NET RETURN OF MASTER & SUB-STRATEGIES

Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 YTD 1 YR

Event 2.1% 0.3% -0.3% 0.6% 0.3% 1.2% 1.7% -0.2% -1.7% -7.9% 4.5% 2.3% -3.5% 2.3%

Activist 4.3% -0.3% -1.9% 3.1% 0.5% 2.8% 2.5% -2.3% -5.2% -10.8% 10.4% 5.5% -3.7% 7.4%

Merger 0.1% 0.8% 0.2% 0.3% 0.6% 0.6% 0.9% 0.3% -0.4% -6.1% 3.9% 0.7% -1.9% 1.5%

Multi-Strategy 1.8% 0.4% 0.1% 0.3% 0.3% 0.7% 1.4% 0.4% -0.5% -5.9% 2.5% 1.3% -2.4% 2.5%

Opportunistic 1.6% 0.5% -0.3% -0.3% 0.4% 1.3% 2.0% 0.1% -1.8% -10.0% 4.8% 3.0% -4.5% 0.5% Asset weighted returns unless otherwise stated.

Event Driven

EVENT DRIVEN STRATEGY DEEP DIVE 12 month review to May 2020 The Event Driven funds monitored by Aurum’s Hedge Fund Data Engine delivered an average asset-weighted net return of 2.3% in the 12 months to May 2020. The period can be thought of as a tale of two halves: the latter half of 2019 saw low volatility and generally positive returns across the space, whilst 2020 saw a spike in volatility and large performance dispersion across funds and by month. Despite all four Event Driven sub-strategies having negative performance year to date through to May, when looking across the last 12 months, all have delivered a positive absolute return. Over the 12 month period, the strongest performing sub-strategy was Activist, which returned 7.4%; the weakest was Event Opportunistic, which returned just 0.5%. Whilst the Activist sub-strategy was the top performing sub-strategy over the period, it also displayed the highest volatility and widest dispersion amongst the funds within the sub-strategy, which is to be expected in a strategy grouping defined by the breadth of managers’ specific trades. Funds within the Activist sub-strategy often exhibit a very high beta to equities and it was no surprise that Q1 2020 was a particularly poor period, which saw funds within the group lose, on average, 17.4%. However, the subsequent market rebound in April and May provided a strong tailwind and benefitted many funds within this sub-strategy more than most, bringing average year to date net performance to -3.7%. Nonetheless, over the 12 month period, this sub-strategy realised the highest Sharpe Ratio, though on a 3-year view it’s Sharpe Ratio ranks second to the Event Multi-Strategy group. The Event Multi-Strategy group was the next best performing in the last 12 months, with funds within the sub-strategy generating an average net return of 2.5%. It was the sub-strategy that lost the least in March and had the lowest volatility over the period. According to Aurum’s classifications, the Event Multi-Strategy group comprises the largest AUM, and is the most concentrated by fund size: the largest 10 Event Multi-Strategy funds manage nearly as much AUM as all Activist, Merger Arbitrage and Opportunistic funds combined. Funds within the Event Multi-strategy sub-strategy generally have a significantly lower beta to global equities than Opportunistic and Activist funds, delivering a net return not far below equities over the last three years, but delivered at a much lower volatility. By performance, the third ranking sub-strategy under the Event classification was the Merger Arbitrage group; which returned 1.5% net over the last 12 months. It was the grouping with the tightest dispersion of fund returns over the period, and along with the Multi-Strategy group, was the most consistent: both groups posted 10 up months. By total AUM, the Merger Arbitrage sub-strategy is the smallest of the four Event sub-strategies monitored by Aurum’s Hedge Fund Data Engine, and generally offers investors the most liquid fund terms. Finally, the Opportunistic sub-strategy was the poorest performer, generating just 0.6% net over the past year, and realising a negative Sharpe ratio for the period. After suffering a similar drawdown to the Activist strategy in March (both lost over 10%), the sub-strategy was slower to recover than the Activist sub-strategy – a surprising result given the funds within the Activist sub-strategy tend to have significantly higher beta to equities. In terms of flows, Merger Arbitrage and Multi-Strategy funds, in general, saw new inflows over the 12 month period, whilst funds within the Activist and Opportunistic sub-strategies generally saw net outflows. Overall, funds within the Event Driven strategy generated $5.9bn dollars net of fees to the benefit of investors over the past year.

*Risk Free Rate = period average of 3 month US Libor 1.67%. Source: Aurum Hedge Fund Data Engine 2

Key Numbers

NUMBER OF FUNDS AUM ($ BN)

Multi Strategy Opportunistic Activist Merger Arbitrage

STRATEGY NET RETURN (1 YR) SUB-STRATEGY NET RETURN (1 YR)

STANDARD DEVIATION (1 YR) SHARPE RATIO (1 YR)*

NET POSITIVE/NEGATIVE MONTHS (1 YR) AUM CHANGE $BN (1 YR)

196

48

6243

43

$247.3$127.8

$58.2

$41.4

$19.9

2.3%

Opportunistic

Merger

Multi-Strategy

Activist

0.5%

1.5%

2.5%

7.4%

Activist

Opportunistic

Merger

Multi-Strategy

18.9%

12.6%

7.8%

7.3%

Activist

Multi-Strategy

Merger

Opportunistic

0.38

0.14

0.01

-0.03

66.7% 33.3%positive negativemonths months

$12.4

$-6.1

$21.9

$-25.3

$2.9

3 *Equities = MSCI World Index USD, Bonds = Barclays Global Agg. Bond Index USD,

HF Composite = Aurum Hedge Fund Data Engine Asset Weighted Composite Index Source: Aurum Hedge Fund Data Engine, Bloomberg.

Master Strategy Performance

NET MONTHLY EVENT RETURN (5 YR)

RELATIVE RETURN VS SELECTED INDICES (1 YR) NET RETURN (ANNUALISED)

VOLATILITY (ANNUALISED)

-8%

-6%

-4%

-2%

0%

2%

4%

Mon

thly

Ret

urns

$70

$75

$80

$85

$90

$95

$100

$105

$110

$115

NAV

Monthly Returns NAV

-9%

-6%

-3%

0%

3%

6%

9%

12%

15%

Cum

ulat

ive

Net R

etur

n

Event Equities* Bonds* HF Composite*

Event Equities* Bonds* HF Composite*0%

2%

4%

6%

1 Yr 3 Yr

EventEquities*

Bonds*HF Composite*

0%

10%

20%

1 Yr 3 Yr

Source: Aurum Hedge Fund Data Engine 4

ROLLING 12 MONTH NET RETURN (5 YR)

CUMULATIVE NET RETURN (5 YR)

COMPOUND ANNUAL RETURN (ANNUALISED)

-20%

-10%

0%

10%

20%

Event Activist Merger Multi-Strategy Opportunistic

80

90

100

110

120

Event Activist Merger Multi-Strategy Opportunistic

1 Yr 3 Yr 5 Yr 10 Yr0%

2%

4%

6%

8%

Event Activist Multi-Strategy Merger Opportunistic

Source: Aurum Hedge Fund Data Engine 5

Monthly Performance Dispersion

Equally weighted returns

MASTER STRATEGY NET RETURN DISTRIBUTION SUB-STRATEGY NET RETURN (1 YR)

SUB-STRATEGIES NET MONTHLY RETURN DISTRIBUTION

-30%

-20%

-10%

0%

10%

-30%

-20%

-10%

0%

10%

20%

30%

-20%

-10%

0%

10%

Multi-Strategy

-30%

-20%

-10%

0%

10%

Opportunistic

-40%

-30%

-20%

-10%

0%

10%

20%

Activist

-20%

-10%

0%

10%

Merger

Source: Aurum Hedge Fund Data Engine 6

Master Strategy Overview

Putting the Event Universe into context versus other Hedge Fund strategies.

AUM OF MASTER STRATEGY – MAY 2020 ($ BN)

MULTIPLE PERIOD – HIERARCHICAL ANNUALISED NET RETURN

1 YEAR 3 YEAR 5 YEAR 10 YEARMulti-Strategy

6.7%Multi-Strategy

5.9%Multi-Strategy

4.9%Multi-Strategy

7.0%Other5.3%

Equity L/S3.9%

Long biased3.4%

Long biased6.2%

Equity L/S4.4%

Long biased3.8%

Other2.8%

Equity L/S5.4%

Long biased3.7%

Event3.4%

Equity L/S2.6%

Other4.9%

Arbitrage2.5%

Macro2.2%

Event2.5%

Event4.6%

Event2.3%

Arbitrage1.8%

Macro2.1%

Credit4.3%

Macro2.1%

Other1.1%

Credit1.6%

Quant4.0%

Quant-3.4%

Credit0.4%

Arbitrage1.3%

Macro3.2%

Credit-6.4%

Quant0.4%

Quant0.9%

Arbitrage1.2%

0

100

200

300

400

500

600

$641.9

$528.0

$415.4$381.6

$304.3

$247.3

$41.4$19.9

$127.8

$58.2

$246.9

$95.1$45.5

Source: Aurum Hedge Fund Data Engine, Bloomberg. 7 HF Composite = Aurum Hedge Fund Data Engine Asset Weighted Composite Index.

MASTER STRATEGY NET ANNUALISED RETURNS

STRATEGY NET TOTAL RETURN VS ANNUALISED VOL (3 YR)

-6%

-4%

-2%

0%

2%

4%

6%

8%

1 Yr 3 Yr 5 Yr

-2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%Strategy Net Returns

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Vola

tility

Quant

Credit

Other

Arbitrage

Macro

HF Composite

Long biased

Equity L/S

MSCI World

Multi-Strategy

Event - Opportunistic

Event - Merger Arbitrage

Event

Event - Multi-Strategy

Event - Activist

Source: Aurum Hedge Fund Data Engine, Bloomberg. *Risk Free Rate = period average of 3 month US Libor 1.98% 8 HF Composite = Aurum Hedge Fund Data Engine Asset Weighted Composite Index.

SHARPE RATIO BY HEDGE FUND STRATEGY (3 YR)*

STRATEGY BETA TO HF UNIVERSE & MSCI WORLD (3 YR)

-0.40

-0.20

0.00

0.20

0.40

0.60

0.80

1.00 0.97

0.39

0.26 0.26 0.24 0.22 0.21 0.20 0.20

0.08 0.07

-0.09 -0.10-0.14

-0.31

0.00 0.10 0.20 0.30 0.40 0.50 0.60 0.70 0.80 0.90Beta to MSCI World Index USD

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

1.60

1.80

2.00

Beta

to H

F Co

mpo

site

Arbitrage

Quant

Multi-Strategy

MacroOther

Credit

Equity L/S

Long biased

Event - Merger Arbitrage

Event - Multi-strategy

Event

Event - Opportunistic

Event - Activist

Source: Aurum Hedge Fund Data Engine 9

Event Universe

NUMBER OF FUNDS & AUM BY SUB-STRATEGY

SUB-STRATEGY FUND CONCENTRATION ($ BN)

Largest 5 Largest 10 Largest 20 Total

Multi-Strategy Opportunistic Activist Merger0

10

20

30

40

50

60

70

No. o

f fun

ds

$0

$20

$40

$60

$80

$100

$120

$140

AUM ($ bn)

48

62

43 43

$127.8

$58.2

$41.4

$19.9

No. of funds AUM ($ bn)

Event

Multi-Strategy

$127.84.123$

$114.70.107$

Opportunistic

$58.23.49$

$37.06.24$

Activist

$41.43.39$

$34.56.28$

Merger

$19.90.18$

$13.82.9$

Source: Aurum Hedge Fund Data Engine 10

ASSETS UNDER MANAGEMENT BY LOCATION

MASTER STRATEGY ASSETS (5 YR)

12 MONTH CHANGE IN AUM BY SUB-STRATEGY

-10%

0%

10%

Cum

ulat

ive

Perfo

rman

ce

$100

$150

$200

$250

AUM ($ bn)

AUM ($ bn) Cumulative Net Performance

Multi-Strategy

Opportunistic

Activist

Merger

$-4 bn $-3 bn $-2 bn $-1 bn $0 bn $1 bn $2 bn $3 bn $4 bn

P&L Flows Net

Source: Aurum Hedge Fund Data Engine 11

TERMS AND CONDITIONS

Median

Redemption Notice (Days)

Median Redemption Frequency

Weighted Avg. Redemption Total

(Days)* Weighted Avg.

Management Fee Weighted Avg.

Performance Fee

Event – MASTER 60 Quarterly 184 1.55% 19.39%

Event – Activist 90 Quarterly 191 1.55% 18.76%

Event – Merger Arbitrage 30 Monthly 66 1.20% 16.19%

Event – Multi-Strategy 45 Quarterly 204 1.56% 19.75%

Event – Opportunistic 60 Quarterly 173 1.63% 19.98%

*Weighted Avg. Redemption Total (Days) is the weighted Avg. of both redemptions notice days and redemption frequency days.

Definitions

Event Driven – Activist: Activist hedge funds invest in companies that they feel are undervalued and the managers then attempt to drive the value creation process by influencing corporate management to undertake initiatives that they feel will benefit shareholders. This can include a number of activities, including but not limited to: capital structure restructuring, change in operating strategy/capital allocation, change in the board/management, change in corporate governance or the outright sale of the enterprise. Funds typically own large stakes in the companies they invest in as investors need to be a large enough shareholder to influence management.

Event Driven – Merger Arbitrage: Strategy typically involves taking positions in the securities of a company being acquired in a merger or acquisition. Due to the risk of a deal-break as well as time value of money, the securities typically trade at a discount to the deal-price/value (deal-spread). Primary risk is when deals break, which can lead to asymmetric losses to the downside. Funds will typically trade cash deals and also share-for-share deals, where the fund will short the securities they expect to receive upon deal closure (locking in the deal spread). In addition to M&A, managers may also invest in other situations that involve process driven catalysts.

Event Driven – Multi-Strategy: Whilst these are multi-strategy funds, they are characterised by their overwhelming focus on the broad event-driven space and therefore placed in their own category. Such funds consistently generate a significant portion of their P&L from the primary event-driven investing categories: merger arbitrage, soft-catalyst event-driven situations (spin-offs, spin-outs, share-class arbitrage, non-mandatory shareholder elections, index-rebalancing, holdco/subsidiary relative value trade, high probability potential merger 'targets', etc.) and/or activist investing. Some funds may also allocate a portion of their capital to Distressed (which can fall under the category of event-driven investing), however, if the majority of the risk is in consistently in the distressed arena, it falls under the ‘credit/distressed’ categorisation.

Event Driven – Opportunistic: Has some similarities to the event-driven ‘multi-strategy’ classification however, as the name suggests, these funds tend to be very opportunistic and dynamically adjust their capital allocation between various event-driven trades. These funds tend to also be more value and soft catalyst oriented. Such funds may also place ‘special situations’ trades, looking to unlock value taking various positions in the capital structure (i.e. could be debt or equity). Opportunistic funds have the flexibility to trade all areas of the event space (M&A, Activist, soft catalyst and distressed investing) but will do so on an opportunistic basis, they also may concentrate a large portion (or even at times all) of the risk in a specific area, unlike event driven - multi-strategy funds, which are typically always allocated across multiple sub-strategies at all times.

www.aurum.com

Aurum Fund Management Ltd. Aurum House 35 Richmond Road Hamilton HM08 Bermuda Telephone: +1 441 292 6952 Website: www.aurum.com Email: ir@aurumfunds.com Aurum Funds Limited Ixworth House 37 Ixworth Place London SW3 3QH Telephone: +44 (0)20 7589 1130 Aurum Fund Management Ltd. is licensed by the Bermuda Monetary Authority Aurum Funds Limited is authorised and regulated by the Financial Conduct Authority in the UK

DISCLAIMER The information contained in this Paper (the "Paper") is issued and approved by Aurum Funds Limited of Ixworth House, 37 Ixworth Place, London, SW3 3QH, United Kingdom. Aurum Funds Limited, which is authorised and regulated in the UK by the Financial Conduct Authority, is wholly owned by Aurum Fund Management Ltd. of Bermuda ("Aurum"). This Paper does not constitute an offer to sell or a solicitation of an offer to buy or endorsement of any interest in any fund or hedge fund strategy. This Paper is for informational purposes only and not to be relied upon as investment, legal, tax, or financial advice. Whilst the information contained in this Paper (including any expression of opinion or forecast) has been obtained from, or is based on, sources believed by Aurum to be reliable, it is not guaranteed as to its accuracy or completeness. This Paper is current only at the date it was first published and may no longer be true or complete when viewed by the reader. This Paper is provided without obligation on the part of Aurum and its associated companies and on the understanding that any persons who acting upon it or changes their investment position in reliance on it does so entirely at their own risk. In no event will Aurum or any of its associated companies be liable to any person for any direct, indirect, special or consequential damages arising out of any use or reliance on this Paper, even if Aurum is expressly advised of the possibility or likelihood of such damages. References to Aurum Hedge Fund Data Engine refer to Aurum’s proprietary Hedge Fund Data Engine database containing data on over 4,000 hedge funds representing in excess of $2.9bn trillion of assets as at December 2019. Information in the database is derived from multiple sources including Aurum’s own research, regulatory filings, public registers and other database providers. Performance in the charts using Aurum Hedge Fund Data Engine data are asset weighted unless otherwise stated. An investment in a hedge fund should be considered a speculative investment. Past performance is no guarantee of future returns. The Aurum Hedge Fund Data Engine is a proprietary database maintained by Aurum Research Limited (“ARL”) containing data on over 4,000 active hedge funds representing in excess of $2.9 trillion of assets as at December 2019. Data from the Aurum Hedge Fund Data Engine is provided on the following basis: (1) Aurum Hedge Fund Data Engine data is provided for informational purposes only; (2) information and data included in the Aurum Hedge Fund Data Engine are obtained from various third party sources including Aurum’s own research, regulatory filings, public registers and other data providers and are provided on an “as is” basis; (3) Aurum does not perform any audit or verify the information provided by third parties; (4) Aurum is not responsible for and does not warrant the correctness, accuracy, or reliability of the data in the Aurum Hedge Fund Data Engine; (5) any constituents and data points in the Aurum Hedge Fund Data Engine may be removed at any time; (6) the completeness of the data may vary in the Aurum Hedge Fund Data Engine; (7) Aurum does not warrant that the data in the Aurum Hedge Fund Data Engine will be free from any errors, omissions or inaccuracies; (8) the information in the Aurum Hedge Fund Data Engine does not constitute an offer or a recommendation to buy or sell any security or financial product or vehicle whatsoever or any type of tax or investment advice or recommendation; (9) past performance is no indication of future results; and (10) Aurum reserves the right to change its Aurum Hedge Fund Data Engine methodology at any time and may elect to suppress or change underlying data should it be considered optimal for representation and/or accuracy.