Americas Europe Asia

Dr. David Kelly, CFA Karen Ward Tai Hui

New York London Hong Kong

David Lebovitz* Gabriela Santos Michael Bell, CFA Vincent Juvyns Marcella Chow Chaoping Zhu,
New York New York London Luxembourg Hong Kong CFA
Shanghai

Jordan Jackson Jack Manley Hugh Gimber, CFA Tilmann Galler, CFA Ian Hui
New York New York London Frankfurt Hong Kong

Meera Pandit, CFA* Stephanie Aliaga Ambrose Crofton, Maria Paola Toschi Adrian Tong Shogo Maekawa
New York New York CFA Milan Hong Kong Tokyo
London

Olivia Schubert Nimish Vyas* Jai Malhi, CFA Elena Domecq Sahil Gauba Agnes Lin
New York New York London Madrid Mumbai Taipei

Max McKechnie Lucia Gutierrez Mellado Clara Cheong Kerry Craig, CFA
London Madrid Singapore Melbourne
Global private capital fundraising
USD billions
$1,600
Natural resources*
Infrastructure $1,436
$1,400 Real estate
Private debt $1,259
Private equity
$1,200 $1,185 $1,177
$1,159

$1,036
$1,000

$819
YTD
$800
$706
$617
$600
$511
$470
$400
$400

$200

$0
'11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
Dry powder by asset class
Cumulative dry powder, USD billions
$3,500

Asset class 2021 % of total

Secondaries $139 5%
$3,000 Fund of funds $163 6%
Privtate debt $446 16%
Real assets* $322 11%
$2,500 Venture capital $516 18%
Private equity $1,258 44%
Total $2,844
$2,000

$1,500

$1,000

$500

$0
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
Public and private market correlations
Quarterly returns

Global Europe Core APAC Core Global Core Venture Equity

2008 - 2021 Global Bonds
Equities
U.S. Core RE
RE* RE Infra
Transport Timber Direct Lending
Capital
Private Equity
Long/Short
Relative Value Macro Bitcoin
Financial
assets

Global Bonds 1.0

Global Equities 0.3 1.0

U.S. Core RE -0.2 0.1 1.0

real estate
Global

Europe Core RE* -0.2 0.3 0.8 1.0

APAC Core RE -0.2 0.1 0.9 0.7 1.0

Global Core Infra -0.1 -0.1 0.3 0.1 0.2 1.0

Real assets

Transport -0.2 0.1 0.7 0.6 0.6 0.1 1.0

Timber -0.2 -0.1 0.2 0.2 0.2 0.2 0.2 1.0

Direct Lending 0.0 0.7 0.3 0.4 0.3 0.2 0.2 -0.1 1.0
markets
Private

Venture Capital 0.0 0.6 0.3 0.6 0.3 0.1 0.3 0.1 0.5 1.0

Private Equity 0.2 0.9 0.3 0.5 0.4 0.0 0.3 -0.1 0.8 0.8 1.0

Equity Long/Short 0.2 0.9 0.0 0.2 0.0 0.0 0.3 -0.1 0.7 0.7 0.9 1.0
Hedge
funds

Relative Value 0.2 0.9 -0.1 0.2 0.0 0.0 0.0 -0.2 0.9 0.5 0.8 0.9 1.0

Macro 0.3 0.4 -0.1 0.0 -0.1 -0.1 -0.1 0.0 0.2 0.4 0.3 0.5 0.4 1.0
Crypto

Bitcoin 0.1 0.1 0.2 -0.2 0.1 0.5 0.1 0.0 0.1 0.1 0.2 0.1 0.1 0.0 1.0
Private and public dispersion
Based on returns over a 10 year window*
40%

36.2%
35%

31.2%
30%

25%

20% 18.4%
Top quartile

15% 14.5%

12.3% 11.7%
Median
10% 10.6%
10.2%

5% 4.1% Bottom quartile

4.7%
2.4% 3.1%
1.4% 1.2%
0%
Global Global U.S. core U.S. non-core Global Global venture Hedge
equities bonds real estate real estate private equity capital funds
Asset class yields
Percent
16%

14% 13.6%
Equities
Fixed income
12% Alternatives

10%

7.7%
8% 7.1%

5.9% 5.7%
6%
4.7%
4.2% 4.2%
3.8% 3.7% 3.7% 3.6%
4% 3.4%
3.0% 2.9%
1.8% 1.5%
2%

0%
Equity market correlations and yields
Hedge adjusted yield, last 12 months
15%

14%
Transport
13% U.S. government
12% U.S. non-government
Hedge adjusted yield

11%
International
10%
Alternatives
9%
Direct lending
8%
Higher yielding
7% sectors
Convertibles
6% EMD (LCL) EMD ($)
Euro HY
5%
Europe Real estate EM Corp.
APAC Real estate Infra. CML - Senior* U.S. HY
4% U.S. Real estate Timber
3% Stronger correlation
30y UST U.S. Aggregate
MBS TIPS U.S. corps to equities
2% UK Euro Corp.
10y UST 5y UST
1% 2y UST Germany Munis
Japan Floating rate
0%
-0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0
Correlation to S&P 500
 Alternatives and portfolio risk/return
Annualized volatility and returns, 1989 – 2021
10.5%
50% Equities
20% Bonds 80% Equities
30% Alts 20% Bonds

10.0%
40% Equities
30% Bonds
30% Alts
Annualized returns

9.5%

30% Equities
40% Bonds 60% Equities
30% Alts 40% Bonds
9.0%

Portfolio allocation Volatility Annualized returns

8.5%
40 Equities/ 60 F.I. 6.39% 8.11%
40% Equities
60 Equity/ 40 F.I. 9.33% 9.13%
60% Bonds
80 Equity/ 20 F.I. 12.52% 10.01%
8.0% 30 Alts/ 30 Equities / 40 F.I. 6.28% 9.07%
30 Alts/ 40 Equities / 30 F.I. 7.78% 9.58%
30 Alts/ 50 Equities / 20 F.I. 9.35% 10.06%
7.5%
6.0% 6.5% 7.0% 7.5% 8.0% 8.5% 9.0% 9.5% 10.0% 10.5% 11.0% 11.5% 12.0% 12.5%
Annualized volatility
 2012-2021
2012 2013 2014 2015 2016 2017 2018 2019 . 2020 2021 Ann. Vol.
V e nture V e nture V e nture V e nture V e nture V e nture V e nture
Dire c t Le nding Tra nsport Infra . P riva te Equity Tra nsport
Ca pita l Ca pita l Ca pita l Ca pita l Ca pita l Ca pita l Ca pita l
14 . 0 % 26.6% 2 5 . 1% 2 1. 0 % 15 . 3 % 22.7% 20.4% 18 . 8 % 5 6 . 1% 55.6% 22.0% 10 . 3 %

V e nture V e nture
P riva te Equity P riva te Equity Infra . Infra . P riva te Equity Infra . P riva te Equity P riva te Equity P riva te Equity P riva te Equity
Ca pita l Ca pita l
14 . 0 % 19 . 6 % 15 . 5 % 18 . 0 % 12 . 0 % 14 . 3 % 12 . 3 % 16 . 9 % 23.7% 44.6% 16 . 9 % 8.0%

Infra . Tra nsport U. S . Core RE U. S . Core RE Dire c t Le nding Infra . AP AC Core RE Infra . He dge Funds P riva te Equity Tra nsport He dge Funds

13 . 3 % 18 . 9 % 12 . 5 % 15 . 0 % 11. 2 % 13 . 1% 9.5% 12 . 6 % 11. 8 % 33.6% 14 . 5 % 7.7%

Europe Core V e nture Asse t

U. S . Core RE U. S . Core RE AP AC Core RE AP AC Core RE P riva te Equity He dge Funds U. S . Core RE Infra . Tra nsport
RE Ca pita l Alloc a tion
10 . 9 % 13 . 9 % 11. 5 % 14 . 5 % 10 . 5 % 11. 6 % 9 . 1% 10 . 4 % 11. 7 % 22.2% 12 . 8 % 5.8%

Europe Core Asse t Asse t Europe Core Asse t Asse t Asse t Asse t
U. S . Core RE U. S . Core RE Tra nsport Infra .
RE Alloc a tion Alloc a tion RE Alloc a tion Alloc a tion Alloc a tion Alloc a tion
10 . 3 % 13 . 7 % 11. 4 % 12 . 2 % 8.8% 11. 0 % 8.3% 10 . 0 % 7.8% 2 2 . 1% 10 . 5 % 3.9%

Asse t Europe Core

Dire c t Le nding P riva te Equity AP AC Core RE Tra nsport Tra nsport Tra nsport Dire c t Le nding CML - S e nior* U. S . Core RE Dire c t Le nding
Alloc a tion RE
9.6% 12 . 7 % 10 . 3 % 11. 8 % 8.5% 10 . 8 % 8.2% 9.0% 6.3% 14 . 4 % 10 . 4 % 3.0%

Asse t Asse t Asse t Asse t

AP AC Core RE Infra . Tra nsport Dire c t Le nding CML - S e nior* Dire c t Le nding Infra . Dire c t Le nding
Alloc a tion Alloc a tion Alloc a tion Alloc a tion
9.0% 12 . 7 % 9.9% 10 . 9 % 8.4% 8.6% 8 . 1% 8.4% 5.5% 13 . 9 % 9.7% 2.7%

V e nture Europe Core Europe Core Europe Core Europe Core

Dire c t Le nding P riva te Equity He dge Funds Dire c t Le nding AP AC Core RE Dire c t Le nding CML - S e nior*
Ca pita l RE RE RE RE
7.5% 11. 5 % 9.6% 9.0% 7.8% 8.6% 8 . 1% 6.6% 2.3% 12 . 8 % 9 . 1% 2.6%

Europe Core Europe Core

He dge Funds He dge Funds AP AC Core RE Dire c t Le nding He dge Funds U. S . Core RE Infra . AP AC Core RE AP AC Core RE U. S . Core RE
RE RE
6.4% 9 . 1% 9.4% 5.5% 5.4% 7.6% 7.7% 6.2% 2.0% 12 . 0 % 8.9% 2.3%

Europe Core
Tra nsport AP AC Core RE CML - S e nior* CML - S e nior* CML - S e nior* CML - S e nior* Tra nsport U. S . Core RE He dge Funds He dge Funds AP AC Core RE
RE
6 . 1% 9 . 1% 7.4% 2.7% 2.9% 7.4% 2.6% 5.7% 1. 2 % 10 . 2 % 5.8% 2.0%

V e nture Europe Core

CML - S e nior* CML - S e nior* He dge Funds He dge Funds CML - S e nior* He dge Funds U. S . Core RE AP AC Core RE CML - S e nior* CML - S e nior*
Ca pita l RE
4.7% 2.9% 3.0% - 1. 1% 1. 4 % 5.7% - 4.7% 5.3% - 0 . 1% 1. 9 % 4.5% 1. 7 %
Global real estate investment
USD billions
$500

$450
APAC
$400 EMEA
Americas

$350

$300

$250

$200

$150

$100

$50

$0
'11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
U.S. real estate cap rate spreads U.S. vacancy rates by property type
Transaction based, spread to 10y UST, 4-quarter rolling average Percent
5% 18% Apartment Office
Industrial Retail
16%

4%
14%

12%

3%
10%
Average: 2.9%

8%
2%
Mar. 2022:
2.8% 6%

4%
1%

2%

0% 0%
'98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Private businesses response to the pandemic Most sought after building attributes by large companies
2021
Flexible open space 68%
Establishments that expect to
have about the same square Shared meeting space 66%
92.4%
footage of space in the next 12
months
Space for private phone calls &
53%
meetings

Flexible office space options 50%

Establishments that have about
91.0%
the same square footage of space
Indoor air quality 47%

Sustainability 45%
Establishments with increased
telework that expect the increase Connected technologies &
60.2% 44%
to continue when the coronavirus building apps
pandemic is over

Onsite food & beverage 39%

Establishments that increased Outdoor amenities 35%

telework for some or all 34.5%
employees
Concierge services 31%

0% 20% 40% 60% 80% 100% 0% 15% 30% 45% 60% 75%
Change in number of retail establishments Industrial establishments and vacancy rate
3Q11 – 3Q21, percent Thousands of square feet, percent

Total 21.7% 40,000 Warehouses and storage facilities

14%
Data processing, hosting, and related services
Goods-producing 13.2%
Industrial property vacancy rate (%)
Service-providing 23.1% 35,000 12%

Personal care/services 25.0%

30,000 10%
Department/discount 21.8%

Restaurants/bars 18.2%
25,000 8%
Pharmacies and person care 15.2%

Automobile dealers 6.0%

20,000 6%
Grocery/liquor 5.2%

Gas stations 4.2%

15,000 4%
Furniture/furnishings -10.5%

Entertainment goods -11.1%

10,000 2%
Clothing -12.5%

Electronics/appliances -20.3%
5,000 0%
-30% -20% -10% 0% 10% 20% 30% '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
Change in residential real estate and population by region
2021 -2050
60%
Single-family
50% Multi-family
50% Mobile
43% Population
41% 40%
40%
35%
32%
29%
30% 26%

20% 20% 20%

20% 19%
16%
12% 11% 12%
13%
10% 7%
6%
4%

0%

-3%
-10%
-10% -9%
-13% -14%
-16% -17%
-20%
Pacific Mountain West North West South East North East South South Mid New
Central Central Central Central Atlantic Atlantic England
Global online retail sales Retail real estate per capita
Percent of total retail sales Square feet per person
30%
Indonesia 1 North America
U.S.
Russia 1.4 APAC
APAC
25% South Korea 2.2 EMEA
EMEA
Germany 2.3
Thailand 2.3
20% Taiwan 2.4
Italy 2.8
China 2.8
15%
Spain 3.4
Switzerland 3.6
10% France 3.8
Netherlands 4.1
Japan 4.4
5%
U.K. 4.6
Australia 11.1

0% Canada 16.8
U.S. 23.5

0 5 10 15 20 25
Global office and logistics pricing
Yields, 1Q 2022
7%
Prime Office Prime Warehouse

6%

5%

4%

3%

2%

1%

0%
New York/ Seoul Singapore China Auckland Sydney Hong Kong Tokyo Paris Frankfurt Milan London Madrid
North New Tier I
Jersey
U.S. REITs, real estate and equities
12-quarter rolling correlations, total return
1

0.8

0.6

0.4

0.2

-0.2

-0.4

-0.6
Direct real estate/S&P 500 correlation

-0.8 REIT/S&P 500 correlation

-1
'80 '82 '83 '85 '86 '88 '89 '91 '92 '94 '95 '97 '98 '00 '01 '03 '04 '06 '07 '09 '10 '12 '13 '15 '16 '18 '19 '21
Rent costs Real estate performance in different inflationary regimes
1981 – April 2022, monthly, year-over-year (%) 1978 – 1Q22, quarterly, headline CPI, NCREIF ODCE Index, y/y %
9% 14%

8%
Rent of primary residence
12% 11.6%
Owners' equivalent rent of residences*
7% 10.7%

6% 10%
8.8%
5%
8%

4%

6% 5.7%
3%

2%
4%

1%
2%
0%

-1% 0%
'82 '85 '88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21 High & rising High & falling Low & rising Low & falling
 2012-2021
2012 2013 2014 2015 2016 2017 2018 2019 . 2020 2021 YTD Ann. Vol.
Lodging/ Re t. Fre e Lodging/
Industria l Mfgd. Home s S e lf S tora ge Industria l Da ta Ce nte rs Mfgd. Home s Da ta Ce nte rs Re giona l Ma lls Industria l Re giona l Ma lls
Re sorts S ta nding Re sorts
3 1. 3 % 27.2% 46.2% 40.6% 30.7% 28.4% 13 . 9 % 4 9 . 1% 2 1. 0 % 9 2 . 1% 4.4% 2 1. 9 % 3 0 . 1%

Lodging/ Lodging/
Re giona l Ma lls Mfgd. Home s Apa rtme nts Mfgd. Home s Mfgd. Home s Mfgd. Home s Industria l S e lf S tora ge S e lf S tora ge He a lth Ca re Mfgd. Home s
Re sorts Re sorts
28.2% 10 . 5 % 39.6% 25.6% 24.3% 24.9% 11. 4 % 48.7% 12 . 9 % 79.4% - 2.0% 2 1. 8 % 28.5%

S hopping Re t. Fre e S hopping S hopping S hopping

S e lf S tora ge He a lth Ca re Apa rtme nts Industria l He a lth Ca re Da ta Ce nte rs Industria l S e lf S tora ge
Ce nte rs S ta nding Ce nte rs Ce nte rs Ce nte rs
25.0% 9.5% 33.3% 16 . 5 % 17 . 0 % 20.6% 7.6% 44.2% 12 . 2 % 6 5 . 1% - 5.4% 18 . 5 % 27.6%

Re t. Fre e Re t. Fre e Re t. Fre e Re t. Fre e

Industria l Re giona l Ma lls Mfgd. Home s All Equity Apa rtme nts O ffic e Mfgd. Home s Apa rtme nts All Equity
S ta nding S ta nding S ta nding S ta nding
22.5% 7.4% 32.6% 5.9% 14 . 2 % 8.7% 3.7% 3 1. 4 % - 1. 7 % 63.6% - 7.0% 12 . 2 % 20.8%

Re t. Fre e Lodging/ S hopping Lodging/

He a lth Ca re O ffic e S e lf S tora ge All Equity All Equity Industria l All Equity Apa rtme nts He a lth Ca re
S ta nding Re sorts Ce nte rs Re sorts
20.4% 7.3% 32.5% 4.7% 13 . 2 % 7.2% 2.9% 28.7% - 5 . 1% 62.0% - 13 . 0 % 12 . 2 % 20.5%

Re t. Fre e
S e lf S tora ge O ffic e S e lf S tora ge Re giona l Ma lls All Equity O ffic e Industria l Apa rtme nts He a lth Ca re Mfgd. Home s O ffic e S e lf S tora ge
S ta nding
19 . 9 % 5.6% 3 1. 4 % 4.2% 8.6% 5.2% - 2.5% 26.3% - 9.9% 42.0% - 14 . 6 % 10 . 9 % 18 . 3 %

S hopping S hopping S hopping Re t. Fre e S hopping

All Equity All Equity He a lth Ca re S e lf S tora ge All Equity All Equity Apa rtme nts Industria l
Ce nte rs Ce nte rs Ce nte rs S ta nding Ce nte rs
19 . 7 % 5.0% 30.0% 2.8% 6.4% 3.7% - 4.0% 25.0% - 10 . 5 % 4 1. 3 % - 15 . 7 % 7.7% 18 . 2 %

S hopping Re t. Fre e
O ffic e All Equity All Equity Industria l Apa rtme nts Re giona l Ma lls Apa rtme nts Da ta Ce nte rs S e lf S tora ge He a lth Ca re O ffic e
Ce nte rs S ta nding
14 . 2 % 2.9% 28.0% 2.6% 3.7% 3.7% - 7.0% 24.8% - 15 . 3 % 25.5% - 16 . 5 % 7.3% 16 . 8 %

Lodging/ Re t. Fre e Lodging/

Re giona l Ma lls O ffic e O ffic e Apa rtme nts He a lth Ca re O ffic e O ffic e Da ta Ce nte rs O ffic e Apa rtme nts
Re sorts S ta nding Re sorts
12 . 5 % - 1. 0 % 25.9% 0.3% 2.9% 3 . 1% - 12 . 8 % 2 1. 2 % - 18 . 4 % 22.0% - 17 . 9 % 7.3% 16 . 7 %

Lodging/ Lodging/ Re t. Fre e Lodging/

Mfgd. Home s Apa rtme nts Industria l He a lth Ca re Re giona l Ma lls He a lth Ca re Da ta Ce nte rs Mfgd. Home s Mfgd. Home s
Re sorts Re sorts S ta nding Re sorts
7 . 1% - 6.2% 2 1. 0 % - 7.2% - 5.2% 0.9% - 14 . 1% 15 . 6 % - 23.6% 19 . 7 % - 18 . 5 % 5.7% 15 . 6 %

Re t. Fre e Lodging/ S hopping Lodging/

Apa rtme nts He a lth Ca re S e lf S tora ge Re giona l Ma lls O ffic e S e lf S tora ge Industria l Re giona l Ma lls All Equity
S ta nding Re sorts Ce nte rs Re sorts
6.9% - 7 . 1% 9.7% - 24.4% - 8 . 1% - 2.7% - 14 . 5 % 13 . 7 % - 27.6% 18 . 2 % - 22.7% 5 . 1% 14 . 9 %

S hopping S hopping
Da ta Ce nte rs Da ta Ce nte rs Da ta Ce nte rs Da ta Ce nte rs Da ta Ce nte rs Re giona l Ma lls Re giona l Ma lls He a lth Ca re Re giona l Ma lls Da ta Ce nte rs Da ta Ce nte rs
Ce nte rs Ce nte rs
N/ A N/ A N/ A N/ A N/ A - 11. 4 % - 14 . 5 % - 9 . 1% - 37.2% 16 . 3 % - 27.5% N/ A N/ A
Average annual infrastructure need
USD trillions, constant 2017 dollars
$4.0

$3.6

$3.5
$0.5

$3.0
$0.5

$2.5

$1.1
$2.0

$1.5 $0.1
$0.1

$0.4
$1.0

$0.5 $0.9

$0.0
Roads Rail Ports Airports Power Water Telecom Total
Infrastructure deal count and value
800 $250
Number of deals < $1.5bn

Number of deals >= $1.5bn

700
Aggregate value of deals < $1.5bn
$200
Aggregate value of deals >= $1.5bn
600

Total Enterprise Value ($bn)

500
$150
Number of Deals

400

$100
300

200
$50

100

0 $0
'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
Global core infrastructure returns
Rolling 4-quarter returns from income and capital appreciation
20%

Capital appreciation
Income

15%

10%

5%

0%

-5%
'09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
U.S. utilities allowed returns versus inflation Household utility spending
Average allowed return on equity* Household utility spending % of personal consumption expenditures
5.0%
16
Recession

14
4.5%

12
Utility allowed Return on Equity (%)

4.0%
10

8 3.5%

6
3.0%

2.5%
2

0
0 2 4 6 8 10 12 14 2.0%
'79 '83 '87 '91 '95 '99 '03 '07 '11 '15 '19
CPI YoY (%)
Energy related CO2 emissions Share of global greenhouse gas emissions by sector
1990-2019, gigatons % of global greenhouse gas emissions (2016), CO2 equivalent tons
35

Rest of the world

Advanced economies
30
Agriculture: 18% Energy in industry:
24%

25

Wastewater /
20 landfill: 3%

Chemicals /
cement: 5%
15

10
Other energy: 15% Energy in
buildings: 18%
5

Energy in transport: 16%

0
1991 1994 1997 2000 2003 2006 2009 2012 2015 2018
Planned U.S. electricity generating capacity Cost of wind, solar, natural gas and coal
2022 Mean LCOE*, 2021, dollar per megawatt hour
2% 0% $400
Coal Wind Solar
Natural gas $350
5%
Nuclear Natural gas Coal
Petroleum $300
Other* 14% Nuclear
$250

Total retirements: $200

14.1 GW $150
$100
78% $50
$0
'09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
Clean energy equity performance
Solar Last 3 years, indexed to 100, daily
Natural gas
Onshore wind 300
14% S&P 500 Energy Index MSCI Global Alternative Energy
Other** 20%
250

200
20% Total additions:
150
43.5GW
100

50
44%
0
May '19 Nov '19 May '20 Nov '20 May '21 Nov '21 May '22
U.S. electricity generation by source Commodity inputs needed for sustainable energy tech.
Share of total generation (%) Relative important of commodities
60%

Copper Cobalt Nickel Lithium Zinc

Natural gas
50% Coal Forecasts Solar PV*
Nuclear
Renewables
35%
Petroleum & other Wind
40% 34%

Hydro
30%

Nuclear
20% 16%

15% EVs** and

battery
storage
10%

Electricity
networks
1%
0%
'10 '12 '14 '16 '18 '20 '22 '24 '26 '28 '30 High Moderate Low
Global emissions covered by carbon pricing initiatives Emissions trading system prices
% of global greenhouse gas emissions USD per tones of CO2 equivalent
25 $120

China ETS
$100 EU
20 Japan carbon tax

South Korea ETS South Korea

EU ETS China
$80

15 Other

$60

10

$40

5
$20

0 $0
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '15 '16 '17 '18 '19 '20 '21 '22
 Timber returns and inflation Venture capital investment in forest carbon tech
Headline CPI, NCREIF Timberland Index, 5-yr. annualized change Deal value, USD millions*
30%
$120
$111.0
R² = 64%
25%
$100
NCREIF timberland total return index

20%
$80

15% $60

10% $40
$30.4

5% $20

$7.6 $6.5
$2.7 $4.5
$1.1
0% $0
0% 1% 2% 3% 4% 5% '15 '16 '17 '18 '19 '20 '21
Headline CPI
Venture capital investment in electric transportation New battery-powered vehicle sales
Deal value (USD millions) and number of deals Millions of vehicles
$16,000 120 1.6
112 111 Plug-in hybrid 200 mile EV
Deal count
106
Hybrid electric 300 mile EV
$14,000 101 1.4
Total battery electric*
100
Forecasts
Deal value
$12,000 1.2
80
80
$10,000 1

$8,000 60 0.8

49

$6,000 0.6

33 40

0.4
$4,000
20
18 18
14 14 20
0.2
$2,000

0
$0 '10 '14 '18 '22 '26 '30
'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
World trade volume World seaborne trade by product
Year-over-year, % change, 3-month moving average, monthly Estimated in trillion ton-miles
60

50
Gas

40 Containers
May 2022:
3.1%

Oil and oil

Average 4.1% 30 products

20

Dry bulk
10

0
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Global fleet and orderbook Idle containership capacity as % of fleet
Gross tonnage 12%
60% 1,800
World fleet
Orderbook as a % fleet 10%
Orderbook
1,600
8%
50%
1,400 6%
Apr. 2022:
3.4%
4%
40% 1,200
2%

1,000 0%
30% '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21

800
Global fleet age
+100 gross tonnage, years
23 May 2022:
21.8 years
20% 600
22

21
400
20
10%
200 19

18
0% 0 17
'05 '07 '09 '11 '13 '15 '17 '19 '21 '05 '07 '09 '11 '13 '15 '17 '19 '21
Global port calls* Global port call duration**
Number of calls, 7-day moving average Number of days, 30-day moving average
12,000 2.5

2
10,500

1.5

9,000

APAC Europe
7,500
Africa & Middle East North America
0.5
2019 2020
LATAM
2021 2022

6,000 0
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan '20 Jun '20 Nov '20 Apr '21 Sep '21 Feb '22
Global energy mix LNG carrier engine types
Share of primary energy Share of on-water fleet, 2020
60% 1%
Oil Forecast
Coal
Gas Diesel 2-Stroke (dual-fuel) 23%
50% Renewables
Diesel electric 41%
Other non-fossil fuels
Steam turbine
Combined 34%
40%

30%
LNG carrier fleet age profile
Number of vessels, 2020
250
20%
200

150
10%
100

50

0% 0
'70 '75 '80 '85 '90 '95 '00 '05 '10 '15 '20 '25 '30 '35 '40 '45 '50 0-5 yrs 6-10 yrs 11-15 yrs 16-20 yrs > 20 yrs
 Average cost by mode of transportation Average C02 emissions by mode of transportation
7.0 160

6 140
6.0 140

5 120
5.0
(EUR/t/100km)

100
4.0

80

(g/tkm)
3
3.0
60
51
2
2.0
40

1.0 16
20

0.0 0
Road Rail Inland Waterway Pipeline Road Inland Waterway Rail Pipeline
Global wind net capacity additions Offshore wind project locations
Onshore versus offshore, gigawatt Distance from shore and water depth
90 25
Forecasted
average
annual
80
additions,
2023- 2025
70 20

60

Water depth (m)

15
50

40
10

30

20
5

10

0 0
2020 2021 2022 Main case* Accelerated 0 10 20 30 40 50
case* Distance from coast (km)
Average age of major airline aircraft Narrow-body aircraft demand**
Years, U.S. 1Q22, number
14 13.3 13.4
12.7 12,000
11.8 10,528
12
10.4 10,000
10
8,000
8
6,000
6

4
4,000

2 2,000
206 377
0 0
1993 2000 2010 2018 2019 Deliveries Gross orders Backlogs

Percent of industry wide aviation fleet leased* Wide-body aircraft demand**

Global 1Q22, number
50% 1,800 1681

40% 1,500

1,200
30%
900
20%
600

10% 300
31 43
0% 0
1970 1980 1990 2000 2010 2020 Deliveries Gross orders Backlogs
Number of listed U.S. companies* and market cap. Private vs. public equity sector weights
Number, S&P 500 market capitalization in USD trillions
9,000 $45
12.1%
Market cap. Tech
# of listed companies 35.8%
8,000 $40
Apr. 2022:
$34.9tn 20.6%
Healthcare
7,000 Apr. 2022: $35 16.5%
6,313

14.5%
6,000 $30 Industrials
13.2%

5,000 $25 15.3% Russell 2000

Cons. Disc.
11.0% U.S. private equity

4,000 $20
14.6%
Financials
3,000 $15 7.6%

2.0%
2,000 $10 Comm. Services
6.3%

1,000 $5 14.3%
Other**
2.8%

0 $0
'91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 0% 10% 20% 30% 40%
U.S. applications for business formation Growth in business establishments by private industry
Seasonally adjusted, thousands September 2017 – September 2021
1,500
Total 12%
1,400
Information* 39%
Professional and business
1,300 19%
services
Recession
Education and health services 17%
1,200
Financial activities 13%
1,100
Service-providing 12%

1,000 Construction 12%

Goods-producing 9%
900
Leisure and hospitality 8%
800
Other services** 7%

700 Manufacturing 6%

Trade, transportation, and utilities 4%

600
Natural resources and mining 3%
500
'06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 0% 10% 20% 30% 40%
U.S. private equity deals U.S. LBOs: purchase price multiples
USD billions Equity and debt over trailing EBTIDA
$1,300 14
B2B Equity
$1,200 Debt
B2C 12.2x
$1,100 Natural resources 12
11.5x 11.4x
11.4x
Financial services
$1,000 10.6x 10.6x
Health care 10.3x
10 9.7x 9.7x 10.0x
$900 Technology
9.1x
8.6x 8.8x8.7x8.8x 6.1x
$800 8.2x 8.5x 5.6x 5.6x 5.5x
4.9x 4.8x
8 3.5x
7.7x 4.5x
$700 7.3x 3.9x 4.5x

2.9x 4.0x 3.4x

2.6x 3.7x 3.5x
$600 3.8x
6 2.6x
3.8x
$500

$400
4
$300 6.1x 6.0x
5.5x 5.6x 5.7x 5.6x 5.7x 5.8x 5.8x 5.7x 5.8x
5.3x 5.4x
5.0x 4.9x 5.1x
4.6x 4.6x
$200 2 3.8x

$100

$0 0
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Oil prices and natural resource exits Global primary energy use and energy capex
Energy & material exits count, WTI oil price, y/y % change USD billions, fossil fuel use as % of global primary energy
150% $450 100%
Fossil fuel % of global primary energy

125% $400 90%

80%
100% $350

70%
75% $300
WTI oil price
60%
50% Energy & materials $250
exit count 50%
(2Qma, 1Q lag)
25% $200
40%

0% $150
30%
Global energy capex*
-25% $100
20%

-50% $50 10%

-75% $0 0%
'11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '04 '06 '08 '10 '12 '14 '16 '18 '20
U.S. private equity deals by size U.S. private equity deals by type
% of total deals % of total deals, 2007 – 1Q22
70%
100%

60.4%
90%
60%

80%

50%
70% 48.5%

Max: 41.6%
60%
40% 41.7%

50%
Median: 31.2%
30%
40%
22.9%

30% Size 1Q22 Avg. '07-21 20% 19.2%

<$25M 44% 46%
Current
20% $25-100M 21% 26% Min: 16.7% 15.6%
$100-500M 32% 24%
$500M-1B 2% 3% 10%
10% >$1B 1% 1%

0% 0%
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 Buyout/LBO Add-on PE growth/expansion
Private co-investment and portfolio construction Secondary market volume
Portfolio allocation, total return USD billions
U.S. Co-investment (%, LHS) U.S. private equity (%, LHS) $140
Projected program return (%, RHS) $130

100%
20% $120

18%
80% $100
17% $88

$80 $74
60% 16%
14.9%
14.4% 15% $58 $60
$60
13.9%
40% 13.7%
13.4%
14%
$42 $40
$40 $37
12%
$28
20% $25

11% $20

0% 10%
100% PE 95% PE/ 90% PE/ 80% PE/ 70% PE/ $0
5% Co Inv. 10% Co Inv. 20% Co Inv. 30% Co Inv. '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
Private equity exits by type Number of U.S public companies taken private
USD billions
80
$900

$800 1Q22 06-'21 avg. 70 68 67 68

Secondary buyout 64.0% 38.6% 64 65
IPO 0.6% 19.1% 61
$700 Corporate acquisition 35.4% 42.2% 60 May 2022

52
$600
50 47 47

$500 41
39 38 40 39 39
40
35 35 34 33
$400 33 33
30
30 27
26 26
$300

20 17
$200 16

$100 10

$0 0
'06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Change in share of VC investments by industry Internet of Things (IoT) market size and outlook
2016 – 2021* vs. 2006 – 2010 USD billions, 2021-2024 CAGR
Consumer Goods & Services 6.8% $160 35%
32.7%
2021 market size
$147.8
Software 6.0% $140
30%

CAGR 26.0%
Other 5.3% $120
$121.1 25%

Transportation 4.9%
$100
19.7%
$87.2 20%
HC Services & Systems 3.2% $82.2
$80
15.0%
Pharma & Biotech -1.3% 13.6% 15%
13.1%
12.7%
$60 11.7%
Media -1.4%
$40.5 $40.9 $48.9 10%
$40 $34.2
Commercial Services -2.4% $24.0 5.3%
5%
$20
Energy -5.5%

$0 0%
HC Devices & Supplies -6.1%

IT Hardware -9.5%

-15% -10% -5% 0% 5% 10%

Supply chain tech VC deal activity Agtech VC deal activity by segment
USD billions, deal count 2021, USD billions (left), deal count (right)
$45 1,400 $3.5 180
$41 $3.2
Deal count 159
$40 160
1,200 $3.0
Deal value Deal count
$35 Deal value 140
132
$2.5
1,000 $2.5
$30 120
$2.1
800 $2.0
100
$25
$1.6
$20 80
$20 $1.5 70 69
600
$17 64
60
$15 $14
$1.0
$12 400
40
$10 $8 $0.5
$8 $0.5
$6 20
200
$5
$2
$2 $1 $0.0 0
$1
Animal Ag Indoor Precision Ag Agrifinance Ag Biotech
$0
Farming &
'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
eCommerce
Global M&A by acquirer type Global M&A by sector
USD billions USD billions
$5,000 $6,000
Sector 1Q22 07-'21 avg.
1Q22 07-'21 avg.
Technology 27% 15%
$4,500 Corporate M&A 59% 70%
Health care 12% 12%
Sponsor-backed 41% 30%
Financial services 11% 13%
$5,000 Natural resources 11% 16%
$4,000
B2C 13% 20%
B2B 26% 25%
$3,500
$4,000

$3,000

$2,500 $3,000

$2,000
$2,000
$1,500

$1,000
$1,000

$500

$0 $0
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
U.S. growth equity deal activity by investor type Average LTM EBITDA purchase multiple
Total deal value, USD billions 20x
Growth Equity*
$60 18x
Type 2021 Avg. '07-21 Buyout*
16x
Buyout 72% 87% Russell 2500**
Growth 28% 13% 14x
$50 12x
10x
8x
6x
$40
4x
2x
0x
$30 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20
Average annual EBITDA growth rates
22%

16%
$20
10%

4%

$10 -2%

-8% Growth Equity* Russell 2500**

-14% Buyout*
$0 -20%
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20
Private debt fundraising by type
USD billions
$275
$263
Other*
$250
Mezzanine
Real estate & infra. debt $223
$225
Distressed & special situations
$200 Direct lending
$190
$178 $172
$175
$158
$150
YTD
$130
$125 $120
$108
$101
$100 $91
$82 $79
$75
$60
$50
$50
$37

$25

$0
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
U.S. leveraged loan market participants Change in direct lending industry composition
Share of total market, percent December 2019 – December 2021
100%
21%
Info. Tech.
17%
90% 20%
Industrials
18%

80% 15%
Healthcare
14%

14%
70% Cons. Discretionary
16%
Participant LTM 1Q22 Avg. '00 - 21
Non-bank* 84% 79% 11%
Financials
60% 11%
Banks & securities firms 16% 21%
4%
Real Estate
3%
50%
3%
Bus. Services & other September 2021
1%
40% December 2019
3%
Telecom. Services
5%
30% 3%
Materials
3%

20% 3%
Cons. Staples
5%

2%
10% Energy
6%

1%
Utilities
0% 1%
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
0% 4% 8% 12% 16% 20% 24%
New-issue U.S. loans by rating* Spread between BB and CCC rated U.S. HY loans
Total leveraged loan volume, USD billions Bps, last 10 years
$800 1600
$754
B/CCC
B+/B/B-
$700 1400
BB/B
BB+/BB/BB-
$600 BBB/BB or higher $581 1200
$543 $544

$500 $467 1000

$446
$433 $429
$411 May 31, 2022:
$400 $376 800 700 bps
$380
$360
$340 Average: 636 bps
$300 600

$207
$198 $199
$200 400
$144
$132
$103 $104
$91
$100 200
$51

$0 0
'01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
Expansion Recession
Manufacturing ISM > 50 and rising Manufacturing ISM <50 and falling
4.0% 2.0% 1.9%
1.6%
2.8%
3.0% 2.4% 1.1%
1.0% 0.7% 0.7%
2.0% 1.7%

0.8%
1.0%
0.3% 0.0%
0.0% 0.0%
-0.1%
-1.0% -1.0%
10y UST 2y UST U.S. IG U.S. HY U.S. U.S. 10y UST 2y UST U.S. IG U.S. HY U.S. U.S.
leveraged direct leveraged direct
loans lending loans lending
Late cycle cooling Turnaround
Manufacturing ISM > 50 and falling Manufacturing ISM<50 and rising
3.0% 7.0%
2.4% 5.8%
2.5% 6.0%
1.9% 5.0% 4.7%
2.0%
1.5% 4.0%
1.2% 1.1%
0.9% 3.0% 2.2%
1.0%
0.5% 2.0% 1.4%
0.5% 0.9%
1.0% 0.3%
0.0% 0.0%
10y UST 2y UST U.S. IG U.S. HY U.S. U.S. 10y UST 2y UST U.S. IG U.S. HY U.S. U.S.
leveraged direct leveraged direct
loans lending loans lending
Public and private credit drawdown dispersion Corporate debt recovery rates
Maximum – minimum drawdown, quarterly 1987 – 2020, average discounted recovery rates
Leveraged Investment 80%
loans grade High yield Direct lending
75%
-0.3% 0.0% -0.1% -0.2% Minimum 70%
0%
drawdown

65%
-4% 60%
Average

50% 52%
-8% 51%
-8.7%
-9.8% Maximum
drawdown 40%
-12%

30%
-16%

20%
-20%

10%
-24%

-25.2%
0%
-28% -27.5% First-lien Senior secured Second-lien Senior
unsecured
New loan issuance by purpose Covenant-lite loans
12-months ending March 31, 2022, leveraged loans % of total loans, 4Q10– 1Q22, quarterly
Corporate Other***: 3% 80%
finance**:
8% 70%
Recap & Large middle market ($501M+)
dividend: 9% 60%
Middle market
50%
Acquisiton:
28% 40%
30%
LBO: 25%
20%
Refinacning:
26% 10%
0%
'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
New issue yields Average discounted recovery
December 2010 – May 2022*, monthly, by EBITDA 1987 - 2020
10% 70%
Middle Market ($50M or 63%
Less) 59%
9% 60%
Large Corporate (more
than $50M) 50%
8% 43%
7% 40%

6% 30%

5% 20%

4% 10%

0%
3%
Negative or zero EBITDA Middle market ($50M or Large corporate (more
'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
less) than $50M)
Commercial mortgage spreads Commercial mortgage yields
Spreads over Treasury, basis points, senior loans 12 month income return, unlevered, senior loans
450 4.8%

400 4.0% 4.0%

4.0% 3.9%
Asset class Current spread Avg. '14 - '21 3.7%
CML index 197.5 209.9 3.6%
3.4%
A-rated CML 178.8 193.5
350 BBB-rated CML 216.3 226.3
U.S. Corp. IG** 95.7 124.6 3.2%

300 2.6%

2.4%

250

1.6%
200

0.8%
150

100 0.0%

50
'13 '14 '15 '16 '17 '18 '19 '20 '21
 2002-2021
2012 2013 2014 2015 2016 2017 2018 2019 . 2020 YTD2021 YTD Ann. Vol.
G loba l G loba l G loba l Eq. Ma rke t G loba l Me rge r G loba l Equity G loba l G loba l G loba l G loba l
Distre sse d
Equitie s Equitie s Ma c ro Ne utra l Equitie s Arbitra ge Equitie s Long/ S hort Equitie s Ma c ro Equitie s Equitie s
16 . 8 % 23.4% 5.6% 4.3% 15 . 1% 24.6% 3.3% 27.3% 17 . 9 % 19 . 0 % 9.7% 8.5% 17 . 5 %

Re la tive Equity G loba l Me rge r G loba l Equity Re la tive Equity G loba l Me rge r Equity
Distre sse d Distre sse d
V a lue Long/ S hort Equitie s Arbitra ge Equitie s Long/ S hort V a lue Long/ S hort Equitie s Arbitra ge Long/ S hort
10 . 6 % 14 . 3 % 4.7% 3.3% 8.5% 13 . 3 % - 0.4% 13 . 7 % 16 . 8 % 15 . 6 % 0.8% 7.3% 10 . 5 %

Re la tive Re la tive Re la tive HFRI Eq. Ma rke t HFRI HFRI Equity Eq. Ma rke t Equity
Distre sse d Distre sse d Distre sse d
V a lue V a lue V a lue Composite Ne utra l Composite Composite Long/ S hort Ne utra l Long/ S hort
10 . 1% 14 . 0 % 4.0% - 0.3% 7.7% 8.6% - 1. 0 % 10 . 4 % 11. 8 % 11. 7 % 0.4% 6.0% 9.3%

Equity HFRI Eq. Ma rke t Equity Equity G loba l G loba l Re la tive Me rge r Re la tive HFRI HFRI
Distre sse d
Long/ S hort Composite Ne utra l Long/ S hort Long/ S hort Bonds Bonds V a lue Arbitra ge V a lue Composite Composite
7.4% 9 . 1% 3 . 1% - 1. 0 % 5.5% 7.4% - 1. 2 % 7.4% 11. 8 % 10 . 6 % 0.4% 5.8% 7.8%

HFRI Re la tive HFRI HFRI HFRI G loba l G loba l HFRI Re la tive Re la tive
Distre sse d Distre sse d Distre sse d
Composite V a lue Composite Composite Composite Bonds Bonds Composite V a lue V a lue
6.4% 7 . 1% 3.0% - 1. 1% 5.4% 6.3% - 1. 7 % 6.8% 9.2% 10 . 2 % 0.2% 5.7% 6.0%

G loba l Eq. Ma rke t Equity G loba l Me rge r Re la tive G loba l Me rge r G loba l G loba l HFRI Me rge r G loba l
Bonds Ne utra l Long/ S hort Ma c ro Arbitra ge V a lue Ma c ro Arbitra ge Ma c ro Ma c ro Composite Arbitra ge Bonds
4.3% 6.5% 1. 8 % - 1. 3 % 3.6% 5 . 1% - 4 . 1% 6.8% 5.4% 7.7% - 2.3% 4.8% 5.8%

Eq. Ma rke t Me rge r Me rge r G loba l Eq. Ma rke t Eq. Ma rke t HFRI G loba l Me rge r Re la tive Equity G loba l G loba l
Ne utra l Arbitra ge Arbitra ge Equitie s Ne utra l Ne utra l Composite Ma c ro Arbitra ge V a lue Long/ S hort Ma c ro Ma c ro
3.0% 4.7% 1. 7 % - 1. 8 % 2.2% 4.9% - 4.7% 6.5% 5.2% 7.6% - 7.6% 4.6% 4.7%

Me rge r G loba l G loba l G loba l G loba l Me rge r Equity Re la tive Eq. Ma rke t G loba l G loba l Me rge r
Distre sse d
Arbitra ge Ma c ro Bonds Bonds Bonds Arbitra ge Long/ S hort V a lue Ne utra l Bonds Bonds Arbitra ge
2.8% - 0.4% 0.6% - 3.2% 2 . 1% 4.3% - 7 . 1% 2.9% 3.4% 7 . 1% - 11. 1% 4.4% 4.7%

G loba l G loba l G loba l G loba l G loba l Eq. Ma rke t Eq. Ma rke t G loba l G loba l Eq. Ma rke t Eq. Ma rke t
Distre sse d Distre sse d
Ma c ro Bonds Ma c ro Ma c ro Equitie s Ne utra l Ne utra l Bonds Equitie s Ne utra l Ne utra l
- 0 . 1% - 2.6% - 1. 4 % - 8 . 1% 1. 0 % 2.2% - 8.9% 2.3% - 0 . 1% - 4.7% - 12 . 6 % 2.7% 3.0%
Hedge fund manager dispersion
Based on returns from March 2012 – March 2022
18%
17.2%

16%
Top quartile 15.0% 15.3%
14.5%
14%

12% 11.5% 11.4%

11.0%
10.6% 10.7%
10%
8.9%
8% Median 8.1%
7.3% 7.0% 7.3%

6.2% 6.4%
6%
5.3%
4.8%
4%

3.1% 3.3%
2%
2.2% 1.6% 1.8%
1.2%
0% 0.6%
Bottom quartile 0.1% 0.2%

-2%
All hedge funds Fixed income Equity market Event driven Relative value Relative value Macro total Equity hedge Emerging
relative value neutral total multi-strategy markets
Hedge fund net asset flow Sector exposure of top 50 hedge funds
USD billions % of total portfolio
$250 18% 17.0%
16.7%

16%
$200
14%
$150
12% 11.3%

$100 10%
1Q22: 8.1%
$19.8bn 8%
$50
5.8%
6% 5.0% 4.8% 4.8%
$0
4% 3.3%
2.6%
-$50 2%

-$100 0%

-$150

-$200
'91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Hedge fund correlation with a 60/40 stock-bond portfolio*
1990 – January 2022, monthly
1

0.9

0.8

0.7

0.6

0.5

0.4

0.3 COVID-19
0.2

0.1

0
Tech bubble
-0.1
Government
Early 1990’s
shutdown(s) Eurozone
-0.2 Recession/ Energy weakness/
Fed double-dip dollar strength
-0.3 tightening Sticky inflation/
Global financial hawkish Fed
concerns 9/11, Post tech- crisis
-0.4 bubble recession

-0.5
'90 '92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
Hedge funds and volatility Macro hedge fund relative performance & volatility
Average monthly hedge fund returns by VIX level, 1990 – present VIX index level, y/y change in rel. perf. of HFRI Macro index
1.5% 70 40%
VIX
1.1% 1.1%
60
1.0% 0.9% 30%

0.6%
0.8%
50
0.5% 0.7% 20%
0.1%
0.5% 40
0.3%
0.2%
0.1% 0.1%
0.0% 10%
-0.2%
-0.4% 30
-0.7%
-0.5% -0.3% 0%
20

Alpha -0.4%
Beta
-1.0% -10%
10
-1.0%

Macro hedge fund relative performance to HFRI

-1.5% 0 -20%
10-15 15-20 20-25 25-30 30-35 >35 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
High and rising Low and falling
Average year-over-year returns Average year-over-year returns
20% 20%
17.9%

15.4% 16%
16% 14.7%
13.6%
11.5% 12%
12%

8% 8% 6.4% 6.6%
5.5% 5.3% 5.0% 5.5%
4.4%
4% 4%

0% 0%
Global Rel. Value HFRI Equity L/S MSCI ACWI Bloomberg Global Rel. Value HFRI Equity L/S MSCI ACWI Bloomberg
Macro Composite Global Agg. Macro Composite Global Agg.
High and falling Low and rising
Average year-over-year returns Average year-over-year returns
20% 20%
16.4% 17.0%
16% 14.5% 16%
11.8%
12% 12% 10.1%
8.4%
7.5% 7.7%
8% 8%
5.7% 5.8%
4.9% 4.9%
4% 4%

0% 0%
Global Rel. Value HFRI Equity L/S MSCI ACWI Bloomberg Global Rel. Value HFRI Equity L/S MSCI ACWI Bloomberg
Macro Composite Global Agg. Macro Composite Global Agg.
S&P 500 realized correlation* S&P 500 return dispersion**
1991 - present 1991 - present
0.40 25%

0.35 24.46%
0.35
0.32

0.30 24%
23.78%
0.27
0.25 23.44%
0.25

0.20 23%

0.15
22.25%

0.10 22%

0.05

0.00 21%
High & rising High & falling Low & rising Low & falling High & rising High & falling Low & rising Low & falling
S&P 500 valuation dispersion by sector* Credit spread dispersion
Historical range vs. current fwd. P/E ratio spreads, last 20 years Historical range vs. current spreads, bps, last 10 years
55
80
1500
50

45
1250
40

35
1000
30

25
750
20

15
500
10

5
250
0

0
Investment High yield Leveraged CMBS CLOs Private
grade loans credit
Equity, interest rate and foreign exchange volatility Flow by firm as % of total U.S. equity market volume
Z-score, 4-week moving average 2020 – 1Q22
5 30%
E*TRADE
Schwab
FX
4 TD
Interest rate 25%
Robinhood
Equity

3
20%

15%

10%
0

5%
-1

-2 0%
'18 '19 '20 '21 '22 Jan-20 Jul-20 Jan-21 Jul-21 Jan-22
Bitcoin and annual energy consumption by country
Terawatt-hours per year, log scale
10,000

1,000
Bitcoin

100

10

1
Transactions processed per second Breakdown of hasher costs per region
Number Percentage of total costs
4000 Capital Equipment Utilities
Maintenance Employees or contractors
Other
3526 100% 1%
7% 6% 5% 5%
3500
5%
90% 7% 9% 16%
3000
80%
6%
70% 38%
2500
41% 21%
2061 60% 49%
2000
50%

1500
40%

1000 30%
52% 52%
20% 43%
37%
500
241 10%
3.3 3.18 0.26
0
0%
Visa Mastercard PayPal Bitcoin Ether Litecoin
Asia-Pacific Europe Latin America* North America
Risk-on and risk-off assets
12-month rolling correlations, monthly
0.8

0.6

0.4

0.2

-0.2

-0.4
Risk-on
Risk-off
-0.6

-0.8
'11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
Alpha – Is the difference between an investment’s return and its expected return, given its level of beta.
Accredited investor – Defined by Rule 501 of Regulation D, an individual (i.e. non-corporate) "accredited investor" is either
a natural person who has individual net worth, or joint net worth with the person's spouse, that exceeds $1 million at the
time of the purchase OR a natural person with income exceeding $200,000 in each of the two most recent years or joint
income with a spouse exceeding $300,000 for those years and a reasonable expectation of the same income level in the
current year. For the complete definition of accredited investor, see the SEC website.
Capital commitment – A Limited Partner’s obligation to provide a specific amount of capital to a Closed-end Fund (defined
below) for investments. The Capital Commitment is “drawn down” or “called” over time, meaning a portion of the
commitment must be wired to the Closed-end Fund by a set date.
Capital called – The amount of capital wired to a fund that is “drawn down” over time as the General Partner selects
investments.
Carried interest (aka incentive fee) – A fee paid to a fund manager for generating returns over a benchmark; calculated as
a percentage of investment profits over a hurdle rate and charged in addition to a management fee. In Private Equity,
carried interest (typically up to 20% of the profits) becomes payable once the investors have achieved repayment of their
original investment in the fund, plus a defined hurdle rate.
Catch-up – This is a common term of the private equity partnership agreement. Once the general partner provides its
limited partners with their preferred return, if any, it then typically enters a catch-up period in which it receives the majority
or all of the profits until the agreed upon profit-split, as determined by the carried interest, is reached.
Clawback – A clawback obligation represents the general partner's promise that, over the life of the fund, the managers
will not receive a greater share of the fund's distributions than they bargained for. Generally, this means that the general
partner may not keep distributions representing more than a specified percentage (e.g., 20%) of the fund's cumulative
profits, if any. When triggered, the clawback will require that the general partner return to the fund's limited partners an
amount equal to what is determined to be "excess" distributions.
Closed-end fund – A fund that has a finite capital raising period and stated term (i.e. 5 years, 10 years, etc.). Clients will
have the ability to commit to the fund during the set fundraising period, after which point the fund will be closed to new
investors. Unlike an open-ended fund, there is limited flexibility on when a client may invest and there is no
liquidity/redemptions. Clients who invest are obligated to remain in the fund for the duration of the term; they will be
required to fulfill capital calls during the stated commitment period and will receive periodic distributions based on
underlying monetization of investments.
Commitment period – The period of time within which the fund can make investments as established in the Limited
Partnership Agreement (“LPA”), meaning the governing document, for the fund.
Direct co-investment – An investment made directly in a single underlying asset of a fund. Example: The General Partner
elects to invest in an operating company alongside a fund.
Dispersion – Difference between the best-performing and worst-performing strategies.
Distressed – A financial instrument in a company that is near or is currently going through bankruptcy. This usually results
from a company's inability to meet its financial obligations. As a result, these financial instruments have suffered a
substantial reduction in value. Distressed securities can include common and preferred shares, bank debt, trade claims
(goods owed) and corporate bonds.
Distributions – The total proceeds distributed by the fund to the Limited Partners, which may include both return of capital
and gain distributions.
General partner – The managing partner of a Limited Partnership. The General Partner is managed by the asset
management team responsible for making fund investments (i.e., the intermediary between investors with capital and
businesses seeking capital to grow).
Gross IRR – The dollar-weighted internal rate of return, before management fees and carried interest generated by the
fund.
Hedge Fund strategies:
Relative Value/Arbitrage involves the simultaneous purchase and sale of similar securities to exploit pricing
differentials. Strategies in this sector offer potential to generate consistent returns while minimizing directional risk.
Opportunistic/Macro strategies involve investments in a wide variety of strategies and instruments, which often have
a directional stance based on the manager’s global macroeconomic views.
Long/Short (L/S) Equity involves long and/or short positions in equity securities deemed to be under- or overvalued,
respectively. Exposures to sectors, geographies, and market capitalizations are often flexible and will change over
time.
Merger Arbitrage/Event Driven strategies invest in opportunities created by significant corporate transactions and
events which tend to alter a company’s financial structure or operating strategy.
Distressed Securities invests in debt and equity securities of firms in reorganization or bankruptcy.
High watermark – The highest peak in value that an investment fund has reached. This term is often used in the context
of fund manager compensation. For example, a $1,000,000 investment is made in year 1 and the fund declines by 50%,
leaving $500,000 in the fund. In year 2, the fund returns 100%, bringing the investment value back to $1,000,000. If a fund
has a high watermark, it will not take incentive fees on the return in year 2, since the investment has never grown. The
fund will only take incentive fees if the investment grows above the initial level of $1,000,000.
Hurdle rate – The rate of return that the fund manager must meet before collecting incentive fees.
Internal rate of return (IRR) – The dollar-weighted internal rate of return. This return considers the daily timing of cash
flows and cumulative fair stated value, as of the end of the reported period.
J-Curve effect – Occurs when funds experience negative returns for the first several years. This is a common experience,
as the early years of the fund include capital drawdowns and an investment portfolio that has yet to mature. If the fund is
well managed, it will eventually recover from its initial losses and the returns will form a J-curve: losses in the beginning dip
down below the initial value, and later returns show profits above the initial level.
K-1 – Tax document issued for an investment in partnership interests to report your share of income, deductions and
credits. (Note that Private Investments generally issue a Schedule K-1 instead of a Form 1099 for tax reporting. K-1s may
at times be issued later than 1099s, requiring investors to file for an extension).
Limited partner – An investor in a Limited Partnership, which is a form of legal entity used for certain hedge funds, private
equity funds and real estate funds.
Management fee – Fee paid to a fund manager for managing the fund; typically calculated as a percentage of assets
under management.
Mezzanine finance – Loan finance that is half-way between equity and secured debt, either unsecured or with junior
access to security. A mezzanine fund is a fund focusing on mezzanine financing.
Multiple of Invested Capital (MOIC) – Calculation performed by adding the remaining (reported) value and the
distributions received (cash out) and subsequently dividing that amount by the total capital contributed (cash in).
Net asset value (NAV) – This is the current fair stated value for each of the investments, as reported by the administrator
of the fund.
Net IRR – The dollar-weighted internal rate of return, net of management fees and carried interest generated by the fund.
This return considers the daily timing of all cash flows and the cumulative fair stated value, as of the end of the reported
period.
Open-ended fund – As it relates to private alternatives (not mutual fund structure), an open-ended
fund is a fund that has no stated term or maturity and allows clients to invest and redeem on an
ongoing basis. The frequency of investments (aka subscriptions) and / or redemptions may vary.
Redemptions from open-ended private alternative funds generally require advance notice in writing.
Pari Passu – At an equal rate or pace, without preference.
Portfolio company – A business entity that has secured at least one round of financing from one or
more private equity funds. A company in which a given fund has invested.
Post-money valuation – The valuation of a company immediately after the most recent round of
financing. For example, a venture capitalist may invest $3.5 million in a company valued at $2 million
“pre-money” (before the investment was made). As a result, the startup will have a post money
valuation of $5.5 million.
Pre-money valuation – The valuation of a company prior to a round of investment. This amount is
determined by using various calculation methods, such as multiples to earnings or comparable to other
private and/or public companies.
Preferred return – Also known as Hurdle Rate.
Private equity – Equity capital invested in a private company through a negotiated process.
Primary investment – An investment made in a newly formed limited partnership.
Real estate investment trust (REITs) – Stocks listed on an exchange that represent an interest in a
pool of real estate properties.
Realized value – The amount of capital extracted from an investment.
Reported/remaining value – The current stated value for each of the investments in a fund, as
reported by the General Partner of the fund.
Return on equity (RoE) - Amount of net income returned as a percentage of shareholders' equity.
Secondary market investment – The buying and selling of pre-existing investor commitments.
Seed money – The first round of capital for a start-up business. Seed money usually takes the
structure of a loan or an investment in preferred stock or convertible bonds, although sometimes it is
common stock. Seed money provides startup companies with the capital required for their initial
development and growth. Angel investors and early-stage venture capital funds often provide seed
money.
Tax documents – See K-1.
Total value – The combination of market value and realized value of an investment. Shows the total
worth of an investment.
Unfunded commitment – Money that has been committed to an investment but not yet transferred to
the General Partner.
Venture capital – A specialized form of private equity, characterized chiefly by high-risk investment in
new or young companies following a growth path in technology and other value-added sectors.
Vintage year – The year of fund formation and first draw-down of capital.
Write-down – A reduction in the value of an investment.
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Prepared by: David P. Kelly, Jordan K. Jackson, David M. Lebovitz, John C. Manley, Meera Pandit, Gabriela D. Santos, Stephanie Aliaga, Sahil Gauba, Olivia C. Schubert and Nimish Vyas.
Unless otherwise stated, all data are as of May 31, 2022 or most recently available.
Guide to Alternatives
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