Waterfall Victoria Ltd Q 2,835 2.00% 180 Total Annually 27,173 19.17% 119,561 84.33% Every 18 Months CVI Intl Credit Ltd SA 2,363 1.67% 90 Magnetar Constell Ltd Q 3,544 2.50% 90 Waterfall Victoria Ltd Q 2,835 2.00% 180

***CONFIDENTIAL AND PROPRIETARY*** Past performance is not necessarily indicative of future results. Please review the notes following this report.

Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 04:01 PM page 1 Grosvenor Fund Liquidity Schedule Expressed In US Dollars (In 1,000s) | As of April 1, 2020

BFF - GCM Better Futures Fund, LLC (the "Fund")

Investments Invested Assets Cum. Invested Assets Liquidity Details % % Locked Days Details Frequency Amount Available Amount Available Until Date Notice Total Every 18 Months 8,743 6.17% 128,304 90.50% Biannually CVI Intl Credit Ltd SA 2,363 1.67% 90 Magnetar Constell Ltd Q 3,544 2.50% 90 Waterfall Victoria Ltd Q 2,835 2.00% 180 Total Biannually 8,743 6.17% 137,047 96.67% Triannually CVI Intl Credit Ltd SA 4,724 3.33% 90 Total Triannually 4,724 3.33% 141,771 100.00%

Total Capital 141,771 100.00%

Allocation: BFF Revision - November 2019 Run Date: 2019-11-19 04:01 PM page 2 Notes:

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Run Date: 2019-11-19 03:59 PM If this report contains hypothetical performance results, forward looking estimates, target returns and/or risk parameters, please review the following disclosures: You have requested that GCM provide you with the historical simulations of the proposed portfolio presented herein. Although the historical simulations provided herein are derived from historical data relating to Underlying Funds in an actual or proposed portfolio, it does not represent the performance of a GCM fund. In certain cases, the returns and statistics contained in this report relating to one or more Underlying Funds may be based in part on the returns and statistics generated by another fund or funds managed by the same investment manager pursuant to investment objectives and portfolio construction policies that are the same as or substantially similar to those of the subject Underlying Fund(s). 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Run Date: 2019-11-19 03:59 PM Notes and Disclosures Fresno County Employees’ Retirement Association

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20 Data Sources Notes and Disclosures

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21 Fee Savings – Hedge Fund Strategies Notes and Disclosures (July 1, 2019)

Grosvenor has presented you with an analysis of potential fee savings of investing in a Grosvenor Fund. Please consider the following when reviewing this analysis: 1. Grosvenor-advised assets may obtain a potentially lower effective fee on assets managed by a particular Investment Manager by investing in a Portfolio Fund managed by such Investment Manager that has been specifically created for investment by Grosvenor-advised assets (a “Grosvenor Separate Account”). As further described in #2 below, Grosvenor has compared the fees borne in a Grosvenor Separate Account to the fees borne in another commingled fund managed by the same Investment Manager pursuant to the same or similar mandate (“Manager’s Commingled Fund”). In cases where the Investment Manager does not manage a commingled fund pursuant to the same or similar mandate, another commingled fund managed by the Investment Manager may be used for comparison purposes. The Grosvenor Separate Account may differ from the relevant Manager’s Commingled Fund in material respects, including, but not limited to: risk/return profile, investor liquidity and investment mandate and guidelines. The Grosvenor Separate Account may incur operating expenses (excluding the impact of management and performance fees) that exceed those paid by investors in the Manager’s Commingled Fund. 2. For Portfolio Funds that are Grosvenor Separate Accounts, Grosvenor has compared the fee rates borne by Grosvenor Separate Accounts to the maximum fee that an investor would bear in the Manager’s Commingled Fund. For Portfolio Funds other than Grosvenor Separate Accounts, Grosvenor has compared the fee rates borne by Grosvenor-advised assets to the maximum fee that an investor would bear in the same Portfolio Fund (or share class) in which such Grosvenor-advised assets invest. 3. The analysis may include investments in vehicles designed to participate in a specific investment theme (which may represent a single investment or group of related investments) (a “Direct Opportunity”). In such cases, the analysis compares the fee terms of a Direct Opportunity to the maximum fee terms of a commingled fund managed by the same Investment Manager that manages such Direct Opportunity that may or may not participate in such Direct Opportunity. The Direct Opportunity materially differs from a commingled fund in numerous material respects, including investment mandate and guidelines, risk/return profile, concentration, type of investment services provided, and liquidity. 4. Grosvenor has conducted this analysis using fee rates based on the amount of Grosvenor-advised assets allocated as of the date above. Because of timing differences between investments/redemptions in Portfolio Funds, and the date on which the fee rate is reset to reflect such investments/redemptions, this analysis may include rates not currently being received by Grosvenor-advised assets. 5. Certain underlying funds do not charge management fees, but instead pass through operating expenses that are typically borne by the investment manager (e.g., employee salaries and bonuses, rent) to investors in the fund. For the purpose of calculating the weighted average fee terms, this analysis ignores the impact of operating expenses. The inclusion of such pass through operating expenses would result in significantly higher Standard and Grosvenor weighted average management fee terms, but would not result in a change to the potential fee savings. Additional information on the expenses paid is available upon request. 6. In order to demonstrate potential fee savings relating to incentive compensation, this analysis assumes, for illustrative purposes only, certain gross return rates for the Portfolio Funds; it is not intended to imply that any Portfolio Fund or portfolio of Portfolio Funds will achieve a specific return over any performance period; there can be no assurance that a Portfolio Fund or portfolio of Portfolio Funds will achieve its investment objective or avoid significant losses. In presenting potential fee savings for a portfolio of Portfolio Funds, this analysis assumes that each Portfolio Fund in such portfolio experienced the same gross return, which is unlikely to occur. In assessing the impact of certain hurdle rates and/or preferred returns, this analysis assumes the following rates of return (“Assumed Benchmark Returns”): › 1-month LIBOR (annual return) = 2.84% › 3-month LIBOR (annual return) = 2.89% › S&P 500 Index (annual return) = 9.63% The annual returns are based on the actual compound annual return of each figure from January 1, 1993 through June 30, 2019. The actual returns for LIBOR and/or S&P 500 Index likely will differ from the Assumed Benchmark Returns and such difference will affect this analysis (perhaps materially). This analysis does not account for any correlation between the Assumed Benchmark Returns and those achieved by the Portfolio Funds; it is likely that Portfolio Funds will have some correlation with the LIBOR and/or S&P 500 Index and such correlation could have a material impact on the fees paid to the Investment Managers and thus on the fee savings realized. 7. The more successful Investment Managers may not agree to potentially favorable fee structures. As of July 1, 2019, approximately 66% of Portfolio Funds in which Grosvenor Funds invest (representing approximately 61% of the aggregate AUM of such Grosvenor Funds), excluding Portfolio Funds that have been terminated by Grosvenor, provide potential fee savings. No assurance can be given that Grosvenor-advised assets will invest in any Portfolio Fund that provides potential fee savings. 8. Additional detail concerning the methodology used and assumptions made to calculate potential fee savings in the foregoing analysis is available upon request. Data is as of the date above.

22 Proposed Portfolio Notes and Disclosures

In reviewing the proposed portfolio provided in this presentation, you should consider the following: The information presented is for illustrative purposes only. No assurance can be given that the proposed portfolio will achieve its objectives or avoid significant losses. The Proposed Portfolio may not include some or any Portfolio Funds listed herein, and if it does include a Portfolio Fund listed herein the position size of such Portfolio Fund may differ from that proposed herein. The Proposed Portfolio may include investments with underlying Portfolio Funds that are not yet Grosvenor-approved; a Portfolio Fund may only be included in the Proposed Portfolio if and when fully approved. If specific strategies are discussed, the Proposed Portfolio may not emphasize all of the strategies listed. Unless otherwise indicated, all Proposed Portfolio objectives are USD returns, net of all fees and expenses, over a market cycle. All portfolio constraint exceptions are dealt with as soon as practicable, based upon the liquidity of the Portfolio Funds in which the Proposed Portfolio invests. Liquidity frequency does not take into consideration notice periods in connection with redemptions from underlying Portfolio Funds, the Proposed Portfolio’s exposure to side pocket investments, discretionary and mandatory fund- level gates and discretionary investor-level gates. Liquidity frequency does include mandatory, investor-level gates. Forward looking estimates (“FLEs”) are hypothetical in nature and are shown for illustrative, informational purposes only. This material is not intended to forecast, predict or project future performance. It does not reflect the actual or expected returns or risk profile of any Grosvenor Fund or strategy pursued by any Grosvenor Fund, and does not guarantee future results. FLEs are: (i) based solely upon Grosvenor’s view of the potential returns and risk parameters for the Portfolio Funds that comprise the proposed portfolio; (ii) not meant to forecast, predict or project the returns or risk parameters for any Grosvenor Fund, any strategy pursued by any Grosvenor Fund, or the proposed portfolio; and (iii) subject to numerous assumptions including, but not limited to, observed and historical market returns relevant to certain investments, an asset class, projected cash flows, projected future valuations of target assets and businesses, other relevant market dynamics (including interest rate and currency markets), anticipated contingencies, and regulatory issues. Certain of the assumptions are unlikely to be realized. No representation or warranty is made as to the reasonableness of the assumptions made or that all assumptions made have been stated or fully considered. Changes in the assumptions may have a material impact on the FLEs presented. FLEs may be shown before fees, transactions costs and taxes and do not account for the effects of inflation. Management fees, transaction costs, and potential expenses may not be considered and would reduce returns and affect parameters. Actual results experienced by clients may vary significantly from the FLEs shown. FLEs May Not Materialize. Grosvenor has provided you with the historical simulations of the proposed portfolio presented herein. Although the historical simulations provided herein are derived from historical data relating to Portfolio Funds in an actual or proposed Portfolio, it does not represent the performance of a Grosvenor Fund. In certain cases, the returns and statistics contained in this presentation relating to one or more Portfolio Funds may be based in part on the returns and statistics generated by another fund or funds managed by the same investment manager pursuant to investment objectives and portfolio construction policies that are the same as or substantially similar to those of the subject Portfolio Fund(s). Despite their similarities, however, the performance of the subject Portfolio Fund(s) and such other fund or funds may differ as a result of various factors. THE HYPOTHETICAL PERFORMANCE RESULTS SET FORTH HEREIN RELATING TO THE PORTFOLIO (THE “COMPOSITE”) IS HYPOTHETICAL AND THE INVESTMENT MANAGERS WHOSE PERFORMANCE IS INCLUDED IN THE COMPOSITE HAVE NOT TRADED TOGETHER IN THE MANNER SHOWN IN THE COMPOSITE. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY GROSVENOR FUND WILL OR IS LIKELY TO ACHIEVE A COMPOSITE PERFORMANCE RECORD SIMILAR TO THAT SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD AND THE ACTUAL RECORD SUBSEQUENTLY ACHIEVED. IN ADDITION, THE COMPOSITE IS SHOWN NET OF INVESTMENT MANAGER LEVEL FEES AND EXPENSES BUT ARE SHOWN GROSS OF ANY GROSVENOR LEVEL FEES AND EXPENSES. ONE OF THE LIMITATIONS OF A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD IS THAT DECISIONS RELATING TO THE SELECTION OF INVESTMENT MANAGERS AND THE ALLOCATION OF ASSETS AMONG THOSE INVESTMENT MANAGERS WERE MADE WITH THE BENEFIT OF HINDSIGHT BASED UPON THE HISTORICAL RATES OF RETURN OF THE SELECTED INVESTMENT MANAGERS. THEREFORE, COMPOSITE PERFORMANCE RECORDS INVARIABLY SHOW POSITIVE RATES OF RETURN. ANOTHER INHERENT LIMITATION ON THESE RESULTS IS THAT THE ALLOCATION DECISIONS REFLECTED IN THE PERFORMANCE RECORD WERE NOT MADE UNDER ACTUAL MARKET CONDITIONS AND, THEREFORE, CANNOT COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL INVESTMENT ACTIVITY. FURTHERMORE, THE COMPOSITE PERFORMANCE RECORD MAY BE DISTORTED BECAUSE THE ALLOCATION OF ASSETS CHANGES FROM TIME TO TIME AND THESE ADJUSTMENTS ARE NOT REFLECTED IN THE COMPOSITE.

23 Target Returns, Forward Looking Estimates, and Risk Parameters Notes and Disclosures

Target Returns, Forward Looking Estimates, and Risk Parameters: Target returns, forward looking estimates, and risk parameters are shown to illustrate the current risk/return profile of how the fund or investment is/will be managed. Target returns, forward looking estimates, and risk parameters do not forecast, predict, or project any fund, investment, or investor return. It does not reflect the actual or expected returns of any investor, investment, GCM fund, or strategy pursued by any GCM fund, and does not guarantee future results. Target returns, forward looking estimates, and risk parameters: . are based solely upon how the fund or investment is expected to be managed including, but not limited to, GCM Grosvenor’s current view of the potential returns and risk parameters of the investment, investments in the GCM fund, or strategy pursued by a GCM fund; . do not forecast, predict, or project the returns or risk parameters for any investor, investment, GCM fund, or any strategy pursued by any GCM fund; and . are subject to numerous assumptions including, but not limited to, observed and historical market returns relevant to certain investments, asset classes, projected cash flows, projected future valuations of target assets and businesses, other relevant market dynamics (including interest rate and currency markets), anticipated contingencies, and regulatory issues. Changes in the assumptions will have a material impact on the target returns, forward looking estimates, and risk parameters presented. Target returns and forward looking estimates are generally shown before fees, transactions costs and taxes and do not account for the effects of inflation. Management fees, transaction costs, and potential expenses may not be considered and would reduce returns and affect parameters. Target Returns And Risk Parameters May Not Materialize. GCM Grosvenor has provided you with the historical simulations of the actual or proposed portfolio presented herein. Although the historical simulations provided herein are derived from historical data relating to Underlying Funds in an actual or proposed Portfolio, it does not represent the performance of a GCM Grosvenor Fund. In certain cases, the returns and statistics contained in this presentation relating to one or more Underlying Funds may be based in part on the returns and statistics generated by another fund or funds managed by the same investment manager pursuant to investment objectives and portfolio construction policies that are the same as or substantially similar to those of the subject Underlying Fund(s). Despite their similarities, however, the performance of the subject Underlying Fund(s) and such other fund or funds may differ as a result of various factors. THE HYPOTHETICAL PERFORMANCE RESULTS SET FORTH HEREIN RELATING TO THE PORTFOLIO (THE “COMPOSITE”) IS HYPOTHETICAL AND THE INVESTMENT MANAGERS WHOSE PERFORMANCE IS INCLUDED IN THE COMPOSITE HAVE NOT TRADED TOGETHER IN THE MANNER SHOWN IN THE COMPOSITE. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY GCM GROSVENOR FUND WILL OR IS LIKELY TO ACHIEVE A COMPOSITE PERFORMANCE RECORD SIMILAR TO THAT SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD AND THE ACTUAL RECORD SUBSEQUENTLY ACHIEVED. IN ADDITION, THE COMPOSITE IS SHOWN NET OF INVESTMENT MANAGER LEVEL FEES AND EXPENSES BUT ARE SHOWN GROSS OF ANY GCM GROSVENOR LEVEL FEES AND EXPENSES. ONE OF THE LIMITATIONS OF A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD IS THAT DECISIONS RELATING TO THE SELECTION OF INVESTMENT MANAGERS AND THE ALLOCATION OF ASSETS AMONG THOSE INVESTMENT MANAGERS WERE MADE WITH THE BENEFIT OF HINDSIGHT BASED UPON THE HISTORICAL RATES OF RETURN OF THE SELECTED INVESTMENT MANAGERS. THEREFORE, COMPOSITE PERFORMANCE RECORDS INVARIABLY SHOW POSITIVE RATES OF RETURN. ANOTHER INHERENT LIMITATION ON THESE RESULTS IS THAT THE ALLOCATION DECISIONS REFLECTED IN THE PERFORMANCE RECORD WERE NOT MADE UNDER ACTUAL MARKET CONDITIONS AND, THEREFORE, CANNOT COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL INVESTMENT ACTIVITY. FURTHERMORE, THE COMPOSITE PERFORMANCE RECORD MAY BE DISTORTED BECAUSE THE ALLOCATION OF ASSETS CHANGES FROM TIME TO TIME AND THESE ADJUSTMENTS ARE NOT REFLECTED IN THE COMPOSITE.

24 GCM Grosvenor Notes and Disclosures

This presentation is being provided by Grosvenor Capital Management, L.P. and/or GCM Customized Fund Investment Group, L.P. (together with their affiliates, “GCM Grosvenor”). GCM Grosvenor and its predecessors have been managing investment portfolios since 1971. While GCM Grosvenor's business units share certain operational infrastructure, each has its own investment team and investment process, and is under no obligation to share with any other business unit any investment opportunities it identifies. The information contained in this presentation (“GCM Information”) relates to GCM Grosvenor, to one or more investment vehicles/accounts managed or advised by GCM Grosvenor (the “GCM Funds”) and/or to one or more investment vehicles/accounts (“Underlying Funds”) managed or advised by third-party investment management firms (“Investment Managers”). GCM Information is general in nature and does not take into account any investor’s particular circumstances. GCM Information is neither an offer to sell, nor a solicitation of an offer to buy, an interest in any GCM Fund. Any offer to sell or solicitation of an offer to buy an interest in a GCM Fund must be accompanied by such GCM Fund’s current confidential offering or risk disclosure document (“Fund Document”). All GCM Information is subject in its entirety to information in the applicable Fund Document. Please read the applicable Fund Document carefully before investing. Except as specifically agreed, GCM Grosvenor does not act as agent/broker for prospective investors. An investor must rely on its own examination in identifying and assessing the merits and risks of investing in a GCM Fund or Underlying Fund (together, “Investment Products”). A summary of certain risks and special considerations relating to an investment in the GCM Fund(s) discussed in this presentation is set forth below. A more detailed summary of these risks is included in the relevant Part 2A for the GCM Grosvenor entity (available at: http://www.adviserinfo.sec.gov). Regulatory Status- neither the GCM Funds nor interests in the GCM Funds have been registered under any federal or state securities laws, including the Investment Company Act of 1940. Investors will not receive the protections of such laws. Market Risks- the risks that economic and market conditions and factors may materially adversely affect the value of a GCM Fund. Illiquidity Risks- Investors in GCM Funds have either very limited or no rights to redeem or transfer interests. Interests are not traded on any securities exchange or other market. Strategy Risks- the risks associated with the possible failure of the asset allocation methodology, investment strategies, or techniques used by GCM Grosvenor or an Investment Manager. GCM Funds and Underlying Funds may use leverage, which increases the risks of volatility and loss. The fees and expenses charged by GCM Funds and Underlying Funds may offset the trading profits of such funds. Valuation Risks- the risks relating to the fact that valuations of GCM funds may differ significantly from the eventual liquidation values and that investors may be purchasing/redeeming on such potentially inaccurate valuations. Tax Risks- the tax risks and special tax considerations arising from the operation of and investment in pooled investment vehicles. Institutional Risks- the risks that a GCM Fund could incur losses due to failures of counterparties and other financial institutions. Manager Risks- the risks associated with investments with Investment Managers. Structural and Operational Risks- the risks arising from the organizational structure and operative terms of the relevant GCM Fund and the Underlying Funds. Cybersecurity Risks- technology used by GCM Grosvenor could be compromised by unauthorized third parties. Foreign Investment Risk- the risks of investing in non-U.S. Investment Products and non-U.S. Dollar currencies. Concentration Risk- GCM Funds may make a limited number of investments that may result in wider fluctuations in value and the poor performance by a few of the investments could severely affect the total returns of such GCM Funds. In addition, GCM Grosvenor and the Investment Managers are subject to certain actual and potential conflicts of interest. An investment in an Underlying Fund may be subject to similar and/or substantial additional risks and an investor should carefully review an Underlying Fund’s risk disclosure document prior to investing. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS, AND THE PERFORMANCE OF EACH INVESTMENT PRODUCT COULD BE VOLATILE. AN INVESTMENT IN AN INVESTMENT PRODUCT IS SPECULATIVE AND INVOLVES SUBSTANTIAL RISK (INCLUDING THE POSSIBLE LOSS OF THE ENTIRE INVESTMENT). NO ASSURANCE CAN BE GIVEN THAT ANY INVESTMENT PRODUCT WILL ACHIEVE ITS OBJECTIVES OR AVOID SIGNIFICANT LOSSES.

25 GCM Grosvenor Notes and Disclosures (continued)

By your acceptance of GCM Information, you understand, acknowledge, and agree that GCM Information is confidential and proprietary, and you may not copy, transmit or distribute GCM Information, or any data or other information contained therein, or authorize such actions by others, without GCM Grosvenor’s express prior written consent, except that you may share GCM Information with your professional advisors. If you are a professional financial adviser, you may share GCM Information with those of your clients that you reasonably determine to be eligible to invest in the relevant Investment Product (GCM Grosvenor assumes no responsibility with respect to GCM Information shared that is presented in a format different from this presentation). Any violation of the above may constitute a breach of contract and applicable copyright laws. In addition, you (i) acknowledge that you may receive material nonpublic information relating to particular securities or other financial instruments and/or the issuers thereof; (ii) acknowledge that you are aware that applicable securities laws prohibit any person who has received material, nonpublic information regarding particular securities and/or an the issuer thereof from (a) purchasing or selling such securities or other securities of such issuer or (b) communicating such information to any other person under circumstances in which it is reasonably foreseeable that such person is likely to purchase or sell such securities or other securities of such issuer; and (iii) agree to comply in all material respects with such securities laws. You also agree that GCM Information may have specific restrictions attached to it (e.g. standstill, non-circumvent or non- solicitation restrictions) and agrees to abide by any such restrictions of which it is informed. GCM Grosvenor and its affiliates have not independently verified third-party information included in GCM Information and makes 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. GCM Information may not include the most recent month of performance data of Investment Products; such performance, if omitted, is available upon request. Interpretation of the performance statistics (including statistical methods), if used, is subject to certain inherent limitations. GCM Grosvenor does not believe that an appropriate absolute return benchmark currently exists and provides index data for illustrative purposes only. Except as expressly otherwise provided, the figures for each index are presented in U.S. dollars. The figures for any index include the reinvestment of dividends or interest income and may include “estimated” figures in circumstances where “final” figures are not yet available. Indices shown are unmanaged and are not subject to fees and expenses typically associated with investment vehicles/accounts. Certain indices may not be “investable.” GCM Grosvenor considers numerous factors in evaluating and selecting investments, and GCM Grosvenor may use some or all of the processes described herein when conducting due diligence for an investment. Assets under management for hedge fund investments include all subscriptions to, and are reduced by all redemptions from, a GCM Fund effected in conjunction with the close of business as of the date indicated. Assets under management for private equity, real estate, and infrastructure investments include the net asset value of a GCM Fund and include any unallocated investor commitments during a GCM Fund’s commitment period as well as any unfunded commitments to underlying investments as of the close of business as of the date indicated. GCM Grosvenor may classify Underlying Funds as pursuing particular “strategies” or “sub-strategies” (collectively, “strategies”) using its reasonable discretion; GCM Grosvenor may classify an Underlying 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 Underlying Fund are presented, such returns are presented net of any fees and expenses charged by the relevant Underlying Fund(s), but do not reflect the fees and expenses charged by the relevant GCM Fund to its investors/participants. GCM Information may contain exposure information that GCM Grosvenor 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 GCM Grosvenor estimate, which is inherently imprecise. GCM Grosvenor employs certain conventions and methodologies in providing GCM Information that may differ from those used by other investment managers. GCM Information 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 GCM Information contains “forward-looking” statements, such statements represent GCM Grosvenor'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. This presentation may include information included in certain reports that are designed for the sole purpose of assisting GCM Grosvenor personnel in (i) monitoring the performance, risk characteristics, and other matters relating to the GCM Funds and (ii) evaluating, selecting and monitoring Investment Managers and the Underlying Funds (“Portfolio Management Reports”). Portfolio Management Reports are designed for GCM Grosvenor's internal use as analytical tools and are not intended to be promotional in nature. Portfolio Management Reports are not necessarily prepared in accordance with regulatory requirements or standards applicable to communications with investors or prospective investors in GCM Funds because, in many cases, compliance with such requirements or standards would compromise the usefulness of such reports as analytical tools. In certain cases, GCM Grosvenor provides Portfolio Management Reports to parties outside the GCM Grosvenor organization who wish to gain additional insight into GCM Grosvenor’s investment process by examining the types of analytical tools GCM Grosvenor utilizes in implementing that process. Recipients of Portfolio Management Reports (or of information included therein) should understand that the sole purpose of providing these reports to them is to enable them to gain a better understanding of GCM Grosvenor’s investment process. GCM Grosvenor®, Grosvenor®, Grosvenor Capital Management®, GCM Customized Fund Investment Group™, and Customized Fund Investment Group™ are trademarks of GCM Grosvenor and its affiliated entities. ©2019 Grosvenor Capital Management, L.P. All rights reserved. Grosvenor Capital Management, L.P. is a member of the National Futures Association. Neither GCM Grosvenor nor any of its affiliates acts as agent/broker for any Underlying Fund.