“Cash and Other” (if present) may include: cash, bank loans, net receivables/payables, accrued fees and expenses, residual positions with underlying funds from which the Fund has redeemed, foreign exchange hedges, general trades, and aggregated prior period adjustments. The Asset Allocation is subject to change and, consequently, no assurances can be made that any or all of the above listed strategies will remain at their present levels. The timing of any such allocation adjustments are subject to underlying fund liquidity. 

1. a. Fund I: Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that quoted. To obtain current to the most recent month-end performance, email [email protected]. The GCM Grosvenor Core Absolute Return Fund I, LLC (“Fund I”) is a feeder into the GCM Grosvenor Core Absolute Return Master Fund, LLC (the “Master Fund”). The inception date of Fund I was January 1, 2010. Performance data from January 1, 2003 to December 31, 2009, as shown, is actual investment performance of the Master Fund. As of January 1, 2010, the Master Fund was converted from a standalone fund to a master-feeder structure and performance data as shown from Fund I’s inception date forward is actual investment performance of Fund I. Returns are net of management fees and expenses, and also reflect the fees and expenses borne by the Master Fund as an investor in underlying Investment Funds. From Fund I’s inception through December 1, 2019, Fund I’s management fee was 0.50% per annum; effective December 1, 2019, it was reduced to 0.10% per annum. The ordinary operating expenses of Fund I (inclusive of the advisory fee, management fee and Fund I’s share of the Master Fund ordinary operating expenses, but excluding all fees, expenses and incentive allocations of the underlying Investment Funds and taxes, interest and related costs of borrowing, brokerage commissions and any extraordinary expenses of Fund I or the Master Fund) are subject to an expense limitation agreement between GCM Grosvenor and Fund I, capping such expenses at 1.75% of the average monthly net assets of Fund I. The expense limitation agreement will remain in effect until July 31, 2027, and will terminate unless renewed by the Adviser. Total GROSS expenses of Fund I (including Fund I’s share of Master Fund fees and expenses) for the twelve months ended March 31, 2026, was 2.17%. During this time frame, total NET expenses of Fund I (including Fund I’s share of Master Fund fees and expenses) for the twelve months ended March 31, 2026, was 1.91%. Returns have been prepared using both unaudited and audited financial data, if available at the time, and valuations provided by the underlying Investment Funds in the Master Fund’s portfolio. Valuations may be subject to later adjustments or revisions that may be both material and adverse. No assurance can be given that any investment will achieve its objectives or avoid losses.
   
   b. Fund II: Performance data shown represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that quoted. Shares are subject to a sales load of up to 2.50% of the public offering price. The performance data does not reflect the deduction of the sales load, and that, if reflected, the load would reduce the performance quoted. To obtain current to the most recent month-end performance, email [email protected]. GCM Grosvenor Core Absolute Return Fund II, LLC (“Fund II”) is a feeder into the GCM Grosvenor Core Absolute Return Master Fund, LLC (the “Master Fund”). The inception date of Fund II was July 1, 2010. Performance data from January 1, 2003 to June 30, 2010, as shown, is actual investment performance of the Master Fund. As of January 1, 2010, the Master Fund was converted from a standalone fund to a master-feeder structure and performance data as shown from Fund II’s inception date forward is actual investment performance of Fund II. Returns are net of management fees and expenses, and also reflect the fees and expenses borne by the Master Fund as an investor in underlying Investment Funds. The ordinary operating expenses of Fund II (inclusive of the advisory fee, management fee and servicing fee and the Fund II’s share of the Master Fund ordinary operating expenses, but excluding all fees, expenses and incentive allocations of the underlying Investment Funds and taxes, interest and related costs of borrowing, brokerage commissions and any extraordinary expenses of Fund II or the Master Fund) are subject to an expense limitation agreement between GCM Grosvenor and Fund II, capping such expenses at 2.34% of the average monthly net assets of Fund II. The expense limitation agreement will remain in effect until July 31, 2027, and will terminate unless renewed by the Adviser. Total GROSS expenses of Fund II (including Fund II’s share of Master Fund fees and expenses) for the twelve months ended March 31, 2026, was 2.91%. During this time frame, total NET expenses of Fund II (including Fund II’s share of Master Fund fees and expenses) for the twelve months ended March 31, 2026, was 2.51%. Returns have been prepared using both unaudited and audited financial data, if available at the time, and valuations provided by the underlying Investment Funds in the Master Fund’s portfolio. Valuations may be subject to later adjustments or revisions that may be both material and adverse. No assurance can be given that any investment will achieve its objectives or avoid losses.

2  The performance figure for the most recent month reflects a preliminary estimate based on the early performance estimates received from a portion of the underlying Portfolio Funds. This figure is subject to change (perhaps materially). 

GCM Grosvenor L.P. serves as investment adviser of the Fund. The Fund is registered under the Investment Company Act of 1940 (“1940 Act”) as a closed-end management investment company. The Fund invests substantially all of its assets in investment funds (“Investment Funds”) managed by third-party investment management firms (“Investment Managers”). GCM Grosvenor L.P., together with its affiliates comprise GCM Grosvenor (NASDAQ: GCMG). GCM Grosvenor is a global alternative asset management solutions provider across private equity, infrastructure, real estate, credit, and absolute return investment strategies. 

For any questions, please contact GCM Grosvenor Investor Relations at [email protected]. 

This website is general in nature and does not take into account any investor’s particular circumstances. Access to this website should not be considered a recommendation with respect to the purchase, sale, holding or management of securities or other assets. This website is neither an offer to sell, nor a solicitation of an offer to buy shares of the Fund (“Shares”) or interests in any Investment Fund in which the Fund invests. An offer to sell, or a solicitation of an offer to buy, Shares of the Fund, if made, must be preceded or accompanied by the Fund’s current Prospectus (which, among other things, discusses certain risks and other special considerations associated with an investment in the Fund). Before investing in the Fund, you should carefully review the Fund’s current Prospectus. Each prospective investor should consult its own attorney, business advisor and tax advisor as legal, business, tax and related matters concerning an investment in the Fund. 

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS, AND THE PERFORMANCE OF THE FUND COULD BE VOLATILE. AN INVESTMENT IN THE FUND IS SPECULATIVE AND INVOLVES SUBSTANTIAL RISK (INCLUDING THE POSSIBLE LOSS OF THE ENTIRE AMOUNT INVESTED). NO ASSURANCE CAN BE GIVEN THAT THE FUND WILL ACHIEVE ITS OBJECTIVES OR AVOID SIGNIFICANT LOSSES. 

YOU SHOULD NOT INVEST IN THE FUND UNLESS YOU HAVE NO NEED FOR LIQUIDITY WITH RESPECT TO SUCH INVESTMENT, YOU ARE FULLY ABLE TO BEAR THE FINANCIAL RISKS OF SUCH INVESTMENT FOR AN INDEFINITE PERIOD OF TIME AND YOU ARE FULLY ABLE TO SUSTAIN THE POSSIBLE LOSS OF THE ENTIRE INVESTMENT. YOU SHOULD CONSIDER AN INVESTMENT IN THE FUND AS A LONG-TERM INVESTMENT THAT IS APPROPRIATE ONLY FOR A LIMITED PORTION OF YOUR OVERALL PORTFOLIO. 

In reviewing the performance of the Fund or any Investment Fund, you should not consider the index shown to be a performance benchmark. The index performance is provided solely as an indication of the performance of various capital markets in general. Index figures may include “estimated” figures in circumstances where “final” figures are not yet available. 

Set forth below are general categories of risks that apply to investing in the Fund. The risks that apply to investing in the Fund are described in greater detail in the Fund’s current Prospectus. 

Market Risks – the risks that economic and market conditions and factors may materially adversely affect the value of the Fund’s investments. 

Illiquidity Risks – the risks arising from the fact that Shares are not traded on any securities exchange or other market and are subject to substantial restrictions on transfer; although the Fund may offer to repurchase Shares from time to time, a shareholder may not be able to liquidate its Shares of the Fund for an extended period of time. 

Strategy Risks – the risks associated with the possible failure of GCM Grosvenor’s asset allocation methodology, investment strategies, or techniques used by GCM Grosvenor or an Investment Manager. 

Manager Risks – the risks associated with the Fund’s investments with Investment Managers. 

Structural and Operational Risks – the risks arising from the organizational structure and operative terms of the Fund and the Investment Funds. 

Cybersecurity Risks – technology used by the Fund and by its service providers could be compromised by unauthorized third parties. 

Foreign Investment Risks – the risks of investing in non-U.S. investment products and non-U.S. Dollar currencies. 

Leverage Risks – the risks of using leverage, which magnifies the volatility of changes in the value of an investment, including losses. 

Valuation Risks – the risks relating to GCM Grosvenor’s reliance on Investment Managers to accurately value the financial instruments in the Investment Funds they manage. 

Institutional Risks – the risks that the Fund could incur losses due to failures of counterparties and other financial institutions. 

Regulatory Risks – the risks associated with investing both in unregulated entities and in unregistered offerings of securities. Investment Funds generally will not be registered as investment companies under the 1940 Act. Therefore, the Fund, as a direct or indirect investor in Investment Funds, will not have the benefit of the protections afforded by the 1940 Act to investors in registered investment companies. 

Tax Risks – the tax risks and special tax considerations arising from the operation of and investment in pooled investment vehicles such as the Fund and the Investment. 

GCM Grosvenor and its affiliates have not independently verified third-party information included in this website and make no representation or warranty as to its accuracy or completeness. The information and opinions expressed are as of the date set forth therein and may not be updated to reflect new information.   

This website does not make any recommendations regarding specific securities, investment strategies, industries or sectors. Risk management, diversification and due diligence processes seek to mitigate, but cannot eliminate risk, nor do they imply low risk. To the extent this website contains “forward-looking” statements, including within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended, such statements represent GCM Grosvenor’s good-faith expectations concerning future actions, events or conditions, and can never be viewed as indications of whether particular actions, events or conditions will occur. All expressions of opinion are subject to change without notice in reaction to shifting market, economic or other conditions. GCM Grosvenor does not give any assurance that it will achieve any of its expectations.  

GCM Grosvenor L.P. and/or certain qualified officers and employees of GCM Grosvenor L.P. and its affiliates (together with members of their families, “GCM Grosvenor Personnel”) currently have investments in the Fund and additional GCM Grosvenor Personnel may invest in the Fund in the future. Except as otherwise expressly contemplated by the Fund’s governing documents, however, no such person is required to maintain an investment in the Fund. 

GCM Grosvenor® and Grosvenor® are trademarks of GCM Grosvenor and its affiliated entities. ©2026 GCM Grosvenor L.P. All rights reserved. GCM Grosvenor L.P. is a member of the National Futures Association. 

GRV Securities LLC (“GSLLC”), an affiliate of GCM Grosvenor and a member of the U.S. Financial Industry Regulatory Authority, Inc., acts as a placement agent on behalf of certain GCM Funds. GSLLC does not offer any investment products other than interests in certain funds managed by GCM Grosvenor and/or its affiliates. Neither GCM Grosvenor nor any of its affiliates acts as agent/broker for any Investment.