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

Meera Pandit, CFA* Jack Manley* Hugh Gimber, CFA Tilmann Galler, CFA Ian Hui
New York New York London Frankfurt Hong Kong

Jordan Jackson Stephanie Aliaga Max McKechnie Maria Paola Toschi Adrian Tong Shogo Maekawa
New York New York London Milan Hong Kong Tokyo

Nimish Vyas* Natasha May Elena Domecq Sahil Gauba* Agnes Lin
New York London Madrid Mumbai Taipei

Zara Nokes Lucia Gutierrez Mellado Clara Cheong Kerry Craig, CFA
London Madrid Singapore Melbourne
Global private capital fundraising
USD billions
$1,600 $1,566
Natural resources*
$1,427
Infrastructure
$1,400
Real estate $1,323
$1,293
Private debt
$1,231
Private equity $1,175
$1,200
$1,093

$1,000

$835
YTD May
$800
$713 2023

$622
$600
$474
$418
$400

$200

$0
'12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23
Dry powder by asset class
Cumulative dry powder, USD billions
$4,000

$3,500

$3,000

$2,500

$2,000

$1,500

$1,000

$500

$0
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
Public and private market correlations
Quarterly returns

Global Global U.S. Core Europe APAC Core Global Core Direct Venture Private Equity Relative
2008 - 2022 Bonds Equities RE Core RE* RE Infra
Transport Timber
Lending Capital Equity Long/Short Value
Macro Bitcoin
Financial
assets

Global Bonds 1.0

Global Equities 0.4 1.0

U.S. Core RE -0.2 0.0 1.0

real estate
Global

Europe Core RE* -0.2 0.1 0.7 1.0

APAC Core RE -0.2 0.0 0.8 0.7 1.0

Global Core Infra -0.1 0.1 0.4 0.3 0.5 1.0

Real assets

Transport -0.2 -0.1 0.4 0.1 0.4 -0.1 1.0

Timber -0.2 -0.1 0.2 0.0 0.1 0.2 0.2 1.0

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

Venture Capital 0.1 0.6 0.3 0.4 0.3 0.2 0.0 0.0 0.5 1.0

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

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

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

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

Bitcoin 0.1 0.1 0.2 0.0 0.1 0.2 0.0 0.0 0.1 0.2 0.2 0.1 0.1 0.0 1.0
Public and private manager dispersion
Based on returns over a 10-year window*
30%

25.5% 25.6%
25%

20%
17.4%

14.6%
15%

Top quartile
10.2%
10% 8.8% Median
Bottom quartile
9.0%
6.9%
5%
5.1%

0.3%
1.3%
0%
0.2%
-1.3%
-2.5%
-5%
U.S. Fund Global U.S. Fund Global U.S. Core U.S. Non-core Global Private Global Venture Hedge Funds
Equities Bonds Real Estate Real Estate Equity Capital
Asset class yields
Percent
12%
Equities
10.8%
Fixed income
Alternatives
10%
9.2%
8.8%

8%

6.4%

6% 5.4% 5.2%
4.6% 4.5%
4.2% 4.0%
4% 3.7% 3.6% 3.5%
3.0% 2.9% 2.9%

2% 1.6%

0%
Equity market correlations and yields
Hedge adjusted yield, last 12 months
12%
Stronger correlation
U.S. government
Transport to equities
U.S. non-government
10%
Direct lending
International
Higher yielding U.S. HY
Hedge adjusted yield

EMD ($)
sectors Euro HY
Alternatives
8%

EMD (LCL) EM Corp. Convertibles

6%
CML - Senior*
Europe Real estate Japan
UK U.S. corps Floating rate
APAC Real estate TIPS
4% MBS
U.S. Aggregate Euro Corp.
Timber Infra.
U.S. Real estate 2y UST Munis
5y UST Germany
10y UST 30y UST
2%

0%
-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 – 2022
10%
50% Equities
40% Equities 80% Equities
20% Bonds
30% Bonds
30% Equities 30% Alts 20% Bonds
30% Alts
40% Bonds
30% Alts
9%
Annualized returns

60% Equities
40% Bonds
8%

40% Equities Portfolio allocation Volatility Annualized returns

60% Bonds
40 Equities/60 F.I. 6.82% 7.32%
60 Equities/40 F.I. 9.67% 8.26%
7% 80 Equities/20 F.I. 12.80% 9.07%
30 Alts/30 Equities/40 F.I. 6.52% 8.42%
30 Alts/40 Equities/30 F.I. 7.99% 8.90%
30 Alts/50 Equities/20 F.I. 9.53% 9.34%

6%
6% 7% 8% 9% 10% 11% 12% 13%
Annualized volatility
 2013-2022
2013 2014 2015 2016 2017 2018 2019 2020 . 2021 2022 Ann. Vol.
V e nture V e nture V e nture V e nture V e nture V e nture V e nture V e nture
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 Ca pita l
26.0% 26.0% 16 . 2 % 14 . 2 % 23.0% 20.7% 19 . 9 % 57.5% 48.9% 29.9% 19 . 3 % 12 . 7 %

P riva te Equity Infra . Infra . Tra nsport Tra nsport Infra . P riva te Equity P riva te Equity P riva te Equity Infra . P riva te Equity Tra nsport

19 . 8 % 13 . 9 % 15 . 5 % 13 . 4 % 20.2% 11. 6 % 16 . 8 % 24.2% 36.5% 9.7% 15 . 3 % 8.8%

V e nture Europe Core Asse t

Tra nsport U. S . Core RE U. S . Core RE P riva te Equity Infra . Tra nsport U. S . Core RE Tra nsport P riva te Equity
Ca pita l RE Alloc a tion
18 . 8 % 12 . 5 % 15 . 0 % 12 . 0 % 14 . 8 % 9.8% 11. 5 % 11. 5 % 27.7% 7.5% 14 . 2 % 8.5%

Europe Core V e nture Asse t Europe Core

U. S . Core RE Dire c t Le nding AP AC Core RE He dge Funds U. S . Core RE AP AC Core RE Infra . He dge Funds
RE Ca pita l Alloc a tion RE
13 . 9 % 12 . 3 % 15 . 0 % 11. 2 % 12 . 2 % 9.4% 9.4% 8.9% 22.2% 6.9% 10 . 9 % 5.6%

Asse t Asse t Europe Core Asse t Asse t Asse t

AP AC Core RE Infra . P riva te Equity CML - S e nior* Dire c t Le nding U. S . Core RE
Alloc a tion Alloc a tion RE Alloc a tion Alloc a tion Alloc a tion
12 . 9 % 11. 2 % 12 . 8 % 10 . 5 % 12 . 2 % 9.2% 9.2% 6.3% 2 0 . 1% 6.3% 10 . 7 % 4.3%

Asse t Europe Core Europe Core

Dire c t Le nding P riva te Equity AP AC Core RE U. S . Core RE AP AC Core RE Dire c t Le nding Tra nsport U. S . Core RE CML - S e nior*
Alloc a tion RE RE
12 . 7 % 9.8% 11. 8 % 8.8% 11. 6 % 8.6% 9.0% 5.9% 14 . 2 % 4.6% 10 . 1% 3.7%

Asse t Asse t Europe Core Asse t Europe Core

Infra . Dire c t Le nding U. S . Core RE CML - S e nior* Dire c t Le nding He dge Funds Dire c t Le nding
Alloc a tion Alloc a tion RE Alloc a tion RE
11. 0 % 9.6% 10 . 3 % 8.5% 9.8% 8.3% 8.4% 5.5% 13 . 9 % 3.2% 8.9% 3.6%

Europe Core Europe Core

He dge Funds AP AC Core RE P riva te Equity Dire c t Le nding Dire c t Le nding AP AC Core RE Dire c t Le nding P riva te Equity AP AC Core RE Infra .
RE RE
9.6% 9.4% 9 . 1% 8 . 1% 8.6% 8 . 1% 6.6% 4.8% 12 . 8 % - 2.7% 8.7% 3.4%

Europe Core
AP AC Core RE CML - S e nior* Dire c t Le nding He dge Funds He dge Funds Tra nsport He dge Funds U. S . Core RE AP AC Core RE He dge Funds Dire c t Le nding
RE
9 . 1% 7.4% 5.5% 3.2% 8.5% 7.7% 5.6% 1. 2 % 12 . 0 % - 2.8% 8.4% 2.9%

Europe Core Asse t

Tra nsport CML - S e nior* CML - S e nior* U. S . Core RE CML - S e nior* U. S . Core RE Infra . Infra . CML - S e nior* He dge Funds
RE Alloc a tion
5.8% 6.9% 2.7% 2.9% 7.6% 2.6% 5.3% 0.2% 10 . 5 % - 9.0% 4.9% 2.8%

V e nture V e nture
CML - S e nior* He dge Funds He dge Funds CML - S e nior* He dge Funds Tra nsport AP AC Core RE CML - S e nior* CML - S e nior* AP AC Core RE
Ca pita l Ca pita l
2.9% 4.3% - 0.2% 1. 0 % 5.7% - 1. 2 % - 0.5% 0 . 1% 1. 9 % - 18 . 4 % 3 . 1% 2 . 1%
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: 2.8%

8%
2%

6%

Mar. 2023:
1.2% 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
U.S. real estate transaction volumes Net operating income growth by property type
USD millions, seasonally adjusted, last 10 years Rolling 4-quarter growth, last 10 years
120,000 30%
Apartment Office Apartment Office
Industrial Retail Industrial Retail

20%
100,000

10%
80,000

0%

60,000

-10%

40,000
-20%

20,000
-30%

0 -40%
'13 '15 '17 '19 '21 '23 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23
U.S. office leasing activity New construction vs. other Manhattan Class A*
In million square feet, quarterly Net effective rent per square foot
70
$100
New construction
$92
Other Manhattan Class A $89
$90
60 $86

$80 $77 $76

$75
$73
50 1Q23:
$68 $69
38.2 $70 $66 $66
$61 $60 $60
$59 $59
40 $60

$50
30
$40

20 $30

$20
10
$10

0 $0
'16 '17 '18 '19 '20 '21 '22 '23 '15 '16 '17 '18 '19 '20 '21 '22
U.S. online retails sales by segment Change in number of retail establishments
% of total retail sales by segment, NSA 3Q12 – 3Q22, percent

2% 1Q18 Total 28.0%

Other*
1Q23 Goods-producing 18.2%
3%
Service-providing 29.6%

7% Department/discount 36.9%
Clothing and general merchandise
14% Personal care/services 27.8%

Restaurants/bars 18.8%
9%
Furniture, building materials and Pharmacies and person care 16.9%
electronics
13% Grocery/liquor 10.2%

Automobile dealers 7.4%

3%
Motor vehicle and parts Gas stations 4.1%
4%
Furniture/furnishings -3.9%

Electronics and appliance stores -14.1%

9%
Total online retails Entertainment goods -16.1%
15%
Clothing -36.6%

0% 3% 6% 9% 12% 15% 18% -50% -25% 0% 25% 50%

U.S. industrial construction activity and vacancy rates U.S. cities with highest industrial net absorption
1Q17 – 1Q23 Net absorption as a % of total deliveries, 1Q23
900 4.5% 140%
Under construction & ground breakings (in million s.f.)

800 4.0% 120%

Vacancy rate 120%

700 3.5%
100%
600 3.0%
82%
80%
500 2.5%

59%
400 2.0% 60%
53%
49%

300 1.5% 39%

40%

200 1.0%
20%

100 0.5%

0%
Phoenix Houston Indianapolis Dallas/Fort Eastern & Atlanta
0 0.0% Worth Central
'17 '18 '19 '20 '21 '22 '23 Penn.
U.S. home price growth by city Cumulative net domestic migration*
S&P Case-Shiller Home Price Index, March 2023, y/y% change Top and bottom 5 states, thousands of people

Miami 7.7% Florida

Atlanta 4.5%
Texas
Chicago 4.0%

New York 3.3% North Carolina

Boston 0.8%
Arizona
National home price 0.7%
South Carolina
Washington D.C. -0.2%

Dallas -1.2% Pennsylvania July 2010 – June 2019

Los Angeles -2.9% April 2020 – June 2022
New Jersey
Denver -3.6%

Phoenix -4.5% Illinois

Portland -4.6%
California
San Francisco -11.2%
New York
Seattle -12.4%

-20% -15% -10% -5% 0% 5% 10% -1,500 -1,000 -500 0 500 1,000 1,500
Thousands
Tier 1 risk-based capital ratios by asset size Office real estate lease expiration
Percentage, quarterly, 4Q96 – 4Q22 Expiration by year as % of total square feet
9.7% 9.6% 9.5%
16.5x 10% 9.1%
> $250 billion
8.1% 8.0%
$10 billion - $250 billion 8% 7.4% 7.4%
15.5x
6.3%
$1 billion - $10 billion
6%
14.5x
4%

13.5x
2%

12.5x 0%
'23 '24 '25 '26 '27 '28 '29 '30 '31
Office real estate debt maturity
11.5x % of current total debt balance
12% 10.9%
10.5x 10%
8.4%
8%
9.5x
6%

4% 3.4%
8.5x
2%

7.5x 0%
'96 '99 '02 '05 '08 '11 '14 '17 '20 2023 2024 2025
European transaction volumes European transaction volumes by property type
Rolling year-over-year % change, 4Q08 – 1Q23 2007 – 1Q23
60% 100%
6% 5% 5% 6% 7% 5% 5% 6% 7% 7% 7%
8% 9% 9% 8%
11% 10%
6% 8% 7% 6% 7% 8%
90% 7%
6% 7% 7% 7% 8% 4% 4% 5%

6% 9%
9% 10%
6% 11% 12%
40% 80% 14%
15% 13% 14%
8% 15% 20%
18%
19% 23% 27%
18%
70%
23%
26% 26% 22%
20% 14%
26% 29% 24% 22% 24% 22% 18%
60% 16% 13%
13% 10%
19%
10%
50% 9% 11%
10% 12%
9% 11% 14% 12%
0% 10% 10% 9%
16% 29%
10%
40% 29%
15%

30%
-20%
46% 44% 42% 41% 40% 43% 40% 40%
20% 39% 38% 40% 39% 41%
35%
33% 29%
30%
10%
-40%
Mar. 2023:
-36.8% 0%
'07 '09 '11 '13 '15 '17 '19 '21 '23
-60% Other Hotel Apartment Retail Office
'08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 Industrial
Net yield by property type* Rent growth by property type
1987 – 1Q23 Year-over-year % change, 1987 – 1Q23
12% 30%
1Q23 Avg. '87 - '22 1Q23 Avg. '87 - '22
Retail 4.8% 5.0% 25% Retail 3.7% 4.6%
11%
Industrial 5.0% 7.3% Industrial 9.1% 3.0%
Office 4.5% 5.2% 20% Office 5.6% 3.6%
10%

15%
9%

10%
8%
5%
7%
0%

6%
-5%

5%
-10%

4% -15%

3% -20%
'87 '91 '95 '99 '03 '07 '11 '15 '19 '23 '87 '91 '95 '99 '03 '07 '11 '15 '19 '23
Office vacancy rates by city Office vacancy rates within cities
2010 – 1Q23 Total city vacancy rates vs. central business districts*, 1Q23
16% 10%

Hundreds
Paris CBD Paris La Défense
Munich Milan
London City London West End 9%
14%
8%

12%
7%

10% 6%

5%
8%
4%

6% 3%

2%
4%

1%
2%
0%
Overall CBD Overall City Overall CBD Overall West
centre End
0%
'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 Paris Munich Milan London
Global online retail sales Retail real estate per capita
Percent of total retail sales, 4Q22* Square feet per person
28%
U.S. Indonesia 1 North America
APAC Russia 1.4 APAC
24% EMEA South Korea 2.2 EMEA
Germany 2.3
20% Thailand 2.3
Taiwan 2.4

16% Italy 2.8

China 2.8
Spain 3.4
12%
Switzerland 3.6
France 3.8
8%
Netherlands 4.1
Japan 4.4
4% 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 2023
7%
Prime Office
Prime Warehouse

6%

5%

4%

3%

2%

1%

0%
New York/ Seoul SingaporeChina Tier 1 Auckland Sydney Hong Kong Tokyo Paris Munich Milan London Madrid
North New 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 '22
Real estate income return and inflation Real estate performance in different inflationary regimes
1978 – 1Q23, quarterly, year-over-year (%) 1978 – 1Q23, quarterly, headline CPI, NCREIF ODCE Index, y/y %
16% 13%
12.0%
12%
Headline CPI
Income return 11% 10.5%
12%
10%

8.8%
9%

8%
8%

7%

6% 5.7%

4%
5%

4%

3%
0%
2%

1%

-4% 0%
'79 '83 '87 '91 '95 '99 '03 '07 '11 '15 '19 '23 High & rising High & falling Low & rising Low & falling
 2013-2022
2013 2014 2015 2016 2017 2018 2019 . 2020 2021 2022 YTD '23 Ann. Vol.
Lodging/ Re t. Fre e Re t. Fre e
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 Da ta Ce nte rs Mfgd. Home s Re giona l Ma lls
Re sorts S ta nding S ta nding
27.2% 46.2% 40.6% 30.7% 28.4% 13 . 9 % 4 9 . 1% 2 1. 0 % 9 2 . 1% - 6.5% 11. 2 % 17 . 0 % 3 0 . 1%

Lodging/ S hopping Lodging/

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 Industria l Industria l
Re sorts Ce nte rs Re sorts
10 . 5 % 39.6% 25.6% 24.3% 24.9% 11. 4 % 48.7% 12 . 9 % 79.4% - 12 . 5 % 8.9% 14 . 7 % 28.5%

Re t. Fre e S hopping Lodging/ 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 S e lf S tora ge
S ta nding Ce nte rs Re sorts Ce nte rs
9.5% 33.3% 16 . 5 % 17 . 0 % 20.6% 7.6% 44.2% 12 . 2 % 6 5 . 1% - 15 . 3 % 5.4% 12 . 8 % 27.6%

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 He a lth Ca re Apa rtme nts
S ta nding S ta nding S ta nding
7.4% 32.6% 5.9% 14 . 2 % 8.7% 3.7% 3 1. 4 % - 1. 7 % 63.6% - 22.2% 2.3% 7.9% 20.8%

Re t. Fre e Lodging/ S hopping Lodging/ Lodging/

O ffic e S e lf S tora ge All Equity All Equity Industria l Re giona l Ma lls Apa rtme nts He a lth Ca re
S ta nding Re sorts Ce nte rs Re sorts Re sorts
7.3% 32.5% 4.7% 13 . 2 % 7.2% 2.9% 28.7% - 5 . 1% 62.0% - 22.9% 2 . 1% 7.2% 20.5%

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 All Equity He a lth Ca re All Equity S e lf S tora ge

5.6% 3 1. 4 % 4.2% 8.6% 5.2% - 2.5% 26.3% - 9.9% 42.0% - 24.9% 0.9% 7 . 1% 20.2%

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

All Equity He a lth Ca re S e lf S tora ge All Equity All Equity S e lf S tora ge All Equity Industria l
Ce nte rs Ce nte rs Ce nte rs S ta nding Ce nte rs
5.0% 30.0% 2.8% 6.4% 3.7% - 4.0% 25.0% - 10 . 5 % 4 1. 3 % - 26.7% - 2.3% 3.9% 18 . 2 %

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

All Equity All Equity Industria l Apa rtme nts Re giona l Ma lls Apa rtme nts Da ta Ce nte rs Da ta Ce nte rs He a lth Ca re O ffic e
Ce nte rs S ta nding S ta nding
2.9% 28.0% 2.6% 3.7% 3.7% - 7.0% 24.8% - 15 . 3 % 25.5% - 28.0% - 4.2% 2.8% 16 . 8 %

Re t. Fre e Lodging/ 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 Mfgd. Home s Mfgd. Home s Apa rtme nts
S ta nding Re sorts Re sorts
- 1. 0 % 25.9% 0.3% 2.9% 3 . 1% - 12 . 8 % 2 1. 2 % - 18 . 4 % 22.0% - 28.3% - 7.0% 2.7% 16 . 7 %

Lodging/ Lodging/ Re t. Fre e S hopping

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 Industria l O ffic e Mfgd. Home s
Re sorts Re sorts S ta nding Ce nte rs
- 6.2% 2 1. 0 % - 7.2% - 5.2% 0.9% - 14 . 1% 15 . 6 % - 23.6% 19 . 7 % - 28.6% - 8.9% 1. 0 % 15 . 6 %

Re t. Fre e Lodging/ S hopping Lodging/

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 Apa rtme nts Re giona l Ma lls Re giona l Ma lls All Equity
S ta nding Re sorts Ce nte rs Re sorts
- 7 . 1% 9.7% - 24.4% - 8 . 1% - 2.7% - 14 . 5 % 13 . 7 % - 27.6% 18 . 2 % - 32.0% - 9 . 1% - 0 . 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 Re giona l Ma lls Re giona l Ma lls He a lth Ca re O ffic e O ffic e Da ta Ce nte rs Da ta Ce nte rs
Ce nte rs Ce nte rs
N/ A N/ A N/ A N/ A - 11. 4 % - 14 . 5 % - 9 . 1% - 37.2% 16 . 3 % - 37.6% - 2 4 . 1% 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
16%
Capital growth
Income

12%

8%

4%

0%

-4%

-8%
'09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
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 (%)
Planned U.S. electricity generating capacity Share of global commodities mining production by region
2023 2% 0.3% 2022
Coal
Natural gas Rare earths
Petroleum*
Other*

Zinc
44% Total retirements:
13.8 GW 55%

Nickel

Lithium*
0.3%
Solar
Natural gas
Wind 12%
Batteries 19% Copper
Nuclear
Other**
2%

Total additions: Cobalt

46.4 GW
13%
0% 20% 40% 60% 80% 100%
United States China APAC*
54%
South America North America* Europe
Africa & RoW
Number of electricity vehicle charging points State power balances
In thousands, U.S. Net electricity generation**, in million MWh, 2021
900

Forecasts* 800 California -50

800

Virginia -32
700
Massachusetts -31

600 560
Ohio -22

500
Maryland -21

400 West Virginia 33

Illinois 46
300

Texas 46
200

114 Alabama 57
99
100 77
43 54
32 38 Pennsylvania 98
12 15 20
0
-60 -40 -20 0 20 40 60 80 100
'12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '25 '30
 Timber returns and inflation Global emissions covered by carbon pricing initiatives
Headline CPI, NCREIF Timberland Index, 5-yr. annualized change % of global greenhouse gas emissions
30% 25
China ETS
Japan carbon tax
South Korea ETS
EU ETS
25% Other
20
NCREIF timberland total return index

20%
15

15%
R² = 51%
10

10%

5
5%

0% 0
0% 1% 2% 3% 4% 5% '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20

Headline CPI
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

Containers
40
Feb. 2023:
-2.10%

Oil and oil

Average 3.9% 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 10%
60% 1,800
World fleet
Orderbook as a % fleet 8%
Orderbook
1,600
50% 6%

1,400
4%

40% 1,200 Apr. 2023:

2%
3.8%

1,000 0%
'14 '15 '16 '17 '18 '19 '20 '21 '22 '23
30%
Global fleet age
800
+100 gross tonnage, years
23 May 2023:
22.2 years
20% 600
22

21
400
20
10%
19
200
18

17
0% 0
'05 '07 '09 '11 '13 '15 '17 '19 '21 '23
'05 '07 '09 '11 '13 '15 '17 '19 '21 '23
Global shipping costs Global port call duration**
USD per 40-foot container, weekly Number of days, 30-day moving average
2.5
$11,000
2019 2020 2021
2022 2023 2.3

2.1
$9,000

1.9

$7,000 1.7

1.5

$5,000 1.3

1.1

$3,000 0.9
APAC Europe
0.7 Africa & Middle East North America
LATAM
$1,000
0.5
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Jan '20 Jul '20 Jan '21 Jul '21 Jan '22 Jul '22 Jan '23
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. Year-to-date April 2023, number
14 13.3 13.4
12.7 12,000
10,753
11.8
12
10.4 10,000
10
8,000
8
6,000
6

4
4,000

2 2,000
295 212
0 0
1993 2000 2010 2018 2019 Deliveries Gross orders Backlogs
Percent of industry wide aviation fleet leased* Wide-body aircraft demand**
Global Year-to-date April 2023, number
50% 2,000 1,792

40% 1,600

30% 1,200

20% 800

400
10% 103
42
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%
# of listed companies Market cap. Tech
35.8%
Apr. 2023:
8,000 40
$34.8tn
20.6%
Healthcare
Apr. 2023: 16.5%
7,000 5,955 35

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 '95 '99 '03 '07 '11 '15 '19 '23 0% 10% 20% 30% 40%
U.S. applications for business formation Growth in business establishments by private industry
Seasonally adjusted, thousands December 2019 – September 2022
1,700
Total 12%

Information* 40%
1,500
Other services** 21%
Recession
Professional and business
20%
services
1,300 Service-providing 13%

Financial activities 12%

1,100 Education and health services 12%

Construction 8%

900 Goods-producing 7%

Manufacturing 7%

Leisure and hospitality 5%

700
Trade, transportation, and utilities 4%

Natural resources and mining 2%

500
'06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 0% 12% 24% 36% 48%
U.S. LBOs: purchase price multiples U.S. LBO multiples and BAA corporate bond yields
Equity and debt over trailing EBTIDA Quarterly, 2005 – 1Q23
14 13x
Equity
Debt
11.9x 12.4x
12 11.4x
11.5x 12x
11.4x
10.6x10.6x
10.3x
10.0x
10 9.7x 9.7x
9.1x 11x
8.8x 8.7x 8.8x

U.S. LBO multiples

8.4x 8.4x 8.5x 5.6x 5.6x 5.5x
5.8x
6.5x
4.9x 4.8x
8 3.5x
7.7x 4.5x
7.3x 3.9x 4.5x

4.0x 3.4x
10x
3.0x 3.1x 3.7x 3.5x
3.8x
6 2.6x
3.8x

9x

4
R² = 32%
6.1x
5.7x 5.6x 5.7x 5.8x 5.8x 5.7x 5.8x 5.9x
5.4x 5.3x
5.0x 4.9x 5.1x
5.3x 5.4x 5.3x 8x
4.6x 4.6x
2 3.8x

7x
0 3% 4% 5% 6% 7% 8% 9%
'04 '06 '08 '10 '12 '14 '16 '18 '20 '22
BAA corporate bond yield
U.S. private equity deals Private equity exits by type
USD billions USD billions
$1,400 $1,000

$1,300 1Q23 Avg. '07 - '22 1Q23 Avg. '07 - '22

B2B 44.6% 29.2% $900 Secondary buyout 27.3% 37.0%
$1,200 B2C 9.8% 17.8% Public listing 3.0% 17.6%
Natural resources 8.0% 13.7% Corporate acquisition 69.7% 45.3%
$800
$1,100 6.2% 8.6%
Financial services
Health care 10.7% 12.5%
$1,000 $700
Technology 20.7% 18.2%
$900
$600
$800

$700 $500

$600
$400
$500
$300
$400

$300 $200

$200
$100
$100

$0 $0
'07 '09 '11 '13 '15 '17 '19 '21 '23 '07 '09 '11 '13 '15 '17 '19 '21 '23
U.S. private equity deals by size U.S. private equity deals by type
% of total deals, 2007 – 1Q23 % of total deals, 2007 – 1Q23
60% 70%
Max: 56.7%
62.4%

60%
50%

Median: 46%

Current 50%
40% 47.7%

Max: 41.5%
Min: 36.5% 40%
31.6% 40.7%
30.5%
30%
Median: 31.5%
25.5% 24.8% 30%

22.3% 22.7%
20%
20%
19.1%
15.3% Current

Min: 15.8% 15.8%

10%
10%
6.4%

3.9%
2.1%
0% 0%
<$25M $25-100M $100-500M >$500M Buyout/LBO Add-on PE growth/expansion
Secondary market volume Secondary pricing*
USD billions Percent of net asset value (NAV)
$140 100%
$132

$120 95%

$108

$100 90%

$88
87%
$80 85%
$74

$58 $60 81%

$60 80%

$42 $40
$40 $37 75%

$28 Buyout 71%

$25
All
$20 70%
Real Estate
Venture 68%

$0 65%
'12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
Venture capital investments in AI by industry Investment and exit activity
Number of investments Number of investments/number of exits*
1200 18x
IT infra & hosting Mar. 2023: 17.1x
Venture capital
Health care, drugs, biotech
16x Private equity
Business & support services
1000 Social media & marketing
Robots, sensors, IT hardware 14x
Financial services
Digital security
800 12x
Mobility & autonomous vehicles Average: 10.8x
Logistics, wholesale, retail
10x

600
Mar. 2023: 7.9x
8x

400 6x
Average: 4.6x
4x

200
2x

0 0x
'12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23
Global M&A by acquirer type Global M&A by sector
USD billions USD billions
$6,000 $7,000
1Q23 Avg. '07 - '22 Sector 1Q23 Avg. '07 - '22
Corporate M&A 62% 70% Technology 15% 16%
Sponsor-backed 38% 30% Health care 16% 12%
$6,000
$5,000 Financial services 8% 12%
Natural resources 9% 15%
B2C 14% 19%
$5,000 B2B 38% 26%
$4,000

$4,000

$3,000

$3,000

$2,000
$2,000

$1,000
$1,000

$0 $0
'07 '09 '11 '13 '15 '17 '19 '21 '23 '07 '09 '11 '13 '15 '17 '19 '21 '23
Private debt fundraising by type
USD billions
$450
Other* $426
Mezzanine
$400 $381
Real estate & infra. debt
Distressed & special situations
$350
Direct lending
$309
$300 $289

$250 $241
$236

$201
$200
$175
YTD May
$150 $142 $137 2023
$126

$100 $88 $90

$78
$59 $64
$50 $39

$0
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23
Expansion Recession
Manufacturing ISM > 50 and rising Manufacturing ISM <50 and falling
4.0% 3.0%

2.9% 2.2%
3.0%
2.5% 2.0% 1.7%
2.0% 1.7% 1.2% 1.3%

0.9% 1.0% 0.7%

1.0% 0.4%
0.3%
0.0%
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
Late cycle cooling Turnaround
Manufacturing ISM > 50 and falling Manufacturing ISM<50 and rising
3.0% 7.0%
5.8%
2.5% 2.2% 6.0%
2.0% 5.0% 4.7%

1.5% 1.3% 4.0%

1.0% 0.7% 3.0% 2.2%
0.6% 0.6%
0.4% 2.0% 1.4%
0.5% 0.9%
1.0% 0.3%
0.0%
10y UST 2y UST U.S. IG U.S. HY U.S. U.S. 0.0%
leveraged direct 10y UST 2y UST U.S. IG U.S. HY U.S. U.S.
loans lending leveraged direct
loans lending
U.S. leveraged loans downgrade/upgrade ratio Public and private credit drawdown dispersion
Rolling 3-month average Maximum and average drawdown, quarterly
45
15 Leveraged Investment
loans grade High yield Direct lending
0%
Average
-3.4% -3.1%
-4%
-5.2%
-6.4%
-8%
10 Maximum
drawdown
-9.8%
-12%

-16%

5 -20% -18.7%
Apr. 2023:
3.5x
-24%

-25.2%
-28%
-27.5%

0
-32%
'08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23
Tightening lending standards and high-yield default rates
December 1990 – present, quarterly
16% 100%

LTM default rate (par amt. weighted) Net % of domestic banks tightening C&I lending standards* (2Q lag)
14%
80%

12%
60%

10%
40%

8%

20%
6%

0%
4%

-20%
2%

0% -40%
'90 '92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Private credit vs. leveraged loans sector exposure Covenant-lite loans**
% of total loans, 4Q10– 1Q23, quarterly
80%
41%
Info. Tech.* Large middle market
19%
($501M+)
15% 60%
Health Care Middle market
12%
13% 40%
Financials
7%
12%
Industrials
22% 20%
6%
Cons. Discretionary
11%
0%
3% '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
Comm. Svcs.
11%
Private Credit Private credit and leverage loans default rate
3% Quarterly, 2Q20 – present
Materials Leveraged loans
7%
10%
2% Private Credit
Real Estate
4% 8%
Leveraged loans
2% 6%
Cons. Staples
3%
2% 4%
Energy
2%
2%
1%
Utilities
2% 0%
Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22
0% 12% 24% 36% 48%
U.S. distressed loan volume Share of distressed leveraged loans by industry
In USD billions U.S., February 2023
Apr. 2023:
$110 $86bn
Health Care Providers 20%

$100
Pharmaceuticals 18%
$90
Health Care Equipment 13%
$80
Independent Power &
9%
$70 Renewable Electricity

Media 9%
$60

$50 Auto Components 8%

$40 Entertainment 8%

$30 IT Services 8%

$20 Software 7%

$10
Containers & Packaging 6%

$0
0% 5% 10% 15% 20% 25%
Jan '21 Jan '22 Jan '23
Sources of LBO financing Sponsored and non-sponsored leveraged loan spreads
Bank syndicated loan and private credit markets, quarterly Weighted average nominal spreads, monthly, since 1997
100 98 99
600

Syndicated
90
Private credit 550
82

80
72 500
70 66

61
58 58 450
60 57

50 48 47 47
46 400
45
43 42

40 38
36
33 350
32
30 29
30 28
26
23 22 300
20 18 18

1212
10 250
10 8
4
1
0 200
'19 '20 '21 '22 '23 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 '23
Commercial mortgage spreads Commercial mortgage yields
Spreads over Treasury, basis points, senior loans 12-month income return, unlevered, senior loans, 1Q23
6%
550
Asset class Current spread Avg. '14 - '22
CML index 251.3 211.2
5.1%
A-rated CML 225.0 194.6
5% 4.8% 4.7%
BBB-rated CML 277.5 227.7 4.6%
U.S. Corp. IG** 131.3 126.8 4.4% 4.3%
450 4.3%

4%

350
3%

2%
250

1%

150

0%

50
'13 '14 '15 '16 '17 '18 '19 '20 '21 '22
 2013-2022
2013 2014 2015 2016 2017 2018 2019 . 2020 YTD2021 2022 YTD '23 Ann. Vol.
G loba l G loba l Eq. Ma rke t G loba l Me rge r G loba l G loba l G loba l G loba l G loba l G loba l
Distre sse d Distre sse d
Equitie s Ma c ro Ne utra l Equitie s Arbitra ge Equitie s Equitie s Ma c ro Equitie s Equitie s Equitie s
23.4% 5.8% 4.5% 9.8% 24.6% 4.3% 27.3% 16 . 8 % 20.0% 9.7% 7.9% 8.5% 15 . 5 %

Re la tive Me rge r G loba l Equity Re la tive G loba l Equity G loba l Me rge r Equity Equity
Distre sse d Distre sse d
V a lue Arbitra ge Equitie s Long/ S hort V a lue Bonds Long/ S hort Equitie s Arbitra ge Long/ S hort Long/ S hort
15 . 1% 5.3% 2.6% 8.5% 12 . 8 % 2 . 1% 6.8% 14 . 2 % 19 . 0 % 2.7% 1. 9 % 5.8% 7.8%

Equity G loba l G loba l Re la tive HFRI Equity G loba l Equity Eq. Ma rke t Re la tive Equity
Distre sse d Distre sse d
Long/ S hort Equitie s Ma c ro V a lue Composite Long/ S hort Bonds Long/ S hort Ne utra l V a lue Long/ S hort
14 . 5 % 4.7% 0.4% 5.4% 8.5% 2 . 1% 6.7% 9.2% 16 . 3 % 1. 8 % 1. 9 % 5.0% 7.7%

HFRI HFRI Re la tive Me rge r Eq. Ma rke t G loba l HFRI HFRI Re la tive G loba l HFRI G loba l
Distre sse d
Composite Composite V a lue Arbitra ge Ne utra l Ma c ro Composite Composite V a lue Bonds Composite Bonds
9.6% 4.3% 0.2% 3.5% 7.7% - 0.8% 6.0% 8.9% 13 . 9 % - 0.6% 1. 4 % 4.9% 6.5%

Re la tive Equity Equity Equity G loba l G loba l HFRI Me rge r HFRI HFRI Me rge r HFRI
Distre sse d
V a lue Long/ S hort Long/ S hort Long/ S hort Bonds Bonds Composite Arbitra ge Composite Composite Arbitra ge Composite
7.5% 3.6% - 0.2% 3.4% 7.4% - 1. 2 % 5.6% 8.4% 13 . 4 % - 2.8% 1. 1% 4.6% 5.6%

Eq. Ma rke t Eq. Ma rke t HFRI HFRI Re la tive HFRI Me rge r Me rge r G loba l Eq. Ma rke t Re la tive G loba l
Distre sse d
Ne utra l Ne utra l Composite Composite V a lue Composite Arbitra ge Arbitra ge Ma c ro Ne utra l V a lue Ma c ro
6.4% 3.2% - 0.2% 3.2% 5.5% - 1. 2 % 5.3% 2.9% 11. 1% - 3 . 1% 1. 0 % 4 . 1% 5.0%

Me rge r Me rge r G loba l G loba l Me rge r Equity Re la tive Re la tive Re la tive Equity G loba l Me rge r
Distre sse d
Arbitra ge Arbitra ge Equitie s Bonds Arbitra ge Long/ S hort V a lue V a lue V a lue Long/ S hort Ma c ro Arbitra ge
5.3% 1. 9 % - 1. 8 % 2 . 1% 5.0% - 2.2% 4 . 1% 2.7% 9.5% - 8 . 1% 0.3% 3.2% 4 . 1%

G loba l G loba l Eq. Ma rke t Eq. Ma rke t G loba l Eq. Ma rke t G loba l Eq. Ma rke t G loba l Me rge r Eq. Ma rke t Re la tive
Distre sse d
Ma c ro Bonds Ne utra l Ne utra l Ma c ro Ne utra l Ma c ro Ne utra l Bonds Arbitra ge Ne utra l V a lue
0 . 1% 1. 2 % - 3.2% 1. 6 % 4.9% - 3.6% 2.3% 2.0% 7.4% - 16 . 2 % - 0.9% 3.0% 4 . 1%

G loba l G loba l G loba l G loba l G loba l Eq. Ma rke t G loba l G loba l G loba l G loba l Eq. Ma rke t
Distre sse d Distre sse d
Bonds Bonds Ma c ro Ma c ro Equitie s Ne utra l Bonds Equitie s Ma c ro Bonds Ne utra l
- 2.6% 0.6% - 7.4% - 1. 3 % 2.5% - 8.9% - 0.7% - 1. 2 % - 4.7% - 18 . 0 % - 1. 5 % - 0.4% 2.2%
Hedge fund manager dispersion
Based on 10-year trailing returns

18%
16.9%

16%
14.9%
14.5% Top quartile
14.1%
14%

12% 11.6% 11.5% 11.4% 11.3%

10.8%

10%

8% 8.1%
Median
7.4%
6.9% 6.9% 6.7%
6.5%
6% 6.2%
5.2% 4.9%
4%

3.0% 3.0%
2%

1.1% 1.4%
0%
0.2% Bottom quartile -0.1% 0.1% 0.2%
-0.4%
-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 correlation with a 60/40 stock-bond portfolio*
1990 – May 2023, monthly
1

0.8

0.6

0.4

COVID-19
0.2

0
Tech bubble

Government
-0.2 Early 1990’s shutdown(s) Eurozone Energy weakness/
Recession/ double-dip dollar strength
Fed
tightening
-0.4 concerns Global financial
crisis
Sticky inflation/
9/11, Post tech- hawkish Fed
bubble recession
-0.6
'90 '92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
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% 30%
0.8%
0.6%
0.7%
50
0.5%
0.5% 20%
-0.1%
0.5%
0.4% 40
0.3% 0.2%
0.0% 0.1% 10%
-0.3% -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 '96 '00 '04 '08 '12 '16 '20
S&P 500 Index dispersion* Hedge fund sector exposure relative to S&P 500
Monthly, 1991 – present 1Q23
60%
Financials 2.3%

Industrials 2.1%
50%
Health Care HFs underweight 1.5%

May 2023: Energy 1.2%

40%
36%
Real Estate 0.8%
Average: 24%

30% Materials 0.7%

Cons. Discretionary 0.1%

20% Utilities 0.0%

HFs overweight

Cons. Staples -0.9%

10%
Comm. Svcs. -1.4%

Info. Tech. -6.6%

0%
'91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 '23 -10.0% -5.0% 0.0% 5.0%
Equity, interest rate and foreign exchange volatility Hedge fund returns and short-term rates
Z-score, 4-week moving average December 1990 – present, monthly, year-over-year total returns
5 40%

4 30%
FX
Interest rate

Hedge fund returns less 3-month UST

3 Equity
20%

2
10%

1
0%

0
-10%

-1

-20%
2020 - present 2000s
-2
2010s 1990s
-30%
-3 0% 1% 2% 3% 4% 5% 6% 7%
'18 '19 '20 '21 '22 '23 3-month UST
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 '22
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, and Nimish Vyas.
Unless otherwise stated, all data are as of May 31, 2023 or most recently available.
Guide to Alternatives
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