SKYBRIDGE CAPITAL - Texas Pension Review · PDF fileSKYBRIDGE CAPITAL. Third Quarter 2012. ... principal value of an investment will fluctuate so that an investor’s shares, ... Kyle

This document is for informational purposes only and is neither an offer to sell, nor a solicitation of an offer to buy, an interest in any securities.

SKYBRIDGE CAPITALThird Quarter 2012

AMERICA AT THE CROSSROADS

AMERIDCNA

Important Information

This document is offered for informational purposes only and does not constitute an offer to sell any securities. An offer or solicitation will be made only through the Offering Document and SubscriptionApplication, and is qualified in its entirety by the terms and conditions contained in such documents. The Offering Document contains additional information needed to evaluate the potential investment andprovide important disclosures regarding risks, fees and expenses. This material must be preceded or accompanied by a copy of the Offering Document in connection with any subscription. The informationcontained herein is confidential and is not to be reproduced or distributed except with the permission of SkyBridge Capital II, LLC (“SkyBridge”)

SkyBridge is not acting as the advisor or agent for clients purchasing an investment and thus clients cannot rely on SkyBridge in connection with their decision to invest.

The investments described herein are offered to potential investors on the basis of the information in the Offering Document. No person has been authorized to make representations or provide any informationrelating to these investments that are inconsistent with or not otherwise contained in the Offering Document.

As further described in the offering documents, an investment in alternative investments can be highly illiquid, speculative and not suitable for all investors. Investing in alternative investments is only intendedfor experienced and sophisticated investors who are willing to bear the high economic risks associated with such an investment. Investors should carefully review and consider potential risks before investing.Certain of these risks may include:

loss of all or a substantial portion of the investment due to leveraging, short-selling, or other speculative practices;

lack of liquidity in that there may be no secondary market for the fund and none is expected to develop;

volatility of returns;

restrictions on transferring interests in the Fund;

potential lack of diversification and resulting higher risk due to concentration of trading authority when a single advisor is utilized;

absence of information regarding valuations and pricing;

complex tax structures and delays in tax reporting;

less regulation and higher fees than mutual funds; and

Investment manager risk.

Individual funds will have specific risks related to their investment programs that will vary from fund to fund. See "Certain Risk Factors" in the Offering Document.

PAGE 2 | SKYBRIDGE CAPITAL

Important Information

The third party information used in this document has been obtained from various published and unpublished sources considered to be reliable. However, SkyBridge cannot guarantee its accuracy or completenessand thus does not accept liability for any direct or consequential losses arising from its use.

SkyBridge cannot accept responsibility for the tax treatment of any investment product. SkyBridge assumes that, before making any commitment to invest, the investor and (where applicable, its beneficial owners)have taken whatever tax, legal or other advice the investor/beneficial owners consider necessary and have arranged to account for any tax lawfully due on the income or gains arising from any investment productprovided by SkyBridge. An investor who is required to file a U.S. tax return may disclose to any and all persons, without limitation of any kind, the tax treatment and tax structure of this investment and itstransactions and all materials of any kind (including opinions or tax analyses) that are provided to the investor relating to such tax treatment and tax structure. SkyBridge does not provide tax or legal advice. Forsuch advice, please consult your tax, legal, or other advisors as appropriate.

An investor should consider carefully the investment objectives, risks, and charges and expenses of a fund before investing. The Offering Materials contain this and other important information and are availableupon request to SkyBridge. Read the Offering Document carefully before investing. This document is not intended as a substitute for the Offering Document and should not be relied upon as such.

Past performance does not guarantee future results. Actual results may vary.

The performance information and investment opportunities contained herein are for informational purposes and are not to be construed as indicative of the future performance or investment strategy of theSkyBridge hedge fund portfolios.

IRS Circular 230 Disclosure: SkyBridge does not provide tax or legal advice. To ensure compliance with U.S. Treasury Regulations, we hereby inform you that any discussion of U.S. tax matters contained in thesematerials (and any attachments) (i) were not intended or written to be used, and cannot be used or relied upon, by you for the purpose of avoiding any U.S. tax-related tax-penalties and (ii) were written inconnection with the "promotion or marketing" of the transaction(s) or matter(s) addressed in these materials. Accordingly, you should seek advice based on your circumstances from an independent tax advisor.

Except as provided above under "Non-Confidentiality", the information included herein is confidential and intended solely for the use by SkyBridge and its placement agents, its clients and their advisers. It is not tobe reproduced or distributed except with the permission of SkyBridge.

Non-US Legal Considerations. Investors who are residents of countries other than the U.S. should consult their legal and tax advisors concerning the regulatory and tax implications of an investment prior tomaking an investment decision.

Performance data represents past performance. Current performance may be lower or higher than the performance data quoted. Past performance does not guarantee future results. The investment return andprincipal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

This document contains certain forward-looking statements as defined within the meaning of the Private Securities Litigation Reform Act of 1995, and is subject to the safe harbors created therein. Actual results could differ materially from those projected in the forward looking statements, as a result of risks and other factors discussed in the applicable Confidential Offering Memorandum or Prospectus.SkyBridge is affiliated with Hastings Capital Group LLC (“Hastings”), a registered broker-dealer and a member of both the Financial Industry Regulatory Authority (FINRA) and the Securities Investor Protection Corporation (SIPC). Series G is a limited liability company registered under the Investment Company Act of 1940, as amended, as a closed-end, non-diversified management investment company.


The United States Federal Budget

PAGE 4 | SKYBRIDGE CAPITALSource: Congressional Budget Office – June 2012 Outlook.

$235,000,000,000

SURPLUSACTUAL

($1,079,000,000,000)

DEFICITJUNE 2012 CBO ESTIMATE

2000 2012

2013 2014 2015 2016 2017 2018

Congressional Budget Office’s Baseline Budget Outlook (in Billions):

($585) ($345) ($269) ($302) ($220) ($196)

2019

($258)

2020

($280)


America at the Crossroads

Runs

VISI

TOR Anti-West

(Al-Qaeda, Islamic Extremism, Iran)

HOM

E

The U.S. and its Interests and Allies

* September 11, 2001 was the start, and the end is TBD. Attendance: 7 Billion


Evolution of The SALT Conference

2009 2010 2011

Michael Milken, Chairman Milken Institute

President George W. Bush, 43rd

President of the U.S.

2012

INAUGURAL SALTLas Vegas – Encore Wynn

600 Attendees

2ND ANNUAL SALTLas Vegas – The Bellagio

1,200 Attendees

3RD ANNUAL SALTLas Vegas – The Bellagio

1,760 Attendees4TH ANNUAL SALT

Las Vegas – The BellagioMay 8 – 11, 2012

Keynote Speakers included:Al Gore, Sarah Palin , Robert Gates

INAUGURAL SALT ASIASingapore – Marina Bay Sands

October 17 – 19, 2012

Keynote Speakers include:Tony Blair, Al Gore

Featured Speakers:General Wesley K. Clark (Ret.),

Congressman Richard Gephardt, Harvey Pitt and Frank Meyer

President Bill Clinton, 42nd President of the U.S.

Featured Speakers:David Darst, James Dinan, Kenneth

Griffin, Robert Matza, Steve Tananbaum, Nouriel Roubini and

Jeremy Siegel

Featured Speakers:Brian Sandoval, Laurence Meyer,

Israel Englander, Daniel Loeb, Niall Ferguson, Kyle Bass and Leon

Cooperman

Macroeconomic Overview

REVIEW OF MARKETS – SECOND QUARTER 2012

The rally in risk assets off the lows set in the third quarter 2011 faded in the second quarter of 2012.The broad gains in risk assets and subdued volatility in capital markets were driven in part byaggressive, continued global central bank easing, unfolding evidence of a decreasing likelihood of anear-term recession in the U.S. and the realization that a European implosion was unlikely tomaterialize overnight – despite frustratingly incremental, reactionary measures by European policymakers.In the second quarter 2012, both familiar and new challenges to the capital markets weighed oninvestor sentiment and risk assets, especially in May. Risk-off headwinds prevailed, including thepotential secular decline in emerging market growth rates, a slowing Chinese export market, theongoing European sovereign debt and banking crisis, U.S. macroeconomic data pointing to a slowerthan expected second half of 2012, the potential for damaging long-term inflation due to looseglobal monetary policy, and political gridlock in Washington with the looming “fiscal cliff” on thehorizon.Risk-on action returned in June, driven by action taken by global central banks and European policymakers. During the month, the European Central Bank (ECB) expanded its collateral program,European policy makers announced a Spanish bank recapitalization plan, and results from Greece’selection helped alleviate the fear of more drastic outcomes in the short-term.

Source: Bloomberg, BofA Merrill Lynch. Market Indices above are in USD.PAGE 7 | SKYBRIDGE CAPITAL

S&P 500 vs. CBOE VIX

S&P 500 Barclays Agg. MSCI EAFE MSCI Emerging

EUR/USD vs. 10-Yr Treasury

EUR./USD

10-Yr

+5.7% +7.9%

Rate

(%)

0

5

10

15

20

25

30

1,250

1,270

1,290

1,310

1,330

1,350

1,370

1,390

1,410

1,430

Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12

S&P 500 CBOE SPX Volatility Index (VIX)

1.00

1.05

1.10

1.15

1.20

1.25

1.30

1.35

1.40

1.00

1.20

1.40

1.60

1.80

2.00

2.20

2.40

2.60


U.S. 10 Yr Yield EUR/USD

1,200

1,250

1,300

1,350

1,400

1,450

Jan-12Feb-12M

ar-12Apr-12M

ay-12Jun-12

108108109109110110111111112112

Jan-12Feb-12M

ar-12Apr-12M

ay-12Jun-12

1,0001,1001,2001,3001,4001,5001,6001,700

Jan-12Feb-12M

ar-12Apr-12M

ay-12Jun-12

800

850

900

950

1,000

1,050

1,100Jan-12Feb-12M

ar-12Apr-12M

ay-12Jun-12

Q1: +12.59%Q2: -2.75%

Q1: -0.30%Q2: +2.06%

Q1: +9.97%Q2: -8.37%

Q1: +13.65%Q2: -10.00%


ECONOMIC OVERVIEW & OUTLOOK

Relatively strong U.S. economic activity in the first quarter came to an abrupt end in the secondquarter 2012. Much of the data was below market expectations, and perhaps the mostdisappointing figures were the employment reports released during the quarter.

After adding a significant number of new jobs (590,000) over the first three months of the year, thenumber of new jobs added for April, May and June (260,00) were all well below expectations. If thenegative trend continues, this will continue to weigh on the U.S. economy, slowing an already tepidrecovery.

And U.S. economic growth is definitely slowing. In the fourth quarter 2011, GDP growth was 3.0%.In the second quarter, the Bureau of Economic Analysis released its third estimate for first quarter2012 GDP, a seasonally adjusted annualized rate of 1.9%. Economists were disappointed withgrowth under 2.0%, and had originally expected 2.5% for the first quarter. Consensus expectationscall for 2.1% GDP in the third quarter, and 2.3% in fourth quarter 2012.

During the second quarter, the Federal Reserve (Fed) announced it would leave interest rate policyunchanged (target range of 0.0% to 0.25%), however given conditions, the Fed also announced itwould extend its Operation Twist program, which was set to expire on June 30th. Under theprogram, the Fed uses proceeds from expiring short-term securities on its balance sheet to purchaselonger-dated issues.

By opting to extend the Twist program, the Fed has bought itself time – perhaps saving QE3 for amore extreme scenario at a later date. However, we believe the Fed and the markets are wary ofQE’s diminishing returns vs. prior quantitative measures.

The disappointing U.S. growth and unemployment picture, combined with the ongoing sovereignand banking crisis in Europe, resulted in an extreme risk-off environment. The yield on the 10 yearTreasury fell from 2.33% at the end of the first quarter 2012 to as low as 1.47% at the beginning ofJune, a clear indicator of risk-off sentiment and a lack of perceived safe haven investmentopportunities.

More broadly, the global economic slowdown is best evidenced by the retreat in commodity prices,with oil down approximately 18% in the second quarter, on anticipation for softer demand. On apositive note, lower oil prices enable the core U.S. inflation rate to remain subdued for now.

Source: Bloomberg, Federal Reserve Bank of St. Louis - FREDPAGE 8 | SKYBRIDGE CAPITAL

Crude Oil Prices Decline

Unemployment vs. New Jobs Added

New

Job

s Ad

ded Unem

ployment Rate (%

)

Crud

e Pr

ices Gold Spot Prices

7.6%

7.8%

8.0%

8.2%

8.4%

8.6%

8.8%

9.0%

9.2%

-

50,000

100,000

150,000

200,000

250,000

300,000

Jan-

11Fe

b-11

Mar

-11

Apr-1

1M

ay-1

1Ju

n-11

Jul-1

1Au

g-11

Sep-

11Oc

t-11

Nov

-11

Dec-

11Ja

n-12

Feb-

12M

ar-1

2Ap

r-12

May

-12

Jun-

12

New jobs added Unemployment Rate

1400

1450

1500

1550

1600

1650

1700

1750

1800

1850

70

75

80

85

90

95

100

105

110

115


Gold Spot Prices ($/oz) NYMEX WTI Crude Prices


EUROPEAN SOVEREIGN DEBT CRISIS / MONETARY POLICY

The Euro zone sovereign debt and banking crisis, which saw several positive developments inthe first quarter as a result of the Long-Term Refinancing Operation (LTRO), once again ownedthe headlines, and was the primary source for uncertainty in the capital markets in the secondquarter.

Against a continuing backdrop of weak economic activity, the Euro zone crisis had severaldramatic moments during the second quarter. Greece went to the polls in June, and finallydesignated a government that wants to continue to receive bailout funds, although on aconditional basis. And at the request of the Spanish government, a 100 billion EuropeanFinancial Stability Fund (EFSF) loan was arranged to help recapitalize Spanish banks, as concerngrew that the banking sector’s bad debts could trigger a systemic bank collapse throughoutEurope.

Regardless, Spain and Italy experienced spikes in sovereign yields, indicating the bond marketbelieved those countries would require bailout packages, as had Greece. The Spanish 10 Yryield breached 7% during the second quarter, which is considered an unsustainable level. TheItalian 10 Yr broke 7% back in January, but has since retreated, settling at a lower 6%-pluslevel.

We believe austerity measures will weigh on the Euro zone and are expected to result in aprolonged recession as the debt burden is worked off. This outlook is compounded by weaknessin the Euro zone banking system because banks have outsized exposure to sovereign bondsissued by peripheral nations.

U.S. equity markets have reacted to the perceived odds of additional asset purchases by the Fed(QE3) – rallying when odds improve. We believe additional asset purchases, likely centered onmortgage-backed securities (MBS) are probable in the event the economy requires a second-half2012 boost or the U.S. economic outlook continues to deteriorate significantly, or the situationin the Euro zone unravels.

Source: Bloomberg, Board of Governors of the Federal Reserve, European Central BankPAGE 9 | SKYBRIDGE CAPITAL

Euro zone Bank Risk Volatility

ECB

Bala

nce

Shee

tBa

nk C

DS R

ates

ECB – Balance Sheet Expansion

100

300

500

700

900

Jan-12

Feb-12

Mar-12

Apr-12

May-12

Jun-12

Banca Monte CDS EUR 5 Yr (Italy)Banco Santander CDS EUR 5 Yr (Spain)BNP Paribas CDS EUR 5 Yr (France)Credit Agricole CDS EUR 5 Yr (France)

100

600

1,100

1,600

2,100

2,600

3,100

Jan-

10

Mar

-10

May

-10

Jul-1

0

Sep-

10

Nov

-10

Jan-

11

Mar

-11

May

-11

Jul-1

1

Sep-

11

Nov

-11

Jan-

12

Mar

-12

May

-12

ECB Total Assets LTRO Lending

Hedge Fund Strategy Outlook

SKYBRIDGE VIEW AT THIS STAGE OF THE MARKET CYCLE*

Expect continued risk on/risk off price action Expect continued uncertainty and heightened volatility Expect high equity and asset class correlations


* Based on Investment Manager’s current view of the markets as July 31, 2012 and subject to change without notice. Not to be relied upon. Past performance does not guarantee futureresults. There can be no assurance that the investment thesis will be achieved. Hedge fund investing is not suitable for all clients. Investors must understand that any investment is subjectto substantial risk, involving risk of loss of the entire principal amount invested, and are urged to review the applicable Fund’s Offering Materials for a full discussion of risks together withdisclosures herein in the section entitled Risk Factors. This document contains certain forward-looking statements as defined within the meaning of the Private Securities Litigation ReformAct of 1995, and is subject to the safe harbors created therein.

Prepayment Sensitive MBS

Distressed Credit Sensitive MBS

Stressed/Distressed Corporate Credit

Basel III Event Driven Equity

Long/Short Equity Macro

INVESTMENT THEMES*

Position for maximum exposure to strong, consistent cash flowgenerative strategies that are relatively less affected by riskon/risk off price action

Maintain smaller exposures to lower beta strategies withperformance tied to hard catalysts

Avoid strategies dependent on monetizing difficult to time, mark tomarket gains/losses

INVESTMENT THESIS*

Position for modest volatility beta relative to the S&P 500; mitigatebeta-related losses and protect against downside risk

INVESTMENT THEME EVOLUTIONSKYBRIDGE MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC – SERIES G

*Please reference the last section of this document for disclaimers and additional information. PAGE 11 | SKYBRIDGE CAPITAL

PORT

FOLI

O

ALL

OCA

TIO

NS

S&P

500

Directional Equity (Lt. Blue)

Event Driven (Grey)

Relative Value (Blue)

Directional Macro (Green)

500

700

900

1100

1300

1500

1700

Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12

9/08: Lehman Brothers files for bankruptcy

10/08: TARP ($700B)

2/09: Economic Stimulus ($787B)

5/10: Flash Crash3/11: Japan Earthquake

8/11: S&P downgrades U.S. sovereign debt

6/12: U.S. 10-Yr sets intra-day low 1.44%

LTRO (2) ($672B)

Credit crisis: 2007Recession: Dec 2007 – Jun 2008

QE1: Dec 2008 – Mar 2010 QE2: Nov 2010 – Jun 2011 Operation Twist

2007 2008 2009 2010 2011 2012 (Jun YTD)

2007 2008 2009 2010 2011 2012 (Jun YTD)

Directional Equity (Lt. Blue)

Event Driven (Grey)

Relative Value (Blue)

Directional Macro (Green)

PORT

FOLI

O

THEM

ES

Short Subprime (ABX) Prepayment Sensitive MBSRV Credit

Event Driven Equity – Activist Distressed Credit

Late-stage / Post-Reorganization Equity

Event Driven Equity

Stressed/Distressed Corporate Credit

Credit Sensitive MBSLong – Volatility

Short – Corporate Credit

Long-Biased/Thematic Short – Financial Services

Long Biased Equity

Gold

Investment Theme Outlook


As of July 31, 2012. All information contained herein is subject to change at any time without notice. This document contains certain forward-looking statements as defined within the meaning of the Private Securities Litigation Reform Act of 1995, and is subject to the safe harbors created therein. Actual results could differ materially from those projected in the forward looking statements, as a result of risks and other factors discussed in the applicable Offering Document. Past performance does not guarantee future results. Portfolio strategy allocations and strategy classifications are subject to change at any time at the Adviser’s discretion.

PREPAYMENT SENSITIVE MBS

Opportunity Set

Dislocations due to sharp decline in U.S. housing prices, tighter underwriting standards and interest rate volatility.

Very large and complex , yet liquid market.

Dominated by long-only and mandate constrained investors.

Heterogeneous market with varying underlying collateral pool characteristics.

Should benefit from a sustained, gradual increase in the back end of the yield curve as higher mortgage rates further depress prepayments.

Strong carry streams present opportunities for realizable, non-correlated returns.

Key Risks

Government policy wild card risk, potential for market shocks remain.

If/when the Fed hikes rates – carry streams will be reduced.

Higher rates reduce the likelihood for additional political action – which is aimed at keeping rates low in the first place.

Top Allocations in Theme Focus

SSH Non-Agency Prime Jumbo MBS

Metacapital Mortgage Opportunities Diversified MBS

Providence MBS Agency MBS

Midway Market Neutral Diversified MBS

SkyBridge View: Overweight

Theme % Portfolio: Approx. 40%

Hedge Fund Strategy: Relative Value

Sub-Strategy: Prepayment Sensitive MBS

Instruments:Prime Agency MBSJumbo Prime, Non-Agency MBS

Mortgage Current Coupon OAS(FNMA 30 Yr)

Source: Bloomberg

-20

-10

0

10

20

30

40

50

Jan-10

Jul-10

Jan-11

Jul-11

Jan-12

Jul-12



CREDIT SENSITIVE MBS

Opportunity Set Suffered from a significant sell-off in Q2 2011, and further weakness in Q3 and Q4 of 2011 as a result

of an unsuccessful Maiden Lane auction, Wall Street market maker deleveraging and a fear that European banks would be forced to sell MBS and other securities to meet solvency requirements. Credit sensitive MBS is a straight value with attractive carry, modest upside, and optionality to an

improving economy and housing market play. Credit Sensitive MBS is split between senior tranches with lower carry, lower risk, and less upside and

mezzanine tranches such as credit IO’s with higher carry, higher risk, and greater upside. Q1 2012 price gains were driven by a successful Maiden Lane auction and the ECB’s LTRO, which

effectively addressed European bank solvency in the short term. After the substantial Q1 rally, we expect a slow oscillating rebound going forward where managers can

once again benefit from competitive yields and price appreciation. Provides a fundamental and technical hedge to Prepayment Sensitive MBS exposures.

Key Risks More correlated exposure to economic conditions, and therefore, broader markets. Market prone to illiquidity shocks given Wall Street is the predominant player in the space. Subject to government intervention.


Pine River Fixed Income Non-Agency RMBS, Agency IO/IIOs

Marathon Securitized Credit ABS, CMBS, Non-Agency RMBS

Axonic Credit Opportunities Non-Agency RMBS and CMOs

Seer Capital Non-Agency RMBS, CMBS, CLOs



Hedge Fund Strategy: Event -Driven

Sub-Strategy: Distressed Credit Sensitive MBS

Instruments: Non-Agency MBS (Sub-prime, Alt-A, ARM), CMBS


ABX Index (AAA Rated Subprime Bonds)

Source: Bloomberg

30

35

40

45

50

55

60

65

Jan-

11

Feb-

11M

ar-1

1

Apr-1

1M

ay-1

1

Jun-

11Ju

l-11

Aug-

11

Sep-

11Oc

t-11

Nov

-11

Dec-

11

Jan-

12

Feb-

12M

ar-1

2

Apr-1

2M

ay-1

2

Jun-

12

ABX.HE 06-2 AAA Price



DISTRESSED / STRESSED CORPORATE CREDIT

Opportunity Set

Mainly centered on U.S. corporate credit exposure – companies generally have healthy balance sheets, yet spreads crossed 900 over in Q3 2011.

Generated attractive gains in the Q1 2012, primarily from price appreciation and secondarily from cash flow.

Credit spreads are still 100 to 300 bps wider than their recent tights, while equities have regained all of 2011’s losses.

Spreads are unusually high despite corporate credit health being unusually strong and expected future defaults being unusually low; due in part to the Euro zone crisis.

Defaults have remained extremely low and are expected to continue to stay low, especially if the U.S. economy avoids recession.

Key Risks

Correlated to the broader markets.

Mark to market losses, and potential for realized losses, in the event the European situation deteriorates enough to drag the U.S. economy into recession.


JLP Credit Opportunity U.S.

York Credit Opportunities Global

Solus Recovery Global

CapeView Recovery Europe



Hedge Fund Strategy: Event-Driven

Sub-Strategy: Distressed Corporate Credit

Instruments: High Yield Bonds, Bank Debt, Credit Derivatives


ML High Yield Master II Index

Source: Bloomberg, BofA Merrill Lynch

400

500

600

700

800

900

1,000

Jan-09M

ar-09M

ay-09Jul-09Sep-09N

ov-09Jan-10M

ar-10M

ay-10Jul-10Sep-10N

ov-10Jan-11M

ar-11M

ay-11Jul-11Sep-11N

ov-11Jan-12M

ar-12M

ay-12



BASEL IIIU.S. Bank Recapitalizations

Opportunity Set

Primarily centered on U.S. bank recapitalizations.

U.S. banks are solvent, but need to retire expensive junior debt securities over time in order to meet their new, more stringent Tier I capital requirements as prescribed by the Basel III mandate.

This is a correlated theme, but one with far less downside in the event of a market sell-off due to the hedged nature of the strategy.

This theme is also very catalytic in nature as banks periodically seize periods of market calm to issue equity and/or utilize organic earnings and/or issue more senior debt to take out these securities at a premium to where they trade in the secondary market.

We also believe the underpinnings of the theme are fairly predictable and persistent.

Key Risks

Not a scalable theme, few managers executing on theme with conviction.

Narrow opportunity set.


EJF Debt Opportunities Bank Issued Corporate Debt



Hedge Fund Strategy: Relative Value

Sub-Strategy: Relative Value Credit

Instruments: Bank Issued Corporate Debt




EVENT DRIVEN EQUITY

Opportunity Set

Since the financial crisis, corporations have stockpiled cash, termed out debt, right sized operating structures, fixed balance sheets, and have generally taken a highly conservative stance on expanding through debt. Typically, after taking such steps, businesses embark upon a multi-year period of acquisitions, spin-offs, divestitures, and expansions – utilizing cheap debt to benefit shareholders.

Theme played out well over 2011 until the capital markets contracted over the summer months.

Strong performance rebound in Q1 2012 as the reopening of capital markets resulted in increased corporate activity.

Event driven theme should benefit from hedge fund manager staying power – conviction in activities that drive value creation keep managers invested through difficult times.

Key Risks

Higher degree of equity beta given the broad macro environment.

The propensity for management teams to embark upon shareholder friendly behavior has been reduced due to the global economic slowdown and the European sovereign debt crisis.

Top Managers in Theme Focus

Third Point Ultra Multi-Strategy

BHR Fund U.S.

Paulson Recovery U.S.

Amber Global Opportunities Global

SkyBridge View: Neutral


Hedge Fund Strategy: Event -Driven

Sub-Strategy: Equity / Multi-Strategy / Activist

Instruments: Equities


Announced M&A Transactions ($)

Source: Bloomberg

Deal

Vol

ume

($BB

)0

500

1000

1500

2000

2500

3000

3500

4000

4500

5000

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

Australasia Europe US

Disclaimers


This document is offered for informational purposes only and does not constitute an offer to sell any securities. An offer or solicitation will be made through the applicable Prospectus and Subscription Application, and is qualified in its entiretyby the terms and conditions contained in such documents. The Prospectus contains additional information needed to evaluate the potential investment and provide important disclosures regarding risks, fees and expenses. This material mustbe preceded or accompanied by a copy of the Prospectus in connection with any subscription. The information contained herein is confidential and is not to be reproduced or distributed except with the permission of SkyBridge Capital II, LLC(“SkyBridge”).

SkyBridge is not acting as the advisor or agent for clients purchasing an investment and thus clients cannot rely on SkyBridge in connection with their decision to invest. The investments described herein are offered to potential investors on the basis of the information in the Prospectus. No person has been authorized to make representations or provide any information relating to these investments that are

inconsistent with or not otherwise contained in the Prospectus. As further described in the offering documents, an investment in alternative investments can be highly illiquid, speculative and not suitable for all investors. Investing in alternative investments is only intended for experienced and

sophisticated investors who are willing to bear the high economic risks associated with such an investment. Investors should carefully review and consider potential risks before investing. Certain of these risks may include: loss of all or a substantial portion of the investment due to leveraging, short-selling, or other speculative practices; lack of liquidity in that there may be no secondary market for the fund and none is expected to develop; volatility of returns; restrictions on transferring interests in the Fund; potential lack of diversification and resulting higher risk due to concentration of trading authority when a single advisor is utilized; absence of information regarding valuations and pricing; complex tax structures and delays in tax reporting; less regulation and higher fees than mutual funds; and Investment manager risk.

Individual funds will have specific risks related to their investment programs that will vary from fund to fund. See "Certain Risk Factors" in the Prospectus.

The third party information used in this document has been obtained from various published and unpublished sources considered to be reliable. However, SkyBridge cannot guarantee its accuracy or completeness and thus does not accept liabilityfor any direct or consequential losses arising from its use.

SkyBridge cannot accept responsibility for the tax treatment of any investment product. SkyBridge assumes that, before making any commitment to invest, the investor and (where applicable, its beneficial owners) have taken whatever tax, legalor other advice the investor/beneficial owners consider necessary and have arranged to account for any tax lawfully due on the income or gains arising from any investment product provided by SkyBridge. An investor who is required to file a U.S.tax return may disclose to any and all persons, without limitation of any kind, the tax treatment and tax structure of this investment and its transactions and all materials of any kind (including opinions or tax analyses) that are provided to theinvestor relating to such tax treatment and tax structure. SkyBridge does not provide tax or legal advice. For such advice, please consult your tax, legal, or other advisors as appropriate.

An investor should consider carefully the investment objectives, risks, and charges and expenses of a fund before investing. The Prospectus contains this and other important information and are available upon request to SkyBridge. Read theProspectus carefully before investing. This document is not intended as a substitute for the Prospectus and should not be relied upon as such.

Past performance does not guarantee future results. Actual results may vary.

The performance information and investment opportunities contained herein are for informational purposes and are not to be construed as indicative of the future performance or investment strategy of the SkyBridge hedge fund portfolios.IRS Circular 230 Disclosure: SkyBridge does not provide tax or legal advice. To ensure compliance with U.S. Treasury Regulations, we hereby inform you that any discussion of U.S. tax matters contained in these materials (and any attachments)(i) were not intended or written to be used, and cannot be used or relied upon, by you for the purpose of avoiding any U.S. tax-related tax-penalties and (ii) were written in connection with the "promotion or marketing" of the transaction(s) ormatter(s) addressed in these materials. Accordingly, you should seek advice based on your circumstances from an independent tax advisor.Except as provided above under "Non-Confidentiality", the information included herein is confidential and intended solely for the use by SkyBridge and its placement agents, its clients and their advisers. It is not to be reproduced or distributedexcept with the permission of SkyBridge.

Non-US Legal Considerations. Investors who are residents of countries other than the U.S. should consult their legal and tax advisors concerning the regulatory and tax implications of an investment prior to making an investment decision.Performance data represents past performance. Current performance may be lower or higher than the performance data quoted. Past performance does not guarantee future results. The investment return and principal value of an investment willfluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

SkyBridge is affiliated with Hastings Capital Group LLC (“Hastings”), a registered broker-dealer and a member of both the Financial Industry Regulatory Authority (FINRA) and the Securities Investor Protection Corporation (SIPC).

Contact Information

Anthony ScaramucciManaging Partner

[email protected]

Jason WrightSenior Partner, Global Head of Marketing

[email protected]

SKYBRIDGE CAPITAL527 Madison Avenue, 16th Floor

New York, NY 10022212-485-3100


Documents

SKYBRIDGE CAPITAL - Texas Pension Review · PDF fileSKYBRIDGE CAPITAL. Third Quarter 2012. ... principal value of an investment will fluctuate so that an investor’s shares, ... Kyle