HFS Bulletin

Monthly hedge fund update – April 2024

Executive summary

Market and hedge fund update in a nutshell

In Equity Hedged, US Equity Hedged strategies generally produced negative returns. The period was decidedly risk-off as the reality of a ‘higher for longer’ rate environment finally appeared to settle in after another series of higher-than-expected inflation prints. European Equity Hedged strategies generally produced negative returns. While managers generally produced positive alpha during the month amid a negative tape, generalist funds were relatively flat, while sector specialists with exposure to energy outperformed. Asian Equity Hedged strategies generated mixed returns. The broader Chinese market rallied, while Japan and AI-related themes were challenged during the month.

In Relative Value, Fixed income relative value strategies generally produced positive returns. Most managers maintained low risk levels / high cash and maintained their tail hedging strategies. Capital structure / volatility arbitrage strategies generated mixed returns. As market participants were concerned about the rates, and the equity markets struggled during the month, convertible bond new issuance market was relatively quiet. Merger arbitrage and event-driven strategies generally produced negative returns. There was significant activity in terms of deals as 15 public deals, each sized USD 1bn and above, were announced throughout the month, totaling approximately USD 78bn. Agency MBS strategies generally produced positive returns. Managers were generally positive as gains were attributable to a combination of positive carry and spread tightening on mortgage derivatives. Quantitative equity strategies generated mixed returns. During the month, the quantitative equity market neutral cohort produced mixed but broadly positive performance. Prime brokers also reported positive performance for systematic managers.

In Credit / Income, Corporate credit strategies generated mixed returns. The corporate long-biased sub-strategy produced gains. All funds finished the month in positive territory as long investments in bonds and loans drove performance. Asset-backed strategies (ABS) generally produced positive returns. Most of the funds produced gains as profits were primarily driven by carry. Reinsurance / ILS strategies generally produced positive returns. April was essentially a no-loss month for both catastrophe (cat) bond and collateralized reinsurance managers.

In Trading, Discretionary trading strategies generated mixed returns. During the month, DM macro performance was somewhat mixed as managers with a more hawkish bias in rates and long exposure in commodities, particularly gold and copper, outperformed those that held onto the receiver bias and curve steepening trades. Systematic trading strategies generally produced positive returns. Trend-following strategies generated gains from commodities, currencies, fixed income, while losses occurred in equities, credit, and metals.

Index	Index	Apr-24	Apr-24	Mar-24	Mar-24	Feb-24	Feb-24	QTD	QTD	YTD	YTD	1Y Annualized Return	1Y Annualized Return	3Y Annualized Return	3Y Annualized Return	5Y Annualized Return	5Y Annualized Return	10Y Annualized Return	10Y Annualized Return	Volatility (10Y)	Volatility (10Y)
Index	MSCI World Total Return - Net USD	Apr-24	-3.71	Mar-24	3.21	Feb-24	4.24	QTD	-3.71	YTD	4.84	1Y Annualized Return	18.39	3Y Annualized Return	5.63	5Y Annualized Return	10.46	10Y Annualized Return	8.87	Volatility (10Y)	14.98
Index	FTSE US Broad Investment-Grade Bond Index	Apr-24	-2.47	Mar-24	0.85	Feb-24	-1.41	QTD	-2.47	YTD	-3.29	1Y Annualized Return	-1.51	3Y Annualized Return	-3.62	5Y Annualized Return	-0.15	10Y Annualized Return	1.21	Volatility (10Y)	4.87
Index	Barclays Global High Yield Index	Apr-24	-0.84	Mar-24	1.51	Feb-24	0.79	QTD	-0.84	YTD	1.27	1Y Annualized Return	11.25	3Y Annualized Return	0.29	5Y Annualized Return	2.72	10Y Annualized Return	3.34	Volatility (10Y)	8.61
Index	Bloomberg Commodity Index Total Return	Apr-24	2.69	Mar-24	3.31	Feb-24	-1.47	QTD	2.69	YTD	4.94	1Y Annualized Return	2.89	3Y Annualized Return	7.19	5Y Annualized Return	7.04	10Y Annualized Return	-1.54	Volatility (10Y)	14.19
Index	ICE BofA Merrill Lynch 3-month T-Bill Total Return	Apr-24	0.43	Mar-24	0.45	Feb-24	0.41	QTD	0.43	YTD	1.73	1Y Annualized Return	5.36	3Y Annualized Return	2.73	5Y Annualized Return	2.07	10Y Annualized Return	1.42	Volatility (10Y)	0.49
Index	HFRI Fund of Funds Composite Index	Apr-24	-0.11	Mar-24	1.69	Feb-24	1.74	QTD	-0.11	YTD	4.11	1Y Annualized Return	9.30	3Y Annualized Return	2.14	5Y Annualized Return	4.80	10Y Annualized Return	3.64	Volatility (10Y)	4.99
Index	HFRI Equity Hedge (Total) Index	Apr-24	-1.59	Mar-24	2.06	Feb-24	3.06	QTD	-1.59	YTD	3.46	1Y Annualized Return	12.36	3Y Annualized Return	1.80	5Y Annualized Return	7.22	10Y Annualized Return	5.62	Volatility (10Y)	8.72
Index	HFRI Event-Driven (Total) Index	Apr-24	-1.38	Mar-24	1.64	Feb-24	0.74	QTD	-1.38	YTD	0.93	1Y Annualized Return	9.92	3Y Annualized Return	2.80	5Y Annualized Return	5.85	10Y Annualized Return	4.53	Volatility (10Y)	7.14
Index	HFRI ED: Credit Arbitrage Index	Apr-24	0.15	Mar-24	1.01	Feb-24	1.12	QTD	0.15	YTD	4.57	1Y Annualized Return	12.38	3Y Annualized Return	4.89	5Y Annualized Return	5.85	10Y Annualized Return	5.07	Volatility (10Y)	6.86
Index	HFRI Macro (Total) Index	Apr-24	0.86	Mar-24	3.23	Feb-24	2.39	QTD	0.86	YTD	7.19	1Y Annualized Return	8.61	3Y Annualized Return	5.53	5Y Annualized Return	6.37	10Y Annualized Return	3.84	Volatility (10Y)	4.72
Index	HFRI Macro (Total) Systematic Diversified Index	Apr-24	0.88	Mar-24	4.08	Feb-24	4.52	QTD	0.88	YTD	10.63	1Y Annualized Return	9.34	3Y Annualized Return	5.84	5Y Annualized Return	6.08	10Y Annualized Return	3.72	Volatility (10Y)	7.71
Index	HFRI Relative Value (Total) Index	Apr-24	0.26	Mar-24	1.05	Feb-24	0.82	QTD	0.26	YTD	2.81	1Y Annualized Return	8.12	3Y Annualized Return	3.87	5Y Annualized Return	4.51	10Y Annualized Return	4.01	Volatility (10Y)	4.41

Strategy performance

Source: UBS Hedge Fund Solutions, Bloomberg, Barclays (Lehman) Live, HFR. For illustrative purpose only

Monthly hedge fund review

Overall market commentary

Risk assets generally retreated in April as investors digested continued higher US forecast inflation metrics. This recent inflation data (CPI) series served to delay expectations for interest rate cuts as well as reduced the magnitude of forecasted monetary easing for the balance of the year from the US Federal Reserve. This pause in risk-on market dynamics in April was the first in several months that featured a still resilient US economy in spite of the higher interest rate landscape. The Dow Jones Industrial Average, S&P500 and NASDAQ indices produced negative performance of 5.00%, 4.16% and 4.41%, respectively. Across Europe, equity market performance was more mixed as the monetary policy outlook remained more dovish, especially for the UK. The MSCI Europe and DAX generated negative performance of 1.45% and 3.03%, respectively, while the FTSE produced a gain of 2.13%. Asian developed markets produced negative performance with the Nikkei 225 Index falling 4.86%, in line with the broader weakness across developed markets, despite further weakening of the Japanese yen. Emerging markets generated mixed results in April as Brazilian and Indian equity markets retreated 1.7% and 1.13% respectively, while the Chinese market rebounded further, gaining 2.09%. US interest rate markets were broadly weaker on the back of the elevated inflation prints. The two-year US Treasury yield rose to 5.04% from 4.59% and the ten-year US Treasury yield increased to 4.68% from 4.20%. The Barclays US Corporate Investment Grade Index fell 2.54% in April, driven in large part by the retreat in Treasury yields. Similarly, the Barclays US Corporate High Yield Index lost 0.94%, where carry income partially offset the jump in interest rates. Commodity prices were also mixed as inflation pressure supported gold prices while the energy complex was more muted. Crude oil eased 0.6% last month while gold advanced 2.9%. In currency markets, the Euro fell 1.10% against the US dollar to 1.0668 from 1.0787, while the US dollar rallied another 3.96% against the Japanese yen from 151.34 to 157.34.

Source returns: UBS World Market Report

Equity Hedged

US Equity Hedged strategies generally produced negative returns in April. The period was decidedly risk-off as the reality of a ‘higher for longer’ rate environment finally appeared to settle in after another series of higher-than-expected inflation prints. Notable exceptions were energy-focused approaches and select market generalists. Technology and healthcare managers were challenged the most by the environment with directional biotechnology managers most negatively impacted. Small capitalization stocks also underperformed, while more defensive sectors, such as utilities, tended to outperform. From a factor perspective, the sharp upward moves in interest rates pressured growth and realized volatility, while quality and value factors were positive drivers of performance. The weakest market sector was consumer stocks, both discretionary and staples, likely driven by concerns over purchasing power. Finally, it was an overall a positive alpha month with most of the alpha generation emerging from the short side.

European Equity Hedged strategies generally produced negative returns in April. While managers generally produced positive alpha during the month amid a negative tape, generalist funds were relatively flat, while sector specialists with exposure to energy outperformed. Sector wise, consumer and financials lagged, while the energy complex was an exception. Accordingly, while autos, luxury, financials, and travel and leisure were negative for the month, miners, renewables, and healthcare were positive for the month. In terms of factors, value outperformed, while quality and volatility both lagged, along with momentum. Prime brokers reported that April was the first month in which European equities were net sold after 5 consecutive months of net buying, and it was the only net sold region for the month. There was a 4 to 1ratio of short selling to long buying over the month, primarily driven by macro products. The most net bought sector was technology and industrials, while consumer discretionary and staples were the most net sold.

Asian Equity Hedged strategies generated mixed returns in April. The broader Chinese market rallied, while Japan and AI-related themes were challenged during the month. After a strong Q1, markets in Japan were weaker in April as there was a strong momentum unwinding, driven by index selling. In China, the market staged a strong rally in the second half of the month, driven by the better-than-expected macro data and earnings which helped stage a rebound in inflows to the Chinese market.

HFRI Equity Hedge Total Index:

MTD -1.59%

QTD -1.59%

YTD 3.46%

Relative Value

HFRI Relative Value Total Index:

MTD 0.26%

QTD 0.26%

YTD 2.81%

Fixed income relative value strategies generally produced positive returns in April. Most managers maintained low risk levels / high cash and maintained their tail hedging strategies. US relative value trading added to gains for most managers through the core cash / futures basis and bond RV strategies. Global cross-currency basis and tenor basis positions were generally additive over the month. In general, European RV trades, both in cash / futures basis and country RV detracted during the month. Macro strategies were gener-ally challenged as a received bias in US rates continued to struggle versus stronger US data and hawkish Fed rhetoric. The exception was Japanese rates short exposure which performed well.

Capital structure / volatility arbitrage strategies generated mixed returns in April. As market participants were concerned about the rates, and the equity markets struggled during the month, convertible bond new issuance market was relatively quiet. Approximately USD 3.7bn of new convertible paper came to the global market. The US saw USD 933m of new issuance from one new deal. Europe offered three new deals totaling around USD 454m, and Asia priced two new deals for a total of USD 297m, the first new issuance for each region since January. In April, non-investment grade convertible bond spreads continued to tighten -16bps to 493bps, and the spread between non-investment grade convertibles and the Bloomberg HY ‘B’ Index decreased to +213bps from +243bps.

Merger arbitrage and event-driven strategies generally produced negative returns in April. There was significant activity in terms of deals as 15 public deals, each sized USD 1bn and above, were announced throughout the month, totaling approximately USD 78bn. The most notable transactions included J&J’s USD 13bn acquisition of Shockwave; Silver Lake’s USD 13bn acquisition of EDR; and Blackstone’s USD 10bn acquisition of AIRC. The market experienced an increase in sponsor activity with 6 transactions, accounting for approximately UDS 35bn in total deal value. Throughout the month, the US arbitrage potential profit pool increased by about 19% due to new deal activity combined with a broader spread widening. Equity capital markets managers generated mostly positive returns in April. Despite April’s usual earnings season activity, the US ECM activity amounted to USD 11bn via 35 offerings. US IPOs contributed most of the dollar volume, with USD 5.6bn raised via 9 offerings. All IPOs last month priced within or above the initial range, with 33% pricing above. Some of the notable deals included Viking, Rubrik, Ibotta, and Puig.

Agency MBS strategies generally produced positive returns in April. Managers were generally positive as gains were attributable to a combination of positive carry and spread tightening on mortgage derivatives. Spreads tightened across the coupon stack because of the move in rates and a favorable prepayment report.

Quantitative equity strategies generated mixed returns in April. During the month, the quantitative equity market neutral cohort produced mixed but broadly positive performance. Prime brokers also reported positive performance for systematic managers. The challenging market environment offered positive alpha opportunities for high frequency strategies as their fast-moving signals reaped the benefits of heightened volatility. Quality factors worked well as investors searched for capital protection in a down market. Crowding and short interest also contributed positively, while momentum factors were more mixed. We observed market versus between sector dispersion moving higher, suggesting the higher importance of micro drivers and a relatively large alpha pool. However, we also observed a slight decrease in within sector versus market dispersion, suggesting higher intra-sector correlation to extract sector-neutral alpha.

Credit / Income

Corporate credit strategies generated mixed returns in April. The corporate long-biased sub-strategy produced gains in April. All funds finished the month in positive territory as long investments in bonds and loans drove performance. In addition, rate and equity index hedges were also additive to performance. Overall, the HFS allocations outperformed relative to indices due to a positive catalyst for one of the core long investments. In corporate long / short, the sub-strategy produced mixed results in April. In aggregate, the sub-strategy was flat to down. There was a reasonable amount of dispersion in terms of performance between long and short positions. However, long positions generally detracted from performance, while short positions were profitable.

Asset-backed strategies (ABS) generally produced positive returns in April. Most of the funds produced gains as profits were primarily driven by carry. CLO equity investments generally outperformed. In addition, investments in synthetic risk transfer (SRT), CRT, and short duration ABS were also additive to performance. Conversely, positive duration RMBS investments generated losses due to the rate move.

Reinsurance / ILS strategies generally produced positive returns in April. April was essentially a no-loss month for both catastrophe (cat) bond and collateralized reinsurance managers. As a result, the primary driver of returns was premium income. Although, spread widening partially offset the premium carry as new issue supply volume exceeded that of maturing bonds during the month. Historically spreads have typically widened during the spring months because of the oncoming hurricane season, as we observed also in April. Pricing within the cat bond market generally seemed more attractive this month as supply and demand were in better balance than they were during Q1.

HFRI ED: Credit Arbitrage Index

MTD 0.15%

QTD 0.15%

YTD 4.57%

Trading

HFRI Macro Total Index:

MTD 0.86%

QTD 0.86%

YTD 7.19%

Discretionary trading strategies generated mixed returns in April. During the month, DM macro performance was somewhat mixed as managers with a more hawkish bias in rates and long exposure in commodities, particularly gold and copper, outperformed those that held onto the receiver bias and curve steepening trades. Japanese short rates exposure was additive. Managers with long exposure to the US dollar also fared better, while long exposure in LatAm carry currencies and JPY underperformed. Equity contribution was slightly negative as most maintained a net long bias, albeit tactical trading around the positions seemed to have offset some of the losses. Within EM, managers were generally challenged during the month across a mix of receiver trades both in EM, but also in some of the core rates markets, such as the US. There were a couple of exceptions as some managers traded more tactically from the short side. At the same time, FX, including some of the idiosyncratic frontier stories, such as Egypt, was also challenged for the month amid the stronger US dollar and geopolitical tensions in the Middle East. In commodities, energy managers experienced mixed performance as short exposure in EU natural gas detracted, and US gas trading was profitable. Within EM macro, risk levels have remained largely intact. Idiosyncratic stories, such as Egypt and Nigeria, remained popular across managers, with some also increasing exposure in Türkiye. EM receivers continued to be present, albeit noting some selective hedging there either with core rates or selective shorts in places like Chile and Brazil.

Systematic trading strategies generally produced positive returns in April. Trend-following strategies generated gains from commodities, currencies, fixed income, while losses occurred in equities, credit, and metals. Top contributors were short positions in the Japanese yen and short positions in the short end of the US yield curve. Alternative market managers produced mixed performance. Gains were concentrated in currencies, fixed income, and metals, while losses were incurred from equities, commodities, and credit. Top contributors were long positions in coffee, gold, and short positions in swaps. Key detractors included short positions in wheat, nickel, emissions contracts and long positions in the Mexican peso and the US HY CDX index. Gains in systematic managers with more diversified alpha models were primarily driven by short positions in interest rates, as well as from currencies, equities, and agriculture. Losses were incurred in metals positions. Short exposures generally increased in fixed income and currencies by the end of the month, and metals had switched to a net long exposure.

Endnotes

Strategy definitions

Equity Hedged managers generally use fundamental analysis to invest in publicly traded equities and seek to generate alpha through superior security selection. Portfolio construction is driven primarily by bottom-up fundamental research; top-down analysis may also be applied. Sub-strategies include: Fundamental, Equity Event, and Opportunistic Trading.

Trading strategies are generally top-down in nature and often driven by econometric and macroeconomic research. These strategies may utilize financial instru-ments, such as foreign exchange, equities, rates, sovereign debt, currencies, and commodities to express a manager's view. In executing different approaches, managers may use either fundamental or quantitative models or a combination of both. Sub-strategies include: Systematic, Discretionary and Commodities.

Relative value is a broad category, generally encompassing strategies that are non-fundamental and non-directional, and often quantitatively driven. Managers in this strategy typically use arbitrage to exploit mispricings and other opportunities in various asset classes, geographies, and time horizons. Managers frequently focus on capturing the spread between two assets, while maintaining neutrality to other factors, for example to geography, changes in interest rates, equity market movement, and currencies, to name a few examples. Sub-strategies include: Fixed Income Relative Value, Agency MBS, Quantitative Equity, Cap Struc-ture/Vol Arb and Merger Arbitrage.

In Credit/Income strategies, managers utilize credit analysis to evaluate potential investments and use debt or debt-linked instruments to execute their investment theses. Their approach can be either fundamental, quantitative, or a combination of both. Sub-strategies include: Distressed, Corporate Long/Short, Asset-Backed, Reinsurance / ILS, CLO/Corporate Lending and Other Income.

Other: This category contains investment approaches that are outside of the mainstream hedge fund strategies (Equity Hedged, Credit/Income, Relative Value, and Trading). The category includes nice investment approaches. Money Market funds and cash strategies are also included in this category, as are Liquidating/Side Pockets.

Risk Parity generally focuses on the passive allocation of risk, rather than of capital, in an attempt to provide a higher Sharpe ratio alternative to the traditional 60% stock / 40% bond portfolio through the use of a wider range of uncorrelated assets, low leverage, and low equity risk. Please note, while an alternative to traditional asset allocation, Risk Parity is not a hedge fund Strategy.

Index descriptions

The use of indices is for illustrative purposes only. Unlike the Fund, some indices are unmanaged, are not available for direct investment and are not subject to management fees and other fees and expenses. The Fund does not restrict its investments to securities in the indices described. No index is directly comparable to the investment strategy of the Fund. Information about the index is derived from sources that we believe to be reliable, but we have not independently verified them and do not warrant as to its accuracy or completeness.

The Barclays Corporate High Yield Index covers the universe of fixed rate, non-investment grade debt. Pay-in-kind (PIK) bonds, Eurobonds, and debt issues from countries designated as emerging markets (e.g., Argentina, Brazil, Venezuela, etc.) are excluded, but Canadian and global bonds (SEC registered) of issuers in non-EMG countries are included. Original issue zeroes, step-up coupon structures, and 144-As are also included.

The Barclays Global Aggregate Index provides a broad-based measure of the global investment-grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities.

The Citigroup Broad Investment Grade Bond Index is an unmanaged index generally representative of the performance of the investment-grade corporate and U.S. government bonds.

The Dow Jones - UBS Commodity Index Total Return index is comprised of futures contracts on 19 physical commodities. It reflects the return on fully collateralized futures positions and is quoted in USD.

The HFRI Equity Hedge Total Index is equally weighted performance index. The HFRI is broken down into four main strategies, each with multiple sub-strategies. This index represents the Equity Hedged strategy, which includes funds who maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. Equity Hedged managers would typically maintain at least 50%, and may in some cases be substantially entirely invested in equities, both long and short.

The HFRI Event-Driven (Total) Index is an equally weighted performance index. The HFRI is broken down into four main strategies, each with multiple sub-strategies. This index represents the Event Driven strategy, which is also known as corporate life cycle investing. The constituents of this index are funds investing in opportunities created by significant transactional events of a wide variety, including but not limited to spin-offs, mergers and acquisitions, tender offers, security issuance, bankruptcy reorganizations, recapitalizations and share buybacks. Event Driven exposure includes a combination of sensitivities to equity markets, credit markets and idiosyncratic, company specific developments.

HFRI FOF: Conservative Index FOFs classified as "conservative" exhibit one or more of the following characteristics: seeks consistent returns by primarily investing in funds that generally engage in more "conservative" strategies such as Equity Market Neutral, Fixed Income Arbitrage, and Convertible Arbitrage.

The HFRI FOF: Diversified Index includes fund of funds classified as "diversified." Fund of funds classified as "diversified" exhibit one or more of the following characteristics: invests in a variety of strategies among multiple managers; historical annual return and/or a standard deviation generally similar to the HFRI Fund of Fund Composite index.

The HFRI Fund of Funds Composite Index is an equally weighted performance index broken down into 37 different categories by strategy. There is no required asset-size minimum for fund inclusion in the HFRI and there is no required length of time a fund must be actively trading before inclusion in the HFRI.

The HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds that report to HFR Database. Constituent funds report monthly net of all fees performance in US Dollar and have a minimum of USD 50 million under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.

The HFRI Macro Total Index is equally weighted performance index. The HFRI are broken down into four main strategies, each with multiple sub-strategies. This index represents the Macro strategy, which involves investing by making leveraged bets on anticipated price movements of stock markets, interest rates, foreign exchange and physical commodities. Macro managers employ a "top-down" global approach, and may invest in any market using any instrument to participate in expected market movements. These movements may result from forecasted shifts in world economies, political fortunes or global supply and demand for resources, both physical and financial. Exchange-traded and over-the-counter derivatives are often used to magnify these price movements.

The HFRI Macro: Systematic Diversified Index is equally weighted performance index. The HFRI are broken down into four main strategies, each with multiple sub-strategies. The HFRI Macro: Systematic Diversified Index represents the Systematic Diversified sub-strategy, which involves investing by employing mathematical, algorithmic and technical models, with little or no influence of individuals over the portfolio positioning. Managers in these strategies employ an investment process designed to identify opportunities in markets exhibiting trending or momentum characteristics across individual instruments or asset classes. The quantitative aspect of the investment process is focused on identifying statistically robust or technical patterns in the return series of the asset, and typically highly liquid instruments. Systematic managers maintain shorter holding periods than either discretionary or mean reverting approaches. Although some systematic strategies seek to employ counter trend models, the strategy tends to benefit most from an environment characterized by persistent, discernable trending behavior.

The HFRI Relative Value (Total) Index is equally weighted performance index, utilized by numerous hedge fund managers as a benchmark for their own hedge funds. The HFRI are broken down into four main strategies, each with multiple sub-strategies. This index represents the Relative Value Arbitrage strategy, which attempts to take advantage of relative pricing discrepancies between instruments involving equities, debt, options and futures. Managers may use mathematical, fundamental, or technical analysis to determine misvaluations. Securities may be mispriced relative to the underlying security, related securities, groups of securities, or the overall market. Many funds use leverage and seek opportunities globally. Arbitrage strategies include dividend arbitrage, pairs trading, options arbitrage and yield curve trading.

The J.P. Morgan Government Bond Index is the most widely-used measure of performance of leading government bond markets. The indices measure the total, principal, and interest returns in each market and can be reported in 18 different currencies. By including only traded issues, the Index provides a realistic measure of market performance for international investors

The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. As of June 2007 the MSCI World Index consisted of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States.

The MSCI EMF Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets.

The MSCI World Total Return Index uses the same methodology as the MSCI USD World Index but also includes reinvestment of dividends. Net Dividends: This series approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The index performance has been translated into the feeder currency using the applicable daily currency exchange rate from Bloomberg.

The Nikkei 225 JPY Index Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange.

Standard and Poor's 500 Index (S&P500) is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

S&P GSCI Total Return Index is a fully-collateralized index, showing total return an investor would receive from S&P GSCI excess return plus T-bill return on the collateral. Its components are updated on a yearly basis and include energy, industrial metals, precious metals, livestock, and agricultural commodities. The S&P GSCI can offer a benchmark for investment performance in the commodity markets.

Disclaimer

This document has been prepared by UBS Hedge Fund Solutions, a distinct business unit of Asset Management (Americas) LLC (“UBS Hedge Fund Solutions” or “HFS”), a provider of hedge fund strategies. It contains UBS Hedge Fund Solutions' view of market events during the specified period and all such information and opinions are subject to change without notice, and does not pertain specifically to products managed or advised by UBS Hedge Fund Solutions. The materials are provided for information purposes only and do not constitute investment advice. The information contained herein is believed to be reliable but its accuracy is not guaranteed. This publication encompasses UBS Hedge Fund Solutions’ views based on our internal manager universe and are subject to change. The universe includes managers that are either invested in or followed by UBS Hedge Fund Solutions and does not represent all hedge fund managers and strategies available in the industry. Any indices shown throughout this report are for illustrative purposes only and not a representation of UBS Hedge Fund Solutions’ universe performance.

This document is for informational purposes only and is not intended to be construed as an invitation or offer of securities or to conclude a contract or to buy and sell any security or related financial instrument. Such an offer will only be made by means of a confidential offering memorandum. Please read the offering material before making any final investment decision. This material is confidential and intended solely for the information of the person to whom it has been delivered and may not be distributed in any jurisdiction where such distribution would constitute a violation of applicable law or regulations or to certain categories of investors. Recipients may not reproduce or transmit it, in whole or in part, to third parties. Unless you are investing in a UCITS fund the program described herein is for sophisticated investors or professional clients as the program by its nature involves a substantial degree of risk. If this material concerns a UCITS fund, please see the UCITS information listed below. This document is not to be distributed to or relied upon by retail clients under any circumstances. The information in this document does not constitute advice and does not take into consideration your investment objectives, legal, financial or tax situation or particular needs in any other respect. Investors should seek professional advice as to the suitability of the program. Note while UBS does not provide tax advice, future performance is subject to taxation which depends on the personal situation of each investor, and which may change in the future, therefore investor should consult with their own tax advisor for further guidance. If conflicts exist between this document and the applicable offering memorandum, the offering memorandum takes precedence. Any returns presented may or may not be indicative of the returns of the share class, series, and/or fund offered to you. Commissions and costs have a negative impact on performance. Should the currency of a financial product or service not match your reference currency, performance may rise or fall due to currency fluctuations. Your actual returns may be different and can be determined from the statements sent by the fund's administrator.

Unless otherwise noted, the information used to create information presented was based solely on information collected and retained by the investment manager and is believed to be reliable, but its accuracy cannot be guaranteed. Information used herein may have been obtained from third party sources including affiliates and as such the investment manager makes no representations as to the accuracy of such source or information which is subject to change without notice to the recipient. Notwithstanding the foregoing, third party funds and managers have neither reviewed nor approved any of the charts, graphs or other materials prepared by UBS Hedge Fund Solutions, a distinct business unit of UBS Asset Management (Americas) LLC, based on information contributed by such third party funds and managers. If contained in a presentation, the information herein is not intended to be read in isolation and may not provide a full explanation of all of the topics that were presented and discussed. All such information and opinions are subject to change without notice. Neither this document nor the securities nor any other financial instruments referred to herein have been registered or filed with or approved or disapproved by any regulatory authority of any country or jurisdiction, and no regulatory authority has passed upon or endorsed upon the merits of this product or the accuracy or adequacy of this document. UBS may have a position in and may make a purchase and/or sale of any of the securities or other financial instruments mentioned in this document. This document may contain statements that constitute "forward-looking statements", including, but not limited to, statements relating to our future business development. While these forward-looking statements represent our judgments and future expectations concerning the development of our business, a number of risks, uncertainties and other important factors could cause actual developments and results to differ materially from our expectations. Any market or investment views expressed are not intended to be investment research. Source for all data and charts (if not indicated otherwise): UBS Asset Management, a business division of UBS AG.

The securities offered hereby (if this presentation concerns a Fund) are not deposits or other obligations of UBS or any other Bank, are not endorsed or guaranteed by UBS or any other Bank, are not insured by the Federal Deposit Insurance Corporation (FDIC) or any other Governmental Agency and involve investment risks, including loss of principal invested.

Any losses in the Fund presented herein will be borne solely by investors in the Fund and not by the Investment Manager or its affiliates; therefore, the Investment Manager and its affiliates' losses in the Fund will be limited to losses attributable to the ownership interests in the covered fund held by the investment Manager and its affiliates in their capacity as investors in the Fund.

As an investor, you should read the Fund Documentation prior to investing in the Fund. An affiliate of the Investment Manager may serve as the Administrator of the Fund, and the Investment Manager may engage affiliates as Prime Brokers for the Fund. None of these entities will bear any losses for the fund.

Past performance (whether simulated or actual) is not indicative of future results. Potential for profit is accompanied by possibility of loss.

For Switzerland: For marketing and information purposes. This document has been issued by UBS Asset Management Switzerland AG, a company registered under the Laws of Switzerland, and its affiliates. The following paragraph refers only to fund(s) mentioned in this document, which are distributed in or from Switzerland, which are managed by UBS and/or any of its affiliates and having UBS Fund Management (Switzerland) AG as Representative in Switzerland. Any such fund(s) referenced herein are intended only for Swiss qualified investors pursuant to Art 10 of the Collective Investment Schemes Act (CISA) and are not allowed to be distributed to the retail public (i.e. non-qualified investors).

Information for Swiss qualified Investors: Representative in Switzerland is UBS Fund Management Switzerland) AG, Aeschenplatz 6, 4052 Basel. Paying Agent in Switzerland: UBS Switzerland AG, Bahnhofstrasse 45, 8001 Zürich.

The relevant Legal Fund Documents to this fund (s) are available free of charge from the Representative in Switzerland. Before any investment, please read the latest Legal Fund Documents. The information herein is not intended to be construed as a solicitation or an offer to invest in the fund(s). Past performance is not a reliable indicator of future results. The performance shown does not take account of any commissions and costs charged when subscribing and redeeming. If the currency of the fund(s) is different from your reference currency, the return can increase or decrease as a result of currency fluctuations. This information pays no regard to the specific or future investment objectives, financial or tax situation or particular needs of any specific recipient. The details and opinions contained in this document are provided by UBS Hedge Fund Solutions, a distinct business unit of UBS Asset Management (Americas) LLC, without any guarantee or warranty and are for the recipient's personal use and information purposes only. This document and its contents have not been reviewed by any regulatory authority in Switzerland.

For USA: This document has been issued by UBS Hedge Fund Solutions, a distinct business unit of UBS Asset Management (Americas) LLC, for distribution to professional clients or sophisticated investors only. Funds are offered through UBS Asset Management (US) Inc./UBS Financial Services Inc. (a member of FINRA and SIPC). UBS Asset Management (Americas) LLC, (an investment adviser registered with the US Securities and Exchange Commission) and UBS Financial Services Inc./UBS Asset Management (US) Inc. are indirect wholly-owned subsidiaries of UBS AG.

For UK/Jersey: UBS Asset Management (UK) Ltd is a subsidiary of UBS AG. Registered in England. UBS Asset Management (UK) Ltd and UBS Asset Management Funds Ltd are authorised and regulated by the Financial Conduct Authority. UBS Asset Management Life Ltd is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority. Telephone calls may be recorded. This document is for Professional Clients only. It is not to be distributed to or relied upon by Retail Clients under any circumstances. This material supports the presentation(s) given. It is not intended to be read in isolation and may not provide a full explanation of all the topics that were presented and discussed. Care has been taken to ensure the accuracy of the content, but no responsibility is accepted for any errors or omissions.

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 FCA ) requirements designed to promote the independence of investment research and is not subject to any prohibition on dealing ahead of the dissemination of investment research. Source for all data and charts (unless otherwise stated): UBS Asset Management. This document does not create any legal or contractual obligation with UBS Asset Management. The recipient agrees that this information shall remain strictly confidential where it relates to the Investment Manager's business. The prior consent of UBS Asset Management (UK) Ltd should be obtained prior to the disclosure of commercially sensitive information to a third party (excluding the professional advisors of the recipient). Information reasonably deemed to be commercially sensitive and obtained from UBS Asset Management (UK) Ltd should not be disclosed. This information is supplied with a reasonable expectation that it will not be made public. If you receive a request under the Freedom of Information Act 2000 for information obtained from UBS Asset Management (UK) Ltd we ask that you consult with us. We also request that any information obtained from UBS Asset Management (UK) Ltd in your possession is destroyed as soon as it is no longer required.

For EMEA: This document has been issued by UBS AG, a company registered under the Laws of Switzerland, and its affiliates. In relation to each member state of the EEA which, at the date of this document, has implemented the Alternative Investment Fund Managers Directive (Directive (2011/61/EU), the "AIFMD"), this document may only be distributed, and Shares in the Fund may only be offered or placed, in a member state to the extent that: (i) the Fund is permitted to be marketed to professional investors in the relevant member state (as implemented in the local law/regulation of that member state); or (ii) this document may otherwise be lawfully distributed and/or the Shares in the Fund may otherwise be lawfully offered or placed in that member state (including at the initiative of the investor). In relation to each member state of the EEA which, at the date of this document, has not implemented the AIFMD, this document may only be distributed, and Share in the Fund may only be offered or placed, to the extent that this document may be otherwise lawfully distributed and the Shares in the Fund may be lawfully offered or placed in that member state (including at the initiative of the investor). Such an offer will only be made by means of a confidential offering memorandum. Please read the offering material before making any final investment decision. Any decision to invest should be based on all the characteristics or objectives described in the prospectus or other legal documentation or information. If applicable the product(s) described herein align(s) to Article 6 of Regulation (EU) 2019/2088. Information on sustainability-related aspects pursuant to that regulation can be found on www.ubs.com/funds.

UBS AG and its affiliates, including, but not limited to UBS Asset Management (UK) Ltd, and any products or services mentioned in this document: (i) have not been approved by or registered with; and (ii) do not fall under the supervision of, the Securities and Commodities Authority of the United Arab Emirates.

For UCITS, Irish ICAVs and funds domiciled in Luxembourg, please reference the below disclaimers:

Before investing in a product please read the latest prospectus and key investor information document carefully and thoroughly. 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, but is not guaranteed as being accurate, nor is it a complete statement or summary of the securities, markets or developments referred to in the document. Members of the UBS Group may have a position in and may make a purchase and / or sale of any of the securities or other financial instruments mentioned in this document. Units of UBS funds mentioned herein may not be eligible for sale in all jurisdictions or to certain categories of investors and may not be offered, sold or delivered in the United States. The information mentioned herein is not intended to be construed as a solicitation or an offer to buy or sell any securities or related financial instruments. Past performance is not a reliable indicator of future results. The performance shown does not take account of any commissions and costs charged when subscribing to and redeeming units. Commissions and costs have a negative impact on performance. If the currency of a financial product or financial service is different from your reference currency, the return can increase or decrease as a result of currency fluctuations. This information pays no regard to the specific or future investment objectives, financial or tax situation or particular needs of any specific recipient. The details and opinions contained in this document are provided by UBS without any guarantee or warranty and are for the recipient's personal use and information purposes only. This document may not be reproduced, redistributed or republished for any purpose without the written permission of UBS Asset Management Switzerland AG or a local affiliated company. Source for all data and charts (if not indicated otherwise): UBS Asset Management. A summary of investor rights in English can be found online at www.ubs.com/funds. More explanations of financial terms can be found at ubs.com/am-glossary

For retail investors: Investors are acquiring units or shares in a fund, and not in a given underlying asset such as building or shares of a company.

For registered funds under Luxembourg, Swiss, German and Irish law: Arrangements for marketing fund units mentioned in this document may be terminated at the initiative of the management company of the fund(s).

For Austria: Prospectuses, key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge online at www.ubs.com/funds.
For Belgium: Prospectuses, key information documents (KID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge from UBS 18th floor, Amstelplein 1, 1096 HA Amsterdam and online at www.ubs.com/funds.
For Cyprus: Prospectuses, key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge from UBS Asset Management Switzerland AG, c/o UBS AG, Bahnhofstrasse 45, 8001 Zürich or from Bank of Cyprus PLC and online at www.ubs.com/funds.
For Denmark: Prospectuses, key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge from UBS Asset Management, Regeringsgatan 38, 11153 Stockholm or from UBS Europe SE, Denmark Branch, filial af UBS Europe SE, Sankt Annae Plads 13, 1 TH, 1250 Copenhagen, Denmark and online at www.ubs.com/funds.
For Finland/Iceland/Norway: Prospectuses, key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge from UBS Asset Management, Regeringsgatan 38, S-11153 Stockholm and online at www.ubs.com/funds.
For France: This fund has obtained authorization for marketing in France. Prospectuses, Key Investor Information (KIID), the articles of association or the investment regulations and the annual and semi-annual reports of the UBS Funds may be obtained free of charge from the management company of the Fund, the Autorité des Marchés Financiers or, as the case may be, UBS (France) SA, 69, boulevard Haussmann, 75008 Paris, and online at www.ubs.com/funds.
For Greece: Prospectuses, key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge from UBS Asset Management Switzerland AG, c/o UBS AG, Bahnhofstrasse 45, 8001 Zürich and online atwww.ubs.com/funds.
For Hungary: Prospectuses, key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge from UBS Asset Management Switzerland AG, c/o UBS AG, Bahnhofstrasse 45, 8001 Zürich, Switzerland and online at www.ubs.com/funds.
For Italy: Prospectuses, key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports may be obtained in a language required by the local applicable law free of charge from UBS Asset Management (Italia) – SGR S.p.A., Via del Vecchio Politecnico, n. 3, 20121 Milano (MI), Italy and online at www.ubs.com/funds.
For Ireland: Prospectuses, supplements, key investor information documents (KIID), the memorandum and articles of association as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge from MUFG Alternative Fund Services (Ireland) Limited, 12-13 Leeson Street Lower, Saint Kevin's, Dublin, Ireland and online at www.ubs.com/funds.
For Liechtenstein: Prospectuses, key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds in German are available in a language required by the local applicable law free of charge from Liechtensteinische Landesbank Aktiengesellschaft and online at www.ubs.com/funds.
For Luxembourg: Prospectuses, key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge from UBS Europe SE, Luxembourg Branch, P.O. Box 2, L-2010 Luxembourg and online at www.ubs.com/funds.
For Malta: UBS funds Select Alternative Strategies ICAV and all cells underneath the umbrella managed by UBS Hedge Fund Solutions, a distinct business unit of UBS Asset Management (Americas) LLC, A&Q (Lux) Select FCP RAIF - A&Q (Lux) Select Trading, Dasym II SICAV RAIF are regulated by the Commission de Surveillance du Secteur Financier (CSSF) in Luxembourg. The funds are marketed in Malta under the terms of the EU UCITS directives. Calamatta Cuschieri Investment Services Ltd is licensed to conduct Investment Services business by the Malta Financial Services Authority. Investments by Maltese residents in funds denominated in foreign currency are subject to the External Transactions Act (Cap 233). Prospectuses, key investor information (KIID), the articles of association and the management regulations as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge from CRYSTAL Finance Investments Ltd and other authorised intermediaries and online at www.ubs.com/funds.
For Netherlands: Prospectuses, key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge from UBS Europe SE Nederlandse Vestiging or on the internet at www.ubs.com/funds.
For Portugal: Prospectuses, key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge from UBS Europe SE, Luxembourg Branch, P.O. Box 2, L-2010 Luxembourg and online at www.ubs.com/funds. For more information on the distribution of UBS funds, in particular the applicable tax regime, please consult the Supplementary Information Memorandum for Portugal, available free of charge from the placing agent.
For Spain: Prospectuses, key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge from UBS Europe SE, sucursal en España, MARÍA DE MOLINA Nº 4, E-28006 MADRID / AVENIDA DIAGONAL Nº 640, 2º A, E-08017 BARCELONA / FERNÁNDEZ Y GONZÁLEZ Nº 2, PLANTA PRINCIPAL, E-41001 SEVILLA / C/ROGER DE LAURIA Nº 7, 1ª PLANTA, E-46002 VALENCIA / COSO Nº 33, 5º A, E-50003 ZARAGOZA, CANTÓN PEQUEÑO 15, 4º, E-15003 A CORUÑA and online at www.ubs.com/funds.
For Sweden: Prospectuses, key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are available in a language required by the local applicable law free of charge online at www.ubs.com/funds.
For United Kingdom: UBS Asset Management (UK) Ltd is authorized & regulated by the Financial Conduct Authority. Prospectuses, Key investor information (KIID), the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are available free of charge from UBS Asset Management (UK) Ltd, 5 Broadgate, London, EC2M 2QS. The fund documentation is available free of charge in English and, where relevant, in one of the local language(s) where the fund is registered and online at www.ubs.com/funds.

For Japan: This document is sent to you, at your request, merely for information purposes only. No invitation or offer to subscribe or purchase securities is made except pursuant to the applicable laws and regulations of Japan, including but not limited to the Financial Instruments and Exchange Act and any other applicable laws, regulations or rules of Japan.

For Hong Kong: This document and its contents have not been reviewed by any regulatory authority in Hong Kong. No person may issue any invitation, advertisement or other document relating to the Interests whether in Hong Kong or elsewhere, which is directed at, or the contents of which are likely to be accessed or read by, the public in Hong Kong (except if permitted to do so under the securities laws of Hong Kong) other than with respect to the Interests which are or are intended to be disposed of only to persons outside Hong Kong or only to "professional investors" within the meaning of the Securities and Futures Ordinance (Cap. 571) and the Securities and Futures (Professional Investor) Rules made thereunder.

For Singapore: For professional/institutional investors only. This document and its contents have not been reviewed by, delivered to or registered with any regulatory or other relevant authority in any jurisdiction. This document is for informational purposes and should not be construed as an offer or invitation to the public, direct or indirect, to buy or sell securities. This document is intended for limited distribution and only to the extent permitted under applicable laws in any jurisdiction. No representations are made with respect to the eligibility of any recipients of this document to acquire interests in securities under the laws of any jurisdiction. Using, copying, redistributing or republishing any part of this document without prior written permission from UBS Asset Management (Singapore) Ltd. is prohibited. Any statements made regarding investment performance objectives, risk and/or return targets shall not constitute a representation or warranty that such objectives or expectations will be achieved or risks are fully disclosed. The information and opinions contained in this document is based upon information obtained from sources believed to be reliable and in good faith but no responsibility is accepted for any misrepresentation, errors or omissions. All such information and opinions are subject to change without notice. A number of comments in this document are based on current expectations and are considered “forward-looking statements”. Actual future results may prove to be different from expectations and any unforeseen risk or event may arise in the future. The opinions expressed are a reflection of UBS Asset Management (Singapore) Ltd’s 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. You are advised to exercise caution in relation to this document. The information in this document does not constitute advice and does not take into consideration your investment objectives, legal, financial or tax situation or particular needs in any other respect. Investors should be aware that past performance of investment is not necessarily indicative of future performance. Potential for profit is accompanied by possibility of loss. If you are in any doubt about any of the contents of this document, you should obtain independent professional advice. Source for all data and charts (if not indicated otherwise): UBS Asset Management (Singapore) Ltd. (UEN 199308367C )

This document has not been registered with the Monetary Authority of Singapore pursuant to the exemptions under Sections 304 and 305 of the SFA. Accordingly, this document may not be circulated or distributed, nor may the Securities be offered or sold, whether directly or indirectly, to any person in Singapore other than (i) to an institutional investor pursuant to Section 304 of the SFA, (ii) to a relevant person (as defined in Section 305(5) of the SFA) pursuant to Section 305(1), and in accordance with the conditions specified in Section 305 of the SFA, and where applicable, the conditions specified in Regulation 3 of the Securities and Futures (Classes of Investors) Regulations 2018 or (iii) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the SFA.

For Vietnam: This document does not contemplate an offer to sell the securities in Vietnam and has not been approved by the State Securities Commission of Vietnam which takes no responsibility for its contents. No offer to purchase the securities will be made in Vietnam and this document is intended to be read by the addressees only. Investors should themselves carefully balance the risks and the level of those risks before they make any decision to invest in the securities. Investors are responsible for obtaining all approvals required by the laws of Vietnam.

For Korea: The securities may not be offered, sold and delivered directly or indirectly, or offered or sold to any person for re-offering or resale, directly or indirectly, in Korea or to any resident of Korea except pursuant to the applicable laws and regulations of Korea, including the Capital Market and Financial Investment Business Act and the Foreign Exchange Transaction Law of Korea, the presidential decrees and regulations thereunder and any other applicable laws, regulations or rules of Korea. The securities have not been registered with the Financial Services Commission of Korea (FSC) for a public offering in Korea nor has it been registered with the FSC for distribution to non-qualified investors in Korea.

For People’s Republic of China: For eligible investors under the relevant laws and regulations of the People's Republic of China ("PRC") only. This document and its contents have not been reviewed by, delivered to or registered with any regulatory or other relevant authority in the PRC. This document is for informational purposes and should not be construed as an offer or invitation to the public, direct or indirect, to buy or sell securities. This document is intended for limited distribution and only to the extent permitted under applicable laws in the PRC. No representations are made with respect to the eligibility of any recipients of this document to acquire interests in securities under the laws of the

PRC. The securities or products mentioned herein may only be permitted to be offered to approved PRC investors and/or eligible investors under the relevant PRC laws and regulations. The relevant PRC investors shall obtain applicable approvals/licenses/registrations from the relevant authorities (if applicable) and comply with the relevant laws and regulations.

For Taiwan: This document and its contents have not been reviewed by, delivered to or registered with any regulatory or other relevant authority in the Republic of China (R.O.C.). This document is for informational purposes and should not be construed as an offer or invitation to the public, direct or indirect, to buy or sell securities. This document is intended for limited distribution and only to the extent permitted under applicable laws in the Republic of China (R.O.C.). No representations are made with respect to the eligibility of any recipients of this document to acquire interests in securities under the laws of the Republic of China (R.O.C.).

For Australia: This document has been prepared and issued by UBS Hedge Fund Solutions, a distinct business unit of UBS Asset Management (Americas) LLC. UBS Asset Management (Americas) LLC, is an investment adviser registered with the US Securities and Exchange Commission and such is regulated under a regulatory regime that differs from the Australian regulatory regime. UBS Asset Management (Americas) LLC, does not hold an Australian Financial Services Licence and is not authorised and regulated by the Australian Securities and Investments Commission (“ASIC”). UBS Hedge Fund Solutions, through UBS Asset Management (Americas) LLC, is permitted to provide financial services to wholesale clients in Australia in reliance on Class Order CO 03/1100 issued by ASIC. This document is intended for limited distribution to professional investors only. It is not to be distributed to or relied upon by retail clients. This document is general information only and does not take into account your objectives, financial situation or needs. Before investing you should seek professional advice. Any investment involves risk UBS Asset Management (Americas) LLC does not guarantee the performance of any investment.

For Brunei: This document has not been delivered to, licensed or permitted by the Authority as designated under the Brunei Darussalam Mutual Funds Order 2001. Nor has it been registered with the Registrar of Companies. This document is for informational purposes only and does not constitute an invitation or offer to the public. As such it must not be distributed or redistributed to and may not be relied upon or used by any person in Brunei other than the person to whom it is directly communicated, (i) in accordance with the conditions of section 21(3) of the International Business Companies Order 2000, or (ii) whose business or part of whose business is in the buying and selling of shares within the meaning of section 308(4) of the Companies Act Cap. 39.

For Malaysia: This document is sent to you, at your request, merely for information purposes only. No invitation or offer to subscribe or purchase securities is made by UBS Asset Management as the prior approval of the Securities Commission of Malaysia or other regulatory authorities of Malaysia have not been obtained. No prospectus has or will be filed or registered with the Securities Commission of Malaysia.

For Thailand: NOTICE TO RESIDENTS OF THAILAND – the securities will not be offered or sold, directly or indirectly, in Thailand. UBS Asset Management is not licensed to publicly offer securities in Thailand. Thai investors must be authorized to engage in the purchase of Securities of the type being offered or sold. Thai investors are responsible for obtaining all relevant government regulatory approvals/licences, consents, verification and/or registrations from relevant Thai governmental and regulatory authorities required to invest in the securities and required for the purposes of remitting any amounts in foreign currencies for the investment.

For Brazil: UBS Hedge Fund Solutions, a distinct business unit of UBS Asset Management (Americas) LLC, is not accredited with the Brazilian Securities Commission ("CVM") to perform Asset Management Services. The Asset Management Services may not be publicly offered or sold to the public in Brazil. Documents relating to the Asset Management Services as well as the information contained therein may not be supplied to the public in Brazil.

For Canada: Services to Canadian persons for any strategy herein are provided by UBS Asset Management (Canada) Inc., a Nova Scotia corporation and a member of the UBS Asset Management business division of UBS AG, a publicly traded Swiss bank (NYSE: UBS). UBS Asset Management (Canada) Inc. is an indirect wholly-owned subsidiary of UBS AG and is registered as a portfolio manager and exempt market dealer (in all provinces of Canada), commodity trading manager (Ontario), adviser commodity futures (Manitoba) and investment fund manager (Ontario, Quebec and Newfoundland), all pursuant to Canadian securities law. This document can be distributed in Canada to Accredited Investors who qualify as Permitted Clients only. UBS Asset Management (Americas) LLC may be considered a connected or related issuer of UBS Asset Management (Canada) Inc. in connection with a distribution of the strategy herein to investors in Canada.

C-05/24 CRVCX-2539

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