2018 0207 fresno county employees’ retirement association ... · allocations are based on gcm...

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® and Grosvenor Capital Management® are proprietary 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.©2018 Grosvenor Capital Management, L.P. and GCM Customized Fund Investment Group, L.P. All rights reserved.

Fresno County Employees’ Retirement AssociationLisa A. Kastigar, Director

Andrew T. Preda, Senior Vice President

February 2018

Table of Contents

2

Tab A GCM Grosvenor Overview

Tab B Client Update

› Fresno County Employees' Retirement Association – Consolidated

› Grosvenor Institutional Partners

› GCM Better Futures Fund, LLC (“BFF”)

Appendix 1 Market Review and Outlook

Appendix 2 Additional Information

GCM Grosvenor Overview

Tab A

What defines us:

Delivering comprehensive alternative investment solutions

Global investment experience that spans alternative asset classes:

Partnering with institutional clients worldwide

Our position as a leader in customized solutions

Our breadth of turn-key investment products

Seeking to align our interests with clients by investing alongside them

Ongoing commitment to the community, to diversity and to responsible investing

4

Global and Diversified Alternative Asset Management

1 Includes investments and commitments to investments made by the firm, its affiliates, and employees and employees’ relatives.

Employee data as of January 1, 2018. AUM data as of September 30, 2017.

The Operational Due Diligence team is included in the Investment professionals count.

$24.6 bn $18.2 bn $3.9 bn $1.5 bn $1.4 bn

GCM Grosvenor is one of the world’s largest and most diversifiedindependent alternative asset management firms.

$49.5 bnAssets under management

1971First year of investing

465Employees

136Investment professionals

95%Institutional client base

75%Of AUM in customized client portfolios

$502 mmCapital invested and committed alongside our clients1

Client Update

Tab B

6

Client Update




Tab B

Balance as of December 31, 2017 $159,138,473

Additional Subscriptions $0

(Redemptions) $0

Cumulative Investment Results $9,013,473

Opening Balance $150,125,000

Fund Details

GCM Better Futures Fund, LLC

Inception Date October 1, 2016

Strategy Multi-Strategy

AUA (12/31/2017) $159.1M

Client Capital Account

Balance as of December 31, 2017 $164,525,772

Additional Subscriptions $78,548,034

(Redemptions) $0

Cumulative Investment Results $35,977,738

Opening Balance on November 1, 2009 $50,000,000

Fund Details

Grosvenor Institutional Partners, L.P. (the "Fund")

Inception Date January 1, 2000

Strategy Multi-Strategy

AUM (12/31/2017) $5,309.1M

Client Capital Account

Grosvenor Institutional Partners, L.P.1 (“GIPLP”)

GCM Better Futures Fund, LLC (“BFF”)

7

Executive Summary

Net performance summary2

Fresno County Employees' Retirement Association (December 31, 2017)

1 AUM is shown at the Master Fund level. AUM for GIPLP is available upon request.

2 Performance for periods commencing October 1, 2016, reflects the investor’s aggregateperformance of GIPLP and BFF.

Data sources: ©2018 Citigroup Index LLC. All rights reserved. Hedge Fund Research (HFR).

S&P. S&P and its third-party information providers do not accept liability for the informationand the context from which it is drawn.

Past performance is not necessarily indicative of future results.

Fund 90-Day US T-Bills HFRI FoF

(01/2017-12/2017)

Return 4.62% 0.84% 7.74%

1.56% 0.28% 2.03%

0.78% 0.26% 2.32%

0.62% 0.18% 0.81%

1.59% 0.12% 2.38%

4.62% 0.84% 7.74%

3.05% 0.27% 0.51%

4.78% 0.19% 3.17%

Fund

1.25%

3.56%

Fund

0.12

0.23

Performance

2017

Client - Since Initial Investment

Trailing 12 Months

Year

Annualized


Trailing 12 Months (01/2017-12/2017)


Beta vs. S&P 500

Trailing 12 Months (01/2017-12/2017)

3rd Quarter

4th Quarter

Year

2016

1st Quarter

2nd Quarter

Annualized Standard Deviation

Long/Short

Fundamental

Structured

Emerging Markets

Distressed

Event Driven

Specialist

Fundamental Market Neutral

Activism

Directional

Non-Directional

Diversified

Specialist

Diversified

Option Volatility Arbitrage

Diversified

10%3%2%1%0%

13%4%3%2%1%

2%

5%1%

25%2%

20%

8

Allocations to Diverse Strategies

1 Data reflects the investor’s aggregate allocation to GIPLP and BFF.

Allocations are based on GCM Grosvenor’s classification of the underlying funds’ primary strategy focus.

“Cash & Other” (if present) may include: cash, bank loans, net receivables/payables, accrued fees and expenses, residual positions with underlying funds from which the Fund has redeemed,foreign exchange hedges, and general trades.

Fresno County Employees' Retirement Association – Consolidated1 (January 1, 2018)

Diversified portfolio Specialty strategies

Equities

Credit

Macro

Relative Value

Quantitative

Multi-Strategy

Asset allocation (% of NAV)

Equities Credit

Macro

Relative Value

Quantitative

Multi-

StrategyCash & Other

16%

20%

27%

6%

6%

2%

23%

Fresno County Employees'

Retirement Association –

Consolidated

Citigroup U.S. Three-

Month Treasury Bill Index

HFRI Fund of Funds

Composite Index

HFRX Global Hedge

Fund Index

2009 (2 months) 2.07% 0.01% 1.56% 2.22%

2010 6.74% 0.13% 5.70% 5.19%

2011 -3.73% 0.08% -5.72% -8.87%

2012 8.58% 0.07% 4.79% 3.51%

2013 15.22% 0.05% 8.96% 6.72%

2014 3.47% 0.03% 3.37% -0.58%

2015 0.02% 0.03% -0.27% -3.64%

2016

1st Quarter -4.03% 0.05% -3.12% -1.87%

2nd Quarter 1.51% 0.06% 0.56% 1.07%

3rd Quarter 3.05% 0.07% 2.29% 2.18%

4th Quarter 2.65% 0.08% 0.86% 1.15%

Year 3.05% 0.27% 0.51% 2.50%

2017

January 0.95% 0.04% 1.01% 0.50%

February 0.70% 0.04% 0.90% 1.12%

March -0.05% 0.04% 0.45% 0.03%

April 0.36% 0.05% 0.51% 0.42%

May 0.29% 0.06% 0.32% 0.24%

June -0.02% 0.07% -0.02% 0.21%

July 0.28% 0.08% 1.02% 0.93%

August 0.07% 0.09% 0.83% 0.29%

September 0.42% 0.09% 0.46% 0.60%

October 0.80% 0.09% 1.16% 0.69%

November -0.12% 0.09% -0.05% 0.07%

December 0.88% 0.10% 0.90% 0.73%

Year 4.62% 0.84% 7.74% 5.99%

Since 11/2009

Cumulative Return 46.42% 1.52% 29.02% 12.68%

Annualized Return 4.78% 0.19% 3.17% 1.47%

3.56% 0.08% 3.70% 3.85%Annualized Standard Deviation

9

Historical Net Performance

1 Performance for periods commencing October 1, 2016, reflects the investor’s aggregate performance of GIPLP and BFF.



Fresno County Employees' Retirement Association – Consolidated1 (December 31, 2017)

10

Client Update




Tab B

11

Our Flagship Multi-Strategy Portfolio

Data as of December 31, 2017.

Past performance is not necessarily indicative of future results. Please see the slide labeled “Demonstrating a Strong Track Record Since Inception” for GIP’s since inception returns.

1 Target returns and target volatility are hypothetical in nature and are shown for illustrative, informational purposes only. See the slide labeled “Target Returns, Forward Looking Estimates, and RiskParameters” following this presentation for additional information regarding target returns and target volatility. No assurance can be given that any investment will achieve its objectives or avoid losses.

Target objectives/constraints1

90-Day U.S. T-Bills + 500 to 1,000 bpsAnnualized net return over a full market cycle

Less than 8%Annualized standard deviation

0.20 or lessBeta to major equity markets

10%Max allocation to a manager

Fund snapshot

January 2000Inception date

$5.31 billionAssets under management

64%Invested capital benefiting from favorable fee terms with managers(as of July 1, 2017)

6.25%Trailing 12-month net RORGrosvenor Institutional Partners, L.P.

Grosvenor Institutional

Partners (“GIP”)

A diversified multi-strategy portfolio that invests with hedge funds across global capital markets› Combines core and diversifying investments with tactical exposures

› Tactically adjusts strategy allocations according to the market environment and investment opportunity set

› Leverages GCM Grosvenor strategy teams across the spectrum of hedge fund strategies and regions

Quarterly liquidityUpon 70 days’ notice

12

Executive Summary

We believe Grosvenor Institutional Partners Master Fund, Ltd. (“GIP”) presents a compelling investment opportunity.

Grosvenor Institutional Partners Master Fund, Ltd.

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

Best ideas of our global investment team

Investment execution

All-weather, absolute return focus

Ability to leverage our size and scale to drive advantageous economics and investment terms

Isolate targeted exposures through customized fund structures

GCM Grosvenor’s flagship multi-strategy fund includes our highest conviction investment ideas

Our investment team seeks to identify the best investment opportunities globally and the most qualified managers with whom to execute those ideas

Ability to tactically shift capital to strategies where we see the most attractive opportunities

Low volatility and consistently positive return stream

Reasonably concentrated and liquid portfolio

Modest broader market directionality designed to minimize systematic market risk

Proven track record of preserving capital in down markets

Long/Short

Fundamental

Structured

Emerging Markets

Distressed

Specialist

Fundamental Market Neutral

Event Driven

Activism

Directional

Non-Directional

Diversified

Specialist

Diversified

Option Volatility Arbitrage

Diversified

6%6%3%3%0%

8%5%5%5%2%

5%

9%2%

11%4%

20%

13

Allocations to Diverse StrategiesGrosvenor Institutional Partners Master Fund, Ltd. (January 1, 2018)



Diversified portfolio

Equities

Credit

Macro

Relative Value

Quantitative

Multi-Strategy

Specialty strategies


Equities Credit

Macro Relative Value

QuantitativeMulti-

Strategy

Cash & Other

18%

20%

15%11%

6%

5%

25%

14

Strategy Allocation Shifts

Strategy allocationPercent of portfolio capital, yearly data as of the first of the month

Grosvenor Institutional Partners Master Fund, Ltd. (As of January 1, 2018)

Data updated quarterly. Additional information available upon request.

6%

3%

6%

0%

3%

0%

2%

0%

5%5% 5%

0%

8%

5%

11%

15%

20%

0%0%

5%

10%

15%

20%

25%

Jan 1, 2014 Jan 1, 2015 Jan 1, 2016 Jan 1, 2017 Jan 1, 2018

Credit Equities Relative Value

Multi-Strategy

Macro Commod-ities

Quant-itative

Jan 1, 2014

Jan 1, 2015

Jan 1, 2016

Jan 1, 2017

Jan 1, 2018

Yearly trends

Grosvenor Institutional

Partners, L.P.



HFRI Fund of Funds

Composite Index

HFRX Global Hedge

Fund Index

2000 15.64% 5.96% 4.07% 14.29%

2001 8.39% 4.09% 2.80% 8.67%

2002 2.48% 1.70% 1.02% 4.72%

2003 11.40% 1.07% 11.61% 13.39%

2004 7.22% 1.24% 6.86% 2.69%

2005 7.13% 3.00% 7.49% 2.72%

2006 9.77% 4.76% 10.39% 9.26%

2007 11.08% 4.74% 10.25% 4.23%

2008 -20.59% 1.80% -21.37% -23.25%

2009 14.23% 0.16% 11.47% 13.40%

2010 6.81% 0.13% 5.70% 5.19%

2011 -3.67% 0.08% -5.72% -8.87%

2012 8.63% 0.07% 4.79% 3.51%

2013 15.21% 0.05% 8.96% 6.72%

2014 3.30% 0.03% 3.37% -0.58%

2015 -0.13% 0.03% -0.27% -3.64%

2016

1st Quarter -4.07% 0.05% -3.12% -1.87%

2nd Quarter 1.47% 0.06% 0.56% 1.07%

3rd Quarter 3.01% 0.07% 2.29% 2.18%

4th Quarter 2.16% 0.08% 0.86% 1.15%

Year 2.43% 0.27% 0.51% 2.50%

2017

January 0.93% 0.04% 1.01% 0.50%

February 0.68% 0.04% 0.90% 1.12%

March 0.14% 0.04% 0.45% 0.03%

April 0.36% 0.05% 0.51% 0.42%

May 0.20% 0.06% 0.32% 0.24%

June -0.17% 0.07% -0.02% 0.21%

July 0.71% 0.08% 1.02% 0.93%

August 0.08% 0.09% 0.83% 0.29%

September 0.80% 0.09% 0.46% 0.60%

October 0.83% 0.09% 1.16% 0.69%

November 0.46% 0.09% -0.05% 0.07%

December 1.05% 0.10% 0.90% 0.73%

Year 6.25% 0.84% 7.74% 5.99%

Since 01/2000




15




Grosvenor Institutional Partners, L.P. (December 31, 2017)

16

Fee Savings with Managers

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 39 bps. Ininstances 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.

The Fund may allocate to GCM Grosvenor Special Opportunities Master Fund, Ltd. (the “SOF”). SOF purchases and sells direct interests in securities, among other investments. When a GCM Fundinvests in the SOF Gross share class, the analysis calculates potential fee savings by comparing the fee terms of SOF to the weighted average stated fee terms of Grosvenor-approved portfolio funds(the “Average Stated Terms”). SOF may materially differ from components of the Average Stated Terms in numerous material respects, including investment mandate and guidelines, risk/returnprofile, concentration, type of investment services provided, and liquidity.

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 certaingross 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” overany 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 suchoperating 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. Anumber of assumptions were made and significant limitations exist in preparing this analysis. See the slide titled “Fee Savings Notes and Disclosures” following this presentation.

Grosvenor Institutional Partners Master Fund, Ltd. (the “Fund”) (July 1, 2017)

52 bps of aggregate fee savings assuming gross 8% ROR

for underlying investments1

All fee savings are passed directly through to our clients

Fund fee and structure benefits:We generally pay lower management and performance fees to managers

Management fee Incentive fee 64% of investments allocated to funds with economic and structural benefits from underlying hedge fund managers

6.38% cap weighted hurdle rate2

6.04% cap weighted preferred return2

263 bps lower39 bps lower

Managers’ standard terms

Our TermsManagers’

standard termsOur Terms

1.68%

1.29%

19.87%

17.24%

17

Client Update




Tab B

18

Executive SummaryGCM Better Futures Fund, LLC (“BFF” or “the Fund”)

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

1 Target returns and target volatility are hypothetical in nature and are shown for illustrative, informational purposes only. See the slide labeled “Target Returns, Forward Looking Estimates,and Risk Parameters” following this presentation for additional information regarding target returns and target volatility.

The Fund seeks to maintain the following key attributes compared to GIP: (i) increased relative allocation to “all-

weather” funds; and (ii) a smaller number of fund investments with no shorter-term, “tactical” investments

which, in our view, require deeper resources to manage and monitor as well as more significant decision-making

flexibility

The Fund seeks to invest in core, “all-weather” hedge funds

› Consist of funds managed by institutional-quality, highly-regarded investment managers

› The Fund will seek to generate high-quality returns in various market environments. Underlying funds are generally Multi Strategy-oriented, and seek to minimize market beta, correlation, volatility and draw-down risk, while providing broad, diversified exposure across strategies

› The Fund is structured for streamlined decision making and monitoring

Investment approach

The Fund seeks:

Target annualized net returns of 90-Day U.S. Treasury Bills + 500 bps (absolute) and the HFRI RV Multi Strategy

Index (relative), as measured over a full market cycle1

To preserve capital during periods of market stress

To maintain low beta and modest correlations to global equity and fixed income markets over a full market cycle

The Fund, representing FCERA’s discretionary hedge fund program, is designed to complement FCERA’s allocation to Grosvenor Institutional Partners, L.P. (“GIP”) in an economically-advantageous manner.

Investment objectives2

19

Allocations to Diverse StrategiesGCM Better Futures Fund, LLC (“BFF”) (January 1, 2018)



Diversified portfolio

Equities

Credit

Relative Value

Multi-Strategy


Equities Credit

Relative Value

Multi-

Strategy

Cash & Other

15%

20%

39%

5%

21%

GCM Better Futures

Fund, LLC



HFRI Fund of Funds

Composite Index

HFRX Global Hedge

Fund Index

2016

4th Quarter 3.10% 0.08% 0.86% 1.15%

Year (3 months) 3.10% 0.08% 0.86% 1.15%

2017

January 0.95% 0.04% 1.01% 0.50%

February 0.69% 0.04% 0.90% 1.12%

March -0.26% 0.04% 0.45% 0.03%

April 0.34% 0.05% 0.51% 0.42%

May 0.36% 0.06% 0.32% 0.24%

June 0.10% 0.07% -0.02% 0.21%

July -0.16% 0.08% 1.02% 0.93%

August 0.05% 0.09% 0.83% 0.29%

September 0.02% 0.09% 0.46% 0.60%

October 0.74% 0.09% 1.16% 0.69%

November -0.73% 0.09% -0.05% 0.07%

December 0.69% 0.10% 0.90% 0.73%

Year 2.81% 0.84% 7.74% 5.99%

Since 10/2016




20




GCM Better Futures Fund, LLC (“BFF”) (December 31, 2017)

21

Fee Savings with ManagersGCM Better Futures Fund, LLC (“BFF”) (July 1, 2017)

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 35 bps. Ininstances where the negotiated deal includes an asset threshold, the calculation assumes the current threshold.

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 certaingross 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” overany 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 suchoperating 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. Anumber of assumptions were made and significant limitations exist in preparing this analysis. See the slide titled “Fee Savings Notes and Disclosures” following this presentation.

35 bps of aggregate fee savings assuming gross 8% ROR

for underlying investments1

All fee savings are passed directly through to our clients

Fund fee and structure benefits:We generally pay lower management and performance fees to managers

Management fee Incentive fee 60% of investments allocated to funds with economic and structural benefits from underlying hedge fund managers

102 bps lower35 bps lower

Managers’ standard terms

Our TermsManagers’

standard termsOur Terms

1.70%

1.34%

20.00%

18.98%

Market Review and Outlook

Appendix 1

-10%

0%

10%

20%

30%

40%

Jan-17 Apr-17 Jul-17 Oct-17

MSCI World S&P 500

MSCI Emerging Markets Eurostoxx (USD)

Nikkei

15%

20%

25%

30%

35%

40%

45%

50%

55%

2000 2010 2018

Germany Japan United Kingdom United States

23

Is it the Best of Times?

Equity markets on a tear2017 cumulative returns

Strong growth in U.S. corporate earningsS&P 500 Index trailing EPS since 2013

Significant improvement in corporate taxesOECD statutory combined Corp. tax since 2000

Markets have experienced strong performance on the back of improved earnings.

Data as of December 31, 2017, unless otherwise noted.

Data sources: Credit Suisse. Bloomberg Finance L.P. S&P. S&P and its third-party information providers do not accept liability for the information and the context from which it is drawn. OECD Stats.MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be furtherredistributed or used to create indices or financial products. This report is not approved or produced by MSCI.


95

100

105

110

115

120

125

2013 2014 2015 2016 2017

S&P 500 Trailing EPS 119.1

34.4%

25.4%

19.1%

20.1%

19.4%

24

Is it the Worst Time (to be long only)?

Volatility near 100 year lowsS&P 500 1-year realized volatility since 1929

U.S. equities appear relatively expensiveS&P 500 Index current P/E ratio since 2011

Potential for widening credit spreads and increasing defaultsHigh yield spreads back near pre-crisis levels

However, multiple expansion, low volatility and tight credit spreads are highly concerning.


Data sources: Credit Suisse. Bloomberg Finance L.P. S&P. S&P and its third-party information providers do not accept liability for the information and the context from which it is drawn. Pastperformance is not necessarily indicative of future results.

10

15

20

25

2011 2012 2013 2014 2015 2016 2017

0 bp

500 bp

1000 bp

1500 bp

2000 bp

Jan-00 Jan-05 Jan-10 Jan-15

394bps

Average since 2000:625 bp

Credit Suisse High Yield Spread to Worst

S&P 500 Current P/E Ratio 22.5

0

10

20

30

40

50

60

1929 1939 1949 1959 1969 1979 1989 1999 2009

S&P 500 Realized Volatility

Current

0

5

10

15

20

25

30

2007 2009 2011 2013 2015 2017

25

Or is it an Age of Foolishness?

U.S. 10 year note vs. European high yieldYield to worst (Mid), since 2007

Cryptocurrencies’ meteoric yearBitcoin price since 2013

Speculative behavior in several markets is reminiscent of prior asset bubbles.


Data sources: Credit Suisse. Bloomberg Finance L.P. Past performance is not necessarily indicative of future results.

European high yield

U.S. 10-year note

$0

$5,000

$10,000

$15,000

$20,000

2013 2014 2015 2016 2017

2.56%

2.41%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

2017 Estimated Performance of GCM Approved Hedge FundsPerformance of Approved Funds by GCM Primary Strategy Classification of 127 Funds

Equities Credit Quantitative Multi-Strategy Relative Value Macro

Median Equity Median Credit Median Quant Median Multi-Strat Median Rel. Val. Median Macro

2017 Hedge Fund Performance

Hedge funds generally achieved our expected risk and return objective in 2017. While hedged equity, credit and quantitative strategies led returns in the year, macro and relative value strategies struggled in an environment with extremely low volatility.

GCM Grosvenor Perspective

Data Source: GCM Grosvenor. Data as of December 31, 2017, unless otherwise noted.

1 Median returns are based on funds for which we have returns and then sorted by GCM-defined strategy.

26

Median Hedge Fund Performance by Strategy1

Equity 13%

Credit 8%

Quant 7%

Multi-Strategy

6%

Relative Value

2%

Macro -6%

Predominately hedging oriented strategies.

0%

300%

600%

900%

1200%

1990 1995 2000 2005 2010 2015

0%

20%

40%

60%

80%

Pre-Global Financial CrisisCumulative returns, January 1990 to March 2009

Ann.Net Return

Ann.Std. Dev.

9.9% 6.5%9.8% 14.2%

6.0% 3.6%

0%

200%

400%

600%

800%

1000%

Long-Term Hedge Fund PerformanceJanuary 1990 through December 2017

Post-Global Financial CrisisCumulative returns, March 2009 through December 2017

Hedge funds have generated strong absolute and relative returns with half the volatility of broad equity markets.

1 Risk Free Rate defined as the Citigroup 3-Month U.S. Treasury Bill Index.

Data sources: Hedge Fund Research (HFR); Barclays Bank PLC 2018; S&P. S&P and its third-party information providers do not accept liability for the information and the context from which it isdrawn. Past performance is not necessarily indicative of future results.

HFRI FW Composite

Risk Free Rate1 + 500 bps

HFRI FW Composite

Risk Free Rate1 + 500 bps

Hedge FundsHFRI FW Composite

EquitiesS&P 500 Index

BondsBloomberg Barclays U.S. Agg. Bond Index

Cumulative returns

27

28

2018 Market OutlookIn Summary

These views represent GCM Grosvenor’s good-faith expectations concerning future opportunities and cannot be viewed as indications of whether particular opportunities will occur.

All investments discussed herein are subject to certain risks and a summary of these risks are set forth in the disclosures following this presentation.

Positive Indicators Negative Indicators

Increased equity valuations may persist due to:

› Robust corporate earnings

› U.S. tax reform favoring corporations may lead to increased economic growth

› Increasing consumer confidence

Synchronized global GDP growth

› Stabilization of China’s economy

› Emerging market growth

Economic momentum amid limited inflationary pressures

› Continued quantitative easing in select markets outside the U.S.

› Increased demand for global trading due to weakening USD

We appear to be in the late stages of a bull market› Extended equity valuations

› Suppressed equity volatility

› Extremely tight credit spreads

Q-T (quantitative tightening) expected in 2018› Rising interest rates

› Pull-back in central bank liquidity provision

Risk of increased inflation coupled with high levels of leverage driven by:› Stimulative fiscal policy

› Rising deficits

› Low and falling unemployment rates

› Rising commodity prices

Geopolitical risks may hinder or halt GDP growth› Mid-term U.S. elections

› Rising populism and inequality

Signs that speculative behavior may be driving asset pricing› Euro high yield bonds offering yields similar to that of ten-year U.S.

treasuries

› Continued multiple expansion in U.S. equities

› Herding behavior associated with Volatility, ETFs, crypto markets

2018 GCM Grosvenor Perspective

Late in an economic and market cycle, we believe the most prudent investment approach is a barbelled portfolio. Around a core all-weather portfolio, we seek to protect our left tail by opportunistically adding asymmetric hedges, while seeking to capture right tail returns by stepping into periodic dislocations.

Late Cycle, Opportunistic Barbelled Approach

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

Defensive-Tilt Strategies

Pro-CyclicalStrategies

All Weather Strategies

Relative Value

Volatility trading and long volatility

Select capital structure arbitrage strategies

Credit Shorts

High yield index and corporate spreads

Sovereigns, duration, and rates

Portfolio Hedges

Liquidity / Dry Powder

Market-Neutral Equity

Diversified Macro

Quantitative Strategies

Special Situations

Event Driven Investing

Opportunistic Credit

Emerging Market Strategies

Thematic Sector

Healthcare

Energy & Infrastructure

Financials

Distressed Securities

Select Activist Investments

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Current Tactical Themes (1st Quarter 2018)

Our portfolio approach combines allocations to core, “all-weather” strategies complemented by tactical investments that seek to capture niche and/or timely market opportunities.

These opinions represent GCM Grosvenor’s good-faith expectations concerning future actions, events or conditions, and should not be viewed as indications of whether particular actions,events or conditions will occur. Past performance is not necessarily indicative of future results. No assurance can be given that any investment will achieve its objective or avoid losses.

Backdrop We seek to:

Opportunistic Credit

Historically low rate environment Expectation of rising interest rates Low risk premiums

Capitalize on credit market dislocations and complex situations globally

Distressed North American Energy

Commodity price dislocation has driven widespread distress Surviving companies forced to restructure and access capital Technology driving significant change and growth

Take advantage of discounted enterprise values, investing across capital structure, and providing solutions to companies seeking to recover and reorganize with new capital structures

Niche EquityU.S. Health Care

Regulatory and technological changes Scientific developments Sector is complex, dynamic, and volatile

Invest, both long and short, across all sub-sectors with specialist managers we believe are well-positioned to anticipate and adapt to changes

Niche EquityFinancials

Community and/or regional banks with improving fundamentals and possibility of being acquired

Potential increases in interest rates Banks trading at excessive multiples to book value

Invest with specialist managers we believe are well-positioned to anticipate and adapt to changes

Strategic Investments

Seek to capitalize on dislocations, major themes, inflection points, misunderstood assets, and complex situations

Leverage our opportunistic investment platform to identify special opportunities and dislocations using a tactical approach

Long Volatility

Persistent, low levels of volatility across risk assets (e.g., fixed income, FX, equity, and credit volatility)

VIX remains suppressed YTD 2017

Build allocations to relative value specialists with long volatility profiles

Additional Information

Appendix 2

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Presenters’ Biographies

Lisa A. Kastigar, Director, Business Development

Ms. Kastigar shares responsibility for business development, client service and consultant relations. Prior to joining GCM Grosvenor, she was the Director of Research at Marco Consulting Group, where she guided asset allocation studies, research and investment manager due diligence. A subset of her responsibilities was leading fund of hedge funds research, which included client education, due diligence, on-going monitoring, and reporting. She also worked at the Federal Reserve Bank of Chicago and at the Financial Services Authority in London as a financial markets regulatory policy economist. She began her career in thefinancial industry working on the derivatives exchanges of the CME Group. Ms. Kastigar received her Bachelor of Science in Business Economics from Marquette University and her Master of Business Administration from the University of Chicago Booth School of Business.

Andrew T. Preda, Senior Vice President, Investments

Mr. Preda serves as a Hedge Fund Strategies Portfolio Manager on multi-strategy portfolios as well as other specialized strategies and custom mandates. Mr. Preda leads activities related to the construction, implementation and monitoring of portfolios. Prior to joining GCM Grosvenor, from 2004 to 2007, Mr. Preda was a Vice President and Underwriting Team Leader at Madison Capital Funding, L.L.C., a Chicago-based provider of leveraged capital products for private equity sponsors. Mr. Preda was responsible for structuring, underwriting, negotiating, closing, and managing both Madison-led transactions and participation transactions. From1998 to 2004, Mr. Preda was in the Mergers & Acquisitions Group of Banc One Capital Markets, where he focused on providing investment banking advisory services to the bank's middle market and large corporate clients. From 1993 to 1998, he was a Relationship Manager with the Market Commercial Banking Subsidiary at American National Bank and Trust Company of Chicago. Mr. Preda received his Bachelor of Arts in Political Science from the University of Michigan in 1993 and his Master of Business Administration from the University of Chicago Booth School of Business in 2003.

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In reviewing this presentation, you should consider the following:

GCM Better Futures Fund, LLC (“BFF”) commenced operations on October 1, 2016. Grosvenor Institutional Partners, L.P. (“GIPLP”) commenced operations on January 1, 2000.Returns represent the aggregate performance of the investor and are calculated net of all fees and expenses.

Figures from 2009-2016 are derived from books and records of GIPLP that have been audited by GIPLP’s independent public accountants. Figures for 2017 are estimated basedon unaudited books and records of BFF and GIPLP.

Notes and Disclosures

Grosvenor Institutional Partners

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In reviewing this presentation, please consider the following:

Grosvenor Institutional Partners, L.P. (“GIPMS”) commenced operations on January 1, 2000. Grosvenor Institutional Partners, Ltd. (“GIPLTD”) commenced operations onNovember 1, 2012. GIPMS and GIPLTD (together, the “GIP Funds”) invest substantially all of their assets in Grosvenor Institutional Partners Master Fund, Ltd.

To the extent this presentation sets forth returns of GIPMS, such returns are calculated net of all fees, expenses and profit participations borne by all investors in GIPMS.

To the extent this presentation sets forth returns of GIPLTD, GIPLTD was not in existence during the entire performance reporting period covered by this presentation,although GIPMS (which commenced investment operations on January 1, 2000) was in existence during the entire performance reporting period covered by this presentation.This presentation uses the performance of GIPMS as a proxy for the performance of GIPLTD for the period prior to GIPLTD’s inception, based on certain assumptions, asdescribed below.

The returns for the period of January 2000 through October 2012 are pro forma returns based on the returns of GIPMS, calculated net of all fees, expenses and profitparticipations borne by all investors in GIPMS adjusted to reflect deduction of an assumed operating expense load for GIPLTD of 10 basis points, representing the operatingexpense cap of GIPLTD (the expense cap is further described in GIPLTD’s offering documents).

The returns for the period November 2012 through the present are calculated net of all fees, expenses and profit participations borne by all investors in GIPLTD.

The actual fee rate payable by an investor in a GIP Fund depends on the size of the investor’s account. Certain investors in the GIP Funds are not subject to advisory fees, andthe inclusion of such investors’ accounts in the returns presented will result in such returns being higher than if such accounts were not included. Furthermore, since the feerates applicable to investors vary, inclusion of investor accounts that are subject to lower effective fees in the returns presented will result in such returns being higher thanthe returns that would be achieved by particular fee paying investors subject to higher effective fees over the same time period. Additional details relating to the methodologyused in calculating returns and returns calculated net of specific fee rates are available upon request.

Figures for 2000-2016 are derived from books and records of the GIP Funds that have been audited by the GIP Funds’ independent public accountants.

Figures for 2017 are estimated based on unaudited books and records of the GIP Funds.

GCM Grosvenor and/or certain qualified officers and employees of GCM Grosvenor (together, with members of their families, “GCM Personnel”) may have investments in theGIP Funds and additional GCM Personnel may invest in the GIP Funds in the future. Except as otherwise expressly contemplated by such GIP Fund’s governing documents,however, no such person is required to maintain an investment any GIP Fund.


Target Returns, Forward Looking Estimates, and Risk Parameters

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Target Returns, Forward Looking Estimates, and Risk Parameters: Target returns, forward looking estimates, and risk parameters are hypothetical in nature and are shownfor illustrative, informational purposes only. This material is not intended to forecast, predict or project future performance. It does not reflect the actual or expected returnsor risk profile of any 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 GCM Grosvenor’s view of the potential returns and risk parameters for a GCM Fund or strategy pursued by a GCM Fund;

not meant to forecast, predict or project the returns or risk parameters for any GCM Fund or any strategy pursued by any GCM Fund; and

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, andregulatory issues.

Certain of the assumptions have been made for modeling purposes and are unlikely to be realized. No representation or warranty is made as to the reasonableness of theassumptions made or that all assumptions made have been stated or fully considered. Changes in the assumptions may have a material impact on the target returns, forwardlooking estimates, and risk parameters presented. Target returns and forward looking estimates may be shown before fees, transactions costs and taxes and do not account forthe effects of inflation. Management fees, transaction costs, and potential expenses may not be considered and would reduce returns and affect parameters. Actual resultsexperienced by clients may vary significantly from the target returns, forward looking estimates, and risk parameters shown. Target Returns, Forward Looking Estimates, AndRisk Parameters May Not Materialize.


Fee Savings – Public Markets

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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 bysuch 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 pursuantto 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 orsimilar mandate, another commingled fund managed by the Investment Manager may be used for comparison purposes. The Grosvenor Separate Account may differ fromthe 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 theManager’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 aninvestor would bear in the Manager’s Commingled Fund. For Portfolio Funds other than Grosvenor Separate Accounts, Grosvenor has compared the fee rates borne byGrosvenor-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 relatedinvestments) (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 managedby the same Investment Manager that manages such Direct Opportunity that may or may not participate in such Direct Opportunity. The Direct Opportunity materially differsfrom a commingled fund in numerous material respects, including investment mandate and guidelines, risk/return profile, concentration, type of investment servicesprovided, 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 differencesbetween 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 notcurrently 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., employeesalaries 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. Theinclusion of such pass through operating expenses would result in significantly higher Standard and Grosvenor weighted average management fee terms, but would not resultin 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 thePortfolio 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 beno 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 aportfolio 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) = 2.91%

› 3-month LIBOR (annual return) = 2.96%

› S&P 500 Index (annual return) = 9.41%

The annual returns are based on the actual compound annual return of each figure from January 1, 1993 through June 30, 2017. The actual returns for LIBOR and/or S&P 500Index likely will differ from the Assumed Benchmark Returns and such difference will affect this analysis (perhaps materially). This analysis does not account for anycorrelation between the Assumed Benchmark Returns and those achieved by the Portfolio Funds; it is likely that Portfolio Funds will have some correlation with the LIBORand/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, 2017, approximately 73% of Portfolio Funds in whichGrosvenor Funds invest (representing approximately 65% 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 isas of the date above.

Notes and Disclosures (July 1, 2017)

GCM Grosvenor

37

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 Grosvenorand 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 andinvestment 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 “GCMFunds”) and/or to one or more investment vehicles/accounts (“Underlying Funds”) managed or advised by third-party investment management firms (“Investment Managers”). GCM Information isgeneral 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 GCMFund. 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 (“FundDocument”). 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 asspecifically 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 ofinvesting 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 isincluded 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 beenregistered under any federal or state securities laws, including the Investment Company Act of 1940, and interests in GCM Funds are sold in reliance on exemptions from the registrationrequirements of such laws. 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 valueof a GCM Fund’s investments. Illiquidity Risks- Investors in GCM Funds have either very limited or no rights to redeem or transfer interests. Interests in GCM Funds will not be listed on an exchangeand it is not expected that there will be a secondary market for interests. The limited liquidity of a GCM Fund depends on its ability to withdraw/redeem capital from the Underlying Funds in whichit invests, which is often limited due to withdrawal/redemption restrictions. 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 expensescharged by GCM Funds and Underlying Funds may offset the trading profits of such funds. Valuation Risks- the risks relating to GCM Grosvenor's’ reliance on Investment Managers to value thefinancial instruments in the Underlying Funds they manage. In addition, GCM Grosvenor may rely on its internal valuation models to calculate the value of a GCM Fund and these values may differsignificantly from the eventual liquidation values. Tax Risks- the tax risks and special tax considerations arising from the operation of and investment in pooled investment vehicles. An InvestmentProduct may take certain tax positions and/or use certain tax structures that may be disallowed or reversed, which could result in material tax expenses to such Investment Product. GCM Funds willnot be able to prepare their returns in time for investors to file their returns without requesting an extension of time to file. Institutional Risks- the risks that a GCM Fund could incur losses due tofailures of counterparties and other financial institutions. Manager Risks- the risks associated with investments with Investment Managers. Structural and Operational Risks- the risks arising fromthe organizational structure and operative terms of the relevant GCM Fund and the Underlying Funds. Follow-On Investments- the risk that an Investment Product underperforms due to GCMGrosvenor's decision to not make follow-on investments. 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 widerfluctuations in value and the poor performance by a few of the investments could severely affect the total returns of such GCM Funds. Controlling Interest Risks- the risks of holding a controllinginterest in an investment and the losses that may arise if the limited liability of such investment is disallowed. Disposition Risks- the disposition of an investment may require representations aboutthe investment and any contingent liabilities may need to be funded by investors. In addition, GCM Grosvenor, its related persons, and the Investment Managers are subject to certain actual andpotential conflicts of interest in making investment decisions for the GCM Funds and Underlying Funds, as the case may be. An investment in an Underlying Fund may be subject to similar and/orsubstantial 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 INVESTMENTPRODUCT IS SPECULATIVE AND INVOLVES SUBSTANTIAL RISK (INCLUDING THE POSSIBLE LOSS OF THE ENTIRE INVESTMENT). NO ASSURANCE CAN BE GIVEN THAT ANY INVESTMENT PRODUCTWILL ACHIEVE ITS OBJECTIVES OR AVOID LOSSES.


GCM Grosvenor

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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 GCMInformation, 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 GCMInformation 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 toinvest 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). Anyviolation 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 toparticular 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 suchinformation 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 inGCM 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 beupdated 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 performancestatistics (including statistical methods), if used, is subject to certain inherent limitations. GCM Grosvenor does not believe that an appropriate absolute return benchmark currently exists andprovides 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 reinvestmentof 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 andexpenses 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 foran 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 ofbusiness 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 unallocatedinvestor 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. GCMGrosvenor may classify Underlying Funds as pursuing particular “strategies” or “sub-strategies” (collectively, “strategies”) using its reasonable discretion; GCM Grosvenor may classify an UnderlyingFund 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 anyfees 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 informationprovided by Investment Managers, or (ii) a GCM Grosvenor estimate, which is inherently imprecise. GCM Grosvenor employs certain conventions and methodologies in providing GCM Informationthat 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 particularactions, events or conditions will occur. All expressions of opinion are subject to change without notice in reaction to shifting marketing, economic, or other conditions. Additional information isavailable 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, riskcharacteristics, 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 notnecessarily 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 toparties 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 inimplementing 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 toenable them to gain a better understanding of GCM Grosvenor’s investment process.

GCM Grosvenor®, Grosvenor®, and Grosvenor Capital Management® are proprietary trademarks of GCM Grosvenor and its affiliated entities. ©2018 Grosvenor Capital Management, L.P. Allrights reserved. Neither GCM Grosvenor nor any of its affiliates acts as agent/broker for any Underlying Fund.

Notes and Disclosures (continued)

2018 0207 fresno county employees’ retirement association ... · allocations are based on gcm...

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