Massachusetts Water Resources Authority (“MWRA”) Employees’ Retirement System
Baxter Street Drawdown Analysis
During periods in which the MSCI AWCI ex US Index has experienced large drawdowns, Baxter Street
consistently outperformed the market.
MSCI ACWI ex US Index Five Largest Drawdowns Since Baxter Street's Inception
MSCI ACWI ex US
■Baxter Street Fund Net
0%
-5%
-10%
-15%
-20%
-25%
May 2013 June 2013
-6.5%
-2.7%
Global equity "taper tantrum"
triggered by discussion of
scaling back quantitative
easing
July 2014 January 2015
-9.1%
-4.8%
Stalling global economic
recovery outside of the US and
the UK.
Time Period
May 2013
June 2013
July 2014
January 2015
May 2015 February 2016
February 2018 - December 2018
January 2020 March 2020
May 2015 February 2016 February 2018 - December 2018 January 2020 - March 2020
-20.1%
-11.5%
Collapse in oil and commodity
prices.
Capitulation in emerging markets
equities.
Correction in Chinese equity
markets and yuan devaluation.
MSCI ACWI ex US
-6.5%
-9.1%
-20.1%
-18.7%
-23.4%
-18.7%
-13.1%
Mounting concerns over
monetary tightening, post-QE
normalization and potential
global trade war, combined with
softening developed-world
economic growth (outside the
US) and rising political risk in
Europe.
Baxter Street Fund Net
-2.7%
-4.8%
-11.5%
-13.1%
-21.4%
-21.4%
-23.4%
COVID-19 spreads from regional
epidemic to the worst global
pandemic since Spanish flu in 1918,
causing governments throughout the
world to voluntarily bring economic
activity to a halt by ordering citizens
to shelter at home.
As of December 31, 2020. The most current month-end performance numbers are estimated. Past performance is not indicative of future results, which may vary. Index performance is shown for illustrative purposes-it is not possible to invest in an Index. Drawdown
analysis calculations based on month-end data. Source: MSCI. The time periods represent the five largest peak-to-trough drawdowns in the MSCI ACWI ex US Index since inception of the Baxter Street Fund. See important performance and other disclosures included at
the back of this presentation.
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