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

APPENDIX Disclosures All computations assume the reinvestment of dividends, interest and capital gains. Much of the data and other information contained in this letter/report is unaudited and is collected, in whole or in part, from a source believed by SEG to be reliable. SEG cannot guarantee the accuracy of the data/information and therefore shall not be held liable for inaccurate data/information. Assets are as of month end. Unless otherwise indicated, certain marketing analytics (e.g., tracking error, beta) use data drawn from only one of the Fund vehicles (Data referring to market cap exposure, positions and weightings are derived from the Firm's internal systems or prime brokerage/admin statements generally referring to only one of the Fund vehicles. The Fund vehicles in each strategy, however, are managed substantially similarly on a portfolio weightings basis. The average long/short exposure is calculated using daily exposures and such average exposures and the resulting internal return calculations are approximations. Geographic exposure is determined by using the MSCI Global Investable Market Indices ("GIMI") Methodology for country classification. Sector exposure is derived from FactSet which uses GICS industry classification. Manager reserves the right to use a different or internal methodology for classification if a security is not classified by MSCI/GICS or if it does not agree with the assigned classification. Securities may currently be held in the portfolio where the manager used internal classification." For each Fund, performance is calculated monthly using the net asset value appreciation (net of fees and expenses) as a percentage of beginning-of-month net asset value (appropriately adjusted for any capital activity). Beginning 12/1/2015, third party expenses are no longer included in calculating net performance. Purchases and sales of securities are recorded on a trade date basis. Unrealized gains and losses from investment transactions are recognized as income. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. The Funds' annual returns are calculated by linking the monthly performance through compounded multiplication. Realized gains and losses from security transactions are generally determined using the specific identification method. At various points in this letter/report, the returns of the Funds may be compared to the S&P 500 Index, the S&P 400 Mid Cap Index, the Russell Midcap Index and/or the Russell 2000. The S&P 500, which is a market capitalization-weighted index, contains the 500 most widely held companies chosen with respect to market size, liquidity and industry. The S&P 400 MidCap Index contains the 400 domestic companies immediately below the top 500 companies as listed in the S&P 500 Index. The Russell Midcap Index is intended to measure the performance of the mid cap segment of the US equity universe. The Russell Midcap Index is a subset of the Russell 1000 Index. It includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000 Index measures the performance of the 2,000 smallest companies in the Russell 3000 Index. The MSCI All Country World Index (ACWI) is market capitalization weighted index designed to provide a broad measure of performance throughout the world. The MSCI ACWI ex USA captures large, mid and small cap representation across various Developed Markets (DM) countries (excluding the United States) and Emerging Markets (EM) countries (lists available upon request). The volatility of these indices may be materially different from that of the Funds'. In addition, the holdings in the Funds will generally differ significantly from the securities that make up the indices. These indices have not been selected to represent an appropriate benchmark to compare the Funds' performance, but rather are used to allow for comparison to well-known and widely recognized indices. Neither S&P nor its third-party information providers shall be liable with respect to the data and information contained in this report or the context from which it is drawn. "S&P," "S&P 500" and "S&P 400" are registered trademarks of Standard & Poor's. Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits), even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI's express written consent. The HFRI Equity Hedge (EH) Total Index is an equally weighted performance index. It uses the HFR database and consists only of Equity Hedge funds with a minimum of US $50 million AUM or a 12-month track record and that report assets in USD. It is calculated and rebalanced monthly and shown net of all fees and expenses. Equity Hedge strategies invest in a core holding of long equities at all times with short sales of stocks and/or stock index options. HFR compiles the performance numbers from sources it believes to be reliable but makes no representations and assumes no responsibility or liability, express or implied, as to the accuracy or completeness of these numbers. Source: Hedge Fund Research, Inc., www.hedgefundresearch.com, © 2020 Hedge Fund Research, Inc. All rights reserved. Any investor who subscribes, or proposes to subscribe, for an investment in an unregistered pooled investment fund must be able to bear the risks involved and must meet an unregistered pooled investment fund's suitability requirements. Some or all alternative investment programs may not be suitable for certain investors. No assurance can be given that an unregistered pooled investment fund's investment objectives will be achieved. Such investments are typically speculative and involve a substantial degree of risk. An unregistered pooled investment fund may use leverage and/or engage in other speculative investment practices that may increase the risk of investment loss. Past results of the unregistered pooled investment fund's investment manager are not indicative of future performance of the fund, and the fund's performance may be volatile. An investor must realize that he or she could lose all or a substantial amount of his or her investment in an unregistered pooled investment fund. The investment manager has total trading authority over the unregistered pooled investment fund, and the fund is dependent upon the services of the investment manager. The use of a single adviser could mean lack of diversification and, consequently, higher risk. Unregistered pooled investment funds are generally highly illiquid. There is no secondary market for an 37