Hedging the Tails: Managing Against Extreme

Market Declines

Robert Rafter

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AIP Hedge Fund Solutions

Who We Are
• Active investors in risk-mitigating strategies since our inception nearly twenty years ago
• Trusted fiduciary with over $21 billion in assets under management and advisement1
• Senior team with average industry experience of over twenty years2
• Team offering alternative investment strategies across the liquidity spectrum

For illustrative purposes only. The statements above reflect the opinions and views of the AIP Hedge Fund Group as of the date hereof and not as of any future date and will not be updated or supplemented. All forecasts are speculative, subject
to change at any time and may not come to pass due to economic and market conditions
1. Data as of September 30, 2019. AIP Hedge Fund Group’s hedge fund’s total assets comprises approximately $11 billion assets under management (“AUM”) and approximately $10 billion assets under advisement. Please note that
components of these figures may be reported on a lag.
2. As of September 30, 2019

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Risk Management Is in Our DNA

Senior Team Members Have Experience Investing through Market Downturns

Mark van der Zwan, CFA: CIO 14 9

Paresh Bhatt: Head of Portfolio Construction Team 15 10
Eric Stampfel, CFA, CAIA, CMT: Head of Equity Strategies 8 14
Gary Chan: Head of Quantitative Strategies 1 20
Jarrod Quigley, CFA: Head of Credit Strategies 14 3
Robert Rafter, CFA: Head of Macro Strategies 8 8
Ken Michlitsch: Head of Alternative Lending 9 12
Matthew Graver: COO 15 14
Christopher Morser, CFA: Head of Client Engagement Solutions 13 15
Peter Vasiliadis: Head of Projects & Structuring 14 8
Patrick Reid, CFA: Portfolio Advisor 10 11
Andrew Malek, CAIA: Portfolio Advisor 14 1
Eban Cucinotta: Head of Risk and Quantitative Analysis 16

0 5 10 15 20 25 30
Years with Firm Years of Prior Experience

As of September 30, 2019. Team members may change, without notice, from time to time.
The statements above reflect the opinions and views of the AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date and will not be updated or supplemented. All forecasts are speculative, subject to change at any
time and may not come to pass due to economic and market conditions.

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AIP’s History of Innovation

Manages Portable Launches CHFS, a Launches Managed First

Alpha Portfolio for discretionary custom portfolio Dedicated
Account Platform
Pension Fund solution for single client portfolios Customized Risk
> $25 million Offset Portfolio

2000 2003 2006 2008 2009 2016 2018 2019

Becomes one of the First Incorporates Alternative

Movers in Hedge Fund Risk Premia into portfolios
Secondaries and Co-
Launches Alternative
Investments
Pre-Crisis Launch of Lending Fund, a direct
Launches Broadly Commingled Macro Fund To take advantage of private credit strategy
Diversified Focused on Downside extreme dislocations post- focused on consumer and
Commingled Funds Protection crisis small business loans

For illustrative purposes only. This is not an offer to buy or sell or a solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy.
The statements above are the opinions and views of AIP as of the date hereof and not as of any future date, and will not be supplemented.

IDEAS CONFERENCE 2020 HEDGING THE TAILS: MANAGING AGAINST EXTREME MARKET DECLINES 6
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Market Environment

Real Expected Returns of Equity and Fixed Income Markets Are Low (1) Traditional 60/40 equity/bond returns over the next 10 Years Are
Expected to be Close to a Century Low (2)

Investors’ Efficient Frontier is Low and Flat (3) To Offset a 10% Decline in Stocks in a 60/40 Portfolio, Bond Yields
Would Need to Move Deeper Into Negative Territory Across Most G4
Regions (4)

The statements above reflect the views and opinions of AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date.
1. Source: Morgan Stanley Research, Cross Asset Dispatches, November 3, 2019, Bloomberg, MSCI, RIMES; Note: LT Avg. = 20 year average.
2. Source: Ibid, NBER, Jorda-Schularick-Taylor Macrohistory Database, Bloomberg; Note: Dotted line based on long term expected return estimates.
3. Source: Ibid; Note: Based on realized and expected nominal returns, realized correlation and volatility of S&P 500 Index, UST 10Y, USD IG, USD HY and cash, with min 0%, max 60% asset weight constraint for fixed income, min 0% max
80% for equities and min 0% max 10% for cash.
4. Source: Ibid, Bloomberg; Note: Using a portfolio of 60% stocks and 40% government bonds in that particular region.

IDEAS CONFERENCE 2020 HEDGING THE TAILS: MANAGING AGAINST EXTREME MARKET DECLINES 7
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Equity and Fixed Income Volatility Near All-Time Lows

CBOE Volatility Index and MOVE Index
January 1, 2007 to November 30, 2019
90 300
80
250
70
60 200
50
150
40
30 100
20
50
10
0 0
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

CBOE Volatility Index (VIX) (Left Axis) Merrill Lynch Option Volatility Estimate Index (Right Axis)

Source: Bloomberg as of December 1, 2019.

Past performance does not guarantee future results.

IDEAS CONFERENCE 2020 HEDGING THE TAILS: MANAGING AGAINST EXTREME MARKET DECLINES 8
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Thinking About Market Risk

For markets to exist there must be Intermediaries, such as banks and Risk transfer is accomplished through
buyers and sellers brokers, impact these dynamics by taking various means, including options, risk
on risk or offloading it, depending on their premia and other trading strategies
• e.g. Banks seeking to offset balance
objectives
sheet risks, impacting flows and
pricing, with power shifting back
and forth

Risk Transfer, Asset Flows and Risk Pricing

BUYERS INTERMEDIARIES SELLERS

The statements above reflect the views and opinions of AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date. All forecasts are speculative, subject to change at any time and may not come to pass due to
economic and market conditions No representation is made that the portfolio will experience profits or avoid losses. See important disclosures and risk considerations on pages 2 and 3 and at the end of this presentation.

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Planning for the Long-Term

Risk is the possibility When not managed Risk can be under- or Asset allocation and Customized risk offset
of loss properly, risk can lead to over-managed, resulting cashflow management portfolios seek to optimize
A key tenet of investing is return shortfalls that can in portfolios with require consideration of portfolio efficiency by
understanding the be magnified over time suboptimal concentrations short- and long-term magnifying returns during
potential rewards or overly expensive impacts to returns loss scenarios while
associated with taking on hedging/insurance reducing costs in
different types of risks — programs normal markets
company, interest rate, They aim to mitigate short-
country, style, and long-term market risks
factor, illiquidity as well as those risks that
stem from investors’ own
biases

The statements above reflect the views and opinions of AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date. All forecasts are speculative, subject to change at any time and may not come to pass due to
economic and market conditions No representation is made that the portfolio will experience profits or avoid losses. See important disclosures and risk considerations on pages 2 and 3 and at the end of this presentation.

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What Are Risk Offset Strategies?

Investments Focused On a Different Part of the Distribution Curve
WHY ARE THEY IMPORTANT?
• Return distributions aren’t always normal
• Potential for large (convex) payoffs when volatility spikes
• Magnitude of potential losses/gains is big during these spikes
• Difficult to make rational decisions during severe drawdowns when it matters most
• Hedging tends to be expensive, particularly when most needed
• Well-designed portfolios allocate to strategies that perform well when broad markets are selling off
WHAT DO THEY DO?
• Help mitigate losses, minimize costs and maximize payoffs
• Allow for continued exposure to desired risks
• Deliver diversified performance profiles—in terms of timing and magnitude

The statements above reflect the views and opinions of AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date. Past performance is not indicative of future results. The index performance is provided for illustrative
purposes only and is not meant to depict the performance of a specific investment.

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Ideal Tail Risk Hedge Characteristics

• High Convexity
– Positive return expectation (payoff profile) in crisis
• Appropriate Cost/Fees
– Includes trading, implementation, rolling of derivatives and management fees
• Small Negative Carry
– Return in “quiet” market
– Minimal theta decay
• High Reliability
– Degree of confidence that program will be profitable when crisis occurs
– Limited tracking error to applicable benchmark
• High Expected Sharpe Ratio

The statements above reflect the views and opinions of AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date. Past performance is not indicative of future results. The index performance is provided for illustrative
purposes only and is not meant to depict the performance of a specific investment.

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Portfolio Construction Considerations

COSTS EXPOSURES OUTCOMES

CORRELATION TIME DECAY POTENTIAL BLEED

COST

LEVEL OF
MARKET CONVEXITY MONETIZATION
VALUE AND STRATEGIES
-AT-RISK UPSIDE

For illustrative purposes only. The above reflects the opinions and views of the AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date and will not be updated or supplemented.

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Implementation Options

FUNDAMENTAL DEFENSIVE
VOLATILITY TECHNICAL MACRO MACRO EQUITY
EXPLICIT HEDGE STRATEGIES STRATEGIES STRATEGIES STRATEGIES

Convexity High Medium Medium Low Low

Cost/Fees Low Medium Medium High High

Negative Carry High Medium Medium Low Low

Reliability High Medium Medium Low Low

Expected Sharpe Negative Low Medium High High

Systematically Buying Cross Asset RV Quality/Value

Example CTAs Discretionary Macro
Puts Hedges Factors

The statements above reflect the views and opinions of AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date. Past performance is not indicative of future results. The index performance is provided for illustrative
purposes only and is not meant to depict the performance of a specific investment.

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Combination of Strategies and Implementation Options

Designing Tail Risk Solutions
Equal Strategy Capital Commitment Structure
Define Specific Parameters of Each Strategy Customized Account Vehicle
• Client’s Own Separate Account
• Separate Account Established for MSIM Clients
• Manager Commingled Vehicles
• Bank swaps and direct trading implementation
Implementation
• Client specific Investment guidelines
• Optimize investment and risk management
requirements
Explicit Hedge Volatility • Maximize cross-collateralization and capital efficiency
Technical Macro Fundamental Macro
Defensive Equity

The statements above reflect the views and opinions of AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date. Past performance is not indicative of future results. The index performance is provided for illustrative
purposes only and is not meant to depict the performance of a specific investment.

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AIP Defensive Strategies: Tailored to the Distribution

Illustrative Market Return Distribution • Global Macro has offered non-correlated results
– Core for portfolios seeking robustness across multiple market
scenarios with minimal bleed
– Discretionary & systematic, technical and fundamental, long & short
term trading approaches

• Long Volatility strategies are explicitly designed for negative

correlation to equity markets
– Long volatility exposure may increase the reliability of a
HFRI Macro and S&P 500 12-month Rolling Correlation hedging allocation
(01/1990 - 05/2019)
100%

80%
– Negative correlation to equities over most time horizons
60%
• Tail Risk Strategies can provide outsized gains in more extreme
40%

sell offs
20%

0% – Tail Hedging positions are intended to deliver material profits during

-20% left-tail events, while keeping carrying costs low during quieter markets
– Benefits from the combination of opportunistic and/or longer-dated
-40%

-60%

hedges to increase convexity

Source: Hedge Fund Research, Inc. Data as of December 1, 2019

The statements above reflect the views and opinions of AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date. Past performance is not indicative of future results. The index performance is provided for illustrative
purposes only and is not meant to depict the performance of a specific investment.

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Customization Case Study : European Pension Fund

Explicit Long Volatility Portfolio To Complement Client’s Existing CTA Exposure
Client’s Main Goals :
1. Diversify sources of positive return potential during market declines
2. Hedge against rapid as well as slow declines in equities
3. Provide liquidity to invest in distressed assets during market stress

Investment Objectives

• Protection in -20% to -50% equity markets

• Target >100% return in a 2008-style environment
• Annual Bleed of Less than 17.5%
• Bi-Weekly Liquidity
• Core allocation to Equity Volatility Strategies, Satellite allocations to non-Equity Volatility Strategies
• Excluded strategies: CTA, Macro, Equity L/S Short Bias, Convertible or Volatility Arbitrage w/ short volatility exposures

The statements above reflect the views and opinions of AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date. Past performance is not indicative of future results. The index performance is provided for illustrative
purposes only and is not meant to depict the performance of a specific investment.

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Instantaneous Payoff Profile* of Proposed Portfolios

Portfolio Return
250%
Proposed 3
200% Proposed 2
Proposed 4
150%
Proposed 1
100%

50%

0%
(50%) (45%) (40%) (35%) (30%) (25%) (20%) (15%) (10%) (5%) 0%
(50%)
MSCI ACWI Return

Historical performance for the Proposed Portfolio is based on the weighted average of the pro forma performance of the underlying funds.
Performance shown is net of all fees except Morgan Stanley advisory fees. The advisory fees will reduce investor returns.
THIS COMPOSITE PERFORMANCE RECORD IS HYPOTHETICAL AND THESE TRADING ADVISORS HAVE NOT TRADED TOGETHER IN THE MANNER SHOWN IN THE COMPOSITE. HYPOTHETICAL PERFORMANCE RESULTS
HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY MULTI-ADVISOR MANAGED ACCOUNT OR POOL WILL OR IS LIKELY TO ACHIEVE A
COMPOSITE PERFORMANCE RECORD SIMILAR TO THAT SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD AND THE ACTUAL RECORD
SUBSEQUENTLY ACHIEVED. ONE OF THE LIMITATIONS OF A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD IS THAT DECISIONS RELATING TO THE SELECTION OF TRADING ADVISORS AND THE ALLOCATION OF
ASSETS AMONG THOSE TRADING ADVISORS WERE MADE WITH THE BENEFIT OF HINDSIGHT BASED UPON THE HISTORICAL RATES OF RETURN OF THE SELECTED TRADING ADVISORS. THEREFORE, COMPOSITE
PERFORMANCE RECORDS INVARIABLY SHOW POSITIVE RATES OF RETURN. ANOTHER INHERENT LIMITATION ON THESE RESULTS IS THAT THE ALLOCATION DECISIONS REFLECTED IN THE PERFORMANCE RECORD
WERE NOT MADE UNDER ACTUAL MARKET CONDITIONS AND, THEREFORE, CANNOT COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FURTHERMORE, THE COMPOSITE PERFORMANCE
RECORD MAY BE DISTORTED BECAUSE THE ALLOCATION OF ASSETS CHANGES FROM TIME TO TIME AND THESE ADJUSTMENTS ARE NOT REFLECTED IN THE COMPOSITE.
Past performance does not guarantee future results. No representation is made that the portfolio will experience profits or avoid losses. See important disclosures and risk considerations on pages 2 and 3 and at the end of this presentation.
Portfolio 1: One manager of a long volatility strategy and one manager of a tail risk strategy.
Portfolio 2: One manager of a long volatility strategy and one manager of a tail risk strategy.
Portfolio 3: One manager of a long volatility strategy and one manager of a tail risk strategy.
Portfolio 4: One manager of a long volatility strategy and two managers of tail risk strategies.

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Correlation to Client’s Broader Asset Allocation Buckets

Correlation Matrix
From Jan 2008 to Dec 2019
CBOE Eureka CBOE Eureka
Barclays Global hedge Long hedge Tail Risk Vol and Vol and Vol and Vol and Client
Aggregate MSCI AC World Volatility Hedge Hedge Fund Tail Hedge Tail Hedge Tail Hedge Tail Hedge Existing CTA
Hedged (USD) Gross (USD) Fund Index Index Portfolio 1 Portfolio 2 Portfolio 3 Portfolio 4 Portfolio
Barclays Global Aggregate Hedged (USD) 1.00

MSCI AC World Gross (USD) (0.01) 1.00

CBOE Eurekahedge Long Volatility Hedge Fund Index 0.32 (0.41) 1.00

CBOE Eurekahedge Tail Risk Hedge Fund Index 0.12 (0.46) 0.42 1.00

Vol and Tail Hedge Portfolio 1 (0.01) (0.53) 0.11 0.30 1.00

Vol and Tail Hedge Portfolio 2 (0.07) (0.49) 0.04 0.29 0.99 1.00

Vol and Tail Hedge Portfolio 3 (0.10) (0.47) 0.03 0.27 0.98 0.99 1.00

Vol and Tail Hedge Portfolio 4 (0.03) (0.52) 0.10 0.30 1.00 0.99 0.98 1.00

Client Existing CTA Portfolio 0.36 (0.06) 0.26 0.19 0.27 0.26 0.26 0.27 1.00

Historical performance for the Proposed Portfolio is based on the weighted average of the pro forma performance of the underl ying funds.
Performance shown is net of all fees except Morgan Stanley advisory fees. The advisory fees will reduce investor returns.

THIS COMPOSITE PERFORMANCE RECORD IS HYPOTHETICAL AND THESE TRADING ADVISORS HAVE NOT TRADED TOGETHER IN THE MANNER SHOWN IN THE COMPOSITE. HYPOTHETICAL PERFORMANCE RESULTS
HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY MULTI-ADVISOR MANAGED ACCOUNT OR POOL WILL OR IS LIKELY TO ACHIEVE A
COMPOSITE PERFORMANCE RECORD SIMILAR TO THAT SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD AND THE ACTUAL RECORD
SUBSEQUENTLY ACHIEVED. ONE OF THE LIMITATIONS OF A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD IS THAT DECISIONS RELATING TO THE SELECTION OF TRADING ADVISORS AND THE ALLOCATION OF
ASSETS AMONG THOSE TRADING ADVISORS WERE MADE WITH THE BENEFIT OF HINDSIGHT BASED UPON THE HISTORICAL RATES OF RETURN OF THE SELECTED TRADING ADVISORS. THEREFORE, COMPOSITE
PERFORMANCE RECORDS INVARIABLY SHOW POSITIVE RATES OF RETURN. ANOTHER INHERENT LIMITATION ON THESE RESULTS IS THAT THE ALLOCATION DECISIONS REFLECTED IN THE PERFORMANCE RECORD
WERE NOT MADE UNDER ACTUAL MARKET CONDITIONS AND, THEREFORE, CANNOT COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FURTHERMORE, THE COMPOSITE PERFORMANCE
RECORD MAY BE DISTORTED BECAUSE THE ALLOCATION OF ASSETS CHANGES FROM TIME TO TIME AND THESE ADJUSTMENTS ARE NOT REFLECTED IN THE COMPOSITE.
Past performance does not guarantee future results. No representation is made that the portfolio will experience profits or avoid losses. See important disclosures and risk considerations on pages 2 and 3 and at the end of this presentation.

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Riverview Global Macro Fund LP (“GMF”)

INVESTMENT OBJECTIVES (1)

• Attractive returns across a broad range of market environments
• Stable diversification benefits relative to traditional asset classes with the potential to offer downside mitigation during challenging
market environments
PORTFOLIO CONSTRUCTION
• Allocation across a diversified set of global macro trading strategies
– Systematic vs. discretionary
– Technical vs. fundamental
– Short term vs. long term
• Active management of sub-strategy allocations due to their sensitivity to capital market conditions
• No single position may account for greater than 25% of NAV (2)
LEVERAGE
• No leverage employed at the present time at fund of funds level. Maximum of 1.30x permitted (3)

See Appendix Summary of Risk Factors.

1. There is no guarantee that investment objectives will be met. Diversification does not assure a profit or protect against a l oss in a declining market.
2. GMF is not prohibited from investing in fewer than 10 or more than 25 underlying funds, and there is no guarantee that GMF wi ll hold positions in 10 to 25 funds at any
given time.
3. 1.30x leverage means that GMF has the capability to borrow up to 30% against its total assets (including the amount borrowed); hence, if GMF has U.S.$100 in unleveraged assets, it can borrow an additional U.S.$30 resulting in U.S.$130
of exposure.

IDEAS CONFERENCE 2020 HEDGING THE TAILS: MANAGING AGAINST EXTREME MARKET DECLINES 20
 CONFIDENTIAL - Not For Distribution - For the Exclusive Use at London Ideas

GMF vs. Multi-Manager Macro Peer Group

(February 1, 2008- September 30, 2019) (1)
Annualized Return %

8.0

7.0

6.0

5.0

4.0

3.0

2.0

1.0

0.0

(1.0)
4.0 5.0 6.0 7.0
Annualized Volatility %

GMF Net 1.00 Multi-Manager Peer Group HFRI Macro (Total) Index

Source: AIP Hedge Fund Team, Eurekahedge Database, data as of December 1, 2019
1. Riverview Global Macro Fund LP (the “Fund”) represents gross of fees returns of the Fund net of an assumed management fee of 1.0% per annum for period February 1, 2008 to September 30, 2019. The Fund commenced operations on
January 4, 2010. As a result, the investment performance prior to January 2010 relates to Morgan Stanley Global Macro Fund, an Irish-domiciled fund with a substantially similar investment objective as the Fund (and the predecessor fund
to the Fund).
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Investment returns and principal value will fluctuate
and fund shares, when redeemed, may be worth more or less than their original cost. Multi-Manager Macro Peer Group represents Global Macro fund of funds in the Eurekahedge database with data available over the l ife of
Riverview Global Macro Fund LP. See Performance Calculation Methodology and Appendix for more information and a description of the index cited above.

IDEAS CONFERENCE 2020 HEDGING THE TAILS: MANAGING AGAINST EXTREME MARKET DECLINES 21
 CONFIDENTIAL - Not For Distribution - For the Exclusive Use at London Ideas

GMF Outperformance During Negative Equity Markets

Focusing on Liquid, Trading-Oriented Managers Has Historically Helped Limit Downside
GMF Fund Series A .Performance (%) in Months Global Equities (as Proxied by MSCI World Index) Declined More Than 1% (1)
Months of > 1% Global Equity Declines During February 1, 2008 through September 30, 2019
6.0
4.0
2.0
0.0
(2.0)
(4.0)
(6.0)
(8.0)
(10.0)
(12.0)
(14.0)
(16.0)
(18.0)
(20.0)

Jul-08

Jul-11

Jul-14
Sep-08

Jan-09
Sep-11

Jun-08

Jan-16

Jan-10
Aug-10
Jan-14
Sep-15
Jun-10
Sep-14
Jun-13
Oct-08

Dec-18

Aug-11
Aug-15
Oct-18

Nov-08

Nov-11
Jun-15

Nov-10
Aug-13

Aug-19

Jan-15

Jun-16
Mar-18

Oct-16

Oct-09
Dec-15
Dec-14

Jun-11

Aug-08
Mar-15

Apr-12
Feb-09
May-10

May-12

May-19
Feb-18

May-11
MSCI World Net (USD) GMF Net 1.00

Source: GMF data from AIP Hedge Fund Team; MSCI World Net (LCL) from Bloomberg. Data as of December 1, 2019.
Riverview Global Macro Fund LP (the “Fund”) (1.0%) represents gross of fees returns of the Fund net of management fee of 1.0% per annum. The Fund commenced operations on January 4, 2010. As a result, the investment performance prior
to January 2010 relates to Morgan Stanley Global Macro Fund, an Irish-domiciled fund with a substantially similar investment objective as the Fund (and the predecessor fund to the Fund). Currently, GMF issues more than one series of
limited partner interests, which differ in respect of their respective applicable management fees and incentive allocations. Consequently, performance of the various series is likely to differ, with each series potentially
outperforming or underperforming the others for different periods of time.
Past performance is not indicative of current or future performance. Please refer to Performance Calculation Methodology. See Appendix for more information and a description of the index cited above.

IDEAS CONFERENCE 2020 HEDGING THE TAILS: MANAGING AGAINST EXTREME MARKET DECLINES 22
 CONFIDENTIAL - Not For Distribution - For the Exclusive Use at London Ideas

GMF Performance in Up/Down Equity Markets (1)

Average Monthly Return of GMF (1.0%) and HFRI Macro (Total) Index (2)
February 1, 2008 to September 30, 2019

0.62%

0.43%

(0.01%)

(0.31%)
Average Return in Up Months Average Return in Down Months

GMF Net 1.0 HFRI Macro (Total) Index

1. Up equity markets reflect months in which performance of the MSCI World Index in local currencies is positive. Down equity markets reflects months in which performance of the MSCI World Index in local currencies is negative.
2. Source: AIP Hedge Fund Team and Bloomberg. Represents gross of fees returns of Riverview Global Macro Fund LP (the “Fund”) net of management fee of 1.0% per annum. The Fund commenced operations on January 4, 2010. As a
result, the investment performance prior to January 2010 relates to Morgan Stanley Global Macro Fund, an Irish-domiciled fund with a substantially similar investment objective as the Fund (and the predecessor fund to the Fund). See
Appendix for more information and a description of the index cited above.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Investment returns and principal value will fluctuate
and fund shares, when redeemed, may be worth more or less than their original cost.

IDEAS CONFERENCE 2020 HEDGING THE TAILS: MANAGING AGAINST EXTREME MARKET DECLINES 23
 CONFIDENTIAL - Not For Distribution - For the Exclusive Use at London Ideas

GMF vs. Macro Funds in HFR Database (1)

Annualized Return (%) Annualized Volatility (%) Maximum Drawdown (%) Sharpe Ratio

12 35 0 1.20

30 (10) 1.00
10

25 (20) 0.80
8

20 (30) 0.60
6
15 (40) 0.40

4
10 (50) 0.20

2
5 (60) 0.00

0 0 (70) (0.20)

Quartiles 5th – 25th 25th – 50th 50th – 75th 75th – 95th GMF
1. Source: AIP Hedge Fund Team and Hedge Fund Research, Inc. as of September 30, 2019. GMF represents gross of fees returns of Riverview Global Macro Fund LP (the “Fund”) net of management fee of 1.00% per annum. The Fund
commenced operations on January 4, 2010. As a result, the investment performance prior to January 2010 relates to Morgan Stanley Global Macro Fund, an Irish-domiciled fund with a substantially similar investment objective as the Fund
(and the predecessor fund to the Fund).
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Investment returns and principal value will fluctuate
and fund shares, when redeemed, may be worth more or less than their original cost. Annualized return, annualized volatility , maximum drawdown and Sharpe ratio of various percentiles of the HFRI Macro (Total) Index represent
funds reporting to Hedge Fund Research, Inc. and included in HFRI Macro (Total) Index. See Appendix for more information and a description of the index.

IDEAS CONFERENCE 2020 HEDGING THE TAILS: MANAGING AGAINST EXTREME MARKET DECLINES 24
 CONFIDENTIAL - Not For Distribution - For the Exclusive Use at London Ideas

Multi-Faceted Risk Management Approach

Data

BRINGING IT ALL
MARS
OPTIONS DATA Multi-Asset TOGETHER HedgeMark SMA DATA
Risk System

XVA

Data

MARS
Multi-Asset
Risk System

XVA

ASSET-LEVEL INFORMATION HEDGE FUND DATA

IDEAS CONFERENCE 2020 HEDGING THE TAILS: MANAGING AGAINST EXTREME MARKET DECLINES 25
 CONFIDENTIAL - Not For Distribution - For the Exclusive Use at London Ideas

AIP and Proposed Solutions Advantages

• Experience – Holistic solution with AIP experience across all categories

• Diversified / open architecture – Not reliant on efficacy of one solution path
• Cost effective – Scale based fee negotiations with underlying sub advisors and banks
• Transparent – Potential for full position level transparency via SMA exposures
• Direct trading capabilities: Ability to leverage MSIM trading desk for potential long option purchases
• Flexibility – Potential to modulate negative carry costs via liquid absolute return and risk premia allocations

The statements above reflect the views and opinions of AIP Hedge Fund Solutions Team as of the date hereof and not as of any future date. Past performance is not indicative of future results. The index performance is provided for illustrative
purposes only and is not meant to depict the performance of a specific investment.

IDEAS CONFERENCE 2020 HEDGING THE TAILS: MANAGING AGAINST EXTREME MARKET DECLINES 26
Index Descriptions and Summary of Risk Factors
 CONFIDENTIAL - Not For Distribution - For the Exclusive Use at London Ideas

Summary of Risk Factors

This is a summary of various risks associated with investing in portfolios of hedge fund investments. This summary is not, and is not intended to be, a complete enumeration or explanation of the risks involved. The recipient should consult with
its own advisors before deciding whether to invest in these strategies. In addition, to the extent that the investment program of such a portfolio changes and develops over time, additional risk factors not described here may apply. Only a
recipient who understands the nature of the investment, does not require more than limited liquidity in the investment, and has sufficient resources to sustain the loss of its entire investment should consider making the kind of investments
described in this Presentation.
By investing in a fund of hedge funds, an investor gains exposure to the investments included in the portfolio of the fund of hedge funds and is subject to the risks attendant to such investment portfolio.
The following are among the risks applicable generally to a portfolio of hedge fund investments:
Reliance on Third-Party Management. The goal of investing in a portfolio of hedge funds managed by the Investment Adviser is to seek capital appreciation. Hedge funds selected for the portfolio are managed by third-party managers
unaffiliated with the Investment Adviser over which the Investment Adviser does not exercise control.
Wide Scope of Investment Options Available to Third-Party Managers. Hedge funds may invest and trade in a wide range of instruments and markets and may pursue various investment strategies. Al though hedge funds will primarily
invest and trade in U.S. and non-U.S. equity and debt securities, they may also invest and trade in equity-related instruments, currencies, financial futures, and debt-related instruments. In addition, hedge funds may sell securities short and use
a wide range of other investment techniques. Hedge funds are generally not limited in the markets in which they may invest, either by location or type, such as U.S. or non-U.S. markets or large- or small-capitalization companies, or in the
investment discipline which their investment managers may employ, such as value or growth strategies or bottom-up or top-down analysis.
Hedge funds may use various investment techniques for hedging and non-hedging purposes. A hedge fund may, for example, sell securities short, purchase and sell options and futures contracts, and engage in other derivative transactions.
The use of these techniques may be an integral part of the hedge fund’s investment strategy and may involve certain risks. Hedge funds may use leverage, which also entails risk.
Performance-Based Compensation. In addition to asset-based fees based on the hedge fund’s net assets under management, a hedge fund’s investment manager will typically charge each of the hedge fund’s investors a performance or
incentive fee or allocation based on net profits of the hedge fund which it manages. The receipt of a performance or incenti ve fee or allocation by a hedge fund’s investment manager may create an incentive for the hedge fund’s investment
manager to make investments which are riskier or more speculative than those which might have been made in the absence of such an incentive.
Lack of Transparency. Hedge funds are not registered as investment companies with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “ICA”), and investors in hedge funds will not
have the benefit of the protections afforded by the ICA to investors in registered investment companies. Although the Investment Adviser will periodically receive information from each hedge fund in which the portfolio is invested regarding such
hedge fund’s investment performance and investment strategy, the Investment Adviser may have little or no means of independently verifying this information. Hedge funds are not contractually or otherwise obligated to inform their investors of
details surrounding proprietary investment strategies. In addition, the Investment Adviser has no control over the investment management, brokerage practices, custodial arrangements, or operations of hedge funds and must rely on the
experience and competence of each hedge fund’s investment manager in these areas.
No ICA Diversification. Each Fund named and described in this Presentation which is registered with the SEC under the ICA is classified as a non-diversified management investment company under the ICA. Consequently, percentage
limitations imposed by the ICA on the portion of Fund assets which may be invested in the securities of any single issuer will not apply. As a result, the Fund’s investment portfolio may be subject to greater risk and volatility than if it invested in
the securities of a broader range of issuers.
Multiple Levels of Fees and Expenses. By investing in a portfolio of hedge funds managed by the Investment Adviser, an investor bears its proportionate share of the asset-based fees and the Performance Incentive payable to the Investment
Adviser and any of its affiliates, as the case may be, as well as other expenses of the portfolio. An investor, however, also indirectly bears its proportionate share of the asset-based fees, performance or incentive fees or allocations, and other
expenses borne by investors in the hedge funds included in the portfolio. An investor which meets the eligibility conditions imposed by the respective hedge funds included in the portfolio, including minimum initial investment requirements
which may be substantially higher than those imposed by any Fund, could avoid the extra layer of fees and expenses by investi ng directly in those hedge funds.

IDEAS CONFERENCE 2020 HEDGING THE TAILS: MANAGING AGAINST EXTREME MARKET DECLINES 28
 CONFIDENTIAL - Not For Distribution - For the Exclusive Use at London Ideas

Summary of Risk Factors

Independence of Hedge Funds’ Investment Managers. A hedge fund’s investment manager will receive any performance or incentive fees or allocations to which it is entitled, without regard to both the performance of the other hedge funds
in the portfolio and the performance of the overall portfolio. An investment manager to a hedge fund with positive performance may receive compensation, even if the overall portfolio’s aggregate returns are negative
Potential for Increased Transactions Costs. Investment managers of the hedge funds included in the portfolio make investment decisions independently of each other. Consequently, at any particular time, one hedge fund in the portfolio
may be purchasing interests in an issuer which at the same time are being sold by another hedge fund in the portfolio. Investment by hedge funds in this manner could cause the overall portfolio to incur certain transaction costs indirectly
without accomplishing any net investment result.
Limited Liquidity of Hedge Funds. Additional investments in, or withdrawals from, the hedge funds in the portfolio may be made only at certain times, as specified in the governing documents of the respective hedge funds. As a result, before
investments in hedge funds are effected or in furtherance of the portfolio’s objectives generally, some assets held in the portfolio may temporarily be from time to time cash, cash equivalents, or high-quality fixed-income securities and money
market instruments (whether or not managed by affiliates of the Investment Adviser).
Limited Voting Rights of Investors. A hedge fund typically restricts the ability of its investors to vote on matters relating to the hedge fund. As a result, investors in the hedge fund will have no say in matters which could adversely affect their
investment, via the portfolio, in the hedge fund. Additionally, for regulatory purposes related to the Investment Adviser’s management of certain funds registered with the SEC under the ICA, the Investment Adviser may enter into contractual
relationships under which other funds managed by the Investment Adviser (including the Funds), as well as the registered funds managed by the Investment Adviser, irrevocably waive their respective voting rights (if any) to vote interests in
underlying hedge funds.
Distributions in Kind. Hedge funds may distribute securities in kind to investors. Securities distributed in kind may be illiquid or difficult to value. In the event that a hedge fund were to make such a distribution in kind to a Fund, the Investment
Adviser would seek to dispose of the securities so distributed in a manner which is in the best interests of such Fund.
Reliance on Third-Party Managers with Respect to Asset Valuation. Certain securities in which a hedge fund invests may not have a readily ascertainable market price and will be valued by the hedge fund’s investment manager. Such a
valuation generally will be conclusive, even though the hedge fund’s investment manager may face a conflict of interest in valuing the securities, inasmuch as the value of such securities will affect the compensation payable to the hedge fund’s
investment manager. In most cases, the Investment Adviser will have no ability to assess the accuracy of any such valuation. In addition, the net asset values or other valuation information received by the Investment Adviser from hedge funds
will typically be unaudited and subject to revision until completion of the annual audits of the respective hedge funds. Revisions to the gain and loss calculations will be an ongoing process, and no net capital appreciation or depreciation figure
can be considered final until completion of the annual audits of the respective hedge funds.
Regulation as a Bank Holding Company. Morgan Stanley elected in September 2008 to be regulated as a Bank Holding Company (a “BHC”) under the U.S. Bank Holding Company Act of 1956, as amended (the “BHCA”), and the Federal
Reserve granted Morgan Stanley’s application for “financial holding company” (“FHC”) status under the BHCA. FHC status is available to BHCs which meet certain criteria. FHCs may engage in a broader range of activities than BHCs which
are not FHCs.
Certain BHCA regulations may also require aggregation of the positions owned, held, or controlled in client and proprietary accounts by Morgan Stanley and its affiliates (including without limitation the Investment Adviser) with positions held by
the Fund (and, in certain instances, one or more underlying hedge funds). Moreover, Morgan Stanley may cease in the future to qualify as an FHC, which may subject the Fund to additional restrictions or cause the Investment Adviser to
recommend that the Fund’s board of directors or trustees vote to dissolve the Fund. Additionally, there can be no assurance either that the bank regulatory requirements applicable to Morgan Stanley and the Fund will not change or that any
such change will not have a material adverse effect on the Fund.

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 CONFIDENTIAL - Not For Distribution - For the Exclusive Use at London Ideas

Distribution
This communication is only intended for and will only be distributed to persons resident in jurisdictions where such distribution or availability would not be contrary to local laws or regulations.

Ireland: Morgan Stanley Investment Management (Ireland) Limited. Registered Office: The Observatory, 7-11 Sir John Rogerson's, Quay, Dublin 2, Ireland. Registered in Ireland under company number 616662. Regulated by the Central Bank
of Ireland. United Kingdom: Morgan Stanley Investment Management Limited is authorised and regulated by the Financial Conduct Authority. Registered in England. Registered No. 1981121. Registered Office: 25 Cabot Square,
Canary Wharf, London E14 4QA. Germany: Morgan Stanley Investment Management Limited Niederlassung Deutschland, Grosse Gallusstrasse 18, 60312 Frankfurt am Main, Germany (Gattung: Zweigniederlassung (FDI) gem. § 53b KWG).
Italy: Morgan Stanley Investment Management Limited, Milan Branch (Sede Secondaria di Milano) is a branch of Morgan Stanley Investment Management Limited, a company registered in the UK, authorised and regulated by the Financial
Conduct Authority (FCA), and whose registered office is at 25 Cabot Square, Canary Wharf, London, E14 4QA. Morgan Stanley Investment Management Limited Milan Branch (Sede Secondaria di Milano) with seat in Palazzo Serbelloni Corso
Venezia, 16 20121 Milano, Italy, is registered in Italy with company number and VAT number 08829360968. The Netherlands: Morgan Stanley Investment Management, Rembrandt Tower, 11th Floor Amstelplein 1 1096HA, Netherlands.
Telephone: 31 2-0462-1300. Morgan Stanley Investment Management is a branch office of Morgan Stanley Investment Management Limited. Morgan Stanley Investment Management Limited is authorised and regulated by the Financial
Conduct Authority in the United Kingdom. Switzerland: Morgan Stanley & Co. International plc, London, Zurich BranchI Authorised and regulated by the Eidgenössische Finanzmarktaufsicht ("FINMA"). Registered with the Register of
Commerce Zurich CHE-115.415.770. Registered Office: Beethovenstrasse 33, 8002 Zurich, Switzerland, Telephone +41 (0) 44 588 1000. Facsimile Fax: +41(0) 44 588 1074.

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 CONFIDENTIAL - Not For Distribution - For the Exclusive Use at London Ideas

For Professional Clients Only This presentation and the information contained herein (collectively referred to as the “Presentation”) is for exclusive use at the MSIM Ideas Conference (12 – 13 February 2020). This Presentation was issued
and approved in the United Kingdom by Morgan Stanley Investment Management Limited (“MSIM”), 25 Cabot Square, Canary Wharf, London E14 4QA. Authorised and regulated by the Financial Conduct Authority.

The views and opinions expressed here are of the presenting portfolio managers and are subject to change based on market conditions. They are not the views of all the portfolio managers of MSIM or of the firm as a whole. Except as otherwise
indicated herein, the views and opinions expressed herein are based on matters as they exist as of the date of preparation and not as of any future date, and will not be updated or otherwise revised to reflect information that subsequently
becomes available or circumstances existing, or changes occurring, after the date hereof.

All information contained herein is proprietary and is protected under copyright law and may not be reproduces or distributed to any other persons. In addition, this Presentation is not an offer, or a solicitation of an offer, to buy or sell any
security or instrument or participate in any investment strategy. All information provided is for informational purposes only and should not be deemed as a recommendation to buy or sell securities in the sectors and regions referenced.
Information regarding expected market returns and market outlook is based on the research, analysis, and opinions of the presenter. These conclusions are speculative in nature, may not come to pass, and are not intended to predict the future
of any specific MSIM investment.

Past performance is no guarantee of future results. Any information regarding expected market returns and market outlook is based on the research, analysis, and opinions of the presenter. They are based on current market conditions and
subject to change. In addition, these conclusions are speculative in nature, may not come to pass, and are not intended to predict the future of any specific Morgan Stanley investment. No representation or warranty can be given with respect to
the accuracy or completeness of the information

All investments involve risks, including the possible loss of principal. The material contained herein has not been based on a consideration of any individual client circumstances and is not investment advice, nor should it be construed in any
way as tax, accounting, legal or regulatory advice. To that end, investors should seek independent legal and financial advice, including advice as to tax consequences, before making any investment decision.

This Presentation is based on information generally available to the public from sources believed to be reliable. Morgan Stanley disclaims any and all liability relating to these materials, including, without limitation, any express or implied
representations or warranties for statements or errors contained in, or omissions from, this information. Certain assumptions may have been made in the preparation of this information.

The whole or any part of this work may not be reproduced, copied or transmitted or any of its contents disclosed to third parties without MSIM’s express written consent.

All information contained herein is proprietary and is protected under copyright law

© 2020 Morgan Stanley. All rights reserved.

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