Graham Capital Management LP

Fees and Compensation

Depending on the investment strategy and associated targeted volatility level employed by Graham
on behalf of its clients, other than managed futures account clients, , stated fees charged by Graham
to the clients include a monthly management fee equal to a percentage of net assets (in respect of
funds) or nominal trading size (in respect of managed accounts where a trading size is designated
by the client but does not require full funding), at an annual rate ranging from 0 to 3.45%, payable
monthly in arrears, and a quarterly or annual performance fee or allocation equal to a percentage
ranging from 0% to 30% of the amount by which the net asset value of each fund client, or series
thereof, as of the end of each calendar quarter or year exceeds the net asset value of the fund, or
series thereof, as of the beginning of such quarter or year, generally including appreciation or
depreciation due to unrealized gains and losses and, in certain cases subject to a hurdle rate and
management fee credit. Shares of funds may be divided into series, each of which may differ as
to applicable management and incentive fees, or combination thereof, and minimum investment
amounts.

The management fees charged to funds managed by Graham are deducted directly from the assets
of each fund as such fees become payable, which is generally monthly in arrears. The performance
allocation is typically payable quarterly or annually in arrears, or upon an investor’s withdrawal
of capital from a fund. As described more fully later in this brochure, certain investors in funds
managed by Graham may enter into side letters providing for, among other things, different fees.

Management fees payable by managed account clients, including registered investment company
clients, are not paid from account assets but rather are billed to the client.

As further described in each fund’s private placement memorandum, a Fund, or portfolio thereof,
will pay or reimburse Graham for some or all of the following direct costs associated with its assets
allocated to the various trading strategies whether discretionary or quantitative, as the case may
be, utilized on, or developed for, the Fund’s or portfolio’s behalf and all other expenses related to
the operations and business of the Fund, including, but not limited to, all expenses of investment
transactions such as brokerage commissions and exchange, clearing or regulatory fees and
expenses; interest, commitment fees and other costs related to borrowing, including with respect
to securities sold short; transaction fees, finder’s fees, sourcing fees, investment banking fees,
origination fees, loan servicing fees, collection agent fees and other similar fees and expenses; fees
and expenses of the fund’s administrator; custodial fees; bank service fees; the allocable portion
of the costs of developing new strategies; costs of news, research, data and quotation services,
software and equipment, including Bloomberg terminals; third-party investment and trading, risk
management and portfolio management related services, licensing, systems, hardware and
software (including the third-party installation, programming or servicing related thereto),
including trade surveillance and trade order management, sanctions screening, collateral and
margin management and accounting services, licensing, systems, hardware and software; fees and
expenses related to the portfolio’s currency conversion and hedging activities; other hedging costs;
membership, license and similar charges in connection with exchange memberships; taxes,
withholding taxes, transfer taxes and other governmental charges and duties; governmental,
registration, license, membership or related fees or expenses payable to any regulatory or self-
regulatory organization (including costs associated with preparing and filing regulatory reports
such as SEC Form PF, NFA Form PQR, AIFMD Annex IV and MiFID trade and transaction
reports and SEC Forms 13 D/G and SHO, the EU Short Selling Regulation and other global
shareholder reporting) or in connection with the distribution of any shares in any jurisdiction; costs
of compliance with FATCA, CRS or other similar rules; professional fees of tax advisors,
accountants and attorneys; costs for D&O, E&O, cybersecurity and other insurance for the fund,
Graham and the fund’s directors; directors’ fees and expenses; the costs of maintaining the fund’s
registered office in the British Virgin Islands; the third-party costs of preparing, printing and
distributing offering materials financial statements, net asset value and other investor reports and
notices to shareholders or holding meetings of shareholders, including the cost of market and other
data used in connection with the preparation of such reporting; fees and expenses paid to outside
counsel, accountants, experts and other third parties in connection with sourcing, investigating,
analyzing, evaluating and conducting due diligence and surveillance on, monitoring and
conducting background checks in connection with, existing and potential investments (whether or
not consummated); legal expenses and other costs of negotiating trading counterparty agreements,
service provider agreements, amendments to offering and organizational documentation of the
Fund, side letter negotiation, transfer agreements and other documentation; legal and third party
costs incurred in connection with settling trades; legal fees and costs (including settlement costs)
arising in connection with any litigation, arbitration, investigation or other proceeding related to
any portfolio investment; legal, compliance and cybersecurity expenses (including responding to
formal and informal inquiries, engagement of third-party experts assisting in defending against or
responding to cybersecurity incidents, indemnification expenses and expenses associated with
regulatory filings relating to the fund and its portfolio investments); legal and tax structuring
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Types of Clients

Graham provides advice to private investment funds. The funds have minimum investment
amounts as described in the offering materials for each fund, subject to waiver or modification at
the discretion of Graham or the board of directors of the relevant fund. In particular, each investor
in each of the funds generally must be an “accredited investor” as defined in Regulation D under
the Securities Act of 1933, as amended (the “Securities Act”), and either a “qualified purchaser”
as defined in Section 2(a)(51) of the Investment Company Act or a “knowledgeable employee” as
defined in Section 2(a)(51) of the Investment Company Act. Graham also provides investment
management services to registered investment company clients through separately managed
accounts and to UCITS funds.

Methods of Analysis, Investment Strategies and Risk of Loss

Graham’s quantitative strategies apply algorithmic operations to data sets to generate trading
signals. The quantitative strategies pursue various trading approaches, including trend-based
programs that seek to identify trends, other quantitative investment strategies such as macro
(including fundamental and price-based indicators), beta (market) neutral, high-frequency
systems, counter-trend systems and non-trend systems as well as systems that blend different
trading models with a risk overlay, utilizing different types of data, including time series, stock
inventories, and fundamental econometric data. Graham, through its various quantitative
strategies, may trade actively in both U.S. and foreign markets (primarily in futures contracts,
forward contracts, spot contracts and associated derivative instruments such as options and swaps)
and take long and short positions in foreign currencies, equity securities, fixed income securities,
hybrid instruments, options, warrants, customized contractual agreements, and other financial
instruments. Graham may trade certain instruments as a substitute for futures or options traded on
futures exchanges and may also engage in exchange for physical (EFP) transactions, which involve
the exchange of a futures position for the underlying physical commodity without making an open,
competitive trade on an exchange. Instruments and contracts not traded on any organized
exchange may be entered into with banks, brokerage firms or other financial institutions or
commodity firms as counterparties.

Graham performs extensive ongoing research and development relating to the computerized
mathematical models that are the basis of its quantitative strategies. Trend-based strategies
generally are based on computerized mathematical models and rely primarily on technical
information (i.e., historic price and volume data) whereas certain other quantitative strategies use
fundamental information (i.e., general economic, interest rate and industrial production data), or
use both technical and fundamental information, as the basis for their trading decisions. Trend-
based strategies establish positions in markets where the price action of a particular market signals
the computerized systems underlying the strategies that a potential move in prices is occurring.
The systems are designed to analyze mathematically the recent trading characteristics of each
market and to statistically compare such characteristics to the historical trading patterns of the
particular market. Other quantitative strategies, such as carry and fundamental, analyze numerous
data points and apply them to asset pricing models to generate trading signals. The systems also
employ proprietary risk management and trade filter strategies that seek to benefit from price
moves while reducing risk and volatility exposure.

In general, Graham’s Quantitative Strategies department is responsible for the trading of the firm’s
quantitative strategies; however, individual quantitative traders (or quantitative trading teams)
within the Quantitative Strategies department are primarily responsible for trading their separate
quantitative investment programs.

Although the quantitative strategies generally trade systematically pursuant to computer models,
Graham may employ discretion in determining the leverage and timing of trades and the market
weighting and participation in connection with the trading of any of its quantitative investment
programs. In unusual or emergency market conditions, Graham may also utilize discretion in
establishing positions or liquidating positions or otherwise reducing portfolio risk where Graham
believes, in its sole discretion, that it is in the potential best interest of clients to do so. While such
actions are anticipated to occur very infrequently, no assurance can be given that Graham’s
discretionary actions in these programs will enhance performance and in fact such actions may
cause Graham funds to experience losses that they otherwise might not have incurred if Graham
had not intervened.

The discretionary program in which Graham funds may invest is a diversified multi-portfolio
manager program that allocates to a range of individual portfolio management teams. Investment
decisions are determined by the respective discretionary portfolio managers and monitored by
Graham’s Risk Management team. Current strategies are primarily discretionary macro-focused
but also include non-macro discretionary strategies. Graham’s discretionary trading strategies are
diversified among global macro-focused investment strategies, but also include non-macro
investment strategies and are generally non-correlated with traditional and other alternative
investments. The discretionary program expects to utilize a variety of discretionary trading
methodologies and disciplines and primarily trade across global currency, fixed income (including
credit), commodity and equity sectors. Trading positions taken can be both long and short. The
average holding period for the discretionary program is highly variable depending upon the type
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