Massachusetts Water Resources Authority (“MWRA”) Employees’ Retirement System

Baxter Street International Long-Only STRATEGY INCEPTION | SEPTEMBER 2012 FOURTH QUARTER 2020 Energy Materials Utilities Real Estate Multi-Sector Total TOP CONTRIBUTORS Gross Exposure Equities Options/Other Q4 2020 Median Market Cap Active Share ¹Portfolio insurance may include exchange traded notes (ETNS) and/or put spread options intended to protect capital in the event of a market sell-off. See additional disclosures at the end. For comparative purposes, performance for the most current quarter for Baxter Street Fund II, L.P. was +13.9% gross of fees and +13.5% net of fees and for Baxter Street Fund Offshore was +13.8% gross of fees and +13.4% net of fees. The performance data herein represents past performance, which is not indicative of future results. Comparisons to a financial index are provided for illustrative purposes only. It is not possible to invest directly in an index. Melrose Industries Edenred AIA Group ASML Holding CTS Eventim FY 2020 Adyen Tencent Holdings Contribution Q4 2020 1.8% SAP 1.3% Alibaba Group 1.1% Scout24 1.0% FIS 0.8% Chr. Hansen Holding MIRA Contribution FY 2020 3.1% Eicher Motors 2.1% Accor 2.1% Gildan Activewear 1.6% Capgemini 1.4% Credit Suisse Group ASML Holding Industrials Consumer Discretionary Consumer Staples Healthcare Financials Information Technology Communication Services Merck KGaA SECTOR EXPOSURE & ATTRIBUTION QUARTER-END EXPOSURE PerkinElmer Performance (Baxter Street, LP) Baxter Street Gross Baxter Street Net MSCI ACWI ex US Average Exposure Long Exposure Portfolio Insurance¹ CHARACTERISTICS Average Weight 92% 0% $34.1B 87% 3.3% Baxter Street 0% 6% 18% 3% 11% 14% 8% 26% 6% 0% 0% 0% 5.1% 92% 4.5% Average Weight 3.1% 2.1% 2.4% 4.6% 3.9% 3.2% 1.9% 12/31/20 12/31/19 12/31/18 12/31/17 MSCI ACWI ex US 4% 8% 83% 0% 95% 0% $27.8B $14.8B 12% 14% 9% 100% 82% 0% 10% 18% $12.6B 13% 7% 3% 3% 0% Q4 2020 13.8% 13.4% 17.0% 92% 0% Source: FactSet. Equities include custom equity basket swaps, and Options/Other include options and any non-equity based positions. Active Share measures the percentage of the most current quarter-end portfolio (based on position weights) that differs from the MSCI ACWI ex US. EUR GBP JPY Other FY 2020 17.1% 15.4% 10.7% 0.0% 0.1% Q4 ATTRIBUTION Baxter Street 0.0% 0.5% 4.7% -0.2% 1.6% 2.0% 1.5% 2.5% 1.2% 0.0% 13.8% For more information with respect to the methodology used in the attribution analysis above and/or how to obtain a list showing each holding's contribution to the overall Fund's performance for the most current quarter and FY, please contact us. The securities listed above do not represent all of the securities purchased or sold for Select Equity Group's clients. Past performance does not guarantee future results. 91% 0% CURRENCY HEDGES 3-Yr CAGR BOTTOM CONTRIBUTORS 12.3% 10.7% 4.9% 0% 0% 0% 0% The Other category represents all other currencies invested in the portfolio. 5-Yr CAGR 2.2% 0.8% 0.7% 4.2% 2.9% 1.0% 0.5% 0.3% 0.0% 13.1% 11.4% 8.9% 17.0% MSCI ACWI ex US 0.9% 1.6% 1.9% Average Weight 5.1% Firm Total 3.4% 2.0% 3.6% Separate Accounts Baxter Street Total 1.0% Average Weight Source: FactSet using GICS sector classification. Multi-Sector includes portfolio insurance investments. For attribution purposes, performance is stated gross of fees. Attribution figures do not include approximately 0.0% of contribution from the hedge positions. See additional disclosures on reverse. 1.0% 0.8% 0.5% Since Inception 12.6% 11.0% 7.0% 1.4% 0.5% ASSETS (in millions) Baxter Street, LP Baxter Street II Baxter Street Offshore SELECT EQUITY Baxter Street -0.1% 2.0% 2.7% -4.7% 1.6% 3.0% 0.7% 8.0% FY ATTRIBUTION 3.8% 0.0% 0.0% 0.1% Contribution -1.1% -0.7% -0.1% -0.1% -0.1% 17.1% Contribution -1.6% -1.3% -1.2% -1.0% -1.0% MSCI ACWI ex US -1.6% 1.6% 1.2% 2.9% 0.6% 1.4% -1.1% 4.3% 1.2% 0.3% -0.3% 0.0% 10.7% 12/31/20 $1,211 $1,591 $2,219 $6,008 $4,784 $11,030 $8,624 $6,654 $38,876 $28,532 12/31/19 12/31/18 12/31/17 $737 $906 $746 $1,206 $864 $908 $1,728 $1,398 $1,760 $3,655 $3,801 $7,214 $21,295 $23,150 Numbers may not foot due to rounding. The most current quarter-end and FY performance, weightings and AUM numbers are estimated. Exposure figures do not include forward hedge positions. With respect to net performance calculations, see disclosures on reverse.

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