Exhibit 10.9


 


No:
 


 


Provided
to:  


 


 


 


 


 


supplement


 


 


 


 


 





 



 


 


PRESTIGE
QUANTITATIVE OPPORTUNITIES FUND I SP


 


a
segregated portfolio of


 


PRESTIGE
GLOBAL FUND SPC


an
exempted company incorporated with limited liability under the laws of


the
Cayman Islands with registration number 312284


 


PRESTIGE
GLOBAL ASSET MANAGEMENT LIMITED


Manager


 


PRESTIGE
ASSET MANAGEMENT LIMITED


Investment
Advisor


 


1
February 2017


 





 



 



WARNING


The
contents of this document have not been reviewed by any regulatory authority in Hong Kong. You are advised to exercise caution
in relation to the offer. If you are in any doubt about any of the contents of this document, you should obtain independent professional
advice.


  


警告


本文件的內容未經在香港的規管當局審核。你應就有關要約謹慎行事。如你對本文件的

任何內容有任何疑問,你應尋求獨立專業意見。


 



     


     


    

 


IMPORTANT
NOTICES TO POTENTIAL INVESTORS


 


The
Company is an exempted company incorporated with limited liability and registered as a segregated portfolio company under the
Companies Law (Revised) of the Cayman Islands. This Supplement relates to the offering of participating shares attributable to
Prestige Quantitative Opportunities Fund I SP, a segregated portfolio of the Company (the “Segregated Portfolio”).
This Supplement should be read in conjunction with the Memorandum.


 


Reliance
on the Memorandum and this Supplement


 


Participating
Shares are being offered only on the basis of the information contained in the Memorandum and this Supplement. Any further information
or representations given or made by any dealer, broker or other person should be disregarded and accordingly, should not be relied
upon. No person has been authorised to give any information or to make any representations in connection with the offering of
Participating Shares other than those contained in the Memorandum and this Supplement and, if given or made, such information
or representations must not be relied on as having been authorised by the Directors.


 


Certain
information contained in this Supplement constitutes “forward-looking statements”, which can be identified by the
use of forward-looking terminology such as “may”, “will”, “should”, “expect”,
“anticipate”, “project”, “estimate”, “intend”, “believe”, the negatives
of such words, other variations of such words or comparable terminology. Due to various risks and uncertainties, including those
described in the sections in the Memorandum headed “Risk Factors” and “Conflicts of Interest” and the
section in this Supplement headed “Risk Factors”, actual events or results or the actual performance of the Segregated
Portfolio may differ materially from that anticipated in such forward-looking statements.


 


No
representations or warranties of any kind are intended or should be inferred with respect to the economic return from, or the
tax consequences of, an investment in the Segregated Portfolio. Before making an investment in the Segregated Portfolio prospective
investors should review the Memorandum and this Supplement carefully and in their entirety. Prospective investors should consult
with their legal, tax and financial advisers as to any legal, tax, financial or other consequences of subscribing for, purchasing,
holding, redeeming or disposing of Participating Shares in their country of citizenship, residence and/or domicile.


 


Risks


 


An
investment in the Portfolio carries substantial risk. There can be no assurance that the investment objective of the Portfolio
will be achieved and investment results may vary substantially over time. An investment in the Portfolio is only suitable for
sophisticated investors who are able to bear the loss of a substantial portion or even all of their investment in the Segregated
Portfolio. An investment in the Segregated Portfolio is not intended to be a complete investment programme for any investor.


 


There
is no public market for Participating Shares, nor is a public market expected to develop in the future.


 


Potential
investors should carefully consider the risk factors set out in the sections of the Memorandum and this Supplement headed “Risk
Factors” when considering whether an investment in the Segregated Portfolio is suitable for them in light of their circumstances
and financial resources. Investors are advised to seek independent professional advice on the implications of investing in the
Segregated Portfolio.


 




     


     


    

 


Directory


 


Prestige
Global Fund SPC


 


	Registered
    Office	4th
                                         Floor, Harbour Place

        103
        South Church Street

        PO
        Box 10240

        Grand
        Cayman KY1-1002

        Cayman
        Islands

         

	Manager	Prestige
                                         Global Asset Management Limited

        4th
        Floor, Harbour Place

        103
        South Church Street

        PO
        Box 10240

        Grand
        Cayman KY1-1002

        Cayman
        Islands

         

	Investment
    Advisor	Prestige
                                         Asset Management Limited

        Suite
        5102, Cheung Kong Center

        2
        Queen’s Road Central

        Hong
        Kong

         

	Administrator
    and Sub-Administrator	Equinoxe
                                         Alternative Investment Services (Bermuda) Limited

        3
        Bermudiana Road

        Hamilton
        HM 11

        Bermuda

         

        Equinoxe
        Alternative Investment Services (Asia) Pte. Limited

        112
        Robinson Road

        #12-02

        Singapore
        068902

         

	Auditors	Deloitte
                                         & Touche

        One
        Capital Place (OCP)

        136
        Shedden Road

        George
        Town

        P.O.
        Box 1787

        KY1-1109

        Grand
        Cayman, Cayman Islands

         

	Legal
    Adviser as to Cayman Islands law	Harney
                                         Westwood & Riegels

        3601
        Two Exchange Square

        8
        Connaught Place

        Central

        Hong
        Kong

         

	Legal
    Adviser as to Hong Kong law	Eversheds

        21st
        Floor, Gloucester Tower

        The
        Landmark

        15
        Queen’s Road Central

        Hong
Kong



 






     


     


    




 


Content


 




	Definitions	1
	 	 
	The
    Segregated Portfolio	6
	Establishment	6
	Participating
    Shares	6
	Dealing
    currency	6
	 	 
	Investment
    Objective, Strategies and Restrictions	7
	Investment
    objective	7
	Investment
    strategies	7
	Leverage	7
	Distribution
    policy	7
	Changes
    to investment strategies and restrictions	7
	 	 
	Fees
    and Expenses	17
	Fees
    payable to the Manager	17
	Fees
    payable to the Investment Advisor	17
	Administration
    fees	17
	custodian
    fees	18
	Management
    fees and Performance Allocations of the Underlying Funds	18
	Other
    Fees and Expenses	19
	 	 
	Subscriptions	20
	Subscription
    price and issuance	20
	Subscription
    fee	20
	Minimum
    investment	20
	 	 
	Redemptions	21
	Procedure
    for the redemption of Participating Shares	21
	Redemption
    Restrictions of the Underlying Funds	21
	Redemption
    price and redemption proceeds	23
	Deferral
    of redemptions	23
	Compulsory
    redemption	24
	Audit
    holdback	24
	 	 
	Risk
    Factors	25
	Risks
    associated with the investment strategies	25
	Risks
    associated with Underlying funds	38
	 	 
	Financial
    Information and Reports	45
	Financial
    statements	45
	Reports
                                         to Shareholders

                                                                                
	45



 






     


     


    

 







 



 


Definitions


 






 



 


In
this Supplement capitalised terms have the meanings set out in the Memorandum unless otherwise defined below:


 


	Administrator	means
    Equinoxe Alternative Investment Services (Bermuda) Limited as administrator and Equinoxe Alternative Investment Services (Asia)
    Pte. Limited as sub-administrator.
	 	 
	AIFM	means
    an alternative investment fund manager authorised pursuant to the AIFM Directive.
	 	 
	AIFM
    Directive	means
    Directive 2011/61/EU on alternative investment fund managers.
	 	 
	Appendix	means
    an appendix to this Supplement.
	 	 
	AR
    Offshore Fund	means
    AQR Absolute Return Offshore Fund Ltd.
	 	 
	AQR	means
    AQR Capital Management, LLC, the manager and the investment manager of the AR Offshore Fund.
	 	 
	AQR
    Europe	means
    AQR Capital Management (Europe) LLP, a limited liability partnership registered in United Kingdom appointed as the AIFM of
    the STR Fund.
	 	 
	AQR
    Lux	The
    general partner of the AQR Lux Funds, a Luxembourg private limited company (société à responsabilité
    limitée) incorporated on 18 July 2013.
	 	 
	Benefit
    Plan Investors	means
    any (i) “employee benefit plan” as defined in section 3(3) of ERISA that is subject to Title I of ERISA, (ii) “plan”
    as defined in and subject to Section 4975 of the Code and (iii) entity whose underlying assets are deemed to include plan
    assets by reason of such an employee benefit plan’s or plan’s investment in such entity for the purpose of the Plan Asset
    Regulation or otherwise for purposes of Section 406 of ERISA or Section 4975 of the Code.



 





    1


     


    



 


	Calculation
    Period	a
    period of 3 months commencing on each 1 January, 1 April, 1 July and 1 October, provided that the first Calculation Period
    in respect of any Participating Share will be the period commencing on the date such Participating Share is issued and ending
    on the next following 31 March, 30 June, 30 September or 31 December.
	 	 
	Code	the
    U.S. Internal Revenue Code of 1986, as amended from time to time.
	 	 
	CSSF	the
    Luxembourg supervisory authority of the financial sector, the Commission de Surveillance du Secteur Financier
	 	 
	Delegated
    Regulation	the
    Commission Delegated Regulation (EU) of 17 December 2013 supplementing the AIFM Directive with regard to regulatory technical
    standards determining types of alternative investment fund managers.
	 	 
	Dodd-Frank
    Act 	means
    Dodd-Frank Wall Street Reform and Consumer Protection Act which was signed into federal law on 21 July 2010.
	 	 
	Equalisation
    Credit	an
    amount payable on the subscription of Participating Shares as an equalisation credit, determined as described in the section
    of this Supplement headed “Fees and Expenses” in the Memorandum.
	 	 
	ERISA	means
    Employee Retirement Income Security Act of 1974, as amended from time to time.
	 	 
	Excess
    Return	means
    the amount by which the net asset value per series of the AR Offshore Fund (after deduction of all expenses, including the
    applicable management fees) exceeds the High Water Mark applicable to such series. All calculations shall be made before deduction
    of the performance fee or performance allocation of the AR Offshore Fund, as applicable, for the current period and shall
    include realized and unrealized gains and losses, and in each case adjusted for any dividends, distributions, recapitalizations
    and other similar events.



 





    2


     


    



 


	High
    Water Mark	means
    with respect to a series of the Underlying Funds, the higher of (i) the highest net asset value of such series as of the commencement
    of any fiscal year (as adjusted for redemptions) and (ii) the aggregate issue price of such series (as adjusted for redemptions).
	 	 
	IFRS	International
    Financial Reporting Standards issued by the International Accounting Standards Board.
	 	 
	Initial
    Offer Period	in
    relation to any Class, the period determined by the Directors during which Participating Shares of that Class are first offered
    for subscription, which commenced at 9:00 a.m. (Hong Kong time) on 28 November 2016 and ended at 5:00 p.m. (Hong Kong time)
    on 21 December 2016.
	 	 
	Management
    Fee	the
    management fee payable by the Company, out of the assets of the Segregated Portfolio, to the Manager pursuant to the Management
    Agreement.
	 	 
	Memorandum	the
    private placement memorandum of the Company, as amended from time to time.
	 	 
	Minimum
    Holding	Participating
    Shares with an aggregate Net Asset Value of not less than US$100,000 or such amount as the Directors may determine, either
    generally or in any particular case.
	 	 
	Net
    Asset Value	the
    net asset value of the Segregated Portfolio, the relevant Class or a Participating Share, as the case may be, determined as
    described in the section of the Memorandum headed “Net Asset Value”.
	 	 
	Net
    Asset Value per Share	in
    respect of a Participating Share of any Class, the Net Asset Value of the relevant Class divided by the number of Participating
    Shares of such Class in issue.



 





    3


     


    

 


	Participating
    Share	a
    participating, redeemable, non-voting share of par value US$0.01 in the capital of the Company attributable to the Segregated
    Portfolio and being offered for subscription under the terms of the Memorandum and this Supplement.
	 	 
	Performance
    Fee	the
    performance fee, if any, payable by the Company, out of the assets of the Segregated Portfolio, to the Manager pursuant to
    the Management Agreement.
	 	 
	Plan
    Asset Regulation	means
    the 2510.3-101 of the United States Department of Labor Regulations (29 CFR 2510.3-101) as modified by Section 3(42) of ERISA.
	 	 
	Redemption
    Day	the
    first Business Day of each January, April, July, October and such other day or days as the Directors may determine, either
    generally or in any particular case.
	 	 
	Redemption
    Gate	Participating
    Shares representing in aggregate 10 per cent or more (or such higher percentage as the Directors determine, either generally
    or in respect of any particular Redemption Day) of the Net Asset Value of the Segregated Portfolio.
	 	 
	Redemption
    Period	means
    at least fifty (50) Business Days (or such shorter period as the Directors may permit, either generally or in any particular
    case) before the relevant Redemption Day.
	 	 
	Redemption
    Price	the
    price per share at which Participating Shares of the relevant Class may be redeemed, calculated in the manner described in
    the section of this Supplement headed “Redemptions”.
	 	 
	SEC	means
    U.S. Securities and Exchange Commission.
	 	 
	Segregated
    Portfolio	Prestige
    Quantitative Opportunities Fund I SP, a segregated portfolio of the Company established in accordance with the Articles.
	 	 
	SIF
    Law	the
    Luxembourg law of 13 February 2007 relating to specialised investment funds, as the same may be amended from time to time.



 





    4


     


    

 


	STR
    Fund	the
    AQR Systematic Total Return Fund.
	 	 
	Subscription
    Amount	Subscription
    monies for the Participating Shares as calculated based on the Subscription Price.
	 	 
	Subscription
    Day	the
    first Business Day of each month and/or such other day or days as the Directors may determine, either generally or in any
    particular case.
	 	 
	Subscription
    Fee	the
    subscription fee, if any, payable by the subscribers and deducted from the Subscription Amount, as described in the relevant
    Appendix.
	 	 
	Subscription
    Price	the
    price per share at which Participating Shares may be issued after the close of the Initial Offer Period, calculated in the
    manner described in the section of this Supplement headed “Subscriptions”.
	 	 
	Underlying
    Funds	means
    the AR Offshore Fund and the STR Fund.
	 	 
	Underlying
    Manager	means
    a manager of an Underlying Fund.
	 	 
	U.S.
    or US	means
    the United State of America.
	 	 
	US$
    or U.S. Dollar	means
    U.S. Dollar, the lawful currency of the U.S.



 



    5


     


    

 




 



 




The
Segregated Portfolio


 




 



 


Establishment


 


The
Segregated Portfolio was established on 28 November 2016.


 


Participating
Shares


 


The
Directors have initially created and designated multiple Classes of Participating Shares in respect of the Segregated Portfolio,
which are being offered under the terms of the Memorandum and this Supplement. Details of each Class of Participating Shares will
be specified in the relevant Appendix to this Supplement.


 


At
any time the Directors may create and designate additional Classes in respect of the Segregated Portfolio without notice to, or
the consent of, the Shareholders. The Directors may differentiate between Classes on various bases, including as to the Dealing
Currency, the fees payable, the level of information provided and redemption rights.


 


Dealing
currency


 


The
Dealing Currency of the Classes of Participating Shares is U.S. Dollars unless otherwise specified in the relevant Appendix to
this Supplement. Subscriptions for, and redemptions of, Participating Shares of a Class will be processed in the relevant Dealing
Currency, and the Net Asset Value per Share of the Class will be calculated and quoted in such Dealing Currency.


 




    6


     


    

 





 



 








Investment
Objective, Strategies and Restrictions






 





 



 


Investment
objective


 


The
investment objective of the Segregated Portfolio is to deliver positive absolute returns over any twelve-month period regardless
of the economic environment or the performance of financial markets by investing principally in interests (the “Interests”)
in the Underlying Funds. The Manager may invest in one or more classes or series of the shares of the Underlying Funds in its
absolute discretion and may switch between classes or series of the shares of the Underlying Funds in accordance with the relevant
offering memorandum of the Underlying Funds in its sole discretion. In addition to its investments into the Underlying Funds,
the Manager may also invest in other funds as referred to in the section headed “Investment Strategies” below.


 


There
can be no assurance that the investment objective will be achieved.


 


Investment
strategies


 


The
Manager will seek to achieve the investment objective through exposure to the economic performance of the Underlying Funds by
investing directly in the Underlying Funds but may also seek to achieve that investment objective through investment in other
funds where appropriate.


 


The
Manager has flexibility to invest in different types of funds whose investment strategy includes, but is not limited to, debts,
bonds, listed and unlisted equities, preferred stocks, convertible securities, equity-related instruments, debt securities and
obligations (which may be below investment grade), currencies, commodities, futures, options, warrants, swaps and other derivative
instruments. Derivative instruments may be exchange-traded or over-the-counter. The Manager may engage in short sales, margin
trading, hedging and other investment strategies.


 


Leverage


 


The
Company will not apply any leverage in making its investment in the Underlying Funds in respect of the Segregated Portfolio. Yet,
each of the Underlying Funds may apply leverage in their respective investment activities in accordance with the applicable investment
strategies as discussed under the heading “Investment Objective, Strategies and Restrictions” below. The Company,
on behalf of the Segregated Portfolio, may borrow for the purposes of paying redemption proceeds or paying expenses, if required.


 


Distribution
policy


 


It
is not envisaged that any income or gains derived from investments will be distributed by way of dividend or other distributions.
However, this does not preclude the Directors from declaring a dividend or other distribution at any time in the future if they
consider it appropriate to do so. If a dividend or other distribution is declared, the Directors will distribute it in compliance
with applicable law.


 


Changes
to investment strategies and restrictions


 


The
investment objective, investment strategies, investment restrictions and limits on leverage summarised above represent the current
intentions of the Directors. Subject to any applicable law or regulation, the Directors may change the investment objective, investment
strategies, investment restrictions and limits on leverage by giving Shareholders not less than one (1) months’ prior written
notice of the proposed changes.


 





    7


     


    



 


SUMMARY
OF THE INVESTMENT OBJECTIVE AND RESTRICTIONS OF THE UNDERLYING FUNDS


 


AR
Offshore Fund


 


		●	Investment
Objective



 


The
AR Offshore Fund is a Cayman Islands exempted company that commenced operations in August 1998.


 


The
investment objective of AR Offshore Fund is to produce high risk-adjusted returns while maintaining low-to-zero correlation to
traditional markets. AQR pursues these goals by investing in a combination of different investment strategies that apply quantitative
return forecasting models and systematic risk control methods. Each of these investment strategies is designed to (a) target positive
excess returns over a cash investment, (b) target a specific controlled level of volatility, and (c) exhibit low-to-zero correlation
to other strategies of the Absolute Return Funds (as defined below) and to traditional markets. The AR Offshore Fund invests internationally
in a broad range of instruments, including securities, currencies, futures and other derivative products.


 


The
AR Offshore Fund co-invests with AQR Absolute Return Institutional Fund, L.P., a Delaware, U.S.A. limited partnership that commenced
operations in August 1998 (together with the AR Offshore Fund, the “Absolute Return Funds”), in an investment
program managed by AQR.


 


The
AR Offshore Fund operates by investing all or a portion of its assets in, and conducting substantially all of its investment and
trading activities in parallel with other offshore and/or U.S. co-investment vehicles through, AQR Absolute Return Master Account,
L.P., a Cayman Islands exempted limited partnership (the “AR Master Account”), which has been actively trading
since August 1998.


 


		●	AR
Master Account



 


The
AR Master Account is established as a limited partnership, the AR Offshore Fund will be a limited partner of the AR Master Account.
The AR Master Account is a Cayman Islands exempted limited partnership formed under the Exempted Limited Partnership Law (Revised)
of the Cayman Islands.


 


An
exempted limited partnership is not an entity with separate legal status in the Cayman Islands. All property of the AR Master
Account will be held on behalf of the AR Master Account by the general partner of the Master Account (the “AR Master
Account General Partner”), and any property that is conveyed into or vested in the name of the AR Master Account shall
be held or deemed to be held by the AR Master Account in trust as assets of the AR Master Account in accordance with the terms
of the AR Master Account’s limited partnership agreement. Any debt or obligation incurred by the AR Master Account General
Partner in the conduct of the business of the AR Master Account shall be a debt and obligation of the AR Master Account and the
AR Master Account General Partner will be liable therefore to the extent that the AR Master Account has insufficient assets.


 





    8


     


    



 


The
general partner of a Cayman Islands exempted limited partnership must manage the business of such partnership and may enter into
contracts for and on behalf of such partnership in its name on the terms of the statutory trusts established under the Exempted
Limited Partnership Law (Revised) of the Cayman Islands. As such, the AR Master Account General Partner holds the property of
the AR Master Account on the terms of a statutory trust and owes a duty to act at all times in good faith in the interest of the
AR Master Account. The AR Master Account General Partner, which shares common ownership and management with AQR, has ultimate
responsibility for the management and operations of the AR Master Account, although AQR has exclusive responsibility for the conduct
of the investment program of the AR Master Account. The AR Master Account General Partner is generally entitled to receive a performance
allocation from the AR Master Account in respect of the AR Offshore Fund. The limited partnership agreement of the AR Master Account
vests complete authority over the management of the AR Master Account’s affairs in the AR Master Account General Partner.
However, the AR Master Account General Partner is not responsible for the day-to-day operations and administration of the AR Master
Account, nor is it responsible for making or approving any investment decisions, having delegated such investment responsibilities
to AQR pursuant to an investment management agreement and the day-to-day administrative functions to the administrator of the
AR Offshore Fund pursuant to an administration agreement in accordance with their powers of delegation as set out in the AR Master
Account’s limited partnership agreement.


 


The
AR Master Account General Partner will review, on a periodic basis, the performance of AQR and the administrator of the AR Offshore
Fund. The partners of the AR Master Account, to the fullest extent permitted by law, will indemnify the AR Master Account General
Partner, any affiliate and members, managers, officers, directors of the AR Master Account General Partner or any affiliate or
partner (each a “AR Master Account Indemnified Person”) out of the assets of the AR Master Account for any
loss or damage incurred by such AR Master Account Indemnified Person in connection with the AR Master Account’s activities,
unless otherwise provided for in the limited partnership agreement of the AR Master Account. In the event that the assets of the
AR Master Account are insufficient to meet an indemnification claim, the partners of the AR Master Account (including the AR Offshore
Fund) may be required to make proportionate capital contributions to meet such excess.


 


		●	General
Investment Approach



 


Strategy
Combination and the Use of Leverage. Although the AR Offshore Fund may or may not engage in explicit borrowing, AQR expects
the portfolio of the AR Offshore Fund to be economically leveraged through the use of derivatives. For example, AQR expects that
the sum of notional long positions and, measured separately, the sum of notional short positions will each exceed the capital
invested in the AR Master Account.


 


Risk
Control and Monitoring. Risk control is built into AQR’s strategy models, including consideration of volatility levels,
extreme events, liquidity, funding and credit. AQR’s independent risk manager reviews these risk controls as part of the
strategy approval process. In addition, the independent risk team monitors actual and projected risk levels without reference
to front office models and data. The metrics include value-at-risk, stress losses, market factor exposures, liquidity, leverage,
cash usage, counterparty risk and other measures. These values are computed by the independent risk team and provided to the portfolio
manager of the AQR portfolio management team and AQR’s risk committee. The independent risk manager has implemented systematic
procedures for drawdown control, market factor exposure management and tail hedging in funds for which these measures are deemed
appropriate. These procedures are run independently of the portfolio manager of the AQR portfolio management team. There can be
no assurance that AQR’s risk monitoring and risk controls will be successful or that significant losses will not be incurred.


 


Implementation.
AQR believes that the management of transaction costs deserves a priority focus. Transaction costs include commissions, bid-ask
spreads, market impact and timing delays (time between decision and implementation when a market may move for or against an investor).
A consideration of transaction costs should be a part of model design (e.g., a lower cost market may support a higher frequency
trading strategy), and a part of the trading decision itself (i.e., a trade must be attractive after transaction costs).


 





    9


     


    



 


Investment
Restrictions. The AR Offshore Fund will not be permitted to invest directly in real estate assets or in securities of private
real estate companies or partnerships. For the avoidance of doubt, the aforementioned restriction does not include publicly traded
real estate investment trusts (“REITs”). Except for the foregoing restriction, the AR Offshore Fund’s
investment activities will be carried out in the manner deemed appropriate by AQR. There are no other material limitations or
restrictions on the particular categories or the magnitude of the AR Offshore Fund’s investments, or on the investment strategies
and techniques to be utilized by AQR, which may from time to time differ from those which are described herein.


 


STR
Fund


 


		●	Investment
Objective



 


The
STR Fund is one of a number of funds of AQR Lux Funds, which is an umbrella investment structure comprising one or more funds
including the STR Fund and is an open-ended investment company with variable capital (société d’investissement
à capital variable) – specialized investment fund (fonds d’investissement spécialisé) organized
under the laws of Luxembourg as a partnership limited by shares (société en commandite par actions). The
STR Fund is governed by the SIF Law and qualifies as an alternative investment fund in the sense of the AIFM Directive. AQR Lux
Funds was incorporated on 18 July 2013 with an unlimited lifetime. Although the AQR Lux Funds constitutes one sole legal entity,
for the purpose of the relations between shareholders of any fund of the AQR Lux Funds, each fund including the STR Fund will
be deemed to be a separate entity. The right of investors and creditors regarding the STR Fund or raised by the constitution,
operation or liquidation of the STR Fund are limited to the assets of the STR Fund, and the assets of the STR Fund will be answerable
exclusively for the rights of the shareholders relating to the STR Fund and for those of the creditors whose claim arose in relation
to the constitution, operation or liquidation of the STR Fund.


 


The
STR Fund was launched in 2016 and the investment objective of the STR Fund is to seek total returns commensurate with its long-term
risk target. The STR Fund will allocate to three investment sub-strategies, each sub-strategy having a distinguishable set of
investment objectives (as set out below), namely: the “Market Risk Premia Strategy”, the “Macro Asset Timing
Strategy”, and the “Market Neutral Security Selection Strategy” (each is referred to as a “Sub-Strategy”
and together the “Sub-Strategies”). There can be no assurance that the STR Fund will achieve its investment
objective. The STR Fund seeks to achieve its investment objective by making a diversified allocation assets across one or more
of three Sub-Strategies.


 


		●	General
Investment Approach



 


Strategy
Combination. The STR Fund will seek to make a diversified allocation across the three Sub-Strategies, with similar levels
of long-term volatility targets. Fluctuations may occur due to Sub-Strategy signals, performance or risk control.


 


Risk
Control and Monitoring. Risk control is built into AQR Europe’s strategy models, including consideration of volatility levels,
extreme events, liquidity, funding and credit. AQR Europe’s independent risk manager reviews these risk controls as part of the
strategy approval process. In addition, the independent risk team monitors actual and projected risk levels without reference
to front office models and data. The metrics include value-at-risk, stress losses, market factor exposures, liquidity, leverage,
cash usage, counterparty risk and other measures daily. These values are computed by the independent risk team and provided to
the portfolio manager and AQR Europe’s Risk Committee. The independent risk manager has implemented systematic procedures for
drawdown control, market factor exposure management and tail hedging in funds for which these measures are deemed appropriate.
These procedures are run independently of the portfolio manager.


 





    10


     


    



 


Investment
Restrictions. The STR Fund will comply with the risk-spreading requirements of CSSF circular 07/309. By making use of its
power to determine the investment policy of the STR Fund, AQR Lux has resolved the following investment restrictions that apply
in principle for the STR Fund:


 


		(1)	It
will not have a net counterparty exposure to any one counterparty for 30% or more of its assets.



 


		(2)	It
will not invest or commit to invest 30% or more of its assets in securities or investment instruments of the same type issued
by the same issuer or in any other single asset.



 


		(3)	The
restriction under (2) does however not apply to: (a) investments in securities issued or guaranteed by an OECD Member State or
its regional or local authorities or by EU, regional or global supranational institutions or bodies; (b) investments in undertakings
for collective investment that are subject to risk-spreading requirements at least comparable to those applicable to specialized
investment funds. For the purpose of the application of this restriction, every sub-fund of an umbrella undertaking for collective
investment is to be considered as a separate issuer.



 


		(4)	Short
sales may in principle not result in the STR Fund holding short positions in securities or investment instruments of the same
type issued by the same issuer representing more than 30% of the STR Fund’s assets.



 


		(5)	When
using financial derivative instruments, the STR Fund must ensure, via appropriate diversification of the underlying assets, a
similar level of risk-spreading.



 


		(6)	The
STR Fund may invest up to 100% of its assets in non-listed securities.



 


		(7)	The
STR Fund may acquire up to 100% of the securities or other instruments issued by the same issuing body.



 


		(8)	The
STR Fund may invest in financial derivatives instruments (including any financial instruments embedding derivatives or a derivative
component) dealt in on a regulated market and/or non regulated market and/or over-the-counter (OTC), provided that:



 


		(i)	the
counter-parties to OTC derivative transactions are rated financial institutions specializing in these types of transactions and
being reliable counter-parties in the OTC markets; and



 


		(ii)	the
net risk exposure to a counter-party in an OTC derivative transaction may not exceed 30% of the STR Fund’s net assets.



 


		(9)	The
STR Fund may engage in securities lending transactions, repurchase transactions and/or reverse repurchase transactions/repurchase
transactions. Cash collateral received by the STR Fund in relation to these transactions may be reinvested in accordance with
its investment objectives.



 


The
STR Fund (in this context, a “Investing Fund”) may subscribe, acquire and/or hold securities to be issued or
issued by one or more other funds of the AQR Lux Funds (each, a “Target Fund”) without the AQR Lux Funds being
subject to the requirements of the Luxembourg law of 10 August 1915 on commercial companies, as amended, with respect to the subscription,
the acquisition and/or the holding by a company of its own shares, under the condition however that:








 


		●	the
                                         Target Fund does not, in turn, invest in the Investing Fund;



 


		●	voting
                                         rights, if any, attaching to the relevant securities of the Target Fund are suspended
                                         for as long as they are held by the Investing Fund concerned and without prejudice to
                                         the appropriate processing in the accounts and the periodic reports; and



 


		●	for
                                         as long as these securities are held by the Investing Fund, their value will not be taken
                                         into consideration for the calculation of the net assets of the AQR Lux Funds for the
                                         purposes of verifying the minimum threshold of the net assets imposed by the SIF Law.



 



    11


     


    

 


The
investment restrictions may not be complied with for one year since the launch date of the STR Fund. Should the STR Fund be in
a passive breach of the above restrictions for reasons beyond the reasonable control of AQR Europe after the one year period after
the launch date of the STR Fund, e.g. due to a change in the market value of the portfolio of the STR Fund, AQR Europe shall use
reasonable efforts to bring the STR Fund back within its restrictions except where AQR Europe reasonably believes that this would
be prejudicial to the interests of the STR Fund.








 


Upon
the STR Fund entering into its liquidation phase or upon some or all of the investments having been fully repaid, the STR Fund’s
investment restrictions might no longer be complied with, as the disposal of assets or the maturing of an investment will have
an impact on the weightings between assets, which in principle will not be corrected by AQR Europe.


 


LEVERAGE
AND BORROWING RESTRICTIONS. AQR Europe expects the portfolio to be economically leveraged through the use of derivatives and
securities.. For example, AQR Europe expects that the sum of notional long positions will significantly exceed the capital invested
in the STR Fund.


 


The
STR Fund shall limit its leverage as calculated by the gross and commitment method set out in Articles 7 and 8 of the Delegated
Regulation to 2000% of the net asset value of the STR Fund under both methods.


 


In
addition, the STR Fund may use borrowing as deemed appropriate by AQR Europe up to 10% of the net asset value of the STR Fund.


 


INVESTMENT
STRATEGIES OF THE UNDERLYING FUNDS


 


AF
Offshore Fund


 


Commodity
Selection. This strategy provides long and short exposure to commodities using primarily commodity futures, swaps, forwards
and options. This strategy is designed to exhibit low long-term correlation to traditional markets.


 


Continental
Europe Stock Selection. This strategy provides long and short exposure to diversified portfolios of developed market equities
within Continental Europe. This strategy is designed to exhibit low correlation to the MSCI Europe Ex. U.K. Equity Index1.
This strategy is implemented using primarily a combination of individual equities, total return swaps and stock index futures.


 


Convertible
Bond Arbitrage. This strategy utilizes quantitative and systematic risk-control methods generally to take a position in various
global convertible debt and convertible preferred securities and an offsetting position in various global equities directly linked
to the convertible securities. This strategy will be implemented using primarily individual convertible securities and equities,
but may also utilize total return equity swaps, credit default swaps, high-yield debt portfolios, bond futures, interest rate
futures, stock index futures, currency forwards, and options.


 


Credit
Timing. The credit timing strategy provides long and short exposure to broad investment grade and high yield credit markets.
Views generally are implemented using the Markit CDX2 credit default swap indices.


 


Developed
Bond Country Selection. This strategy provides long and short exposure to developed country bond markets, using primarily
bond futures. The strategy is designed to exhibit low correlation to the currency-hedged developed bond markets.


 


 


 


 


 









		1	The MSCI Europe Ex. U.K. Equity Index is a free float-adjusted
market capitalization index that is designed to measure developed market equity performance in Europe. As of October 2009, the
MSCI Europe Ex. U.K. Equity Index consisted of the following 15 developed market country indices: Austria, Belgium, Denmark, Finland,
France, Germany, Greece, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden and Switzerland.



 


		2	The Markit CDX family of credit derivative indexes is composed
of corporate and sovereign entities domiciled in North America and Emerging Markets. Markit CDX indexes include: Markit CDX.NA.IG
(Investment Grade), Markit CDX.NA.IG.HVOL (High Volatility), Markit CDX.NA.HY (High Yield), Markit CDX.NA.HY.BB (High Yield, BB),
Markit CDX.NA.HY.B (High Yield, B), Markit CDX.NA.HY Notes (High Yield Notes) and Markit CDX.EM (Emerging Markets).



 




 





    12


     


    



 


Developed
Currency Selection. This strategy provides long and short currency exposure to developed markets, using primarily forward
contracts. The strategy is designed to exhibit low correlation to traditional markets.


 


Developed
Equity Country Selection. This strategy provides long and short exposure to developed country equity markets, using primarily
stock index futures, options and/or swaps. The strategy is designed to exhibit low correlation to the currency-hedged MSCI World
Equity Index3.


 


Developed
Interest Rates Country Selection. This strategy provides long and short exposure to developed country short term interest
rate markets, using primarily interest rate futures. The strategy is designed to exhibit low correlation to global credit and
interest rate markets.


 


Discretionary
Macro. This strategy provides long and short exposure in commodity, currency, fixed income and equity futures and can also
trade swaps, ETFs and individual equities on a selective basis. The strategy aims to take advantage of macro-economic trends using
quantitative and qualitative information.


 


Emerging
Bond Country Selection. This strategy provides long and short exposure to emerging country bond markets, using primarily bond
futures and/or interest rate swaps. The strategy is designed to exhibit low correlation to a market cap-weighted, currency-hedged,
emerging market bond index.


 


Emerging
Currency Selection. This strategy provides long and short currency exposure to emerging markets, using primarily forward and
non-deliverable forward contracts. The strategy is designed to exhibit low correlation to traditional markets.


 


Emerging
Equity Country Selection. This strategy provides long and short exposure to emerging country equity markets, using primarily
swaps and other derivative instruments. The strategy is designed to exhibit low correlation to the currency-hedged MSCI Emerging
Markets Free Index4.


 


Emerging
vs. Developed Currency Timing. This strategy will cover global emerging and developed currency markets and is designed to
capture the out-performance of emerging or developed currencies through the cycle. This strategy is designed to be balanced between
emerging and developed country currencies (i.e., if the strategy is long emerging country currencies, it will be short developed
country currencies and vice versa). This strategy provides long and short exposure to a liquid basket of emerging and developed
country currency forwards (primarily forward and non-deliverable forward contracts).


 


Emerging
vs. Developed Equity Timing. This strategy will cover global emerging and developed country equity markets and is designed
to capture the outperformance of emerging or developed country equity markets through the cycle. This strategy is designed to
be balanced between emerging and developed country equity markets (i.e., if the strategy is long emerging country equity markets,
it will be short developed country equity markets and vice versa).


 


Equity
Index Spreads. This strategy utilizes models that are intended to make relative value bets on various subsets of the U.S.
equity market according to the conditional attractiveness of particular spreads. The subsets/spreads considered are generally
defined by size-groups (Large-Cap vs. Small-Cap and Large-Cap vs. Mid-Cap) and by economic sector (Technology vs. Non-technology).
Attractiveness is assessed by security level fundamentals (valuation and growth) and by momentum. This strategy will be primarily
implemented using futures. The strategy is designed to be beta-neutral with respect to the S&P 500 Index.


 


 


 


 


 






		3	The MSCI World Equity Index is a free float-adjusted market capitalization index that is designed
to measure developed market equity performance throughout global markets. As of October 2009, the MSCI World Equity 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.



 


		4	The MSCI Emerging Markets Free (EMF) Index is a free float-adjusted market capitalization index
that is designed to measure equity performance in the global emerging markets. As of October 2009, the MSCI EMF Index consisted
of the following 22 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia,
Israel, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand and Turkey.



 



    13


     


    



 




Global
Stock Selection. This strategy provides long and short exposure to diversified portfolios of Global equities. The strategy
is designed to exhibit low correlation to the MSCI World Equity Index5. This strategy will be implemented using primarily
a combination of individual equities, total return swaps and stock index futures.


 


Global
Swap Spreads. The swap spread strategies utilize interest rate derivative instruments to make relative value investments across
developed countries swap spread markets. This strategy is designed to exhibit low long-term correlation to traditional markets
but can vary through time in how much positive or negative exposure to global swap spreads it takes.


 


Inflation
Breakeven Selection. This strategy provides long and short exposure to developed country inflation breakeven markets, using
cash bonds (an inflation breakeven trade is a long position in an inflation-linked sovereign bond and short position in a duration
matched nominal sovereign bond). The strategy is designed to exhibit low correlation to the currency-hedged developed inflation
breakeven markets.


 


Japanese
Stock Selection. This strategy provides long and short exposure to diversified portfolios of Japanese equities. The strategy
is designed to exhibit low correlation to the TOPIX.6 This strategy will be implemented using primarily a combination
of individual equities, total return swaps and stock index futures.


 


Low
Beta Anomaly Strategies. This strategy provides long and short exposure to diversified portfolios across a variety of asset
classes, including but not limited to, global equities, global bonds, futures and swaps. The strategy is designed to exhibit low
correlation to the equity market indices. This strategy will be implemented using primarily a combination of individual equities,
total return swaps and stock index futures.


 


Merger
Arbitrage. This strategy will attempt to employ a diversified, disciplined strategy to capture the returns to merger arbitrage.
This strategy will be implemented using primarily individual equities, but may also utilize total return equity swaps, stock index
futures, currency forwards, and options


 


Mortgage
Credit. This strategy provides exposure to various components of the capital structure in the commercial real estate market.
AQR employs a complex structural model to identify mispricing between equity and debt at different seniority levels. The views
are expressed through trading Markit CMBX Tranches7 and REIT ETFs.


 


Short
Term Stock Selection. This strategy provides long and short exposure to a diversified portfolio of global equities based on
forecasts of short-term price movements.


 


Statistical
Arbitrage. This strategy provides long and short exposure to a diversified portfolio of equities based on forecasts of short-term
price movements.


 


 


 


 


 






		5	As above.



 


		6	The Tokyo Stock Price Index (TOPIX) consists of the 500 most prestigious
Japanese companies which are listed on the Tokyo Stock Exchange. 



 


		7	Markit CMBX Index is a synthetic tradeable index referencing a basket of 25 commercial mortgage-backed
securities. The available tranches are AAA, AM, AJ, AA, A and BBB.



 



    14


     


    

 


Stock
and Bond Market Timing. This strategy provides long and short exposure to S&P 500 and 10-Year Treasury futures in the
U.S. This strategy is not designed to exhibit low correlation to traditional markets at all times. Rather, the strategy is designed
so that its long-term average exposure is zero to both stock and bond markets (i.e., to be uncorrelated over the long-term).


 


U.K.
Stock Selection. This strategy provides long and short exposure to diversified portfolios of U.K. equities. The strategy is
designed to exhibit low correlation to the FTSE 1008. This strategy will be implemented using primarily a combination
of individual equities, total return swaps and stock index futures.


 


U.S.
REIT Stock Selection. This strategy provides long and short exposure to diversified portfolios of U.S. REITs. The strategy
is designed to exhibit low correlation to the Russell 2000®9. This strategy will be implemented using primarily
a combination of individual equities, total return swaps and stock index futures.


 


U.S.
Stock Selection. This strategy provides long and short exposure to diversified portfolios of U.S. equities. The strategy is
designed to exhibit low correlation to the S&P 50010. This strategy will be implemented using primarily a combination
of individual equities, total return swaps and stock index futures.


 


Volatility
Trading. This strategy primarily utilizes derivative instruments on equity indexes, individual equities, fixed income securities,
currencies, and commodities globally, but may also invest in securities, spot and forward currency contracts, and other financial
instruments. The strategy involves writing uncovered options, which incurs a high risk of large capital losses especially in the
event of large equity moves, and thus the strategy should be considered highly speculative. This strategy may seek to generate
returns from (a) exploiting the long-term economic premium from selling volatility, (b) forecasting changes in the level, term
structure and skew structure of volatility across a wide variety of asset classes, or (c) exploiting inefficiencies in the relative
volatility of equity indexes and their constituents.


 


Yield
Curve. The yield curve strategies utilize interest rate derivative instruments and cash bonds to make relative value investments
within developed and potentially emerging countries’ fixed income markets. This strategy is designed to exhibit low long-term
correlation to traditional markets.


 


STR
Fund


 


Market
Risk Premia Strategy. The Market Risk Premia Strategy is designed to deliver exposure to a broadly diversified set of global
risk premia covering equities, government bonds and eligible diversified commodity indices. The Market Risk Premia Strategy seeks
to maintain a targeted level of volatility while also targeting an equal risk allocation across three major categories (equity
risk, nominal fixed income risk and inflation risk) (the “Risk Premia”), taking into consideration the expected
volatility and correlations among the categories.


 


AQR
uses a customised process to estimate volatilities and correlations for the Risk Premia. Based on these estimates, the Market
Risk Premia Strategy adjusts position sizes in each asset class in order to maintain a targeted level of volatility and an equal
risk allocation across the Risk Premia. In periods of higher expected volatility for an asset class, the Market Risk Premia Strategy
will hold smaller positions in order to maintain a steady level of targeted risk. Conversely, in periods of lower expected volatility
for an asset class, the Market Risk Premia Strategy will hold larger positions in response.


 


 


 


 


 






		8	The FTSE is an index of blue chip stocks traded on the
London Stock Exchange.



 


		9	The Russell 2000 Index measures the performance of the
small-cap segment of the U.S. equity universe. The Russell 2000 Index is a subset of the Russell 3000? Index representing approximately
10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination
of their market cap and current index membership.



 


		10	The
S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value
weighted index (stock price times number of shares outstanding), with each stock’s weight in the Index proportionate to
its market value.





 



    15


     


    

 


Macro
Asset Timing Strategy. The Macro Asset Timing Strategy is designed to invest in a diversified portfolio of equity, currency
and fixed income instruments, both long and short, in an effort to provide exposure and performance that is, on average, lowly
correlated to equity and fixed income markets. The positions that the Macro Asset Timing Strategy takes in each instrument are
based on a systematic, quantitative investment process that pursues short to intermediate-term price trends in the corresponding
market for the instrument, while modulating its positions by systematically assessing whether a given trend looks over-extended
on a short or long term basis.


 


Market
Neutral Security Selection Strategy. The Market Neutral Security Selection Strategy is designed to (a) target positive excess
returns over a cash investment, and (b) exhibit low-to-zero correlation to other traditional and non-traditional investments.
AQR Europe pursues these goals by utilising quantitative return forecasting models and systematic risk-control methods to take
long and short positions in various global equities.


 


The
instruments expected to be used across all of the Sub-Strategies outlined above in the implementation of the investment objective
may include, but are not limited to:


 


		●	futures
                                         contracts including, single equity futures, bond futures interest rate futures and futures
                                         on stock indices (which will be mainly well diversified national or regional stock indices
                                         on a world-wide basis);



		●	swaps,
                                         including swaps on stock indices;



		●	treasury
                                         inflation-protected securities and inflation linked bonds;



		●	currencies;



		●	currency
                                         forwards including developed and emerging market forwards and nondeliverable forwards;



		●	swaps,
                                         including swaps on equity indices, bond indices, commodity indices and interest rate
                                         swaps;



		●	global
                                         equities, equity-like securities, fixed income instruments, including government and
                                         corporate bonds;



		●	repurchase
                                         instruments;



		●	exchange-traded
                                         funds;



		●	other
                                         derivative products;



		●	asset-backed
                                         securities or mortgage-backed securities.



 


A
portion of the STR Fund’s assets may be held in cash or cash equivalent investments, including, but not limited to, short-term
investment funds, bank deposits and/or U.S. Government securities (including U.S. treasury Acts). A portion of these assets may
be used for derivatives’ margining and collateral requirements.


 


There
are no geographic limits on the market exposure of the STR Fund’s assets. This flexibility allows AQR Europe to look for
investments or gain exposure to asset classes and markets around the world, including emerging markets, that it believes will
enhance the STR Fund’s ability to meet its investment objective.


 


The
positions that the STR Fund takes in each instrument are based on a systematic, quantitative investment process. AQR Europe will
utilise customised trading algorithms to try to minimise market impact and reduce trading costs.


 




    16


     


    

 





 



 


Fees
and Expenses


 





 



 


Fees
payable to the Manager


 


Management
Fee


 


The
Company will pay the Manager a Management Fee, out of the assets of the Segregated Portfolio, as specified in the relevant Appendix
to this Supplement.


 


The
Management Fee will be payable in U.S. Dollars monthly in arrear. If the Manager is not acting as Manager for an entire month,
the Management Fee payable for such month will be prorated to reflect the portion of such month in which the Manager is acting
as such. The Manager may waive or reduce such Management Fee, either generally or in any particular case.


 


The
Management Fee will be paid to the Manager as soon as reasonably practicable after the end of each month.


 


Performance
Fee


 


For
each Calculation Period, the Performance Fee in respect of each Class is as specified in the relevant Appendix to this Supplement.
The Performance Fee in respect of each Calculation Period will be calculated by reference to the Net Asset Value per Share of
each Class before deduction for any accrued Performance Fee. The Manager may waive or reduce such Performance Fee, either generally
or in any particular case.


 


The
Performance Fee will be paid to the Manager in arrear as soon as reasonably practicable after the end of each Calculation Period.


 


If
Participating Shares are redeemed during a Calculation Period, the Performance Fee in respect of such Participating Shares will
be calculated as though the relevant Redemption Day was the end of a Calculation Period. An amount equal to any Performance Fee
in respect of such Participating Shares will be paid to the Manager as soon as reasonably practicable after the relevant Redemption
Day. In the event of a partial redemption, Participating Shares will be treated as redeemed on a first in, first out basis for
the purpose of calculating the Performance Fee.


 


If
the Management Agreement is terminated during a Calculation Period, the Performance Fee in respect of the then current Calculation
Period will be calculated and paid as though the date of termination were the end of the relevant Calculation Period.


 


Fees
payable to the Investment Advisor


 


Advisory
Fee


 


The
Manager will pay, from the Management Fees, the Investment Advisor an advisory fee.


 


Administration
fees


 


The
Administrator will receive a fee out of the assets of the Segregated Portfolio for providing administration services of up to
0.045 per cent per annum of the Net Asset Value of the Segregated Portfolio, calculated as at each Valuation Day in respect of
a Subscription Day and payable monthly in arrear, subject to a minimum annual fee of US$22,200.


 



    17


     


    

 


The
Administrator will also be entitled to various transaction and processing fees and to be reimbursed for all out of pocket expenses
properly incurred by it in the performance of its duties.


 


custodian
fees


 


Since
the Segregated Portfolio will only invest in the Underlying Funds, the custodian will be the bank or banks with whom the Company
may open an account for custody of the cash of the Segregated Portfolio. The aforesaid account will require the Company to maintain
a minimum average daily balance as agreed from time to time between the Company and the relevant bank. The bank may change the
aforesaid minimum balance and its charge and fees at its sole discretion and the Company will not inform the Shareholders of such
changes. Such fees and charges will be deducted from the relevant inward payment and outward payment respectively.


 


If
the Underlying Funds dissolve and the securities held by the Underlying Funds are distributed in kind to the Company for the account
of the Segregated Portfolio, the Company may appoint a custodian to hold any such securities temporarily until such securities
can be realised. The fees of any such custodian would be expected to be in line with current market rates.


 


Management
fees and Performance Allocations of the Underlying Funds


 


In
addition to the Management Fee and the Performance Fee payable to the Manager, management fees and performance fees are also levied
in respect of the Underlying Funds. Accordingly the Company, for the account of the Segregated Portfolio, will be holding its
investments in the Underlying Funds subject to such fees and investors in the Segregated Portfolio should understand that the
value of the Company’s investment in the Underlying Funds will be reduced to the extent of such fees and that potential
investor’s investment in the Shares of the Segregated Portfolio will also be subject to Management Fees and Performance
Fees payable to the Manager as described in the preceding section.


 


AR
Offshore Fund


 


Management
fees. AQR is entitled to receive management fees at an annual rate of two (2) percent of the net asset value of the AR Offshore
Fund. In consideration for the management fees, AQR renders certain administrative and managerial services to the AR Offshore
Fund. AQR reserves the right to waive or rebate all or a portion of the management fees with respect to its affiliates or other
designated investors.


 


Performance
allocations. The AR Master Account is generally entitled to receive an annual performance allocation in respect of the AR
Offshore Fund at twenty (20) percent of the Excess Return attributable to each series of the AR Offshore Fund. Generally, the
performance allocation will be calculated and charged to each series of shares of the AR Offshore Fund as of December 31 of each
calendar year. The accrual and the allocation of the performance allocation at the AR Master Account level will cause a corresponding
reduction in the net asset value of each applicable series of the AR Offshore Fund.


 


A
performance allocation will also be calculated and made (i) with respect to any redemption of shares of the AR Offshore Fund as
of any time other than December 31 on the basis of the Excess Return, if any, attributable to such shares of the AR Offshore Fund
through the redemption date and (ii) upon liquidation of the AR Offshore Fund. Although the AR Master Account General Partner
currently anticipates receiving the performance allocation at the AR Master Account level in respect of the AR Offshore Fund,
the AR Offshore Fund may, at any time and in its sole discretion, without notice to or the consent of any shareholder of the AR
Offshore Fund, restructure its incentive compensation arrangements and permit AQR to receive incentive compensation as a performance
fee at the AR Offshore Fund level in respect of the performance of capital invested in the AR Offshore Fund.


 



    18


     


    

 


STR
Fund


 


Management
fees. AQR Lux as the general partner of the AQR Lux Funds is entitled to receive an annual management fee calculated at an
annual rate equal to 1.25% of the net asset value of the STR Fund for class A shares of the STR Fund.


 


Management
fees are calculated and payable by the STR Fund monthly in advance as of the commencement of each month. Subscriptions accepted
after the commencement of a calendar month and/or redemption processed as of a date other than month end will be subject to a
pro-rated management fee payable upon investment or rebated upon redemption, reflecting the applicable time during the month in
which such investment was invested in the STR Fund.


 


Performance
fee. There is currently no performance fee charged in the STR Fund.




Other Fees and Expenses


 


The
costs and expenses of, and incidental to, the establishment of the Segregated Portfolio are estimated to be approximately [US$100,00011].
The Segregated Portfolio will bear its pro rata share of establishment costs and all expenses related to its investment
programme and operations, costs and expenses relating to the negotiation and preparation of the contracts entered into by the
Company on behalf of the Segregated Portfolio and the fees and expenses of professional advisers as described in the Memorandum.
These costs and expenses will be amortised on a straight line basis over a period of three (3) years from the initial issue of
Participating Shares attributable to the Segregated Portfolio. The Directors may shorten the period over which such expenses are
amortised.


 


The
AR Offshore Fund will bear of its own costs and expenses arising in connection with its organisation and operations and each class
or series of the AR Offshore Fund will bear its proportional share of the respective costs and expenses.


 


AQR
Lux Funds will bear the costs and expenses arising in connection with the organisation and operations of the STR Fund.


 


 


 


 


 






		11	Eversheds (17/3): We think it is going to be higher than
this amount, please let us know if we should amend.



 




    19


     


    

 





 



 


Subscriptions


 





 



 


Subscription
price and issuance


 


Participating
Shares are being offered for subscription during the Initial Offer Period at a fixed price of US$1,000 per Share. During the Initial
Offer Period, subscribers must send their completed Subscription Agreement, together with any supporting documents, so as to be
received by the Administrator by no later than 5:00 p.m. (Hong Kong time) on the Business Day which is ten (10) Business Days
before the last Business Day of the Initial Offer Period. The subscription monies must be sent by electronic transfer so that
cleared funds are received in the bank account of the relevant Segregated Portfolio by no later than 5:00 p.m. (Hong Kong time)
on a day not less than five (5) Business Days before the last Business Day of the Initial Offer Period. If the Subscription Amount
received during the Initial Offer Period is less than the minimum initial investment required to be made into the Underlying Funds,
the Directors may in their absolute discretion return the Subscription Amount received from each subscriber to that subscriber
without interest.


 


Following
the close of the Initial Offer Period, Participating Shares will be available for subscription on each Subscription Day at the
relevant Subscription Price. Applications must be received ten (10) Business Days before each Subscription Day. The Subscription
Price will be equal to the Net Asset Value per Share of the relevant Class as at the Valuation Day immediately preceding the Subscription
Day on which the application is effective.


 


If
timely settlement is not made, an application may lapse and be cancelled. In such circumstances, the Company has the right to
bring an action against the defaulting subscriber to obtain compensation for any loss directly or indirectly resulting from the
failure by the subscriber to make good settlement by the settlement date.


 


The
Company may reject any application in whole or in part and without giving any reason for doing so. If an application is rejected,
the Subscription Amount paid, or the balance thereof in the case of a partial rejection, will be returned (without interest) as
soon as practicable to the account from which the Subscription Amount were originally remitted. Any costs incurred in returning
the Subscription Amount will be borne by the subscriber.


 


Subscription
fee


 


A
subscriber for Participating Shares will be required to pay a Subscription Fee as specified in the relevant Appendix to this Supplement
on the execution of the Subscription Agreement. The Subscription Fee is deducted from the Subscription Amount and the monies available
for the purchase of Participating Shares are the net amount after the Subscription Fee has been deducted from the Subscription
Amount. The Subscription Fee will be paid to the Manager. The Manager may waive or reduce such Subscription Fee, either generally
or in any particular case.


 


Minimum
investment


 


The
minimum initial investment per subscriber for each Class of Participating Shares is as specified in the relevant Appendix to this
Supplement and unless otherwise stated is inclusive of any Subscription Fee. The Subscription Amount must satisfy the minimum
initial investment value as specified in the relevant Appendix to this Supplement. The Directors may waive or reduce the minimum
initial investment either generally or in any particular case. However, for so long as the Company is registered under section
4(3) of the Mutual Funds Law, the minimum initial investment cannot be less than US$100,000 (or its equivalent in the relevant
Dealing Currency) (in this case exclusive of any Subscription Fee). For any subsequent subscription, the minimum investment per
subscriber for each Class of Participating Shares cannot be less than US$100,000 (in this case inclusive of any Subscription Fee).
The Directors may waive or reduce the minimum subsequent investment either generally or in any particular case.


 




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Redemptions


 





 



 


Procedure
for the redemption of Participating Shares


 


Subject
to any restrictions set out in this section and under the section of the Memorandum headed “Net Asset Value - Suspensions”,
Participating Shares may be redeemed at the option of the Shareholder on any Redemption Day.


 


A
Shareholder wishing to redeem its Participating Shares must send a completed Redemption Notice to the Administrator at the address
specified in the Redemption Notice. The completed Redemption Notice must be received by no later than 5:00 p.m. (Hong Kong time)
on a Business Day falling before the commencement of the relevant Redemption Period. Unless the Directors agree otherwise, any
Redemption Notice received after this time will be held over and dealt with on the next relevant Redemption Day.


 


If
a Redemption Notice is received which would, if satisfied, result in the Shareholder retaining less than the Minimum Holding,
the Directors may treat such Redemption Notice as a request for a partial redemption only up to the Minimum Holding or may redeem
the Shareholder’s entire holding of Participating Shares. A request for a redemption of Participating Shares with an aggregate
Net Asset Value of less than US$100,000 (or such lesser amount as the Directors may determine, either generally or in any particular
case) will be refused and all redemptions must be integral multiples of US$10,000. Participating Shares of the relevant Class
will be redeemed on a “first issued, first redeemed” basis.


 


Redemption
Restrictions of the Underlying Funds


 


AR
Offshore Fund


 


AR
Offshore Fund has one redemption date each quarter. The redemption dates shall be (1) the last business day of each calendar quarter;
and (2) such other dates as the AR Offshore Fund, with the consent of AQR, may determine.


 


Subject
to the right of the board of director of the AR Offshore Fund, in consultation with AQR, to suspend the calculation of the AR
Offshore Fund’s net asset value and/or the redemption privilege in certain extraordinary circumstances, the estimated amount
due to a shareholder of the AR Offshore Fund on a redemption date will generally be settled in cash or, subject to the discretion
of the AR Offshore Fund, with the consent of AQR, wholly or partially with portfolio securities of the AR Offshore Fund, within
ten business days after a redemption date. Notwithstanding the foregoing, upon the redemption of 90% or more of the net asset
value of a share of the AR Offshore Fund during any 12-month period, AQR will, after applying all charges and credits properly
allocable to such shares of the AR Offshore Fund (including any charges or credits applied at the AR Master Account ), cause the
AR Offshore Fund to distribute to such shareholder, (i) within ten business days after the date as of which the most recent redemption
is effective, an amount so that at least 90% of the net asset value of such shareholder’s shares so redeemed over the previous
12-month period has been distributed, and (ii) promptly upon completion of the audit of the AR Offshore Fund’s financial
statements for the year, an amount equal to the remainder of the redemption requests during such 12-month period after adjusting
for the audit (together with interest on any such amount from the tenth business day following a redemption date to the date of
payment at the broker call rate offered by the AR Offshore Fund’s prime broker). Any amount subject to the foregoing hold-back
will not be subject to the profit or loss of the AR Offshore Fund following the effective date of redemption.


 



    21


     


    

 


Notwithstanding
the foregoing, the AR Offshore Fund may delay such payment if such delay is reasonably necessary to prevent such redemption from
having a material adverse impact on the AR Offshore Fund.


 


The
directors of the AR Offshore Fund may reduce the redemption proceeds in respect of any shareholder to the extent the AR Offshore
Fund is required by U.S. law, by agreement with the U.S. Treasury Department or similar government division or department or by
any applicable intergovernmental agreement or implementing legislation to withhold in respect of a payment of redemption proceeds
to such shareholder or otherwise withhold any amount in respect of such shareholder.


 


On
at least 45 calendar days’ written notice prior to the proposed redemption date, a shareholder of the AR Offshore Fund will
be permitted to make a complete or partial redemption of such shareholder’s shares (and any related net profits).


 


Business
day solely for the purpose of this section under the heading “Redemption Restrictions of the Underlying Funds – AR
Offshore Fund” shall mean any day of a calendar month on which banks are open for business in New York City.


 


STR
Fund


 


Shareholders
of the STR Fund have the right at any time to have all or part of their respective shares of any class and category of the STR
Fund redeemed by the AQR Lux Funds. Redemptions will, subject to the provisions below, be processed at each dealing day.


 


In
case of a valid redemption request, payment of the redemption proceeds will be made as soon as reasonably practicable after the
relevant dealing day and normally within 10 business days. AQR Lux will endeavor to procure the depositary of the STR Fund to
settle the redemption monies generally within 2 business days after the relevant dealing day. Payment will be made in USD, GBP,
EUR or CHF of denomination of the shares of the STR Fund being redeemed.


 


Notwithstanding
the foregoing, no redemptions will be permitted if giving effect to such redemption would result in or create a material likelihood
that participation in any class and/or category of the STR Fund by Benefit Plan Investors will be deemed to be “significant”
for purposes of the Plan Asset Regulation. In particular, AQR Lux may limit any shareholder redemption, if such redemption were
to create a material likelihood that the assets of the STR Fund would be considered “plan assets” for purposes of ERISA
and the Plan Asset Regulation (see “ERISA” under the section “Risks Associated with Underlying Funds – AQR
Systematic Total Return Fund”).


 


Business
day solely for the purpose of this section under the heading “Redemption Restrictions of the Underlying Funds - AQR Systematic
Total Return Fund” shall mean any day when the banks are open all day in Luxembourg and the banks and New York Stock Exchange
are fully open in the United States and/or such other place or places and such other day or days as the general partner of the
STR Fund may determine and notify to shareholders of the STR Fund in advance.


 


Dealing
days solely for the purpose of this section under the heading “Redemption Restrictions of the Underlying Funds - AQR Systematic
Total Return Fund” include the last business day of each month as well as each Tuesday of each week, provided that such
day is a Business Day. Where Tuesday is not a business day, the dealing day shall be the immediately following business day of
such week.


 



    22


     


    

 


Redemption
price and redemption proceeds


 


The
Redemption Price of a Participating Share will be equal to the Net Asset Value per Participating Share of the relevant Class as
at the Valuation Day immediately preceding the relevant Redemption Day. A redeeming Shareholder may receive additional redemption
proceeds if an Equalisation Credit paid at the time of subscription has not been fully applied.


 


Deferral
of redemptions


 


While
the Directors intend to remit Redemption proceeds in accordance with the provisions of the Memorandum, the Directors may in their
absolute discretion suspend or defer or delay payment of redemptions in certain circumstances as described in the section headed
“Net Asset Value - Suspensions” in the Memorandum , where necessary to comply with applicable law or regulation or
as further described in this Supplement. These circumstances may include where receipt of the proceeds of realising investments
is delayed or where one or more Underlying Funds is subject to liquidity constraints or where the realisation of investments held
by the Segregated Portfolio in order to pay redemption proceeds is not considered by the Directors to be reasonably practicable
or where doing so might seriously prejudice the non-redeeming Shareholders of the Segregated Portfolio (for instance because the
price for such early realisation is reasonably believed to be materially less than that which would be received if the relevant
asset or other investment or interest in an asset or other investment were held until an anticipated realisation event).


 


In
addition to the extent that the Company, in respect of this Segregated Portfolio, is subject to redemption restrictions on its
investments in the Underlying Funds, the Directors may in their absolute discretion, impose redemption restrictions on Shareholders
of this Segregated Portfolio.


 


 


Any
such restriction will be proportional to the scale of redemption restriction imposed upon the Company, in respect of this Segregated
Portfolio, and will be made with the best interests of all Shareholders in this Segregated Portfolio in mind. Amongst the considerations
which the Directors will take into account is whether liquidation of the Segregated Portfolio’s investments in the Underlying
Funds could:


 


		(i)	adversely
affect the Net Asset Value of the Segregated Portfolio;



 


		(ii)	adversely
affect the Company’s allocation, in respect of this Segregated Portfolio, of the Underlying Funds assets, and



 


		(iii)	increase
the illiquidity of this Segregated Portfolio’s investments in the Underlying Funds.



 


In
addition, and without prejudice to the foregoing general right to defer redemptions, if Redemption Notices are received in respect
of any Redemption Day which, if satisfied in full, would result in redemptions in excess of the Redemption Gate, the Directors
may limit redemptions to the Redemption Gate. Any such limitation will be applied on a pro rata basis amongst all Shareholders
seeking to redeem Participating Shares on the relevant Redemption Day. Redemption Notices which are not satisfied in full will
be carried forward to the next Redemption Day and will have priority over Redemption Notices received in respect of such Redemption
Day. Participating Shares will be redeemed at the Redemption Price prevailing on the Redemption Day on which they are redeemed.


 


The
Directors currently do not expect to exercise their power to defer redemptions unless necessary to comply with applicable law
or regulation or unless one or more of the Underlying Funds is subject to liquidity constraints or if they consider that Shareholders
would otherwise be materially prejudiced.


 



    23


     


    

 


Compulsory
redemption


 


The
Company may, with or without cause and without giving any reason, redeem all or any of the Participating Shares held by a Shareholder
on any day designated by the Directors by giving prior written notice to such Shareholder.


 


Notwithstanding
the circumstances set out in “Redemption and Transfer - Compulsory Redemption” in the Memorandum, the Company may
redeem the Participating Shares held by a Shareholder if any or all of the Underlying Funds are terminated.


 


Where
any fees, payment, withholding or deduction becomes payable out of the assets of a Segregated Portfolio because of a particular
Shareholder, the Company may redeem a portion of such Shareholder’s Participating Shares in order to pay such amount. In
such circumstances, the redemption proceeds may be paid directly by the Company to the relevant third party and not paid to the
Shareholder.


 


Audit
holdback


 


If
a Shareholder redeems ninety (90) per cent or more of its Participating Shares, up to ten (10) per cent of the redemption proceeds
may be held back pending completion of the next occurring annual audit. Promptly after completion of the audit, the balance, if
any, of the amount to which such Shareholder is entitled after taking account of any adjustment made to the relevant Redemption
Price as a result of the audit will be paid to such Shareholder. No interest will be paid in respect of redemption proceeds held
back.


 




    24


     


    

 





 



 


Risk
Factors


 





 



 


For
the purposes of this section headed “Risk Factors”, the reference of Underlying Funds includes the AR Offshore Fund,
the STR Fund and other funds as referred to in the section headed “Investment Objective, Strategies and Restrictions –
Investment Strategies” which the Manager may invest into.


 


An
investment in the Segregated Portfolio entails substantial risk. The nature of the investments of the Segregated Portfolio involves
certain risks including, but not limited to, those listed below and the Manager may utilise investment techniques which carry
additional risks. Potential investors should carefully consider the following risk factors and the risk factors set out in the
Memorandum, amongst others, in determining whether an investment in the Segregated Portfolio is suitable for them.


 


Risks
associated with the investment strategies


 


Availability
of investment strategies. The success of the investment strategies of the Segregated Portfolio will depend on the ability
of the Manager to identify overvalued and undervalued investment opportunities and to exploit price discrepancies in the financial
markets, as well as to assess the import of news and events that may affect the financial markets. Identification and exploitation
of the investment opportunities to be pursued involves a high degree of uncertainty. No assurance can be given that the Manager
will be able to locate suitable investment opportunities in which to deploy all of the assets of the Segregated Portfolio or to
exploit discrepancies in the securities and derivatives markets. Market factors including a reduction in market liquidity or the
pricing inefficiency of the markets in which the assets of the Segregated Portfolio are invested, may reduce the scope for the
investment opportunities for the Segregated Portfolio.


 


Concentration
of investments. The Manager is not subject to any requirement to diversify the assets of the Segregated Portfolio and consequently
such assets may at any time be heavily concentrated in a limited number of positions. In attempting to maximise returns, the Manager
may concentrate the holdings of the Segregated Portfolio in the Underlying Funds which invest in those countries, sectors, markets,
asset classes, instruments or issuers which, in the judgment of the Manager, provide the best profit opportunity in view of the
investment objective. Such concentration increases the risk of an investment in the Segregated Portfolio by increasing the relative
impact of changes in the market, economic or political environment affecting particular countries, sectors, markets and issuers.
The Segregated Portfolio could be subject to significant losses if it holds a large position in a particular investment that declines
in value or is otherwise adversely affected (including as a result of default by the issuer).


 


Convertible
securities. The Underlying Funds of the Segregated Portfolio may be invested in convertible securities. Convertible securities
are preferred stocks or debt obligations that are convertible into common stock and consequently have both equity and fixed income
risk characteristics. Like all fixed income securities, the value of convertible securities will tend to decline as interest rates
increase. If the market price of the underlying stock approaches or exceeds the conversion price of the convertible security,
the convertible security will tend to reflect the market price of the underlying stock. If the value of the underlying stock then
falls below the conversion price the convertible security may lose much or all of its value. As the market price of the underlying
stock declines, a convertible security will tend to trade increasingly based on its fixed income characteristics and so may not
decline in price as much as the underlying stock. Generally, convertible securities offer lower interest or dividend yields than
non-convertible securities of similar quality and have less potential for gains or capital appreciation in a rising stock market
than other equity securities. They tend to be more volatile than other fixed income securities and the markets for convertible
securities may be less liquid than markets for common stocks or bonds. Additionally, an issuer may have the right to buy back
convertible securities at a time and price that is unfavourable to the Segregated Portfolio.


 



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Counterparty
risk. The Segregated Portfolio is subject to the risk of the inability of any counterparty (including any prime brokers and
custodians) to perform with respect to transactions, whether due to insolvency, bankruptcy or other circumstances. The Segregated
Portfolio is subject to the risk that counterparties may not have access to finance and/or assets at the relevant time and may
fail to comply with their obligations under the relevant subscription and redemption agreements. In the event of any counterparty
entering an insolvency procedure, the Segregated Portfolio could experience delays in liquidating positions and significant losses
could be incurred, including the loss of that portion of the assets of the Segregated Portfolio financed through such a transaction,
a decline in value of the relevant investment during the period in which the Segregated Portfolio seeks to enforce the contract,
an inability to realise any gains on its investment during such period and fees and expenses incurred in enforcing the contract.
During an insolvency procedure (which may last many years) the use of assets held by or on behalf of the relevant counterparty
may be restricted and accordingly (a) the ability of the Manager to fulfil the investment objective may be severely constrained,
(b) the Segregated Portfolio may be required to suspend the calculation of the Net Asset Value and as a result subscriptions for
and redemptions of Participating Shares. During such a procedure, the Segregated Portfolio is likely to be an unsecured creditor
in relation to certain assets (including those in respect of which it had previously been a secured creditor) and accordingly
it may not be possible to recover such assets from the insolvent estate of the relevant counterparty in full, or at all.


 


Currency
exposure. Assets of the Segregated Portfolio may be invested in investments which are denominated in currencies other than
the currency or currencies in which Participating Shares are denominated. Accordingly, the value of such assets may be affected
favourably or unfavourably by fluctuations in currency rates. The Manager does not intend to hedge the foreign currency exposure
and so the Segregated Portfolio will be subject to foreign exchange risks. Prospective investors whose assets and liabilities
are predominantly in currencies other than the currency in which their Participating Shares will be denominated should take into
account the potential risk of loss arising from fluctuations in value between the currency in which their Participating Shares
will be denominated, the currency of investment and the currencies of their assets and liabilities.


 


Performance
Fee. The existence of the Performance Fee may create an incentive for the Manager to make more speculative investments on
behalf of the Segregated Portfolio than it would otherwise make in the absence of such arrangements. Since the Performance Fee
is calculated on a basis which includes unrealised appreciation of the Segregated Portfolio’s assets, such fee may be greater
than if it were based solely on realised gains and such unrealised appreciation may not be reflected in the actual realised value
of such investments.


 


Debt
securities. The Underlying Funds of the Segregated Portfolio may invest in fixed income securities which may be unrated by
a recognised credit-rating agency or below investment grade and which are subject to greater risk of loss of principal and interest
than rated or higher-rated debt securities. As there are generally perceived to be greater risks associated with unrated and below
investment grade securities, the yields and prices of such securities may fluctuate more than those for higher-rated securities.
The market for non-investment grade securities may be smaller and less active than that for higher-rated securities, which may
adversely affect the prices at which these securities can be sold and result in losses to the Segregated Portfolio. The Underlying
Funds of the Segregated Portfolio may invest in debt securities which rank junior to other outstanding securities and obligations
of the issuer, all or a significant portion of which may be secured on substantially all of that issuer’s assets. The Underlying
Funds of the Segregated Portfolio may invest in debt securities which are not protected by financial covenants or limitations
on additional indebtedness. The issuers of debt securities may default on their obligations, whether due to insolvency, bankruptcy,
fraud or other causes and their failure to make the scheduled payments could cause the Segregated Portfolio to suffer significant
losses. The Segregated Portfolio will therefore be subject to credit, liquidity and interest rate risks exposed to the Underlying
Funds. In addition, evaluating credit risk for debt securities involves uncertainty because credit rating agencies throughout
the world have different standards, making comparison across countries difficult. Also, the market for credit spreads is often
inefficient and illiquid, making it difficult to accurately calculate discounting spreads for valuing financial instruments.


 



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Derivative
instruments. The Underlying Funds of the Segregated Portfolio may make extensive use of both exchange-traded and over-the-counter
derivative instruments such as futures, forwards, swaps, options and contracts for differences. Derivative instruments typically
have a high degree of leverage embedded in them and consequently a relatively small movement in the price of an instrument may
result in a profit or a loss which is high in proportion to the margin deposited. In the event that a call for further margin
exceeds the amount of cash available in the Underlying Funds of the Segregated Portfolio, the Underlying Manager will be required
to close out the relevant contract. The derivatives market is often characterised by limited liquidity and daily limits on price
fluctuations and speculative position limits on exchanges may prevent prompt liquidation of positions resulting in potentially
greater losses. When used for hedging purposes there may be an imperfect correlation between derivatives and the investments or
market sectors being hedged. The pricing relationships between derivatives and the underlying instruments on which they are based
may not conform to anticipated or historical correlation patterns, resulting in unanticipated losses.


 


Transactions
in over-the-counter derivative instruments may involve additional risk as there is no exchange market on which to close out a
position. It may be impossible to liquidate an existing position, to assess the value of a position or to assess the exposure
to risk. Furthermore, “bid-ask” spreads may be unusually wide in the substantially unregulated over-the-counter markets.
The Underlying Funds of the Segregated Portfolio may place collateral with certain of its counterparties in connection with its
over-the-counter transactions and are still subject to counterparty risk including the risk of loss of such collateral. The risk
of counterparty non-performance can be significantly greater in the case of these over-the-counter instruments as opposed to exchange-traded
derivative instruments.


 


Directional
trading. Certain of the positions taken by the Underlying Funds of the Segregated Portfolio will be designed to profit from
forecasting absolute price movements in a particular instrument or asset class. Predicting future prices is inherently uncertain
and the losses incurred, if the market moves against a position, will often not be hedged. The speculative aspect of attempting
to predict absolute price movements is generally perceived to exceed that involved in attempting to predict relative price fluctuations.


 


Erosion
of Capital. Fees and charges levied at the Company level and at the level of the Underlying Funds may be settled from the
capital of the Company and this may result in erosion of capital and in consequence a reduction in value or growth of an investor’s
investment in the Company.


 


Equity
securities generally. Numerous inter-related and difficult to quantify economic factors, as well as market sentiment and subjective
political factors can influence the price of equities. Common stock and similar equity securities generally represent the most
junior position in an issuer’s capital structure and, as such, generally only entitle holders to an interest in the remaining
assets of the issuer after all more senior claims to such assets have been satisfied. Holders of equity securities are generally
entitled to dividends only if and to the extent declared by the issuer out of income or other assets available after making interest,
dividend and any other required payments on more senior securities of the issuer. Equity prices are directly affected by issuer-specific
events, whether actual or perceived, as well as general market and economic conditions. Market prices of equity securities as
a group have dropped dramatically in a short period of time on several occasions in the past, and they may do so again in the
future. Warrants and stock purchase rights are securities permitting, but not obligating, their holders to subscribe for other
equity securities, and they do not represent any rights in the assets of the issuer. As a result, warrants and stock purchase
rights may be considered more speculative than other types of equity investments.


 



    27


     


    

 


Exchange
Intervention or Government Intervention in Futures Markets. It is possible that an exchange or a government authority may
suspend or limit trading in a particular futures contract, order immediate settlement of a particular contract or order that trading
in a particular contract be conducted for liquidation only. This may result in losses to the Underlying Funds and to the Segregated
Portfolio.


 


Exchange
traded funds. Assets of the Segregated Portfolio may be invested in exchange traded funds (“ETFs”).
ETFs are bought and sold on a securities exchange. An ETF will aim to track an underlying index either by acquiring the constituent
securities of the relevant underlying index (or a representative sample of such securities) or by synthetically replicating the
constituent securities of the relevant underlying index. If the assets of the Segregated Portfolio are invested in an ETF, the
Segregated Portfolio will bear additional expenses based on its pro rata share of the ETF’s operating expenses. In addition,
the Segregated Portfolio will incur brokerage costs when purchasing and selling shares of ETFs. The risk of owning shares in an
ETF generally reflects the risks of the underlying securities held by the ETF and the investment strategies employed by the ETF
(such as the use of leverage).


 


ETFs
are passively managed in that they do not try to beat or perform better than the relevant underlying index. An ETF will invest
(either directly or indirectly) in the securities included in or representative of its underlying index regardless of their investment
merit. Any fall in the relevant underlying index is therefore expected to result in corresponding fall in the value of the ETF.
For synthetic ETFs investments are not made directly in the securities included in or representative of its underlying index.
Instead such ETFs invest in derivative instruments which aim to replicate the economic benefit of such securities. As such, these
ETFs would be subject to the risks of owning derivative instruments. If the performance of a synthetic ETF is affected by these
risks, the performance of the Segregated Portfolio will also be adversely affected. Also, synthetic ETFs may have higher tracking
error as compared to physical ETFs due to factors including costs of acquiring and holding derivative instruments, availability
of derivative instruments and foreign ownership restrictions.


 


Financing
arrangements. Borrowings by the Underlying Funds of the Segregated Portfolio may include the use of securities margin, futures
margin, margined option premiums, repurchase agreements, bank or dealer credit lines or the notional principal amounts of swap
transactions. There can be no assurance that the Underlying Funds of the Segregated Portfolio will be able to maintain adequate
financing arrangements under all market circumstances. Banks and dealers that provide financing can typically apply essentially
discretionary margin, “haircut”, financing, security and collateral valuation policies. Changes by banks and dealers
in one or more of these policies, or the imposition of other credit limitations or restrictions, whether due to market circumstances,
government, regulatory or judicial action, may result in large margin calls, loss of financing, forced liquidations of positions,
termination of swap and repurchase agreements and cross-defaults to agreements with other banks and dealers. Any such adverse
effects may be exacerbated in the event that such limitations or restrictions are imposed suddenly and/or by multiple market participants
simultaneously. The imposition of any such limitations or restrictions could compel the Underlying Funds of the Segregated Portfolio
to liquidate positions at disadvantageous prices, leading to losses.


 



    28


     


    

 


Forward
foreign exchange contracts. The Underlying Funds of the Segregated Portfolio may enter into forward foreign exchange contracts.
A forward foreign exchange contract is a contractually binding obligation to purchase or sell a particular currency at a specified
date in the future. Forward foreign exchange contracts are not uniform as to the quantity or time at which a currency is to be
delivered and are not traded on exchanges. Rather, they are individually negotiated transactions. Forward foreign exchange contracts
are effected through a trading system known as the interbank market. It is not a market with a specific location but rather a
network of participants electronically linked. Documentation of transactions generally consists of an exchange of telex or facsimile
messages. There is no limitation as to daily price movements on this market and in exceptional circumstances there have been periods
during which certain banks have refused to quote prices for forward foreign exchange contracts or have quoted prices with an unusually
wide spread between the price at which the bank is prepared to buy and that at which it is prepared to sell. Transactions in forward
foreign exchange contracts are not regulated by any regulatory authority nor are they guaranteed by an exchange or clearing house.
The Underlying Funds of the Segregated Portfolio will be subject to the risk of the inability or refusal of its counterparties
to perform with respect to such contracts. Any such default would eliminate any profit potential and compel the Underlying Funds
of the Segregated Portfolio to cover its commitments for resale or repurchase, if any, at the then current market price. These
events could result in significant losses for the Underlying Fund and the Segregated Portfolio.


 


General
economic and market conditions. The success of the Segregated Portfolio will be affected by general economic and market conditions,
such as interest rates, availability of credit, inflation rates, economic uncertainty, changes in laws, trade barriers, currency
exchange controls and national and international political circumstances. These factors may affect the level and volatility of
securities prices and the liquidity of the investments of the Underlying Funds of the Segregated Portfolio. Volatility or illiquidity
could impair the profitability of the Underlying Funds of the Segregated Portfolio or result in losses.


 


Governmental
intervention. The global financial markets have recently undergone pervasive and fundamental disruptions and dramatic instability
which has led to extensive and unprecedented governmental intervention. Regulators in many jurisdictions implemented a number
of wide-ranging emergency regulatory measures, including restrictions on the short selling of financial and other stocks in many
jurisdictions. Such intervention was in certain cases implemented on an emergency basis without much or any notice with the consequence
that some market participants’ ability to continue to implement certain strategies or manage the risk of their outstanding
positions was suddenly and/or substantially eliminated. Given the complexities of the global financial markets and the limited
time frame within which governments were able to take action, these interventions were sometimes unclear in scope and application,
resulting in confusion and uncertainty which in itself was materially detrimental to the efficient functioning of such markets
as well as previously successful investment strategies. It is impossible to predict with certainty what additional or future governmental
restrictions may be imposed on the markets and/or the effect of such restrictions on the Manager’s ability to implement
the investment objective of the Segregated Portfolio. However, the Manager believes that there is a likelihood of increased regulation
of the global financial markets, and that such increased regulation could be materially detrimental to the performance of the
Segregated Portfolio.


 


Global
market exposure. The Underlying Funds of the Segregated Portfolio may invest on a global basis in both developed and emerging
markets. Consequently the Segregated Portfolio is subject to (i) currency exchange-rate risk, (ii) the possible imposition of
withholding, income or excise taxes, (iii) the absence of uniform accounting, auditing and financial reporting standards, practices
and disclosure requirements and little or potentially biased government supervision and regulation, and (iv) economic and political
risks, including expropriation, currency exchange control and potential restrictions on investment and repatriation of capital.


 



    29


     


    

 


Investing
in collective investment schemes. The assets of the Segregated Portfolio will be invested in the Underlying Funds which are
managed by third party managers. The risks associated with investing in the Underlying Funds include:


 


		●	Imperfect
                                         information. Although the Manager will attempt to monitor the performance of the
                                         Underlying Funds invested in, the Manager will not receive perfect information regarding
                                         the actual investments made by the Underlying Funds and must ultimately rely on (i) the
                                         manager or sponsor of the Underlying Funds to operate in accordance with the investment
                                         strategy or guidelines laid out by such manager or sponsor, and (ii) the accuracy of
                                         the information provided by such manager or sponsor.



 


		●	Independent
                                         decision making. Investment decisions are made independently at the level of the
                                         Underlying Funds and it is possible that some third party managers will take positions,
                                         which may be offsetting positions, in the same security, currency or commodity at the
                                         same time. Consequently, there is no guarantee that the Underlying Funds will result
                                         in a diversification of investment styles.



 


		●	Lack
                                         of liquidity. Although the Underlying Funds will offer the opportunity to have their
                                         shares or units redeemed within a reasonable timeframe, there can be no assurance that
                                         the liquidity of the investments of the Underlying Funds will always be sufficient to
                                         meet redemption requests as and when made. A lack of liquidity in the Underlying Funds
                                         may also result in difficulties in determining the net asset value of the Underlying
                                         Funds.



 


		●	Layering
                                         of fees. The Underlying Funds will typically pay management fees and may pay fees
                                         based on the performance of the investments. As a consequence of investing in the Underlying
                                         Funds, the Segregated Portfolio will bear its pro rata share of the fees and expenses
                                         incurred by the Underlying Funds.



 


		●	Nature
                                         of the investments of the Investment Entities. The Underlying Funds may invest in
                                         and actively trade instruments with significant risk characteristics, including risks
                                         arising from the volatility of securities, financial futures, derivatives, currency and
                                         interest rate markets, the leverage factors associated with trading in such markets and
                                         instruments, and the potential exposure to loss resulting from counterparty defaults.



 


		●	No
                                         active role in management. The Manager will not have an active role in the day-to-day
                                         management of the Underlying Funds and will not control any investment decisions made
                                         by third party managers.



 


		●	Lack
                                         of information. Compared to traditional funds that invest in shares and bonds, relatively
                                         little information on how the Underlying Funds are managed will be available. The Manager
                                         will be obtaining information from the managers of the Underlying Funds and although
                                         the Manager will exercise reasonable care and skill in making inquiries regarding the
                                         accuracy of the information in all material respects, there is no assurance that the
                                         information will always be accurate in all material respects and that the Manager will
                                         be able to obtain information from the Underlying Funds. The Manager will not be responsible
                                         for any error or resulting loss from inaccurate information provided by the Underlying
                                         Funds.



 


The
Underlying Funds which the Manager will invest in may not be actively traded and there may be uncertainties involved in the valuation
of such investments. The valuation of the Underlying Funds shall normally, but not necessarily, be provided by the fund administrator
or valuation agent of the Underlying Funds and will be based on unaudited financial records of the Underlying Funds. These valuations
may be subject to adjustment (upwards or downwards) upon the auditing of such financial reports. However, the Underlying Funds
will not be making any retroactive adjustments to the net asset value at which shares are subscribed or redeemed based on the
subsequent valuation/data that may be received. Hence, there is a risk that the Segregated Portfolio may receive an amount upon
withdrawal of its subscription in the Underlying Funds, which is lesser or greater than the amount it would have been entitled
to receive on the basis of the adjusted valuation. In addition, due to circumstances beyond the control of the administrator of
the Underlying Funds, the valuations of the Underlying Funds’ investments may not be received in time for the purposes of
calculating the net asset value of shares in the Underlying Funds. In such circumstances, the administrator of the Underlying
Funds may be required to rely on a valuation which may, subsequent to an adjustment, be found to be too high or too low. This
in turn could have a material impact on the net asset value of the Underlying Funds and consequently, the net asset value of the
Shares of the Segregated Portfolio;


 



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		●	Calculation
                                         of net asset value. The net asset value per share of each class of the Underlying
                                         Funds shall be calculated by reference to (among other things) the net asset value of
                                         the assets held by the Underlying Funds. The procedures for the calculation of the net
                                         asset value of the Underlying Funds may not correspond to the method of calculation adopted
                                         by the Segregated Portfolio. In addition, the valuation dates on which the Underlying
                                         Funds calculates its net asset value may not coincide with the Valuation Days of the
                                         Segregated Portfolio. As a result, the calculation of the net asset value per share of
                                         each class of the Segregated Portfolio may be made on the basis of the net asset values
                                         for the Underlying Funds, which are either estimated in the event that no published net
                                         asset value is available for such the Underlying Funds, or are historic net asset values
                                         where the valuation date of the Underlying Funds do not coincide with the Valuation Day
                                         of the Segregated Portfolio. Such estimated net asset values and historic net asset values
                                         may vary significantly from the actual value of the net assets of the respective the
                                         Underlying Funds on the Valuation Day of the Segregated Portfolio. Such variations may
                                         not be reflected in the net asset value of the shares of the Segregated Portfolio, as
                                         a result of which the published net asset value per share of each class of a Segregated
                                         Portfolio may be higher or lower than the actual value of the share’s net assets
                                         on the relevant Valuation Day of the Underlying Funds. Consequently, the proceeds resulting
                                         from the redemption of shares or the amount which a subscriber or shareholder must pay
                                         to subscribe for shares may represent a discount (or premium) on the value of the net
                                         assets attributable to such shares.



 


		●	Possible
                                         adverse tax consequences. No assurance may be given that the manner in which any
                                         of the Underlying Funds will be managed and operated, or that the composition of their
                                         direct and indirect portfolio investments, will be tax efficient for any particular shareholder
                                         or group of shareholders. The Underlying Funds do not intend to provide their shareholders
                                         with information regarding the percentage ownership of their shares held by residents
                                         of any country. The Underlying Funds’ books and records might be audited by the
                                         tax authorities of countries where the Underlying Fund’s portfolio is managed,
                                         or where a portion of their direct and indirect portfolio investments are made, or where
                                         a particular shareholder or group of shareholders reside. Any such audits could subject
                                         the Underlying Funds to tax, interest and penalties, as well as incremental accounting
                                         and legal expenses. Should the Underlying Funds be required to incur additional taxes
                                         or expenses as a result of the capital contributions made by any shareholders, or become
                                         subject to any record-keeping or reporting obligations as a result of permitting any
                                         person to remain or be admitted as a shareholder of the Underlying Funds, they will likely
                                         seek reimbursement for costs of such taxes, expenses or obligations from such person.



 


		●	Lack
                                         of liquidity of the Underlying Funds. Although the Underlying Funds will offer the
                                         opportunity to have their shares or units redeemed within a reasonable timeframe, there
                                         can be no assurance that the liquidity of the Underlying Funds will always be sufficient
                                         to meet redemption requests as, and when, made. Any lack of liquidity may affect the
                                         liquidity of the shares of the Segregated Portfolio and result in difficulty in valuing
                                         their investments for the purpose of valuing such Segregated Portfolio’s net asset
                                         value.



 



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For
such reasons, the treatment of redemption requests may be postponed in exceptional circumstances, including where a lack of liquidity
may result in difficulties in determining the net asset value of the shares and, consequently, in a suspension of issues and redemptions.


 


		●	Risks
                                         of suspension of net asset value determination by Underlying Funds. The Underlying
                                         Funds in which the Segregated Portfolio invest may be subject to temporary suspension
                                         of net asset value calculation. In such event, the Segregated Portfolio may be unable
                                         to redeem its interests in the Underlying Funds when it would otherwise be advantageous
                                         to do so. The delay in disposal of the Segregated Portfolio investments may adversely
                                         affect both the value of the investment being disposed of, and the value and liquidity
                                         of the shares of the Segregated Portfolio. The lack of liquidity resulting from a suspension
                                         of the calculation of the net asset value of the Segregated Portfolio could require the
                                         suspension of acceptance of subscriptions and redemptions of shares.



 


		●	Lack
                                         of publicly available information regarding the Underlying Funds. The securities
                                         in which the Underlying Funds may invest are generally offered on a private placement
                                         basis and, are subject to limited regulation, disclosure and reporting requirements.
                                         Accordingly, only a relatively small amount of publicly available information about the
                                         Underlying Funds, their holding and performance, will be available to the Manager in
                                         managing and assessing the investments of the Underlying Funds. For other information
                                         relating to the Underlying Funds, the Manager will be forced to rely upon the Underlying
                                         Funds themselves and their portfolio managers, administrators and agents. The Manager’s
                                         ability to monitor the Underlying Funds will be affected by the amount, timeliness and
                                         quality of information available with respect to these Underlying Funds and their investment
                                         operations.



 


		●	Valuation
                                         of the Underlying Funds. The net asset value per share of each class of the Underlying
                                         Funds is unaudited (except at fiscal year-end) and based primarily upon the value of
                                         the Underlying Funds’ holdings of securities and other assets. In valuing those
                                         holdings, the Underlying Funds will need to rely primarily on unaudited financial information.
                                         If financial information used by the Underlying Funds is incomplete, inaccurate, or if
                                         such valuation does not adequately reflect the value of their holdings, the net asset
                                         value per share of each class of the Underlying Funds may be adversely affected (especially
                                         if subscriptions or redemptions are effected on the basis of over – or under-estimated
                                         net asset values). The Underlying Funds generally will not receive detailed information
                                         on the securities and other financial instruments comprising their investments. Adjustments
                                         to the net asset value of the Underlying Funds will generally be made to the then current
                                         net asset value, not by adjusting the net asset values previously reported. Although
                                         the Underlying Funds will use reputable administrators and accountants, the Manager will
                                         have no control over the choice of custodians, brokers or counterparties made by the
                                         funds they invest into nor on the valuation methods and accounting rules which they may
                                         use. The Underlying Fund’s ability to correctly assess the value of the securities
                                         they invest into will be dependent upon the information available with respect to securities
                                         that they invest into.



 


		●	Lack
                                         of regulatory supervision of the Underlying Funds. The Underlying Funds may be established
                                         in jurisdictions where no supervision is exercised on such funds by regulators or where
                                         supervision of such funds and managers is less than that which would be exercised in
                                         Hong Kong. In addition, the Underlying Funds might not entrust their assets to a first
                                         class custodian or be audited by a reputable firm of auditors. The Underlying Manager
                                         might not be subject to any regulatory supervision.



 



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		●	Risks
                                         Related to Trading Program. The Underlying Manager may utilise a variety of speculative
                                         trading strategies which, if unsuccessful, could result in a complete loss of the Segregated
                                         Portfolio’s investment in the Underlying Funds. The Underlying Funds are also subject
                                         to certain additional risks, many of which will be magnified by the likely nature of
                                         the Underlying Funds trading activities. For example, in the event of a material market
                                         dislocation, the Underlying Funds may find itself holding positions that, due to such
                                         crisis scenario, are difficult to liquidate, and therefore may suffer material losses
                                         as a result of such temporary illiquidity.



 


The
Underlying Funds may use quantitative mathematical models that rely on patterns inferred from historical prices and other data
in evaluating prospective investments. However, most quantitative models cannot fully match the complexity of the financial markets
and therefore sudden unanticipated changes in underlying market conditions can significantly impact the performance of the Underlying
Funds. Further, as market dynamics shift over time, a previously highly successful model may become outdated perhaps without the
Underlying Manager recognizing that fact before substantial losses are incurred. Even without becoming completely outdated, a
given models’ effectiveness may decay in an unpredictable fashion for any number of reasons including, but not limited to,
an increase in the amount of assets managed by the Underlying Funds, the use of such model by funds, the use of similar models
by other market participants and/or market dynamic shifts over time. Moreover, there are an increasing number of market participants
who rely on quantitative mathematical models. These models may be similar to those used by the Underlying Funds, which may result
in a substantial number of market participants taking the same action with respect to an investment and some of these market participants
may be substantially larger than the Company. Should one or more of these other market participants begin to divest themselves
of one or more positions, a “crisis correlation”, independent of any fundamentals and similar to the crises that occurred,
for example, in September 1998 and August 2007, could occur, thereby causing the Underlying Funds to suffer material, or even
total, losses. There can be no assurances that strategies pursued will be profitable, and various market conditions may be materially
less favorable to certain strategies than others. Mispricings, even if correctly identified, may not be corrected by the market,
at least within a time frame over which it is feasible for the Underlying Funds to maintain a position.


 


		●	Reliance
                                         on Technology: An Underlying Fund’s investment program, as implemented by the
                                         Underlying Manager, is fundamentally dependent on technology, including hardware, software
                                         and telecommunications systems. The data gathering, research, forecasting, portfolio
                                         construction, order execution, trade allocation, risk management, operational, back office
                                         and accounting systems utilized on behalf of the Underlying Funds are all highly automated
                                         and computerized. Such automation and computerization is dependent upon an extensive
                                         amount of proprietary software, licensed software and third party hardware and software.
                                         The Underlying Manager may not utilise design documents or specifications when building
                                         their proprietary software.



 


The
proprietary software code thus typically serves as the only definitive documentation and specification for how such software should
perform. The proprietary software, licensed software and third party hardware and software are known to have errors, omissions,
imperfections, and malfunctions (collectively, “Coding Errors”). Coding Errors in third party hardware and
software are generally entirely outside of the control of the Underlying Manager.


 


The
Underlying Manager, as applicable, seeks to reduce the incidence and impact of Coding Errors through internal testing and through
real-time monitoring and the use of independent safeguards in the overall portfolio management system and often, with respect
to proprietary software and licensed software, in the software code itself. Despite such testing, monitoring and independent safeguards,
these Coding Errors will result in, among other things, the execution of unanticipated trades, the failure to execute anticipated
trades, the failure to properly allocate trades, the failure to properly gather and organize available data, the failure to take
certain hedging or risk reducing actions and/or the taking of actions which increase certain risk(s) – all of which may
have materially adverse effects on the Underlying Funds and/or its returns.


 



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Coding
Errors are often extremely difficult to detect, and, in the case of proprietary software and licensed software, the difficulty
of detecting Coding Errors may be exacerbated by the lack of design documents or specifications. Regardless of how difficult their
detection appears in retrospect, some of these Coding Errors will go undetected for long periods of time and some will never be
detected. The degradation or impact caused by these Coding Errors can compound over time. The Underlying Manager may detect certain
Coding Errors that it chooses, in its sole discretion, not to address or fix and the licensed software will contain Coding Errors
known to the licensor that it chooses, in its sole discretion, not to address or fix. Shareholders should assume that the Coding
Errors and their ensuing risks and impact are an inherent part of investing with a process-driven, systematic Underlying Manager.


 


Further,
to the extent that an unforeseeable software or hardware malfunction or problem is caused by a defect, security breach, virus
or other outside force, the Company and/or the Underlying Funds may be materially adversely affected.


 


		●	Reliance
                                         on Data: The investment strategies employed on behalf of the Underlying Funds can
                                         be highly reliant on the gathering, cleaning, culling and analyzing of large amounts
                                         of data from third-party and other external sources. It is not possible or practicable,
                                         however, to factor all relevant, available data into forecasts and/or trading decisions.
                                         The Underlying Manager will use their discretion to determine what data to gather with
                                         respect to any investment strategy and what subset of that data the research models take
                                         into account to produce forecasts which may have an impact on ultimate trading decisions.
                                         In addition, due to the automated nature of such data gathering and the fact that much
                                         of this data comes from third-party sources, it is inevitable that not all desired and/or
                                         relevant data will be available to, or processed by, the Underlying Manager at all times.
                                         In such cases, the Underlying Manager may, and often will, continue to generate forecasts
                                         and make trading decisions based on the data available to it. Additionally, the Underlying
                                         Manager may determine that certain available data, while potentially useful in generating
                                         forecasts and/or making investment and trading decisions, is not cost effective to gather
                                         due to either the technology costs or third-party vendor costs and, in such cases, such
                                         data will not be utilized on behalf of the Underlying Funds. Shareholders should be aware
                                         that, for all of the foregoing reasons and more, there is no guarantee that any specific
                                         data or type of data will be utilized in generating forecasts or making trading decisions
                                         on behalf of the Underlying Funds nor is there any guarantee that the data actually utilized
                                         in generating forecasts or making trading decisions on behalf of the Underlying Funds
                                         will be (i) the most accurate data available or (ii) free of errors. Shareholders should
                                         assume that the foregoing limitations and risks associated with gathering, cleaning,
                                         culling and analysis of large amounts of data from third-party and other external sources
                                         are an inherent part of investing with process-driven, systematic Underlying Manager.



 


Leverage
and borrowings. The Underlying Funds of the Segregated Portfolio will employ leverage, including through borrowing, for the
purpose of making investments. The use of leverage creates special risks and may significantly increase the investment risk of
the Underlying Funds of the Segregated Portfolio. Leverage creates an opportunity for greater yield and total return but, at the
same time, will increase the exposure of the Underlying Funds of the Segregated Portfolio to capital risk and interest costs.
Any investment income and gains earned on investments made through the use of borrowings that are in excess of the interest costs
associated therewith may cause the Net Asset Value of the Participating Shares of the Underlying Funds to increase more rapidly
than would otherwise be the case. Conversely, where the associated interest costs are greater than such income and gains, the
Net Asset Value of the Participating Shares of the Underlying Funds may decrease more rapidly than would otherwise be the case.
The use of leverage may expose the Underlying Funds of the Segregated Portfolio to the risk of margin calls or interim margin
requirements which may force premature liquidation of investment positions. This may cause the Underlying Funds of the Segregated
Portfolio to suffer significant losses even if the value of such investments recovers subsequently.


 



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Market
disruptions. The Segregated Portfolio and the Underlying Funds may incur major losses in the event of disrupted markets and
other extraordinary events which may affect markets in a way that is not consistent with historical pricing relationships. The
risk of loss from a disconnect with historical prices is compounded by the fact that in disrupted markets many positions become
illiquid, making it difficult or impossible to close out positions against which the markets are moving. The financing available
to the Underlying Funds of the Segregated Portfolio from its banks, dealers and other counterparties will typically be reduced
in disrupted markets. Such a reduction may result in substantial losses to the Underlying Funds of the Segregated Portfolio. A
sudden restriction of credit by the dealer community has resulted in forced liquidations and major losses for a number of investment
funds and other vehicles. Because market disruptions and losses in one sector can cause ripple effects in other sectors, many
investment funds and other vehicles have suffered heavy losses even though they were not necessarily heavily invested in credit-related
investments. In addition, market disruptions caused by unexpected political, military and terrorist events may from time to time
cause dramatic losses for the Segregated Portfolio and its Underlying Funds and such events can result in otherwise historically
low-risk strategies performing with unprecedented volatility and risk. A financial exchange may from time to time suspend or limit
trading. Such a suspension could render it difficult or impossible for the Segregated Portfolio or its Underlying Funds to liquidate
affected positions and thereby expose it to losses. There is also no assurance that off-exchange markets will remain liquid enough
for the Segregated Portfolio or its Underlying Funds to close out positions.


 


Market
liquidity. The Underlying Funds may be adversely affected by a decrease in market liquidity for the instruments in which they
invests which may impair their ability to adjust their positions. The size of the Underlying Funds positions may magnify the effect
of a decrease in market liquidity for such instruments. Changes in overall market leverage, deleveraging as a consequence of a
decision by any lender not to offer credit or by other counterparties with which the Underlying Funds enter into repurchase/reverse
repurchase agreements or derivative transactions, to reduce the level of leverage available, or the liquidation by other market
participants of the same or similar positions, may also adversely affect the Underlying Funds.


 


Nature
of investments. The Managers of the Segregated Portfolio and the Underlying Manager of its Underlying Funds will have broad
discretion in making investments for the Segregated Portfolio and the Underlying Funds respectively. Investments will generally
consist of various instruments and other assets that may be affected by business, financial market or legal uncertainties. There
can be no assurance that the Underlying Manager will correctly evaluate the nature and magnitude of the various factors that could
affect the value of and return on investments. Prices of investments may be volatile, and a variety of factors that are inherently
difficult to predict, such as domestic or international economic and political developments, may significantly affect the results
of the activities of the Segregated Portfolio, its Underlying Funds and the value of its investments. Among other things, performance
will depend upon the ability of the Underlying Manger to assess the importance of news and events, forecast macro trends, make
accurate forecasts about economic and fundamental factors and their potential impact on financial markets. Unexpected movements
in interest rates, foreign exchange, credit defaults and spreads, commodity prices, equity values etc. can adversely affect the
performance. No guarantee or representation is made that the investment objectives of the Segregated Portfolio or its Underlying
Funds will be achieved.


 


No
minimum size. The Segregated Portfolio may begin operations without attaining any particular level of assets. At low asset
levels, the Segregated Portfolio may be unable either to diversify investments as fully as would otherwise be desirable or to
take advantage of potential economies of scale, including the ability to obtain the most timely and valuable research and trading
information from broker-dealers and other market participants. It is possible that even if the Segregated Portfolio operates for
a period with substantial capital, redemptions could diminish the assets of the Segregated Portfolio to a level that does not
permit the most efficient and effective implementation of the investment strategies of the Segregated Portfolio.


 



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Overall
investment risk. All investments of the Segregated Portfolio and its Underlying Funds risk the loss of capital. The nature
of the securities to be purchased and traded by the Segregated Portfolio and its Underlying Funds and the investment techniques
and strategies to be employed in an effort to increase profits may increase this risk. Many unforeseeable events, including actions
by various government agencies, and domestic and international political events, may cause sharp market fluctuations. Changes
in the macroeconomic environment, including, for example, interest rates, inflation rates, industry conditions, competition, technological
developments, political events and trends, changes to tax laws, currency exchange rates, regulatory policy, employment and consumer
demand and innumerable other factors, can substantially and adversely affect the performance of an investment of the Segregated
Portfolio and its Underlying Funds. None of these conditions will be within the control of the Manager and there can be no assurance
that the Segregated Portfolio and its Underlying Funds will not incur losses.


 


Reliance
on financial reporting. Strategies implemented by the Segregated Portfolio may rely on the financial information made available
by the issuers in which the Segregated Portfolio invests including the Underlying Funds. The Manager will have no ability to independently
verify the financial information disseminated by such issuers and is dependent upon the integrity of both the management of these
issuers and the financial reporting process in general. Recent events have demonstrated the material losses which investors can
incur as a result of corporate (as well as government agency) mismanagement, fraud and accounting irregularities.


 


Risk
management. The Manager intends to apply a risk management approach that it believes is appropriate for the Segregated Portfolio.
The application of any risk management approach involves numerous judgments and qualitative assessments. No risk management system
is fail-safe, and no assurance can be given that the Segregated Portfolio’s risk control framework will achieve its objectives.
From time to time, without notice to Shareholders, the Manager may modify or change the risk management system and procedures
adopted for the Segregated Portfolio.


 


Short
selling. Short selling involves the Underlying Funds of the Segregated Portfolio selling securities that it borrows from a
securities lender and is obliged to return at a later date. The Underlying Funds will ordinarily fulfil its obligation to return
the borrowed securities by acquiring them on the open market. The Underlying Funds must also pay the securities lender any dividends
or interest payable on the securities during the borrowing period and may have to pay a premium to borrow the securities and/or
deposit cash of marketable securities with the lender as collateral. Short selling allows the Underlying Funds to profit from
a decline in the price of the relevant securities. However if, contrary to the expectations of the Underlying Manager, the price
of the relevant securities increases, the Underlying Funds of the Segregated Portfolio will suffer a loss equal to the difference
between the cost of acquiring the securities and the net proceeds from the sale. A short sale theoretically creates the risk of
an unlimited loss, in that there is no limit on how much the price of the security may appreciate before the short position is
closed out.


 


There
can be no assurance that the securities necessary to cover a short position will be available for purchase by the Underlying Funds
of the Segregated Portfolio. If the lender requires that the securities be returned on short notice it may be necessary to replace
the borrowed securities with purchases on the open market at a disadvantageous time, possibly at prices significantly in excess
of the proceeds received from originally selling the securities short. Purchasing securities to close out the short position can
itself cause the price of the securities to rise further, thereby exacerbating any loss. In addition, if a sufficient number of
market participants have entered into a short position, the short position may not react in the same way as a security would with
no or limited short interest. In the case of a market downturn the short position may not provide the investment return the Manager
expected. In certain circumstances it may be difficult to establish a desired short position, whether due to limited supply of
the security available for borrowing, regulatory restrictions or otherwise. As a result the ability of the Underlying Manager
to fulfil the investment objective(s) of the Underlying Funds may be constrained.


 



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Tax
considerations. Where the Segregated Portfolio or its Underlying Funds invest(s) in securities that are not subject to withholding
tax at the time of acquisition, there can be no assurance that tax may not be withheld in the future as a result of any change
in applicable laws, treaties, rules or regulations or the interpretation thereof. The Segregated Portfolio or its Underlying Funds
may not be able to recover such withheld tax and so any such change could have an adverse effect on the Net Asset Value. Where
the Underlying Funds of the Segregated Portfolio sell securities short that are subject to withholding tax at the time of sale,
the price obtained will reflect the withholding tax liability of the purchaser. In the event that in the future such securities
cease to be subject to withholding tax, the benefit thereof will accrue to the purchaser and not to the Underlying Funds of the
Segregated Portfolio.


 


Trading
strategies. There can be no assurance that the specific trading strategies utilised for the Segregated Portfolio or its Underlying
Funds will produce profitable results. Profitable trading is often dependent on anticipating trends or trading patterns. Markets
subject to random price fluctuations, rather than defined trends or patterns, may generate a series of losing trades. There have
been periods in the past when the markets have been subject to limited and ill-defined price movements, and such periods may recur.
Any factor which may lessen major price trends (such as governmental controls affecting the markets) may reduce the prospect for
future trading profitability. Any factor which would make it difficult to execute trades, such as reduced liquidity or extreme
market developments resulting in limit moves, could also be detrimental to profits. The best trading strategy, whether based on
fundamental or technical analysis, will not be profitable if there are no trends of the kind it seeks to follow. No assurance
can be given that the techniques and strategies of the Manager(s) of the Segregated Portfolio or the Underlying Manager of its
Underlying Funds will be profitable in the future.


 


Transaction
costs. The Segregated Portfolio and its Underlying Funds are obligated to pay brokerage commissions and related transaction
fees and costs, which can be substantial, regardless of whether their trading activities are profitable. The Segregated Portfolio
also must pay its own fees and operating and administrative expenses. It will be necessary for the Segregated Portfolio and its
Underlying Funds to achieve gains in excess of these aggregate fees and costs in order for Shareholders to realise an increase
in the Net Asset Value of their Participating Shares. There can be no assurance that the Segregated Portfolio and its Underlying
Funds will be able to achieve such, or any, appreciation of its assets.


 


Trend
following. The Underlying Manager may use computer pricing models to identify apparently overpriced or underpriced options
in relationship to an assumed norm. In addition, models may be used which analyse price and other fluctuations over time in order
to discern and predict trends. Trading based on such analyses is subject to the risks that prices will not increase or decrease
as predicted by the analysis, or that trades dictated by the analysis may not be executed in time to take advantage of the price
disparities. This latter risk is likely to materialise when numerous market makers use similar analyses, all of which dictate
the desirability of executing identical or similar contracts. In the past, there have been periods without identifiable trends
and, presumably, such periods will continue to occur. Trading models or analyses that depend upon the forecasting of trends will
not be profitable if there are not identifiable trends of the kind that the models or analyses seek to follow. Any factor which
would make it more difficult to execute trades in accordance with the models or analyses signals, such as a significant lessening
of liquidity in a particular market, would also be detrimental to profitability.


 



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Price
Limits (so-called “Circuit Breakers”). Certain exchanges do not permit trading at prices that represent a fluctuation
in price during a single days trading beyond certain set limits. If prices fluctuate during a single days trading beyond those
limits, which conditions have in the past sometimes lasted for several days in certain contracts, the Underlying Funds could be
prevented from promptly liquidating unfavorable positions and thus be subject to substantial losses.


 


Position
Limits. “Position limits” imposed by various regulators may limit the Underlying Funds’ ability to effect
desired trades. Position limits are the maximum amounts of net long or net short positions that any one person or entity may own
or control in a particular Instrument. All positions owned or controlled by the same person or entity, even if in different accounts,
may be aggregated for purposes of determining whether the applicable position limits have been exceeded. Thus, even if the Underlying
Funds do not intend to exceed applicable position limits, it is possible that different accounts managed by the Underlying Manager
and their affiliates may be aggregated. If at any time positions managed by the Underlying Manager and their affiliates exceed
applicable position limits, the Underlying Manager would be required to liquidate positions, which might include positions of
the Underlying Funds, to the extent necessary to come within those limits. Further, to avoid exceeding the position limits, the
Underlying Funds might have to forego or modify certain of its contemplated trades. In addition, it is possible that one or more
regulators may change applicable position limits. In such cases, the Underlying Manager may be required to liquidate positions,
which might include positions in the Underlying Funds, to the extent necessary to come within the revised limits. Further, any
such position limit change may lead to losses in the Underlying Funds portfolio based on dislocation in the market generally.


 


Risks
associated with Underlying funds


 


AR
Offshore Fund


 


Non-Transferability
of Shares and Restrictions on Redemption. Except upon the death or bankruptcy of a shareholder of the AR Offshore Fund, shares
of the AR Offshore Fund are not transferable without the prior written consent of the AR Offshore Fund, which consent may be withheld
by the AR Offshore Fund, with the consent of AQR, in its discretion. There are also significant restrictions or limitations on
redemptions from the AR Offshore Fund (which may be settled in securities rather than cash). Consequently, Shareholders may not
be able to liquidate their investment readily in the event of an emergency or for any other reason.


 


Performance
Compensation. AQR or its affiliate’s entitlement to a performance allocation, may create an incentive for AQR to make
riskier or more speculative investments than would be the case absent such performance allocation. Since the performance allocation
is calculated on a basis that includes unrealized appreciation of the AR Offshore Fund’s assets (including unrealized appreciation
on any non-marketable positions held by the AR Offshore Fund, as may be determined by AQR) as well as on gains realized by the
AR Offshore Fund, such performance allocation may be greater than if it were based solely on realized gains.


 


AQR
or the AR Master Account General Partner receives a performance allocation, respectively, in any year and subsequently suffers
a net loss, AQR or the AR Master Account General Partner, as applicable, is entitled to retain any and all performance allocations,
respectively, received by it. performance allocations, as applicable, will be calculated separately in respect of the shares of
the AR Offshore Fund. Therefore, one investment by a shareholder of the AR Offshore Fund may be subject to a performance allocation,
while at the same time another investment suffers a net loss. The performance of such separate series of shares of the AR Offshore
Fund will not net for purposes of calculating the performance allocation.


 



    38


     


    

 


In
Kind Distributions. A redeeming shareholder of the AR Offshore Fund may, at the discretion of the board of directors of the
AR Offshore Fund, with the consent of AQR, receive financial instruments in lieu of, or in combination with, cash. Notwithstanding
the foregoing, a shareholder of the AR Offshore Fund may also receive a distribution in kind at the prior written request of such
shareholder, subject to the discretion of the board of directors of the AR Offshore Fund, with the consent of AQR, which consent
may be given or withheld in its sole discretion. Such proceeds may include interests or participations in trading vehicles or
special purpose vehicles sponsored and/or managed by AQR or third parties. Such proceeds may be distributed to a redeeming shareholder
of the AR Offshore Fund directly or indirectly through a distribution of interests in one or more trading vehicles or special
purpose vehicles holding financial instruments owned by the AR Offshore Fund or participations therein. To the extent a redeeming
shareholder of the AR Offshore Fund is distributed interests in one or more trading vehicles or special purpose vehicles holding
participation interests in the financial instruments of the AR Offshore Fund, such redeeming shareholder may continue to be at
risk of the AR Offshore Fund’s business (including its credit risk) until all such financial instruments are sold. The value
of proceeds distributed in kind may increase or decrease before they can be sold either by the redeeming shareholder of the AR
Offshore Fund, if received directly, or by AQR, if held through a trading vehicle or special purpose vehicle. In either case,
the redeeming shareholder of the AR Offshore Fund will incur transaction costs in connection with the sale of any proceeds distributed
in kind, and, in the case of interests in trading vehicles or special purpose vehicles, also a proportionate portion of the operating
and other expenses borne by such vehicle. Additionally, proceeds distributed in kind to a redeeming shareholder of the AR Offshore
Fund, either directly or indirectly, may not be readily marketable. The risk of loss and delay in liquidating these financial
instruments will be borne by the redeeming shareholder of the AR Offshore Fund, with the result that such redeeming shareholder
may ultimately receive significantly less (or no) cash than it would have received on the date of redemption if it had been paid
in cash. Furthermore, to the extent that a redeeming shareholder of the AR Offshore Fund receives interests in one or more trading
vehicles or special purpose vehicles, such redeeming shareholder generally will have no control over when and at what price the
financial instruments in which such vehicles have an interest are sold. In addition, payment to such redeeming shareholder of
that portion of its redemption proceeds attributable to financial instruments held by one or more trading vehicles or special
purpose vehicles will be delayed until such time as such vehicles elect to liquidate such financial instruments.


 


No
Current Income. Since the AR Offshore Fund does not pay distributions, an investment in the AR Offshore Fund is not suitable
for investors seeking current income.


 


“Master-Feeder”
Structure. The AR Offshore Fund invests all or a portion of its investable capital, through a “master-feeder”
structure, in the AR Master Account. The “master-feeder” fund structure and, in particular, the existence of more
than one feeder fund investing in the AR Master Account, presents certain risks to investors. Smaller feeder funds may be materially
affected by the actions of larger feeder funds. For example, other feeder funds, such as an offshore or U.S. co-investment vehicle,
may own a larger percentage of the AR Master Account. Consequently, if such offshore or U.S. co-investment vehicle were to withdraw
from the AR Master Account, the remaining feeder funds, including the AR Offshore Fund, may experience higher pro rata operating
expenses, thereby producing lower returns, and the AR Master Account may become less diverse due to such withdrawal, resulting
in increased portfolio risk. The use of a master-feeder structure also may create a conflict of interest in that different tax
considerations for the AR Offshore Fund and other feeder funds, if any, may result in the AR Master Account structuring or disposing
of an investment in a manner that is more advantageous to investors in one feeder fund.


 


If
the AR Offshore Fund’s cash is deposited with the AR Master Account which becomes insolvent or suffers other financial difficulties,
there is a risk that the AR Offshore Fund’s cash will not be protected and that all or part of the AR Offshore Fund’s
deposit may not be returned.  In addition, if there are other investors who have deposited cash with the AR Master Account,
there is a risk that the AR Offshore Fund’s cash might be set off against the liabilities of the AR Master Account including
those owed to other investors. This would mean that AR Offshore Fund may not get back the full value of their investment. Since
the Segregated Portfolio invests in the AR Offshore Fund which conduct their trading and investment activities through AR Master
Account, the Segregated Portfolio may be adversely affected by insolvency, financial difficulties and the risk of cross liabilities
of AR Master Account and the Shareholders may not get back the full value of their investment.


  



    39


     


    

 


Co-Investments
with Third Parties. If circumstances so warrant, the AR Offshore Fund may co-invest with third parties through joint ventures
or other entities. Such investments may involve risks in connection with such third-party involvement, including the possibility
that a third-party co-venturer may have financial difficulties resulting in a negative impact on such investment, may have economic
or business interests or goals that are inconsistent with those of the AR Offshore Fund, or may be in a position to take (or block)
action in a manner contrary to the AR Offshore Fund’s investment objective.


 


ERISA.
AQR anticipates that, at various times, assets of the AR Offshore Fund and/or the AR Master Account may be deemed to be “plan
assets” subject to Title I of ERISA and/or Section 4975 of the Code. During these periods, AQR, as investment manager to
the AR Offshore Fund and the AR Master Account, will be a fiduciary with respect to plans or accounts subject to Title I of ERISA
and/or Section 4975 of the Code investing in the Underlying Funds and/or the AR Master Account directly or indirectly through
a Benefit Plan Investor and will be prohibited from causing the AR Offshore Fund and/or the AR Master Account to engage in certain
transactions. While AQR believes that it can effect the strategies utilizing various statutory and class exemptions to ERISA’s
prohibited transaction regime, there may be particular transactions which ERISA and/or the Code will prevent the AR Offshore Fund
and/or the AR Master Account from entering into or investments which the AR Offshore Fund and/or the AR Master Account must sell
before it might otherwise do so. 


 


Other
Activities of Investment Manager. AQR and its members, officers, employees and affiliates (collectively referred to in this
paragraph as “AQR Affiliates”), including those involved in the investment management of the AR Offshore Fund
and the AR Master Account, may be engaged in businesses in addition to the investment management of the AR Offshore Fund and the
AR Master Account. AQR Affiliates may have proprietary interests in, and manage and advise, other accounts or funds which may
have investment objectives similar or dissimilar to those of the AR Offshore Fund and the AR Master Account and/or which may engage
in transactions in the same types of securities and instruments as the AR Offshore Fund. The AR Offshore Fund’s performance
may differ significantly from the results achieved by AQR Affiliates for other accounts managed or advised by AQR Affiliates.
When making an investment where conflicts of interest arise, AQR Affiliates will endeavor to act in a fair and equitable manner
as between the AR Offshore Fund and its other clients. Personnel of AQR Affiliates are not required to devote all or any specified
portion of their time to managing the affairs of the AR Offshore Fund or the AR Master Account, but will devote to the AR Offshore
Fund and the AR Master Account so much of their time as AQR Affiliates deems necessary or appropriate. Investment activities by
AQR Affiliates on behalf of other clients may give rise to additional conflicts of interest and demands on their time and resources.
AQR Affiliates may from time to time act as investment manager in relation to or otherwise be involved with other companies established
by parties other than the AR Offshore Fund. In such event, should a conflict of interest arise, AQR Affiliates will endeavor to
ensure that it is resolved fairly.


 


Business
and Regulatory Risks of Alternative Investment Funds. Legal, tax and regulatory developments that may adversely affect the
Fund could occur during its term. Securities and futures markets are subject to comprehensive statutes, regulations and margin
requirements enforced by the United States Securities Exchange Commission (SEC), other regulators and self-regulatory organizations
and exchanges authorized to take extraordinary actions in the event of market emergencies. The regulation of derivatives transactions
and funds that engage in such transactions is an evolving area of law and is subject to modification by government and judicial
actions. The regulatory environment for private funds is evolving, and changes in the regulation of private funds and their trading
activities may adversely affect the ability of the Underlying Funds and the Segregated Portfolio to pursue its investment strategy,
its ability to obtain leverage and financing and the value of investments held by the AR Offshore Fund.


 



    40


     


    

 


There
has been an increase in governmental, as well as self-regulatory, scrutiny of the alternative investment industry in general.
The U.S. Congress passed the Dodd-Frank Act, which aims to reform various aspects of the U.S. financial markets. The Dodd-Frank
Act covers a broad range of market participants including banks, non-banks, rating agencies, mortgage brokers, credit unions,
insurance companies, payday lenders, broker-dealers and investment advisers. The Dodd-Frank Act mandates additional new reporting
requirements, including, but not limited to, position information, use of leverage and counterparty and credit risk exposure.
Until the SEC implements the new reporting requirements, it is unknown how burdensome such new reporting requirements will be.
In the area of derivatives, swaps and security-based swaps will need to be traded through an exchange with few exceptions. This
may limit the ability to hedge certain risks. In addition, all swaps and security-based swaps will be required to have initial
and variation margin. It is impossible to predict what, if any, changes in laws and regulations may occur, but any laws and regulations
which restrict the ability of the AR Offshore Fund to trade in securities or the ability of AQR to employ, or brokers and other
counterparties to extend, credit in its trading (as well as other regulatory changes that result) could have a material adverse
impact on the AR Offshore Fund’s portfolio.


 


The
AR Offshore Fund and/or AQR may also be subject to regulation in jurisdictions in which the AR Offshore Fund and/or AQR engage
in business. Investors should understand that the AR Offshore Fund’s business is dynamic and is expected to change over
time. Therefore, the AR Offshore Fund may be subject to new or additional regulatory constraints in the future. The private placement
memorandum of the AR Offshore Fund cannot address or anticipate every possible current or future regulation that may affect AQR,
the AR Offshore Fund or their businesses. Such regulations may have a significant impact on the shareholders (such as the Segregated
Portfolio) or the operations of the AR Offshore Fund, including, without limitation, restricting the types of investments the
AR Offshore Fund may make, preventing the AR Offshore Fund from exercising its voting rights with regard to certain financial
instruments, requiring the AR Offshore Fund to disclose the identity of its investors or otherwise. AQR may, in its sole discretion,
cause the AR Offshore Fund to be subject to such regulations if it believes that an investment or business activity is in the
AR Offshore Fund’s interest, even if such regulations may have a detrimental effect on one or more shareholders of the AR
Offshore Fund. Prospective investors are encouraged to consult their own advisors regarding an investment in the AR Offshore Fund.


 


AQR
Systematic Total Return Fund


 


Investment
Strategies. AQR Europe will implement the GSS Strategy, the GRP Strategy, and the MF Strategy using whatever financial instruments
are deemed appropriate. These include, but are not limited to, the instruments identified above. AQR Europe may, at any time without
the consent of or notice to the STR Fund’s investors, discontinue using any of these financial instruments or may add additional
financial instruments.


 


The
STR Fund’s investment programs are speculative and entail substantial risks, including a complete loss of capital. There can be
no assurance that the STR Fund’s investment objectives or those of each Sub-Strategy will be achieved or that significant losses
will not be incurred. The STR Fund may utilize a variety of investment techniques, each of which can involve substantial volatility
and can, in certain circumstances, substantially increase the adverse impact to which the STR Funds’ investment portfolios may
be subject.


 



    41


     


    

 


Co-Investments
with Third Parties. If circumstances so warrant, the STR Fund may co-invest with third parties through joint ventures or other
entities. Such investments may involve risks in connection with such third-party involvement, including the possibility that a
third-party co-venturer may have financial difficulties resulting in a negative impact on such investment, may have economic or
business interests or goals that are inconsistent with those of the STR Fund, or may be in a position to take (or block) action
in a manner contrary to the STR Fund’s investment objective.


 


Reliance
on AQR Europe as AIFM. AQR Europe in its capacity as alternative investment fund manager, has exclusive responsibility for
the STR Fund’s investment activities. The success of the AQR Europe’s trading and the investment performance of the STR
Fund are, to a large degree, dependent upon the services of AQR Europe’s investment professionals. The loss of the services of
these individuals could result in the AQR Europe’s inability to trade effectively for each of the Fund’s accounts. There
can be no assurance that AQR Europe’s investment professionals will continue to be associated with AQR Europe throughout the lives
of the STR Fund, and the failure to attract or retain such investment professionals could have a material adverse effect on the
STR Fund and their shareholders, including, for example, by limiting the STR Fund’s ability to pursue particular investment
strategies discussed herein. Competition in the financial services industry for qualified employees is intense and there is no
guarantee that the talents of AQR Europe’s investment professionals could be replaced. In the event AQR Europe withdraws from
the AQR Lux Funds and its STR Fund, there can be no assurance that a suitable successor would be located or appointed.


 


Non-Transferability
of Shares and Restrictions on Redemption. Except upon the death or bankruptcy of a shareholder of the STR Fund, shares of
the STR Fund are not transferable without the prior written consent of AQR Lux, which consent may be withheld by AQR Lux. There
are also significant restrictions on redemptions from the STR Fund (which may be settled in securities rather than cash). Consequently,
shareholders of the STR Fund, including the Segregated Portfolio, may not be able to liquidate their investment readily in the
event of an emergency or for any other reason.


 


No
Current Income. Since the STR Fund does not necessarily pay distributions, an investment in any of the STR Fund may not be
suitable for investors seeking current income.


 


Other
Activities of the AIFM. AQR Europe and its members, officers, employees and affiliates (collectively referred to in this paragraph
as “AQR Europe Affiliates”), including those involved in the investment management of the STR Fund, may be engaged
in businesses in addition to the investment management of the STR Fund. AQR Europe Affiliates may have proprietary interests in,
and manage and advise, other accounts or funds which may have investment objectives similar or dissimilar to those of the STR
Fund and/or which may engage in transactions in the same types of securities and instruments as the STR Fund. The STR Fund’s
performance may differ significantly from the results achieved by AQR Europe Affiliates for other accounts managed or advised
by AQR Europe Affiliates. When making an investment where conflicts of interest arise, AQR Europe Affiliates will endeavor to
act in a fair and equitable manner as between the STR Fund and its other clients. Personnel of AQR Europe Affiliates are not required
to devote all or any specified portion of their time to managing the affairs of the STR Fund, but will devote to the STR Fund
so much of their time as AQR Europe Affiliates deems necessary or appropriate. Investment activities by AQR Europe Affiliates
on behalf of other clients may give rise to additional conflicts of interest and demands on their time and resources. AQR Europe
Affiliates may from time to time act as investment manager in relation to or otherwise be involved with other companies established
by parties other than the STR Fund. In such event, should a conflict of interest arise, AQR Europe Affiliates will endeavor to
ensure that it is resolved fairly.


 


Business
and Regulatory Risks of Alternative Investment Funds. Legal, tax and regulatory developments that may adversely affect the
AQR Lux Funds could occur during its term, as the AQR Lux Funds must comply with legal requirements, including requirements imposed
by the securities laws and company laws in various jurisdictions, including Luxembourg. Should any of these laws change over during
the lifetime of the AQR Lux Funds, the legal requirements to which the AQR Lux Funds and its shareholders may be subject could
differ substantially from current requirements.


 



    42


     


    

 


In
the U.S.A., securities and futures markets are subject to comprehensive statutes, regulations and margin requirements enforced
by the SEC, other regulators and self-regulatory organizations and exchanges authorized to take extraordinary actions in the event
of market emergencies. The regulation of derivatives transactions and funds that engage in such transactions is an evolving area
of law and is subject to modification by government and judicial actions. The regulatory environment for private funds is evolving,
and changes in the regulation of private funds and their trading activities may adversely affect the ability of the STR Fund to
pursue its investment strategy, its ability to obtain leverage and financing and the value of investments held by the STR Fund.
There has been an increase in governmental, as well as self-regulatory, scrutiny of the alternative investment industry in general.
The Dodd-Frank Act requires certain investment managers to register with the SEC and mandates additional new reporting requirements,
including, but not limited to, position information, use of leverage and counterparty and credit risk exposure. Until the SEC
implements the new reporting requirements, it is unknown how burdensome such new reporting requirements will be. In the area of
derivatives, swaps and security-based swaps will need to be traded through an exchange with few exceptions. This may limit the
ability to hedge certain risks. In addition, all swaps and security-based swaps will be required to have initial and variation
margin. It is impossible to predict what, if any, changes in laws and regulations may occur, but any laws and regulations which
restrict the ability of the STR Fund to trade in securities or the ability of AQR Europe to employ, or brokers and other counterparties
to extend, credit in its trading (as well as other regulatory changes that result) could have a material adverse impact on the
STR Fund’s portfolio.


 


The
STR Fund and/or AQR Europe may also be subject to regulation in jurisdictions in which the STR Fund and/or AQR Europe engage in
business. Investors should understand that the STR Fund’s business is dynamic and is expected to change over time. Therefore,
the STR Fund may be subject to new or additional regulatory constraints in the future. The placement memorandum of the AQR Lux
Funds cannot address or anticipate every possible current or future regulation that may affect AQR Europe, the STR Fund or their
businesses.


 


Such
regulations may have a significant impact on the shareholders of the STR Fund or the operations of the STR Fund, including, without
limitation, restricting the types of investments the STR Fund may make, preventing the STR Fund from exercising their voting rights
with regard to certain financial instruments, requiring the STR Fund to disclose the identity of its investors or otherwise. The
AIFM may, in its sole discretion, cause the STR Fund to be subject to such regulation if it believes that an investment or business
activity is in such STR Fund’s interest, even if such regulations may have a detrimental effect on one or more shareholders of
the STR Fund. Prospective shareholders of the STR Fund are encouraged to consult their own advisors regarding an investment in
the STR Fund.


 


Co-Investments
with Third Parties. If circumstances so warrant, the STR Fund may co-invest with third parties through joint ventures or other
entities. Such investments may involve risks in connection with such third-party involvement, including the possibility that a
third-party coventurer may have financial difficulties resulting in a negative impact on such investment, may have economic or
business interests or goals that are inconsistent with those of the STR Fund, or may be in a position to take (or block) action
in a manner contrary to the STR Fund’s investment objective.


 



    43


     


    

 


ERISA.
Under the Plan Assets Regulation, the assets of the STR Fund would be deemed to be “plan assets” for purposes of
ERISA and Section 4975 of the Code if “plan assets” were used to acquire an equity interest in the STR Fund and no exception
were applicable under the Plan Assets Regulation. However, in general, the assets of the STR Fund will not be deemed to be “plan
assets” of investing plans if equity participation in any the STR Fund by Benefit Plan Investors is not “significant”.
In this regard, AQR Lux will use its commercially reasonable efforts to maintain the STR Fund so that the STR Fund’s assets should
not be deemed to include the “plan assets” of any investor that is subject to ERISA or Section 4975 of the Code. Accordingly,
AQR Lux will endeavor to limit investment by Benefit Plan Investors so that Benefit Plan Investors at all times hold less than
25% of the value (or any lower threshold determined by AQR Lux) of any class or category of equity (excluding any holdings by
an investor (other than a Benefit Plan Investor) that has discretionary authority or control over the assets of the STR Fund or
provides investment advice for a fee, and affiliates of such persons (a “Controlling Person”)) as determined
for purposes of the Plan Asset Regulation (the so-called “25% Test”) based upon investor representations. Consequently,
in all events AQR Lux will endeavor to not permit any acquisition, transfer, conversion, redemption or withdrawal of any class
and/or category of the STR Fund if such transaction would present a material risk that investment in the STR Fund by Benefit Plan
Investors would not satisfy the 25% Test (and may require the withdrawal or transfer of all or part of the class and/or category
in the STR Fund held by any Benefit Plan Investor or Controlling Person in order to satisfy the 25% Test).


 


The
application of ERISA, the Code and other relevant laws may be complex and dependent upon the particular facts and circumstances
of each investor, and it is the responsibility of the appropriate fiduciary of a plan to ensure that any investment in shares
of the STR Fund by such plan is consistent with all applicable requirements. Fiduciaries of employee benefit plans should consult
their legal and other advisors concerning these considerations, and (particularly in the case of plans that are not subject to
ERISA or the Code) concerning any additional code and state law considerations, before making an investment in the STR Fund.


 


The
risk factors above and those set out in the Memorandum do not purport to be complete. Nor do they purport to be an entire explanation
of the risks involved in an investment in the Segregated Portfolio. A potential investor should read the Memorandum and this Supplement
in their entirety as well as consult with its own legal, tax and financial advisers before deciding to invest in the Segregated
Portfolio.


 




    44


     


    

 





 



 


Financial
Information and Reports


 





 



 


Financial
statements


 


The
first audit of the Segregated Portfolio will be for the period beginning on the commencement of the operations of the Segregated
Portfolio and ending on 31 December 2017. The financial statements of the Segregated Portfolio will be presented in U.S. Dollars
and prepared in accordance with IFRS, unless the Directors otherwise deem appropriate.


 


Reports
to Shareholders


 


Each
Shareholder will be provided with a copy of an annual report that will include audited financial statements of the Segregated
Portfolio within six months of the end of each financial year of the Company. Shareholders will also be provided with a monthly
report on the investment performance of the Segregated Portfolio.


 



    45


     


    

 


APPENDIX
I


 


Class
A Shares


 


Prestige
Quantitative Opportunities Fund I SP (the “Segregated Portfolio”) is offering Class A Shares (the
“Shares”) for subscription. Applicants for Shares must submit a completed Subscription Agreement ten (10)
Business Days in advance and cleared funds five (5) Business Days in advance of the Subscription Day specified in the
Supplement of the Segregated Portfolio dated 1st of February 2017 (the “Supplement”) to the
Administrator. Investment in the Segregated Portfolio involves significant risks. Investors’ attention is drawn to the
risks outlined in the section headed “Risk Factors” in the Supplement.


 


All
disclosures in the Supplement continue to be effective as written. All capitalized terms which are not defined in this appendix
shall have the meaning given to them in the Supplement and the Memorandum. This appendix shall have no effect unless accompanied
by the Supplement. This appendix is deemed to be incorporated into the Supplement its entirety.


 


The
Shares shall be offered on the terms set out as follows:


 


	1.   
	Subscription
    Fee:	A
                                         subscriber for the Shares will be required to pay a Subscription Fee of one (1.0) per
                                         cent of the Subscription Amount on the execution of the Subscription Agreement. The Subscription
                                         Fee is taken out of the Subscription Amount.

         

        The
Subscription Fee will be for the account of the Manager and only the net subscription monies shall be considered as the amount
paid for the Participating Shares. The Manager may waive or reduce such Subscription Fee, either generally or in any particular
case. This Subscription Fee once paid shall be non-refundable regardless of whether the Subscription Amount is actually received
from the subscriber.

	 	 	 
	2.   	Management
    Fee:	The
    Company will pay the Manager a Management Fee, of one-twelfth (1/12) of 1.0 per cent per month of the Net Asset Value attributable
    to the Shares (before deduction of that months’ Management Fee and before making any deduction for any accrued Performance
    Fee) as at the last Valuation Day in each month, adjusted for any subscriptions and redemptions during the month. The Manager
    may waive or reduce such Management Fee, either generally or in any particular case.
	 	 	 
	3.   	Performance
    Fee:	For
                                         each Calculation Period, the Performance Fee in respect of each Share will be equal to
                                         ten (10) per cent of the appreciation in the Net Asset Value per Share during that Calculation
                                         Period above the Peak Net Asset Value per Share.

         

        The
Performance Fee in respect of each Calculation Period will be calculated by reference to the Net Asset Value per Share before
deduction for any accrued Performance Fee. The Manager may waive or reduce such Performance Fee, either generally or in any particular
case.

	 	 	 
	4.    	Minimum
    Initial Investment:	The
                                         minimum initial investment per subscriber is US$250,000 (inclusive of any Subscription
                                         Fee).

         

        The
Directors may waive or reduce the minimum initial investment either generally or in any particular case. However, for so long
as the Company is registered under section 4(3) of the Mutual Funds Law, the minimum initial investment cannot be less than US$100,000
(or its equivalent in the relevant Dealing Currency) (exclusive of any Subscription Fee).

	 	 	 
	5.    	Minimum
    Subsequent Investment	The
                                         minimum subsequent investment per subscriber is US$250,000 (inclusive of any Subscription
                                         Fee).

         

        The
Directors may waive or reduce the minimum subsequent investment either generally or in any particular case.



 




    46


     


    

 


APPENDIX
II


 


Class
B Shares


 


Prestige
Quantitative Opportunities Fund I SP (the “Segregated Portfolio”) is offering Class B Shares (the
“Shares”) for subscription. Applicants for Shares must submit a completed Subscription Agreement ten (10)
Business Days in advance and cleared funds five (5) Business Days in advance of the Subscription Day specified in the
Supplement of the Segregated Portfolio dated 1st of February 2017 (the “Supplement”) to the
Administrator. Investment in the Segregated Portfolio involves significant risks. Investors’ attention is drawn to the
risks outlined in the section headed “Risk Factors” in the Supplement.


 


All
disclosures in the Supplement continue to be effective as written. All capitalized terms which are not defined in this appendix
shall have the meaning given to them in the Supplement and the Memorandum. This appendix shall have no effect unless accompanied
by the Supplement. This appendix is deemed to be incorporated into the Supplement its entirety.


 


The
Shares shall be offered on the terms set out as follows:


 


	1.   	Subscription
    Fee:	A
                                         subscriber for the Shares will be required to pay a Subscription Fee of 0.9 per cent
                                         of the Subscription Amount on the execution of the Subscription Agreement. The Subscription
                                         Fee is taken out of the Subscription Amount.

         

        The
Subscription Fee will be for the account of the Manager and only the net subscription monies shall be considered as the amount
paid for the Participating Shares. The Manager may waive or reduce such Subscription Fee, either generally or in any particular
case. This Subscription Fee once paid shall be non-refundable regardless of whether the Subscription Amount is actually received
from the subscriber.

	 	 	 
	2.   	Management
    Fee:	The
    Company will pay the Manager a Management Fee, of one-twelfth (1/12) of 0.9 per cent per month of the Net Asset Value attributable
    to the Shares (before deduction of that months’ Management Fee and before making any deduction for any accrued Performance
    Fee) as at the last Valuation Day in each month, adjusted for any subscriptions and redemptions during the month. The Manager
    may waive or reduce such Management Fee, either generally or in any particular case.
	 	 	 
	3.     	Performance
    Fee:	For
                                         each Calculation Period, the Performance Fee in respect of each Share will be equal to
                                         ten (10) per cent of the appreciation in the Net Asset Value per Share during that Calculation
                                         Period above the Peak Net Asset Value per Share.

         

        The
Performance Fee in respect of each Calculation Period will be calculated by reference to the Net Asset Value per Share before
deduction for any accrued Performance Fee. The Manager may waive or reduce such Performance Fee, either generally or in any particular
case.

	 	 	 
	4.    	Minimum
    Initial Investment:	The
                                         minimum initial investment per subscriber is US$2,000,000 (inclusive of any subscription
                                         fee).

         

        The
Directors may waive or reduce the minimum initial investment either generally or in any particular case. However, for so long
as the Company is registered under section 4(3) of the Mutual Funds Law, the minimum initial investment cannot be less than US$100,000
(or its equivalent in the relevant Dealing Currency) (exclusive of any Subscription Fee).

	 	 	 
	5.    	Minimum
    Subsequent Investment	The
                                         minimum subsequent investment per subscriber is US$250,000 (inclusive of any Subscription
                                         Fee).

         

        The
Directors may waive or reduce the minimum subsequent investment either generally or in any particular case.



 




    47


     


    

 


APPENDIX
III


 


Class
D Shares


 


Prestige
Quantitative Opportunities Fund I SP (the “Segregated Portfolio”) is offering Class D Shares (the
“Shares”) for subscription. Applicants for Shares must submit a completed Subscription Agreement ten (10)
Business Days in advance and cleared funds five (5) Business Days in advance of the Subscription Day specified in the
Supplement of the Segregated Portfolio dated 1st of February 2017 (the “Supplement”) to the
Administrator. Investment in the Segregated Portfolio involves significant risks. Investors’ attention is drawn to the
risks outlined in the section headed “Risk Factors” in the Supplement.


 


All
disclosures in the Supplement continue to be effective as written. All capitalized terms which are not defined in this appendix
shall have the meaning given to them in the Supplement and the Memorandum. This appendix shall have no effect unless accompanied
by the Supplement. This appendix is deemed to be incorporated into the Supplement its entirety.


 


The
Shares shall be offered on the terms set out as follows:


 


	1.   	Subscription
    Fee:	A
                                         subscriber for the Shares will be required to pay a Subscription Fee of 0.8 per cent
                                         of the Subscription Amount on the execution of the Subscription Agreement. The Subscription
                                         Fee is taken out of the Subscription Amount.

         

        The
Subscription Fee will be for the account of the Manager and only the net subscription monies shall be considered as the amount
paid for the Participating Shares. The Manager may waive or reduce such Subscription Fee, either generally or in any particular
case. This Subscription Fee once paid shall be non-refundable regardless of whether the Subscription Amount is actually received
from the subscriber.

	 	 	 
	2.   	Management
    Fee:	The
    Company will pay the Manager a Management Fee, of one-twelfth (1/12) of 0.8 per cent per month of the Net Asset Value attributable
    to the Shares (before deduction of that months’ Management Fee and before making any deduction for any accrued Performance
    Fee) as at the last Valuation Day in each month, adjusted for any subscriptions and redemptions during the month. The Manager
    may waive or reduce such Management Fee, either generally or in any particular case.
	 	 	 
	3.   	Performance
    Fee:	For
                                         each Calculation Period, the Performance Fee in respect of each Share will be equal to
                                         ten (10) per cent of the appreciation in the Net Asset Value per Share during that Calculation
                                         Period above the Peak Net Asset Value per Share. The Manager may waive or reduce such
                                         Performance Fee, either generally or in any particular case.

         

        The
Performance Fee in respect of each Calculation Period will be calculated by reference to the Net Asset Value per Share before
deduction for any accrued Performance Fee.

	 	 	 
	4.   	Minimum
    Initial Investment:	The
                                         minimum initial investment per subscriber is US$5,000,000 (inclusive of any subscription
                                         fee).

         

        The
Directors may waive or reduce the minimum initial investment either generally or in any particular case. However, for so long
as the Company is registered under section 4(3) of the Mutual Funds Law, the minimum initial investment cannot be less than US$100,000
(or its equivalent in the relevant Dealing Currency) (exclusive of any Subscription Fee).

	 	 	 
	5.   	Minimum
    Subsequent Investment	The
                                         minimum subsequent investment per subscriber is US$250,000 (inclusive of any Subscription
                                         Fee).

         

        The
Directors may waive or reduce the minimum subsequent investment either generally or in any particular case.



 



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