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An alternative UCITS fund for investors seeking diversification

BXDMS Areas of Opportunity
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BXDMS Q3 2020 Commentary
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Why Blackstone Diversified Multi-Strategy Fund?

A core alternative solution providing a diversified blend of hedge fund strategies and managers in a single daily liquid UCITS. In pursuing its investment objective, Blackstone Diversified Multi-Strategy Fund seeks to deliver:

Diversification1
BXDMS invests in a variety of hedge fund strategies in an effort to provide diversified exposures that are less dependent on market movements.
Volatility Mitigation1
Seeks to mitigate volatility and losses through exposure to diversifying assets.
Risk-Adjusted Returns1
BXDMS seeks to deliver steady growth with a focus on maximizing risk-adjusted returns over a full market cycle.

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Hear John McCormick, Global Head of BAAM, discuss the Blackstone Diversified Multi-Strategy Fund.

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Why Blackstone Alternative Asset Management (BAAM)?2

We have partnered with some of the world's leading investors since 1995

Position

World's largest discretionary investor in hedge funds3 with $74 billion in AUM4

People

Over 100 investment professionals with experience across all of the key investment strategies

Process

Disciplined investment and operational due diligence; proprietary risk management and technology

Partnership

Deep, differentiated relationships with hedge fund talent

Why Multi-Manager?

A diversified blend of hedge fund strategies and managers in a single, daily-liquid UCITS fund


Diversification

Diversification is critical in investing and helps reduce risk in a portfolio. The Fund’s multi-manager structure provides built-in diversification for investors who seek to avoid single manager risk.

Access to Specialists

Specialists with expertise in specific hedge fund strategies are combined in one solution. Given the complexity of many hedge fund strategies, it is unlikely that a single manager has expertise across all strategies.

Dynamic Allocation

Dynamic allocation allows Blackstone to rotate into more attractive sectors, strategies and managers as markets evolve.

Click below to view Blackstone Diversified Multi-Strategy Fund's underlying managers

Data as of , 2020
  • Blackstone and its affiliates have financial interests in asset managers. Any allocation by Blackstone to a subsidiary or other affiliate benefits The Blackstone Group Inc. and any redemption or reduction of such allocation would be detrimental to The Blackstone Group Inc., creating potential conflicts of interest in allocation decisions. For a discussion of this and other conflicts, please see the Important Risks section at the end of this page.
  • BAIA manages a portion of the Fund’s assets directly. Such investments presently include opportunistic trades and hedging. BAIA’s fees on directly managed assets are typically not reduced by a payment to a sub‐adviser.
  • Inactive managers are not currently managing any Fund assets. Allocations may change at any time without notice.

WHY ALTERNATIVE STRATEGIES?

We are focused on the pursuit of alpha, which we believe requires a differentiated approach to alternative investing


Identifying Managers With Moats

These managers typically have a defensible edge that thwarts others from directly competing with them. It would be difficult for a competitor to catch up and build a comparable franchise in a short period of time. For example, a large-scale, quantitative hedge fund manager that sources, parses and consumes massive data sets might have a competitive edge. 

Focusing on Non-Economic Actors

Some market participants have political or social motivations that may not be economically rational. This dynamic allows private investors to assume potentially attractive risk that only exists because of non-economic decision-making. One example is the U.S. government mandating that Fannie Mae and Freddie Mac reduce their credit risk to stay solvent with the objective of ensuring their ability to continue issuing mortgages for the greater good of the economy.

Sourcing Direct Investments

Blackstone is one of the world’s largest alternative investment firms with a dynamic ecosystem fueled by ideas and deep resources, which we believe is a strong competitive advantage. We partner with hedge fund managers, banks, corporations and even governments to source, underwrite and structure investments. Our size and robust underwriting may allow us to negotiate attractive terms, and we seek to pay fees only for alpha, not beta.

Historical returns represent returns from January 1990, the inception of the HFRI Fund-Weighted Composite Index, through -2020. Returns are annualized. Equity market declines were selected by identifying the two most recent instances when the MSCI World declined by more than 40%. Use of different time periods would yield different results. Performance shown is not representative of BXDMS or the performance of any Blackstone investment. Alternatives are represented by the HFRI Fund-Weighted Composite Index. Past performance is no guarantee of future results. An investor cannot invest directly in an index. Alternatives and equities (MSCI World Index) have different risk and return profiles. Equities are subject to market risk or the risk of loss due to adverse company and industry news, or general economic decline. Alternative investments involve special risks including but not limited to, liquidity risks, foreign investment risks, higher fees and expenses, regulatory restrictions, and loss of all or a significant portion of the investment, or volatility of returns due to leveraging, short-selling or other speculative practices. An investor should evaluate alternatives and equities in the context of his or her investment objectives.


Reflects the opinions and views of BAIA as of May 31, 2020 and is not intended to be a prediction of how any financial markets will perform in the future. Nothing contained herein should be relied upon as a promise or representation as to past or future performance of a fund or any other entity, transaction, or investment.

ASSET ALLOCATION

A natural complement to a traditional allocation


The charts above represent illustrative examples. The value of BXDMS shares may go down as well as up and there can be no assurance that the Fund will achieve its investment objectives or avoid significant losses.

Allocating to the Blackstone Diversified Multi-Strategy Fund from a combination of existing equity and fixed income sleeves may mitigate overall portfolio volatility while maintaining exposure to growth assets.

The charts above represent illustrative examples. The value of BXDMS shares may go down as well as up and there can be no assurance that the Fund will achieve its investment objectives or avoid significant losses.

Blackstone Diversified Multi-Strategy Fund represents a core allocation that is designed to stand on its own or provide a complement to other alternative allocations.




Data as of --, 2020

Portfolio exposures in the table reflect exposures as of the date of this report. The Fund may shift allocations among strategies and sub‐strategies at any time. Accordingly, the exposures are presented for illustrative purposes only and should not be viewed as predictive of the ongoing composition of the Fund’s portfolio, which may change at any time.

Exposure figures are shown as a percentage of Fund Net Asset Value.

Explanatory notes regarding calculation of exposure: (a) exposure data represents market value except in the case of derivative instruments; (b) for options, exposure data represents the delta adjusted notional; (c) for interest‐rate instruments, exposure data represents the notional of the 10‐year equivalent instrument; and (d) for all other derivatives, exposure data represents notional value. Please see important Disclosure Regarding Exposure at the end of this presentation. Exposure data reflects fund holdings as of the relevant trade date and includes unsettled trades.

Investment Committee

Blackstone seeks to add value through top-down strategy selection and bottom-up manager evaluation


Gideon Berger

Sr. Managing Director

Gideon L. Berger is a Senior Managing Director of Blackstone and Co-Chief Investment Officer of the Hedge Fund Solutions Group.

Before joining Blackstone in 2002, Mr. Berger was a Founder and President of Ez-Ways, Incorporated, a technology startup, where he also served on the Board of Directors. Prior to that, Mr. Berger was a Founder and Principal of a consulting firm specializing in the design and implementation of database and enterprise solutions.

Mr. Berger received a BA in Mathematics and Physics from Vassar College, an MS in Applied Physics from Columbia University and a PhD in Computer Science from the Courant Institute of Mathematical Sciences at New York University.

Raymond Chan

Managing Director

Raymond Chan is a Managing Director of the Hedge Fund Solutions Group where he serves as a portfolio manager for BAAM’s registered funds platform.

Before joining Blackstone in 2019, Mr. Chan was a Senior Portfolio Manager at Goldman Sachs where he led a multi-asset investment team within Goldman Sachs Asset Management’s Global Portfolio Solutions group. He also served as the Head of Strategy for multi-asset funds and models and as the Head of the Markets Team. Prior to those roles, Mr. Chan structured and marketed cross-asset derivatives within the Securities Division of Goldman Sachs. Mr. Chan began his career as a consultant with Oliver Wyman.

Mr. Chan received an AB in Biochemistry with honors from Harvard University and an MBA from the Wharton School at the University of Pennsylvania. He has earned the right to use the Chartered Financial Analyst designation.

Min Htoo

Sr. Managing Director

Min Zaw Htoo is a Senior Managing Director of Blackstone and Co-Chief Investment Officer of the Hedge Fund Solutions Group.

Prior to joining Blackstone in 2017, Mr. Htoo led Anandar Capital Management as Founder and CIO. Before the launch of his own firm, Mr. Htoo was a day-one Partner at Magnetar Capital where, as a Senior Portfolio Manager, he invested in both fundamental and quantitative strategies. Mr. Htoo began his investment career as an Analyst at Och-Ziff Capital Management Group and then as a Portfolio Manager at Citadel. Prior to that, Mr. Htoo worked in the Mergers & Acquisitions department of Morgan Stanley & Company’s Investment Banking Division.

Mr. Htoo received a BA in Business Economics with Honors from Brown University. He was honored with The Wall Street Journal Award for earning the highest departmental GPA and was elected as a member of the Phi Beta Kappa Society and Omicron Delta Epsilon, the International Honor Society for Economics.

Robert Jordan

Sr. Managing Director

Robert Jordan is a Senior Managing Director of Blackstone and is a member of the Hedge Fund Solutions Special Situations Investing Group. Mr. Jordan is involved in hedge fund manager risk analysis, risk monitoring and analysis of the BAAM funds, as well as the evaluation of special investment opportunities. Before joining Blackstone in 2011, Mr. Jordan worked as a Portfolio Manager in fundamental equity and Head of Special Projects for Xaraf Management, a multi-strategy hedge fund manager.

Mr. Jordan was the Portfolio Manager of a hedge fund for Morgan Stanley Investment Management / FrontPoint, having moved his team from Morgan Stanley’s equity division, where he was a Portfolio Manager and Analyst in proprietary trading since 2000. Earlier in his career at Morgan Stanley, Mr. Jordan was a Trader in Program Trading and Equity Derivatives.

Mr. Jordan began his career at Susquehanna Investment Group, where he was a Trader of equity and sector index options after training in foreign currency options. Mr. Jordan received an AB cum laude from Harvard College with concentration in Computer Science, and an MBA from M.I.T. Sloan School of Management. He has earned the right to use the Chartered Financial Analyst designation.

Ian Morris

Sr. Managing Director

Ian Morris is a Senior Managing Director of the Hedge Fund Solutions Group. Mr. Morris is involved in top-down investment strategy, asset allocation and macroeconomic analysis for BAAM.

Before joining Blackstone in 2010, Mr. Morris was Chief US Economist at HSBC in New York for ten years, managing the firm’s North American macroeconomic research team and providing advice and forecasts on macro trends and risks to clients, including financial institutions, non-financial corporations, central banks and sovereign wealth funds. Prior to that, Mr. Morris was a Global Economist with HSBC in London for three years and in Melbourne for two years.

Prior to joining HSBC, Mr. Morris worked for PaineWebber in London. Mr. Morris has authored many thematic research publications, including “A Froth Finding Mission (Jan 2006)”, a 100-page report that anticipated the 2006-09 housing bust. Mr. Morris holds a Bachelor’s degree in Applied Economics from Deakin University in Melbourne, Australia and an MSc in Financial Economics from the University of London.

Alberto Santulin

Managing Director

Alberto Santulin is a Managing Director of the Hedge Fund Solutions Group. Mr. Santulin is involved in portfolio management and in hedge fund manager evaluation, selection and monitoring. He is primarily focused on multi-strategy, event, arbitrage and reinsurance strategies.

Before joining Blackstone in 2003, Mr. Santulin worked at Rasini & Co. Inc., a European fund-of-hedge-funds, where he opened and ran the New York office. Prior to joining Rasini, Mr. Santulin worked in London for Banque Paribas where he was in Fixed Income Derivatives Sales & Trading covering Italian institutions and hedge funds.

Mr. Santulin received a BA with a major in Finance from Bocconi University in Milan, Italy. His degree dissertation is titled "Hedge Funds: Evolution and Investment Strategies." He has earned the right to use the Chartered Financial Analyst designation.

Stephen Sullens

Sr. Managing Director

Stephen W. Sullens is a Senior Managing Director of Blackstone and Head of Portfolio Management for the Hedge Fund Solutions Group. Mr. Sullens oversees portfolio management for all of BAAM's multi-manager programs. He is responsible for directing the manager research team in hedge fund manager selection and monitoring.

Before joining Blackstone in 2001, Mr. Sullens served as a Director with Citi Alternative Investment Strategies, Citigroup's hedge fund investment center. In that role, he was responsible for manager selection and monitoring, as well as portfolio management. Previously, Mr. Sullens served as Manager of Alternative Investments for The Walt Disney Company, where he directed the company's alternative investment program, including investments in private equity, real estate, venture capital and hedge funds.

Prior to his six years at Disney, he was an analyst with Trammell Crow Ventures, a real estate investment advisory firm. Mr. Sullens received both a BA in Economics and an MS in Industrial Engineering from Stanford University. He has earned the right to use the Chartered Financial Analyst designation.

Key Information


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Document Name Size Action
Memorandum and Articles of Association
Prospectus 1 MB Download
Consolidated Prospectus - Germany 1 MB Download
Consolidated Prospectus - Switzerland
Supplement 1 MB Download
Country Supplements
Singapore Information Memorandum 210 KB Download
UK Tax Notice
Sub-Adviser Profiles 422 KB Download
Summary of Remuneration Policy 19 KB Download
Shareholder Rights Directive Engagement Policy 145 KB Download
Annual Report of SDR II Engagement Policy 207 KB Download
Annual Report
Semi-Annual Report
Fact Card - Class A (EUR) Acc.
Fact Card - Class A (EUR) Dis.
Fact Card - Class A (SEK)
Fact Card - Class A (USD)
Fact Card - Class C (USD)
Fact Card - Class I (AUD)
Fact Card - Class I (CHF)
Fact Card - Class I (EUR)
Fact Card - Class I (GBP) Acc.
Fact Card - Class I (GBP) Dis.
Fact Card - Class I (JPY)
Fact Card - Class I (NOK)
Fact Card - Class I (USD) Acc.
Fact Card - Class I (USD) Dis.
Fact Card - Class K (EUR)
BXDMS June Fund Update View
BXDMS September Fund Update View
BXDMS Areas of Opportunity View
Document Name Action
Share Class A (AUD) Acc.
Share Class A (AUD) Dist.
Share Class A (CAD) Acc.
Share Class A (CAD) Dist.
Share Class A (CHF) Acc.
Share Class A (CHF) Dist.
Share Class A (DKK) Acc.
Share Class A (DKK) Dist.
Share Class A (EUR) Acc.
Share Class A (EUR) Dist.
Share Class A (GBP) Acc.
Share Class A (GBP) Dist.
Share Class A (JPY) Acc.
Share Class A (JPY) Dist.
Share Class A (NOK) Acc.
Share Class A (NOK) Dist.
Share Class A (SEK) Acc.
Share Class A (SEK) Dist.
Share Class A (USD) Acc.
Share Class A (USD) Dist.
Share Class B (USD) Acc.
Share Class C (CHF) Acc.
Share Class C (CHF) Dist.
Share Class C (EUR) Acc.
Share Class C (EUR) Dist.
Share Class C (USD) Acc.
Share Class C (USD) Dist.
Share Class I (AUD) Acc.
Share Class I (AUD) Dist.
Share Class I (CAD) Acc.
Share Class I (CAD) Dist.
Share Class I (CHF) Acc.
Share Class I (CHF) Dist.
Share Class I (DKK) Acc.
Share Class I (DKK) Dist.
Share Class I (EUR) Acc.
Share Class I (EUR) Dist.
Share Class I (GBP) Acc.
Share Class I (GBP) Dist.
Share Class I (JPY) Acc.
Share Class I (JPY) Dist.
Share Class I (NOK) Acc.
Share Class I (NOK) Dist.
Share Class I (SEK) Acc.
Share Class I (SEK) Dist.
Share Class I (USD) Acc.
Share Class I (USD) Dist.
Share Class Z (USD) Acc.
Share Class Z (USD) Dist.
Share Class Ticker NAV As Of
Share Class A (AUD) Acc. BXDMSAA
Share Class A (AUD) Dist. BXDMSBA
Share Class A (CAD) Acc. BXDMSAT
Share Class A (CAD) Dist. BXDMSBT
Share Class A (CHF) Acc. BXDMSAC
Share Class A (CHF) Dist. BXDMSBC
Share Class A (DKK) Acc. BXDMSAD
Share Class A (DKK) Dist. BXDMSBD
Share Class A (EUR) Acc. BXDMSAE €9.00 08/11/2020
Share Class A (EUR) Dist. BXDMSBE €8.49 08/11/2020
Share Class A (GBP) Acc. BXDMSAG
Share Class A (GBP) Dist. BXDMSBG
Share Class A (JPY) Acc. BXDMSAJ
Share Class A (JPY) Dist. BXDMSBJ
Share Class A (NOK) Acc. BXDMSAN
Share Class A (NOK) Dist. BXDMSBN
Share Class A (SEK) Acc. BXDMSAS kr88.59 08/11/2020
Share Class A (SEK) Dist. BXDMSBS
Share Class A (USD) Acc. BXDMSAU $9.83 08/11/2020
Share Class A (USD) Dist. BXDMSBU
Share Class B (USD) Acc. BXDMSMU
Share Class C (CHF) Acc. BXDMSCC
Share Class C (CHF) Dist. BXDMSDC
Share Class C (EUR) Acc. BXDMSCE
Share Class C (EUR) Dist. BXDMSDE
Share Class C (USD) Acc. BXDMSCU $9.42 08/11/2020
Share Class C (USD) Dist. BXDMSDU
Share Class I (AUD) Acc. BXDMSIA AU$9.79 08/11/2020
Share Class I (AUD) Dist. BXDMSJA
Share Class I (CAD) Acc. BXDMSIT
Share Class I (CAD) Dist. BXDMSJT
Share Class I (CHF) Acc. BXDMSIC CHF8.69 08/11/2020
Share Class I (CHF) Dist. BXDMSJC
Share Class I (DKK) Acc. BXDMSID
Share Class I (DKK) Dist. BXDMSJD
Share Class I (EUR) Acc. BXDMSIE €9.26 08/11/2020
Share Class I (EUR) Dist. BXDMSJE €10.01 08/11/2020
Share Class I (GBP) Acc. BXDMSIG £9.49 08/11/2020
Share Class I (GBP) Dist. BXDMSJG £9.02 08/11/2020
Share Class I (JPY) Acc. BXDMSIJ ¥928.95 08/11/2020
Share Class I (JPY) Dist. BXDMSJJ
Share Class I (NOK) Acc. BXDMSIN NOK103.00 01/17/2019
Share Class I (NOK) Dist. BXDMSJN
Share Class I (SEK) Acc. BXDMSIS
Share Class I (SEK) Dist. BXDMSJS
Share Class I (USD) Acc. BXDMSIU $10.20 08/11/2020
Share Class I (USD) Dist. BXDMSJU $8.82 08/11/2020
Share Class Z (USD) Acc. BXDMSZU
Share Class Z (USD) Dist. BXDMSYU

IMPORTANT RISKS


All investors should consider the investment objectives, risks, charges and expenses of the Fund), carefully before investing. The Key Investor Information Document (‘KIID’), Prospectus and Supplement (collectively, the “Offering Documents”) contain this and other information about the Fund. All KIIDs are available in English, and certain share class specific KIIDs are available in French, German, Dutch, Danish, Finnish, Swedish, Norwegian, Spanish, Greek and Italian. All investors are urged to carefully read the Offering Documents in their entirety before investing. 

This page is not an offer to sell the Fund’s securities and is not soliciting an offer to buy the Fund’s securities in any jurisdiction where the offer or sale is not permitted.

The price information contained herein is estimated and unaudited and subject to change. Past performance is not necessarily indicative of future results. The value of the Fund’s shares may go down as well as up and there can be no assurance the Fund will achieve its objectives or avoid significant losses.

An investment in the Fund should be considered a speculative investment that entails substantial risks; you may lose part or all of your investment or your investment may not perform as well as other similar investments. The Fund’s investments involve significant risks including, but not limited to, loss of all or a significant portion of the investment due to leveraging, synthetic short-selling, derivatives or other speculative practices. Other risks include, but are not limited to: allocation risk, conflicts of interest risk, counterparty risk, foreign investments risk, high portfolio turnover risk, model and technology risk, multi-manager risk and volatility risk. See “Risk Factors” of the prospectus for a detailed discussion of these and other risks applicable to the Fund.

Blackstone Diversified Multi-Strategy Fund is a sub‐fund of Blackstone Alternative Investment Funds plc, an umbrella fund established as a UCITS with segregated liability between sub funds. Blackstone Alternative Investment Funds plc is authorised in Ireland and regulated by the Central Bank of Ireland.

Conflicts of Interest

Blackstone and the Sub-Advisers have conflicts of interest that could interfere with their management of the Fund. These conflicts, which are disclosed in the Fund’s Statement of Additional Information, include, without limitation:

  • Selection of Sub-Advisers. Blackstone compensates the Sub-Advisers out of the management fee it receives from the Fund. This could create an incentive for Blackstone to select Sub-Advisers with lower fee rates.
  • Financial Interests in Sub-Advisers and Service Providers. Blackstone, the Sub-Advisers, and their affiliates have financial interests in asset managers and financial service providers. Allocating to an affiliate (or hiring such entity as a service provider) benefits The Blackstone Group Inc. or the relevant Sub-Adviser and redemptions from an affiliate (or terminating such entity as a service provider) would be detrimental to The Blackstone Group Inc. or the relevant Sub-Adviser. For example:
    • Blackstone Strategic Capital Advisors L.L.C. (“BSCA”), an affiliate of BAIA, manages certain funds (the “BSCA Funds”) that acquire equity interests in established alternative asset managers (the “Strategic Capital Managers”). One of the Strategic Capital Managers in which the BSCA Funds have a minority interest is Magnetar Capital Partners Inc., a control affiliate of Magnetar Asset Management LLC, a sub-adviser for the Fund. The Fund will not participate in any of the economic arrangements between the BSCA Funds and any Strategic Capital Manager with which the Fund invests.
    • Blackstone Real Estate Special Situations Advisors L.L.C. (“BRESSA”), an affiliate of BAIA and an indirect wholly-owned subsidiary of The Blackstone Group Inc., serves as a Sub-Advisor Sub-Adviser. BRESSA invests primarily in liquid, commercial and residential real estate-related debt instruments.
    • GSO / Blackstone Debt Funds Management LLC (“GSO DFM”), an affiliate of BAIA and an indirect wholly‐owned subsidiary of The Blackstone Group Inc., serves as a Sub‐Adviser. GSO DFM invests primarily in below investment grade corporate credit.
    • Blackstone utilizes technology offered by Arcesium LLC (“Arcesium”) to provide certain middle- and back-office services and technology to the Fund. The parent company of a Sub-Adviser owns a controlling, majority interest in Arcesium and BAAM owns a non-controlling, minority interest in Arcesium.
  • Other Activities of Blackstone or the Sub-Advisers. The activities in which Blackstone, the Sub-Advisers, or their affiliates are involved in on behalf of other accounts may create conflicts of interest or limit the flexibility that the Fund may otherwise have to participate in certain investments. For example, if Blackstone or a Sub-Adviser comes into possession of material non-public information with respect to a company, then Blackstone or the relevant Sub-Adviser generally will be restricted from investing in securities issued by that company. Further, Blackstone generally will be restricted from investing in portfolio companies of its affiliated private equity business.
  • Allocation of Investment Opportunities. Blackstone and the Sub-Advisers (or their affiliates) manage other accounts and have other clients with investment objectives and strategies that are similar to, or overlap with, the investment objective and strategy of the fund, creating potential conflicts of interest in investment and allocation decisions. These conflicts of interest are exacerbated to the extent that the other clients are proprietary or pay higher fees or performance-based fees.
  • The value of BXDMS shares may go down as well as up and there can be no assurance that the Fund will achieve its investment objectives or avoid significant losses.
  • BAAM refers to Blackstone Alternative Asset Management L.P., the largest (by AUM) investment manager in Blackstone’s Hedge Fund Solutions Group. Blackstone Alternative Investment Advisors LLC (“BAIA”), the investment manager for BXDMS, shares employees, facilities and processes with BAAM.
  • Source: InvestHedge Billion Dollar Club (as of December 31, 2019) based on AUM.
  • AUM as of March 31, 2020, estimated and unaudited. AUM includes committed but uncalled capital.

Index Comparison
The Fund is actively managed and uses the MSCI World Total Return Index, Barclays Global Aggregate Index and HFRX Global Hedge Fund Index for performance comparison purposes only. While a proportion of the Fund's assets may be components of and have similar weightings to one or more of the referenced indices, BAIA and the sub-advisers may use their discretion to invest a significant proportion of the Fund in assets which are not included in, or with different weightings to, the indices. There is no guarantee that the Fund's performance will match or exceed any reference index. Blackstone makes no assurances as to the accuracy or completeness thereof. Indices are not investible products. Investors cannot invest directly in an index.

Glossary of Indices
Market indices obtained through Bloomberg, HFR Asset Management and MSCI, as applicable. Bloomberg Barclays Global Aggregate Bond Index: provides a broad-based measure of the global investment grade fixed-rate debt markets. It is comprised of the U.S. Aggregate, Pan- European Aggregate, and the Asian-Pacific Aggregate Indexes. MSCI World Index: A market capitalization weighted index designed to provide a broad measure of equity-market performance throughout the world. The MSCI World is maintained by Morgan Stanley Capital International, and is comprised of stocks from 23 developed markets in the world. HFRX Global Hedge Fund Index: HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe.