Firm Background

Strategy Overview

Catalio seeks to achieve risk-adjusted capital growth through investment in equity securities and other equity-related instruments principally in the innovative healthcare sector including global biotechnology, pharmaceuticals, medical devices, life science tools, diagnostics and data.

The principal investment strategy is based upon a fundamental bottom-up research-intensive security selection process aimed at identifying mis-priced risk in these innovative healthcare securities. These primary mis-priced risks may include clinical, regulatory, intellectual property, new product launches and corporate actions. Catalio expects to analyze data on a company-by-company basis and seeks to capitalize on the difference between the market valuation of a security and what it considers to be the value of the underlying businesses of the company. Catalio looks to identify a catalyst path or series of events where the market can re-price risk.

Firm Background

Strategy Overview

Fort Baker manages a portion of the Fund’s assets primarily using catalyst-driven investing in global equity markets across the capital structure. Fort Baker seeks to identify securities that, at current valuations, will either positively or negatively benefit from certain complex, non-fundamental corporate catalysts. Examples of these catalysts include: mergers and acquisitions (both hostile and distressed), corporate tender offers, spin-offs and split-offs, re-financings, and other corporate restructurings, in addition to regulatory, legislative, or legal issues, proxy contests, activist situations, and other capital markets issues.

Fort Baker also may invest in capital structure arbitrage, relative value and catalyst trades involving warrants, preferred securities, convertible bonds, high yield and other debt instruments and debt and equity derivative/synthetic securities.

Firm Background

Strategy Overview

Harvest, a wholly-owned subsidiary of Blackstone Inc. and an affiliate of BAIA, is an investment adviser within the Blackstone Multi-Asset Investing group (“BXMA”).

Harvest is an equity long/short manager with a focus on generating uncorrelated long/short spread in the North American energy infrastructure sector. Harvest intends to invest (both long and short) in common equities as well as preferred equity instruments in these companies’ capital structures.

Harvest’s principal objective is to provide risk-adjusted total returns from long and short investments in several megatrends impacting infrastructure assets including: an energy transition to lower emission sources, a focus on rebuilding depreciated transportation and logistics assets, and increasing connectivity through digital infrastructure buildout. Harvest’s strategy has a focus on limited market exposure, reduced volatility as compared to broader benchmarks, in addition to protecting capital during periods of negative absolute performance in its markets through the use of hedging and short positions.

Firm Background

Strategy Overview

Maren’s investment strategy seeks to generate attractive absolute returns by investing in a select number of companies derived from fundamental, in-depth research and a disciplined investment process. Maren seeks to invest in a concentrated portfolio that meets Maren’s investment discipline.

Maren focuses its investment approach and research process on companies and industries within its circle of competence and seeks to identify easy to understand, dominant businesses that can sustain themselves and thrive in all market environments.

Firm Background

Strategy Overview

North Reef is an equity long/short manager with a focus on the North American financial sector.

North Reef’s strategy seeks to generate a long-short spread by taking advantage of opportunities in the North American financial sector that are misunderstood or not reflected in market prices. The strategy seeks to take advantage of dislocations between stock prices and the fundamental values of the underlying businesses. North Reef manages a low net equity strategy specializing in investing across all major subsectors of Financial Services with particular emphasis on regional banks, money center banks, trust banks, broker dealers, credit card companies, payment companies, asset managers, and specialty finance companies. North Reef may also initiate derivatives transactions such as options or futures and expects to employ margin borrowings.

Firm Background

Strategy Overview

Seiga is a fundamental long/short equity manager primarily focused on Japanese markets. Seiga performs fundamental bottom-up research focusing on market inefficiencies and idiosyncratic ideas.

The strategy for the Fund seeks to generate alpha by taking advantage of mispricing across regional markets prone to dislocations. Seiga identifies investment opportunities using specific stock picking criteria with a thematic overlay. The research process includes analysis of core value drivers and the source of mispricing.  Seiga employs a disciplined and balanced approach to portfolio construction in order to make it possible to run a concentrated portfolio with full expression of fundamental stock picks.

The strategy invests primarily in equities and equity-related securities, including without limitation publicly listed equity securities, and over-the-counter or “OTC” derivatives such as swaps and contracts for differences over stocks and indexes, futures and options. However, depending on opportunities identified by the research process and subject to market conditions, the strategy may invest in a broad range of assets which Seiga reasonably determines may be made in compliance with the investment objective and strategy.

The strategy benefits from Seiga’s investment management experience in Asia markets and Seiga’s ability to leverage its extensive local network of information and relationships.

Firm Background

Strategy Overview

Seven Grand is an event-driven manager focused on new issuance opportunities within equity capital markets. Seven Grand deploys a multi-strategy, discretionary investing approach focused on making principal investments in public and privately placed securities in primary and secondary capital markets at perceived discounts commensurate to a variety of opportunity specific risks.

Seven Grand’s investments are expected to primarily consist of initial public offerings (traditional corporate and special purpose acquisition companies), follow-on offerings, and block trades. Seven Grand engages in post-deal trading of equity capital markets issuance, as well as opportunistic adjacent capital markets-related special situations as they arise (such as private investments in public equity transactions, companies associated with acquisitions or tender offers and companies associated with liquidations, special dividends, divestitures, reorganizations, bankruptcies or other broadly transformative transactions).

Seven Grand may invest in equity, preferred equity, equity related securities, convertible bonds and debt issuances.  Seven Grand may also invest in certain broad-based indices, exchange traded funds, futures, and custom derivative instruments for purposes of managing the risks associated with the investment opportunities.

Seven Grand is primarily focused on the U.S. capital markets universe but may also participate in transactions in developed international markets.

Firm Background

Strategy Overview

Bayview is a mortgage-focused manager that aims to generate capital appreciation by investing in undervalued senior residential and commercial mortgage-backed securities, senior consumer asset-backed securities and related derivatives originated after 2009. Bayview may invest in non-agency residential mortgage loans securities issued in any year. Bayview may also enter into repurchase agreements in connection with investments in non-agency residential mortgage loans and asset-backed securities.  Bayview is not prohibited from investing in private placements/Rule 144A securities, or prohibited from making an investment based solely on the credit rating of an investment.

In sourcing ideas for the strategy, the manager leverages the experience, deep team and infrastructure of the broader Bayview firm in sourcing, purchasing, special servicing and divesting whole loans. Bayview is an active purchaser of large and small pools of seasoned real-estate backed (performing and non-performing) loans from a variety of banks and government agencies. It is also an active seller of mortgage loans, including seasoned, performing assets to regional and community banks that find it advantageous to purchase performing assets in their footprints to supplement their loan originations.

Firm Background

Strategy Overview

BRESSA, a wholly-owned subsidiary of Blackstone Inc. and an affiliate of BAIA, is an investment adviser within the Blackstone Real Estate Debt Strategies group (“BREDS”).

BRESSA’s investment strategy for the Fund primarily focuses on credit-oriented, liquid high-yield real estate investments including CMBS, RMBS, corporate debt, CDOs, CLOs, CMBX, REITs, derivative instruments, rights, options, forward contracts, spot transactions, futures and swap arrangements, hedging transactions and short transactions and seeks to identify relative value opportunities between asset classes. Equity exposure is capped at 5%, however, equity securities, which are utilized in a macro portfolio hedging strategy are not counted towards that limit.

Firm Background

Strategy Overview

BX LCS, a wholly-owned subsidiary of Blackstone Inc. and an affiliate of BAIA, is an investment adviser within Blackstone’s global credit investment platform, Blackstone Credit & Insurance (“BXCI”).

BX LCS pursues a flexible mandate for the Fund in sub-investment grade credit that primarily targets investments in collateralized loan obligation (“CLO”) securities (including investment grade CLO securities) and first lien and second lien loans of North American and European issuers. BX LCS seeks to construct a diversified portfolio for the Fund within such investment types and in accordance with certain investment guidelines. BX LCS shall not invest more than 20% in BXCI-managed CLOs or 50% in European issuers.

BX LCS leverages the scale of BXCI’s platform, breadth and experience of its investment team.

Firm Background

Strategy Overview

Caspian is a credit manager that focuses on capital structure arbitrage strategies and stressed/distressed investing. Caspian seeks attractive, long-term, risk-adjusted returns by applying a flexible and opportunistic approach to investing which involves evaluating the current attractiveness of various asset classes.

Caspian can invest in a variety of securities but has historically focused on three trading strategies: 1) stressed/distressed corporate situations; 2) capital structure arbitrage; and 3) value shorting.

Most strategies are based on fundamental analysis with valuation work focusing on going concern and asset liquidation scenarios. Caspian typically creates comprehensive models to evaluate important fundamental characteristics such as asset quality, market share, industry value chain dynamics, free cash flow, liquidity, capital structure and/or possible near-term catalysts. After comparing the potential risk/reward of various credit outcomes on the entire corporate capital structure, Caspian seeks to implement favorable risk/reward strategies on a credit by credit basis, which could be expressed as stressed/distressed long, value short, or intra-capital structure long/short positions.

Firm Background

Strategy Overview

Fir Tree is a value-oriented, global asset manager founded in 1994.

Fir Tree manages a portion of the Fund’s assets using an opportunistic liquid, macro credit strategy that seeks to find attractive credit arbitrage, credit convexity and credit hedging opportunities with low-to-negative correlation to broader credit market spread performance. The strategy typically invests in liquid cash and derivative instruments including, but not limited to, bond and equity index ETFs, credit default swap indexes, government bonds and interest rate swaps, currency futures and forwards, and other credit and interest rate options and derivatives.

Firm Background

Strategy Overview

The Bright Meadow Team, an investment team within Mariner Investment Group LLC (“Mariner”), seeks to capitalize on opportunities in the Agency mortgage and Structured Products markets including through relative value positioning within the Agency Mortgage TBA (“TBA”) market and between TBA and other U.S. interest rate products.

The strategy aims to take advantage of perceived dislocations, relative value and other opportunities believed to exist across these and related markets. Mariner intends to actively manage the portfolio which may incorporate various cash and synthetic investment and hedge strategies to enhance the overall risk and return profile while seeking to maintain liquidity. In addition to structural leverage that may exist in certain investments, Mariner expects to use notional leverage and may also use other forms of financial leverage.

With the backdrop of increasing inflation, Fed tapering, and rising rates, the strategy aims to capitalize on perceived market dislocations and provide a diversified source of alpha relative to traditional fixed income and credit sectors.

Firm Background

Strategy Overview

OHA seeks to achieve attractive risk-adjusted returns by opportunistically investing in a diversified portfolio of CLO debt tranches. OHA anticipates sourcing investments through the secondary and primary markets. It is expected that the strategy will focus primarily on the debt tranches of U.S. CLOs managed by third parties. The Sub-Adviser will seek to capitalize on its deep experience as an investor in both CLOs and in the underlying leveraged loan asset class, as well as on its expertise as a CLO manager, to opportunistically source investments that it believes offer attractive risk-adjusted returns. OHA believes that its combined expertise in each of these areas offers a significant competitive advantage.

Firm Background

Strategy Overview

Clear Sky is an equity hedge manager that focuses on a fundamental, low net, relative value-oriented strategy that invests opportunistically across the capital structure of companies within the broader energy ecosystem. Clear Sky’s coverage universe includes sectors that are interrelated fundamentally and synergistic from a research and information perspective. The strategy will have a general focus on opportunities within North America.

Clear Sky’s strategy for the Fund is focused exclusively on generating absolute returns through investments in California Carbon Allowances (“CCAs”) and/or CCA futures. The strategy benefits from Clear Sky’s deep understanding of the intricate along with the regulatory, compliance, and environmental issues that are inextricably tied to the market.

Firm Background

Strategy Overview

The Sub-Adviser is engaged in energy trading across North America and European gas, power and liquids markets.

The strategy seeks to identify commodity inefficiencies and market dislocations in financial energy markets by leveraging its energy market experience and predictive modelling platform. Proprietary market intelligence gleaned from its commodity trading business coupled with fundamental supply and demand research unearths these potential relative value and directional mispricing opportunities.

The North American Energy Strategy is generally focused on generating absolute returns in North American energy markets from trading futures and options in energy commodity products. The Opportunistic Energy Strategy is focused on generating absolute returns in North American and European energy markets through deployment of additional capital where particular investment opportunities arise that can be captured by trading futures and options in certain energy commodity products. The North American Energy Strategy and Opportunistic Energy Strategy aim to identify trading opportunities which may arise from trade flows, supply, demand or infrastructure imbalances and structured trades to capture opportunities across locations and time.

Three trading desks across North America offer a combination of (i) additional capacity; (ii) ability to scale; (iii) liquidity; (iv) market depth across tenors, and (v) performance. Allocations of capital across these desks is based on VaR risk budget.

Firm Background

Strategy Overview

The Sub-Adviser is a relative value long/short credit manager focused on liquid emerging markets. The Sub-Adviser’s investment process is primarily based on fundamental research.

The Sub-Adviser’s investment strategy for the Fund predominantly invests in sovereign & quasi-sovereign cash bonds, liquid corporates, single-name CDS, CDX indices and associated liquid hedge instruments. The trading strategy is expressed in a diversified portfolio across regions and strategy types. Strategy types may include, amongst others, Deep Value, Relative Value, Momentum, Catalyst-Driven, Carry, New Issue and Liquidity Provision.

The strategy benefits from the portfolio manager’s trading acumen, active risk management techniques and the combined experience of the Sub-Adviser’s  dedicated investment team.

In addition, the Sub-Adviser also invests a portion of the Fund’s assets in an opportunistic strategy in which the Sub-Adviser leverages core credit views, security selection, and risk management expertise in a long-biased format to provide greater upside and better downside management versus the emerging market sovereign bond index.  The Sub-Adviser actively manages the portfolio, shifting exposure across the rating spectrum, countries, and securities over time.

Firm Background

Strategy Overview

Melqart manages a global macro strategy (“Melqart Keal”). Melqart Keal invests in macro opportunities aiming at delivering returns with bounded risk. The Melqart Keal portfolio is constructed through tactical allocation across equities, FX and commodities, with an emphasis on capturing risk asymmetry using derivative instruments. A quantitative risk management framework aggregated at a portfolio level is set to bound the portfolio risk and keep the return volatility within the agreed parameters.

Melqart Keal seeks to achieve this objective by relying on dynamic allocation between three cross asset sub-strategies. The first two sub strategies, (i) Macro Opportunities; and (ii) Relative Value, aim to capture temporary risk asymmetry created by price dislocation. Melqart believes that expressing fundamental views mostly through derivatives at a time where a price dislocation occurs gives the best risk-reward. The third strategy, Tail Risk, is intended to operate as an alpha generator and global portfolio overlay and, as a result, is expected to be permanent and depend on the overall risk of the portfolio. This Tail Risk strategy is long equity gap risk and seeks to protect the portfolio against adverse tail events. The size of the Tail Risk allocation will be dynamic and sized with respect to the risk held in the other strategies.

Firm Background

Strategy Overview

Merritt Point manages a global macro strategy that specializes in commodities. It employs a bottom-up, fundamental research process, paired with extensive derivatives expertise to construct a diversified portfolio of asymmetric trades. The strategy seeks to return consistent, uncorrelated returns through the market cycle with tight risk controls.

Merritt Point evaluates opportunities across all major commodity markets (energy, metals, agricultural, and emissions), screening for asymmetric pay-off structures with a value bias. The broad-based approach to sector selection allows Merritt Point to construct a diversified return stream, without relying on a single commodity or trade.

Firm Background

Strategy Overview

Bayforest is a multi-asset quantitative research firm that combines real-time statistical inference analytics with deep market expertise. It specializes in stream learning algorithms to analyse large quantities of data, built solely on proprietary infrastructure.

Bayforest’s proprietary algorithm consumes large quantities of data to infer actionable insights in real time, which in turn are used to identifying complex patterns that may be formed because of market inefficiencies.

The strategy relies solely on quantitative analysis to build signals that are translated to financial instrument orders. The end-to-end process is entirely systematic and aims to capture perceived market inefficiencies.

Firm Background

Strategy Overview

DESIM is a member of the D. E. Shaw group, a global investment and technology development firm that combines a rigorous quantitative approach with a complementary strategic focus on qualitative strategies. The strategy that DESIM deploys on behalf of the Fund seeks dynamic exposures to risk premia in core global assets along with the potential capture of more exotic forms of risk premia and opportunistic alpha. The strategy’s objective is to produce, across a variety of market conditions, attractive long-term risk-adjusted returns with moderate beta to the S&P 500 and various other major asset classes.

The strategy uses a combination of both qualitative and quantitative approaches to forecast expected returns for global assets based on modeling time-varying risk premia and various other dynamics in asset prices. The resulting portfolio is bucketed into five categories: credit, nominal rates, equities, inflation, and opportunistic.

The strategy also employs DESIM’s rigorous risk management process, which involves the application of a proprietary optimizer supplemented by a scenario-based framework focused on managing tail risk.

Firm Background

Strategy Overview

Magnetar manages a portion of the Fund’s assets primarily using a risk arbitrage strategy. The strategy involves investing in equity securities of companies that are the targets of merger transactions in an effort to capture the difference in the value of the target company and its price in the marketplace. Magnetar employs a process driven and quantitative approach to value complex merger offers and to measure and manage risk.

Magnetar’s primary strategy seeks to invest in companies with a broad range of market capitalizations that are targets of announced merger transactions, with a focus on North America, Western Europe, and Australia, but with potential to invest worldwide.

Firm Background

Strategy Overview

OTR is a quantitative equity manager. OTR employs a systematic, trading strategy focusing on publicly listed US equities. The strategy endeavors to be “market neutral,” which in this context means to be roughly balanced between long and short positions on a daily basis. The strategy trades a mix of technical, fundamental, factor, and flow based on signals with a medium term holding period. It is possible that, in the future, OTR may add other strategies that trade US equities (including in smaller capitalization ones), equities in other non-US markets, and/or futures. In all cases, it is expected that such strategies will also be systematic and focused on generating alpha, rather than having a fixed directional bias with respect to any market or asset class.

Firm Background

Strategy Overview

Two Sigma Advisers is a process-driven, systematic investment manager primarily focused on liquid markets. Two Sigma Advisers applies its technology and expertise in financial markets to seek to consistently generate uncorrelated alpha across a wide range of market conditions.

Two Sigma Advisers seeks to achieve a 360 degree view of the relevant drivers of asset prices and believes its systematic approach combines, and improves upon, traditional quantitative and discretionary methods. Intelligent computational systems translate vast amounts of information into a diversified set of investment strategies and integrate real-time risk management into the portfolio construction process.

Firm Background

Strategy Overview

Varick manages a portion of the Fund’s assets using a systematic diversified strategy approach, a subset of macro strategies which employs mathematical, algorithmic, and technical models, with little or no influence of investment personnel over the portfolio positioning. These strategies typically seek to identify opportunities in markets exhibiting trending or momentum, value, or carry characteristics across individual instruments or asset classes. Such strategies typically employ a quantitative process that focuses on statistically robust or technical patterns in the return series of the asset and highly liquid instruments. Varick’s systematic diversified macro strategy invests in liquid futures markets.  The assets traded include futures in stock indices, fixed income, currencies and commodities (energy, metals, softs and agriculturals).

Firm Background

Strategy Overview

BAIA, the Fund’s Investment Manager, allocates its assets among a variety of discretionary investment advisers (“Sub-Advisers”) with experience managing non-traditional or “alternative” investment strategies. BAIA is responsible for selecting the strategies, for identifying and retaining Sub-Advisers with expertise in the selected strategies, and for determining the amount of Fund assets to allocate to each strategy and to each Sub-Adviser. In addition, BAIA monitors the overall risk levels and investment concentrations of the Fund that are produced by the various sleeves managed by the Sub-Advisers. BAIA may enter into portfolio overlay hedging that seeks to mitigate or hedge market, interest rate, currency, issuer or other investment risk.

BAIA manages a portion of the Fund’s assets directly.

Firm Background

Strategy Overview

Endeavour is an equity market neutral manager that invests across the financial services sector, with a style that combines bottom-up fundamental research with perspective on the macroeconomic, regulatory, and financial conditions that impact the industry.

Endeavour primarily invests in securities within the banking, insurance, mortgage, specialty finance, and brokerage/asset management sectors. Endeavour evaluates investment opportunities with a stock specific lens, understanding how industry trends, economic data, and competitive dynamics impact company fundamentals to inform idea generation, analysis, and risk management.

Firm Background

Strategy Overview

Nephila manages a variety of portfolios focusing on different natural catastrophe insurance‐linked instruments that provide varying levels of risk profiles to investors. As a firm, Nephila’s edge is derived from its underwriting and structuring expertise in reinsurance and its ability to dynamically allocate capital to what it believes are opportunities in the market, including private transactions, CAT Bonds, ILWs, Indemnity Reinsurance and Retro.

The strategy that Nephila executes for Blackstone’s mutual fund is opportunistic in nature and focuses on reinsurance—specifically Catastrophe Bonds (“CAT”). The strategy seeks to provide an attractive risk-adjusted return that is largely uncorrelated with other asset classes.

Nephila leverages its CAT models, proprietary risk systems, meteorological forecasts and industry relationships to evaluate the reinsurance market. Nephila has the ability to identify both long and short opportunities (writing and buying reinsurance) to create a balanced portfolio with an attractive risk/reward profile across geographies.

Firm Background

Strategy Overview

Waterfall is a specialist credit manager focused on high-yield asset-backed securities, real estate and consumer debt investments.

Waterfall’s general investment strategy looks to develop proprietary trading ideas through quality information or negotiated transactions sourced from its extensive network of relationships and market analysis.

The Waterfall team performs intensive cash flow stress testing and due diligence on distressed situations. Waterfall’s proprietary investment process employs fundamental, technical, and cyclical analysis to analyze an investment opportunity. Following investment, Waterfall seeks to reduce market risks through conservative use of leverage and hedging strategies, and also seeks to reduce downside risk related to unanticipated credit events by proactively managing positions.