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Given our views on inflation, Commodities remain our highest conviction strategy. We plan to further increase and diversify the allocation as we identify high quality, carefully risk managed funds across the entire commodity spectrum (energy, metals, power, carbon, etc.)

In previous quarters, we trimmed emerging market (EM) focused managers, which we believe face headwinds as developed market (DM) rates are poised to rise. Still, there should be plenty of two-way trading for nimble managers in both rates and FX as EM central banks react to inflationary pressures and the Fed’s moves.��Risk positioning is generally lighter now for DM macro traders, who showed widely disperse outcomes in 2021 despite a commonly shared consensus view on the economy. The current inflection point may be challenging for trend formation and for directional risk takers, especially if we see more flight-to-quality reversals.

Source: Bloomberg, HFS; Daily data; Feb 14, 2019-Dec 31, 2021. Data illustrates the average daily absolute return for US natural gas and WTI crude in a 30-day rolling window. Indices are for illustrative purposes only. Please see end notes for index descriptions.

��PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

We have now scaled back most sub-strategies within Relative Value, except for FIRV (Fixed Income Relative Value), where we plan to increase allocations.

This year, we are also seeing a structurally improved opportunity set for FIRV as increased rates volatility, higher inflation and monetary policy normalization globally are benefitting the strategy.

A broad range of trades are in play, including inflation relative value, front-end STIR (short term interest rate) trading, yield curve trading and swap spread trading. Cash / futures basis and micro bond relative value are also becoming more interesting as yields and volatility rise.

As a result, we believe there should be less temptation for FIRV managers to cross into directional macro risks, thereby reducing correlations between FIRV and macro managers.

��PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

We continue to build balanced portfolios around lower net managers and retain our regional and sector overweights.��Regulatory changes transformed the landscape for China-focused funds in 2021. However, we expect fewer surprise announcements in 2022 and maintain sizeable investments with our top managers. China’s combination of secular growth themes, breadth of market (especially onshore), structural inefficiencies and investment talent is rare to find.

In Japan, our positive thesis on Japan event activity remains unchanged.��Over the long-term, US biotech has provided a rich pipeline of innovation with several paths to monetization; valuations are being tested now, so we continue to reposition with hedge managers with an equal focus on shorts.

Finally, we are starting to reallocate back to Europe, especially in event driven equities. European financial conditions are expected to remain accommodative longer than in the US while anti-trust scrutiny has not intensified to the same degree.

��PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

We maintain allocations to the ABS, Agency MBS and Corporate Long / Short sub-strategies.

We are cognizant many spreads remain near historic tights and believe our manager selection already anticipates a hiking cycle. 2022 should offer an improved opportunity set with elevated corporate activity, dispersion across companies and inflation / rate-driven volatility.��Our core allocations in Corporate Long / Short are now complemented by opportunistic long-biased exposure to the China property sector and a short-biased thematic investment in IG CDX.

ABS allocations are concentrated in US consumer-exposed sectors and our Agency MBS exposures are expected to benefit from the slowing prepayment environment.

��PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

The use of indices is for illustrative purposes only.

MAATEURO Index

MAATEURO-M&A announced transactions, Euro, is the daily sum of mergers, acquisitions, divestitures, self-tenders and spinoffs announced involving either a European target or acquirer. All amounts not in US dollars have been converted using the spot rate on announce date of the transaction. The values are based on a seven day week that begins on Saturday and ends on Friday. All daily values for Monday include activity from the previous weekend. These exclude terminated transactions. History is stored independently for daily, weekly, monthly, quarterly and yearly frequencies.

The Freddie Mac US Mortgage Market Survey Index (NMCMFUS)

The Freddie Mac US Mortgage Market Survey Index (NMCMFUS) surveys lenders on the rates and points for their most popular 30-year fixed-rate, 15-year fixed-rate and 5/1 hybrid amortizing adjustable-rate mortgage products. The survey is based on first-lien prime conventional conforming home purchase mortgages with a loan-to-value of 80 percent. In addition, the adjustable-rate mortgage (ARM) products are indexed to U.S. Treasury yields and lenders are asked for both the initial coupon rate and points as well as the margin on the ARM products. Currently, lenders surveyed each week are a mix of lender types – thrifts, credit unions, commercial banks and mortgage lending companies – is roughly proportional to the level of mortgage business that each type commands nationwide. The survey is collected from Monday through Wednesday and the results are released on Thursdays at 10 a.m. ET. Average rates and points (and margin for the 5/1 ARM) for each product are reported for the nation.

The MBA Refinance Index (MBAVREFI)

The MBA Refinance Index (MBAVREFI) is a gauge of requests for mortgage loan refinancings.The MBA refinance index is a leading indicator of prepayment speeds and mortgage loan production volatility. It reflects loan applications, so changes in actual refinance fundings tend to lag changes in the index by about 45 days.

CLA Comdty Index

Oil: WTI Crude future (BBG ticker: CLA Comdty).

Natgas

NYMEX US Natural Gas Futures (BBG ticker: NG1 Comdty).

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The strategies described herein are speculative and entail substantial risks which may place your capital at risk. An investment in these strategies includes the risks inherent in an investment in securities, as well as specific risks associated with limited liquidity, the use of leverage, short sales, options, futures, derivative instruments, investments in non-US securities and illiquid investments. The Fund invests largely in other unregulated hedge funds. Such a portfolio of hedge funds may increase an investor’s volatility for potential losses or gains.

A particular manager of any strategy, from time to time, may invest a substantial portion of the assets managed in an industry sector. As a result, the manager’s investment portfolio may be subject to greater risk and volatility than if investments had been made in the securities of a broader range of issues. There can be no assurances that any particular strategy (hedging or otherwise) will be successful or that it will employ such strategies with respect to all or any portion of its portfolio. These strategies can be highly illiquid, are not required to provide periodic pricing or valuation to investors, and may involve complex tax strategies.

The strategies may be highly leveraged and the volatility of the price of its interests may be great. The fees and expenses charged by any individual manager of a strategy may substantially offset any trading profit.

The views expressed are as of February 2022 and are a general guide to the views of, a division within �۶���Ƶ Hedge Fund Solutions, a distinct business unit of �۶���Ƶ Asset Management (Americas) LLC (“�۶���Ƶ Hedge Fund Solutions”). This document does not replace portfolio and fund-specific materials. Commentary is at a macro or strategy level.

Please note that past performance is not a guide to the future. Potential for profit is accompanied by the possibility of loss. The value of investments and the income from them may go down as well as up and investors may not get back the original amount invested. This document is a marketing communication. Any market or investment views expressed are not intended to be investment research. The document has not been prepared in line with the requirements of any jurisdiction designed to promote the independence of investment research and is not subject to any prohibition on dealing ahead of the dissemination of investment research. The information contained in this document does not constitute a distribution, nor should it be considered a recommendation to purchase or sell any particular security or fund. The information and opinions contained in this document have been compiled or arrived at based upon information obtained from sources believed to be reliable and in good faith. All such information and opinions are subject to change without notice.

A number of the comments in this document are based on current expectations and are considered “forward-looking statements.” Actual future results, however, may prove to be different from expectations. The opinions expressed are a reflection of���۶���Ƶ Hedge Fund Solutions best judgment at the time this document is compiled and any obligation to update or alter forward-looking statements as a result of new information, future events, or otherwise is disclaimed. Furthermore, these views are not intended to predict or guarantee the future performance of any individual security, asset class, and the markets generally, nor are they intended to predict the future performance of any �۶���Ƶ Hedge Fund Solutions portfolio or fund.

Except where otherwise indicated herein, the information provided herein is based on matters as they exist as of the date of preparation and not as of any future date, and will not be updated or otherwise revised to reflect information that subsequently becomes available or circumstances existing or changes occurring after the date hereof. Certain information contained in this presentation constitutes “forward-looking statements,” which can be identified by the use of forward-looking terminology such as “may,” “will,” “should,” “expect,” “anticipate,” “target,” “project,” “estimate,” “intend,” “continue,” or “believe,” or the negatives thereof of other variations thereon or comparable terminology. Due to various risks and uncertainty, actual events or results or the actual performance of a Fund may differ materially from those reflected or contemplated in such forward-looking statements.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.