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

Baxter Street International Long-Only STRATEGY INCEPTION | SEPTEMBER 2012 DECEMBER 2020 Strategy Assets (in millions)¹ Monthly Performance (Net) Baxter Street, LP Baxter Street II Baxter Street Offshore 2019 Last 3 Years Last 5 Years Since Inception HISTORICAL PERFORMANCE (Net, Annualized) Baxter Street, LP Energy Materials Industrials Consumer Discretionary Consumer Staples Healthcare Financials Information Technology Communication Services SECTOR EXPOSURE & ATTRIBUTION EXPOSURE Utilities Real Estate Multi-Sector Total 28.4% 0% 6% 18% 3% 11% 10.7% 11.4% 11.0% 14% 8% 26% 6% 0% 0% 0% 13.0% Baxter Street 92% $11,030 JAN-20 -1.8% -1.8% -1.9% Volatility Full history since inception (9/2012) on reverse. Volatility is calculated using the standard deviation, or variance between monthly return streams since inception. MSCI ACWI ex US ¹ Includes assets held in separately managed accounts. 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. -2.7% FEB-20 MAR-20 APR-20 -6.6% -14.3% -6.6% -14.2% -6.6% -14.1% MSCI ACWI ex US 4% 8% 12% 14% 9% 10% 18% 13% 7% 3% 3% 0% 100% -7.9% -14.5% Edenred SAP AIA Group Alcon 21.5% 4.9% 8.9% 7.0% MSCI ACWI ex US 14.0% -4% -2% -10% PerkinElmer Melrose Industries FIS Merck KGaA CRH ASML Holding -10% -2% -3% -3% PORTFOLIO SNAPSHOT TOP 10 EQUITY HOLDINGS 7.0% 7.1% 7.2% MAY-20 JUN-20 7.6% 6.2% 6.2% 6.0% 3.3% EXPOSURES GEOGRAPHIC EXPOSURE Australia & New Zealand Asia ex Japan Japan Europe Switzerland 5.1% 5.1% 5.1% United Kingdom Latin America North America Africa & Middle East Multi-Country 4.5% EXPOSURE VS. MSCI ACWI ex US Baxter Street 3% 10% 6% 36% 9% 11% 0% 16% 0% 0% 7% JUL-20 AUG-20 SEP-20 2% 4% 13% 6.2% 6.3% 6.2% 4.5% Equity Holdings Top Holding Top 5 Holdings Top 10 Holdings Portfolio Insurance² Cash 3.9% 3.9% 3.9% MSCI ACWI ex US 5% 28% 16% 26% 6% 9% 2% 6% 3% 0% 4.3% Total -1.6% -1.6% -1.6% -2.5% POSITIONS & PORTFOLIO WEIGHTINGS Energy Materials Industrials Consumer Discretionary Consumer Staples Healthcare $15B+ $5-$15B $1-$5B <$1B MONTHLY ATTRIBUTION 46 5.0% 21.4% 36.9% 0.0% 8.2% OCT-20 NOV-20 DEC-20 YTD Financials Information Technology Communication Services Utilities Real Estate Multi-Sector SELECT EQUITY -2.5% -2.5% -2.5% MARKET CAP EXPOSURE -2.1% Developed Markets Emerging Markets ²Portfolio insurance may include ETNs and/or put spread options intended to protect capital in the event of a market sell-off. The information above represents the 10 largest equity holdings by market value (equity swap positions are reflected as fully paid) in the Baxter Street Fund, L.P. as of the most current month end. Each month, Select Equity Group, L.P. uses the same objective, non-performance-based criteria to select the 10 largest long equity holdings. The securities listed above do not represent all of the securities purchased or sold for SEG's clients, and the reader should not assume that investments in the securities identified were or would be profitable. Geographic Exposure is determined by using the MSCI Global Investable Market Indices (GIMI) Methodology. Market Cap Exposures do not include any non-equity-based positions and portfolio insurance investments. See additional disclosures at the end. 11.8% 11.9% 11.8% Baxter Street 0.0% 0.3% 0.8% -0.5% 0.3% 0.7% 0.7% 1.5% 0.3% 0.0% 0.0% 0.0% 13.5% DEVELOPED/EMERGING MARKETS EXPOSURE 4.1% Baxter Street 3.9% 4.0% 4.0% 82% 10% 5.4% 72% 20% 0% 0% 69% 31% MSCI ACWI ex US Source: FactSet using GICS sector classification. Multi-Sector includes portfolio insurance investments. Portfolio insurance may include exchange traded notes (ETNS) and/or put spread options intended to protect capital in the event of a market sell-off. 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 at the end. 15.4% 15.9% 15.7% 10.7% 0.2% 0.7% 0.5% 0.6% 0.4% 0.3% 0.8% 1.4% MSCI ACWI ex US 0.3% 0.1% 0.0% 0.0% 5.4% Numbers may not foot due to rounding. The most current month-end and YTD performance, weightings and AUM numbers are estimated. Exposure figures do not include forward hedge positions. With respect to net performance calculations, see disclosures at the end.

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