ALTERNATIVE INVESTMENT COMMENTARY*

Hedge funds started the year with declines as the HFRI Fund-of-Funds Composite Index fell by 7.3% during the
first quarter. Equity and Fixed Income markets experienced steep losses during the quarter as countries all over
the world went into lockdown to try and contain the spread of Covid-19. Specifically, ‘Event Driven’ and ‘Equity
Hedged’ strategies were among the worst performing strategies as the HFRI Event Driven (Total) Index and the
Equity Hedged (Total) Index decreased by 15.3% and 12.9%, respectively, during the quarter. Hedge Fund
Research noted that the alternative industry experienced a “historical dispersion” of performance during the
quarter. We also witnessed this divergence across our platform as a few core managers generated positive returns
while others underperformed their respected benchmarks. Our largest underperformers during the quarter were
‘Event Driven’ Equity and Fixed Income managers that have a strong focus on stressed/distressed credit. During
the month of March, there were historic levels of selling and outflows in every type of credit asset, which resulted
in a lack of liquidity for these markets. As discussed above, the lack of liquidity was so pronounced that the
Federal Reserve was forced to enter the market and buy investment grade corporate bonds. We remain confident
with the managers we have on our platform and believe they all will be able to take advantage of the many
opportunities the Covid-19 crisis has presented to the market.

*Data taken from HFRI (Hedge Fund Research Indices) as of April 15th, 2020