Massachusetts Water Resources Authority (“MWRA”) Employees’ Retirement System
Disclosures
APPENDIX
APPLICABLE TO SHINBONE ALLEY ONLY:
Performance results for the Fund from inception through June 30, 2020 are hypothetical showing returns for an investor who invested at Fund inception with no subsequent capital
contributions or withdrawals. Net Hypothetical performance shown includes the deduction of a management fee of 1% of net asset value charged monthly in arrears and a performance allocation/fee
of 20% of profits accrued monthly and crystalized annually. Hypothetical performance also includes brokerage or other commissions, and any other expenses that a client would have paid. Monthly
gross returns were calculated by grossing up the actual net monthly returns using 1% annual management fee and 20% annual incentive fee applied to the Year-to-Date net return. Loss carry forward
from previous year, if applicable, was taken into consideration. No representation is being made that any investor will or is likely to achieve profits or losses similar to those shown. In fact, there are
frequently sharp differences between day 1 investor performance results and the actual results achieved by investors, depending upon, among other things, the timing of capital contributions and
withdrawals. Aggregate performance of the fund may also differ materially from the hypothetical day 1 investor performance reflected herein. Hypothetical day 1 investor performance shown prior to
July 1, 2020 is calculated by assuming a day 1 penny investor. Allocations of gains/losses and expenses and fees are applied to the penny investor monthly and a new hypothetical NAV is calculated
monthly.
Starting July 1, 2020 Performance results for the Fund reflect the performance earned by a Fund investor using loss carry forward under a model fee structure of the highest fee structure in place
for each year. The Funds' performance is presented net of an annualized base management fee of 1% of net asset value charged monthly in arrears and a performance allocation/fee of 20% of profits.
Returns post July 1, 2020 are inclusive of both the restricted and non-restricted interest/share classes.
APPLICABLE TO MULBERRY STREET (AND, IF APPLICABLE, SELECT EQUITY FUNDS) ONLY:
Unless otherwise stated, the performance data referred to in this letter/report reflects the returns of SEG's Mulberry Street composite which includes all individually-managed accounts in this
Strategy (other than those managed for less than a calendar month or where certain portfolio or account customizations effected at the request of the client would, in SEG's reasonable
determination, warrant exclusion). The performance of the composite may differ from the performance achieved by the individual client accounts due to moderate differences in weightings of
individual securities, the timing of individual transactions, different fee arrangements, the influence of additions and withdrawals and restrictions that clients may have placed on individual
accounts. Most annual advisory fees collected from client accounts included in the composite ranged from 0% to 2.0% during the period depicted. Certain accounts included in the composite have
other fee arrangements including performance-based fee arrangements. Additionally, Mulberry Street composite performance may vary from the performance of Select Equity Fund, L.P. and Select
Equity Offshore, Ltd. (Mulberry Street private funds).
Beginning 12/1/2015, the following additional changes have been implemented:
Dividends are accrued daily, management fees are accrued on the last business day of each quarter, performance fees, if applicable, are accrued on the last business day of the fiscal year, cash flow
weighting for subscriptions and redemptions is at beginning of day and 2015 YTD returns for the composite are calculated by geometrically linking the eleven monthly returns under the cash basis of
accounting and the final month under the accrual basis of accounting.
Unless otherwise stated, performance results for an individual Fund reflect the performance earned by a Fund investor who had invested at the beginning of each year under a model fee structure of
1.5% annual management fee (2% before November 2012), accrued monthly. The Funds' performance is presented net of an annualized base management fee of 1.5% (2% before November 2012) of
net asset value charged monthly in arrears. Individual investor performance as well as the aggregate performance of each Fund may differ from the performance reflected herein. Beginning January
2010, the Funds also started offering the option of a 1% management fee and 20% performance allocation over the Russell Midcap (the "Hurdle"). Actual returns reflecting the deduction of 1%
management fee and 20% performance allocation over the Hurdle are available upon request. The performance allocation is applied on an annual basis. The Hurdle is calculated on a cumulative basis
and any underperformance relative to the Hurdle from prior year(s) is included in the performance allocation calculation. Prior to September 2017, performance returns for this fee structure were
calculated using beginning of year investment and any underperformance relative to the Hurdle from prior year(s) was not included in the performance allocation calculation.
Distribution of this information to any person (unless required by law or legal/regulatory process) other than the person to whom this information was originally delivered and to such
person's advisers is unauthorized and any reproduction of these materials, in whole or in part, or the disclosure of any of the contents without the prior consent of the Investment
Manager is prohibited.
A COPY OF PART 2 OF SEG'S FORM ADV IS AVAILABLE UPON REQUEST
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