Americas Europe Asia

*Dr. David Kelly, CFA Karen Ward Tai Hui

Gabriela Santos
New York London Hong Kong
New York

Marcella Chow
Hugh Gimber, CFA
Hong Kong
London
Vincent Juvyns
*Meera Pandit, CFA Luxembourg Shogo Maekawa
Jack Manley
New York Tokyo
New York
Ian Hui
Hong Kong
*Aaron Hussein, CAIA
London
Tilmann Galler, CFA Fumiaki Morioka
Frankfurt Tokyo

Jennifer Qiu
Stephanie Aliaga Hong Kong
Jordan Jackson
New York New York Max McKechnie
London
Maria Paola Toschi Chaoping Zhu, CFA
Milan Shanghai

*Mary Park Durham *Brandon Hall

New York New York Natasha May
London Elena Domecq Raisah Rasid Arthur Jiang
Madrid Singapore Shanghai

Marina Valentini
São Paulo
Erin Erdoes Zara Nokes Lucia Gutierrez Mellado *Sahil Gauba Agnes Lin Kerry Craig, CFA
New York London Madrid Mumbai Taipei Melbourne
60/40 annual return decomposition S&P 500 / U.S. 10-year Treasury correlation
%, total return Rolling 12-month correlation based on total returns
40% 1.0
Equity return
Fixed income return
60/40 calendar year return 0.8
30%

22 0.6
19 18 19 18
20% 17 0.4
15 14
11 12 11 11
8 8 0.2
10% 6
4 4
1 0.0

0%
-1 -0.2
-3
-4
-10% -0.4
-9

-0.6
-16
-20%
-20
-0.8

-30% -1.0
'00 '03 '06 '09 '12 '15 '18 '21 '80 '84 '88 '92 '96 '00 '04 '08 '12 '16 '20 '24
Earnings/coupon yield on a 60/40 portfolio 60/40 earnings/coupon yield and subsequent 10-year
Blended S&P 500 forward E/P ratio and Bloomberg U.S. Agg. YTW annualized returns: Feb. 1985 – May 2014
20%
12%

60/40 cheap relative 18%

11% to history

16%
10%

14%

10-year annualized return

9%

12%
8% +1 Std. dev.: 7.71%

10%
7%
May 31, 2024:
4.97% 8%
6%
Long-term avg.: 6.09%
6%
5% Implied return:
5.9%
-1 Std. dev.: 4.47% 4%
4%

60/40 expensive relative 2%

3% to history

0%
2% 3% 4% 5% 6% 7% 8% 9% 10% 11% 12%
'85 '88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21 '24 Earnings/coupon yield
60/40 portfolio real yield
60/40 portfolio yield minus the y/y % change in core CPI, monthly
5%
Nominal yield
4%

3%

2%

1%

0%
Real yield
-1% May 31, 2024
S&P 500 dividend yield 1.5%
-2%
U.S. Agg. yield-to-worst 5.1%
60/40 nominal yield 2.9%
-3%
Core CPI (y/y) 3.6%
-4% 60/40 real yield -0.7%

-5%

-6%
'96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
 Alternatives and portfolio risk/return
Annualized volatility and returns, 1Q90 – 4Q23
10% 50% Equities
20% Bonds
40% Equities
30% Alts
30% Bonds
30% Alts
30% Equities
40% Bonds
9% 30% Alts
80% Equities
20% Bonds
Annualized returns

60% Equities
8%
40% Bonds

40% Equities Portfolio allocation Volatility Annualized returns

60% Bonds 40 Equities/60 Bonds 6.9% 7.5%
60 Equities/40 Bonds 9.7% 8.5%
7%
80 Equities/20 Bonds 12.8% 9.4%
30 Equities/40 Bonds/30 Alts. 6.5% 8.5%
40 Equities/30 Bonds/30 Alts. 8.0% 9.0%
50 Equities/20 Bonds/30 Alts. 9.5% 9.5%

6%
6% 7% 8% 9% 10% 11% 12% 13%
Annualized volatility
Correlations, returns and yields
10-year correlations and 10-year annualized total returns, quarterly, 2014 - 2023
25%
Real estate Bubble size = yield
Infrastructure
3%
Private markets
Hedge funds
20%
0%
10-year annualized return

Venture Capital
15% Private Equity
Transport

Infrastructure
10% APAC Core RE
Direct Lending

Europe Core RE
5% Hedge funds
U.S. Core RE

CML - Senior*

0%
-0.60 -0.40 -0.20 0.00 0.20 0.40 0.60 0.80 1.00
Trailing 10-year correlation to 60/40 portfolio
Public and private manager dispersion
Based on returns over a 10-year window*
30%

25%
23.3%

20% 18.1%

15% 14.1% 13.9%

10% 8.9%
Top quartile 7.6%
Median
7.3%
5% Bottom quartile 6.2%
2.2%

2.1%
1.3%
0%
-0.4%
-2.2%
-5%
-4.5%

-10%
U.S. Fund Global U.S. Fund Global U.S. Core U.S. Non-core Global Private Global Venture Hedge Funds
Equities Bonds Real Estate Real Estate Equity Capital
Asset class valuations
Z-scores based on average valuations since March 2009*
Jan. 1, 2022 Current
4

Lower yield/tighter spread

3 2.79

1.78 1.78
2
1.50
1.30
0.95 1.09 1.10
0.89
0.78 1.48 0.66
1
1.03 1.09 1.20
0.29 0.98 0.40
-0.08 0.66
0
0.23 -0.65
0.09
-0.22 -0.40
-1
Fwd. Fwd. LBO Fwd. Yield-to- Cap rate Cap rate Cash flow Spread- Income
P/FCF P/S Yield
P/E P/E PPM P/E worst spread spread yield to-worst spread

-2
Higher yield/wider spread
-2.35
-3
Global REITs U.S. Small Int'l Equity Private Equity Venture U.S. Large U.S. Core Europe RE U.S. Core RE Transport Infrastructure U.S. High Yield Private Credit
Cap Capital Cap Bond
Public and private market correlations
Quarterly returns
Global Global Global U.S. Core Europe APAC Global Direct Venture Private Equity Relative
2Q08 - 4Q23 Transport Timber Macro Bitcoin
Bonds Equities REITs RE Core RE* Core RE Core Infra Lending Capital Equity Long/Short Value
Financial

Global Bonds 1.0

assets

Global Equities 0.4 1.0

Low correlation High correlation
Global REITs 0.5 0.8 1.0
real estate
Global

U.S. Core RE -0.3 0.0 -0.3 1.0

Europe Core RE* -0.2 0.0 -0.1 0.7 1.0

APAC Core RE -0.2 0.0 0.0 0.8 0.7 1.0

Real assets

Global Core Infra -0.1 0.1 0.1 0.4 0.3 0.5 1.0

Transport -0.2 -0.1 -0.2 0.4 0.1 0.3 -0.1 1.0

Timber -0.2 -0.2 -0.1 0.3 0.1 0.3 0.2 0.0 1.0

Direct Lending 0.1 0.7 0.6 0.2 0.2 0.3 0.3 0.0 -0.1 1.0
markets
Private

Venture Capital 0.1 0.5 0.4 0.3 0.5 0.3 0.2 0.0 0.0 0.5 1.0

Private Equity 0.3 0.8 0.7 0.3 0.4 0.3 0.2 0.0 -0.1 0.8 0.8 1.0

Equity Long/Short 0.3 0.9 0.7 -0.1 0.0 -0.1 0.1 -0.2 -0.2 0.7 0.6 0.8 1.0
Hedge
funds

Relative Value 0.2 0.9 0.8 -0.1 0.1 0.0 0.1 -0.2 -0.2 0.9 0.5 0.8 0.9 1.0

Macro 0.0 0.3 0.3 0.0 0.2 0.0 0.0 -0.2 0.1 0.1 0.2 0.2 0.3 0.3 1.0
Crypto

Bitcoin 0.1 0.1 0.1 0.1 0.0 0.1 0.2 0.0 0.0 0.1 0.2 0.2 0.1 0.1 0.0 1.0
Asset class yields
Percent
14%
Equities

12.1% Fixed income

12% Alternatives

10% 9.4%

8.0% 7.9%
8%
6.4% 6.3%
6% 5.5%
4.5% 4.5% 4.3% 4.3%
3.8%
4% 3.3%
3.2%
2.7% 2.5%

2% 1.3%

0%
Equity market correlations and yields*
Last 12 months
12%
Higher yielding U.S. government Stronger correlation
sectors to equities
U.S. non-government
10%
International Euro HY
Transport
Alternatives EMD ($) U.S. HY

8%
EM Corp.
Japan CML - Senior* EMD (LCL)
Floating rate Convertibles
Yield

6% Europe Real estate

Germany TIPS Euro Corp.
2y UST MBS U.S. corps
APAC Real estate
30y UST UK
4% U.S. Aggregate
5y UST
U.S. Real estate 10y UST Munis
Infra.
2% Timber

0%
-0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0
Correlation to S&P 500
Global private capital fundraising
USD billions
$2,000
Natural resources*
Infrastructure
$1,800 $1,742
Real estate
Private credit
$1,600 Venture capital $1,552
Private equity
$1,409 $1,399
$1,400 $1,348
$1,266
$1,219
$1,200 $1,141

YTD May
$1,000
2024
$864
$800
$718
$623
$600
$489
$476
$400

$200

$0
'12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24
Global dry powder by asset class
Total dry powder, USD billions, end of period
$4,000

Asset class May '24 % of total

$3,500 Natural resources* $40 1%
Infrastructure $368 9%
Real estate $409 10%
$3,000 Private debt $449 11%
Venture capital $316 8%
Private equity $2,381 60%
$2,500 Total $3,963 100%

$2,000

$1,500

$1,000

$500

$0
'12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24**
 2014-2023
2014 2015 2016 2017 2018 2019 2020 . 2021 2022 2023 Ann. Vol.**
Venture Venture Venture Venture Venture Venture Venture
Transport Infra. Private Equity Transport Transport
Capital Capital Capital Capital Capital Capital Capital
26.0% 16.2% 14.2% 23.2% 21.3% 20.3% 58.3% 49.5% 23.5% 25.4% 16.2% 13.2%

Infra. Infra. Transport Transport Infra. Private Equity Private Equity Private Equity Infra. Direct Lending Private Equity Transport

13.9% 15.5% 13.4% 20.2% 11.6% 17.0% 24.4% 37.5% 9.7% 12.1% 14.6% 10.5%

Venture Venture Europe Core Asset

U.S. Core RE Private Equity Infra. U.S. Core RE U.S. Core RE Private Equity Transport Private Equity
Capital Capital RE Allocation
12.5% 15.1% 12.4% 14.9% 9.9% 11.5% 12.0% 22.2% 7.5% 9.1% 13.9% 8.5%

Europe Core Asset Europe Core Asset

U.S. Core RE Direct Lending APAC Core RE Transport APAC Core RE Infra. Infra. U.S. Core RE
RE Allocation RE Allocation
12.3% 15.0% 11.2% 12.2% 9.4% 9.4% 10.6% 19.3% 6.9% 8.1% 10.7% 5.5%

Asset Europe Core Asset Asset

APAC Core RE Infra. Private Equity Hedge Funds Transport Direct Lending CML - Senior* Hedge Funds
Allocation RE Allocation Allocation
11.2% 12.8% 10.5% 12.2% 9.2% 9.2% 8.9% 18.8% 6.3% 5.6% 10.6% 5.4%

Asset Europe Core Europe Core Europe Core

Private Equity APAC Core RE U.S. Core RE APAC Core RE Direct Lending CML - Senior* Hedge Funds Direct Lending
Allocation RE RE RE
10.1% 11.8% 8.8% 11.6% 8.7% 9.0% 6.3% 14.2% 4.6% 4.5% 8.8% 4.2%

Asset Asset Europe Core Asset Asset

Direct Lending U.S. Core RE CML - Senior* Direct Lending Hedge Funds APAC Core RE CML - Senior*
Allocation Allocation RE Allocation Allocation
9.6% 10.4% 8.5% 9.8% 8.3% 8.1% 5.5% 13.9% 2.4% 4.3% 7.5% 4.0%

Europe Core Europe Core Venture

APAC Core RE Private Equity Direct Lending Direct Lending APAC Core RE Direct Lending Private Equity U.S. Core RE Infra.
RE RE Capital
9.4% 9.4% 8.1% 8.6% 8.1% 6.6% 4.8% 12.8% -1.6% -2.0% 7.3% 3.4%

Europe Core Asset

CML - Senior* Direct Lending Hedge Funds Hedge Funds Transport Hedge Funds U.S. Core RE APAC Core RE Hedge Funds APAC Core RE
RE Allocation
7.4% 5.5% 3.2% 8.5% 7.7% 5.6% 1.2% 12.0% -2.8% -2.5% 7.2% 3.0%

Europe Core
Transport CML - Senior* CML - Senior* U.S. Core RE CML - Senior* U.S. Core RE Infra. Infra. CML - Senior* Hedge Funds Direct Lending
RE
6.9% 2.7% 2.9% 7.6% 2.6% 5.3% 0.2% 10.5% -9.0% -5.0% 4.4% 2.9%
Venture Venture
Hedge Funds Hedge Funds CML - Senior* Hedge Funds Transport APAC Core RE CML - Senior* U.S. Core RE CML - Senior* APAC Core RE
Capital Capital
4.3% -0.2% 0.6% 5.7% -1.2% -0.5% 0.1% 1.9% -20.6% -12.0% 3.3% 2.7%
Global private real estate returns
Rolling 4-quarter returns from income and capital appreciation
20%
Capital appreciation
Income
15%

10%

5%

0%

-5%

-10%

-15%

-20%

-25%
'09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23
U.S. REITs, direct real estate and equities
12-quarter rolling correlations, total return
1
Recession

0.8

0.6

0.4

0.2

-0.2

-0.4

-0.6
Avg. 4Q80 - 1Q24 1Q24
Direct real estate/S&P 500 correlation -0.1 -0.4
-0.8
REITs/S&P 500 correlation 0.6 0.9

-1
'80 '82 '83 '85 '86 '88 '89 '91 '92 '94 '95 '97 '98 '00 '01 '03 '04 '06 '07 '09 '10 '12 '13 '15 '16 '18 '19 '21 '22
Private real estate returns and real GDP growth Private real estate returns in different inflationary regimes
4Q78 – 1Q24, Real GDP SA, NCREIF ODCE Index, y/y % 4Q78 – 1Q24, quarterly, headline CPI, NCREIF ODCE Index, y/y %
40% 14%

30% 12%
Real estate 11.0%
Real GDP
20% 9.9%
10%
Current

10% 8.3%
8%

0%
6.1%
6%

-10%

4%
-20%

2%
-30%

-40% 0%
'78 '81 '84 '87 '90 '93 '96 '99 '02 '05 '08 '11 '14 '17 '20 '23 High & rising High & falling Low & rising Low & falling
U.S. real estate transaction volumes
USD billions, seasonally adjusted, 1Q13 – 1Q24
120

100

Office Industrial
Retail Apartment

80

60

40

20

0
'13 '15 '17 '19 '21 '23
U.S. real estate cap rates and interest rates U.S. real estate cap rate spreads
Transaction based, 10-year U.S. Treasury yield Transaction based, spread to 10y UST, 4-quarter rolling average
10% 5%
Avg. 1Q82 - 4Q23 1Q24
Cap rate 7.0% 6.1%
10-year UST yield 5.3% 4.2%

8% 4%

6% 3% Avg. 2.8%

4% 2% Mar.
2024:
1.4%

2% 1%

0% 0%
'98 '03 '08 '13 '18 '23 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22 '24
U.S. vacancy rates by property type Net operating income growth by property type
Percent, 1Q00 – 1Q24 Rolling 4-quarter growth, 1Q13 – 1Q24
18% 30%
Apartment Office CAGR Apartment
1yr 3yr Office
5yr 10yr
Industrial Retail Industrial Industrial
9.8% 12.0% Retail
10.3% 8.7%
16%
20% Office 2.3% 1.2% 2.4% 3.9%
Retail 2.4% 8.1% -0.5% 1.1%
14% Apartm ent 2.8% 6.4% 4.7% 1.1%
10%
12%

0%
10%

8%
-10%

6%
-20%

4%

-30%
2%

0% -40%
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22 '24 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24
U.S. office leasing activity U.S. office executed rental rates
In million square feet, quarterly, 1Q16 – 1Q24 Base and effective rental rates per square foot 1Q19 – 1Q24
70 $100
Trophy base** Trophy effective**
Base rent Effective rent*

60 $90
1Q24:
43.4

50 $80

40 $70

30 $60

20 $50

10 $40

0 $30
'16 '17 '18 '19 '20 '21 '22 '23 '24 '19 '20 '21 '22 '23 '24
U.S. office stock removed by category U.S. office real estate lease expiration and debt maturity
In million square feet, 1995 – 2023 U.S. office commercial real estate
25 24%
Conversion
Renovation Lease expiration by year as % of total
Demolition 20.8% Debt maturity as % of total current balance
20%
20

16.2%
16%

15
12.7% 12.7%

12% 11.2% 11.4%

10.5% 10.4%

10

8%

5
4%

0 0%
'95 '98 '01 '04 '07 '10 '13 '16 '19 '22 2024 2025 2026 2027
U.S. online retail sales by segment Change in number of physical retail establishments
% of total retail sales by segment, NSA 2Q13 – 3Q23, percent

Total 32.6%
9%
Total online retail Goods-producing 22.4%
15.6%
Service-providing 33.4%

Department/discount 39.2%
7%
Clothing and general merchandise Personal care/services 31.0%
15%
Restaurants/bars 21.5%

8% Grocery/liquor 11.3%
Furniture, building materials and
electronics Pharmacies and personal care 11.0%
14%
Automobile dealers 7.5%

2.9% Gas stations 5.5%

Motor vehicle and parts
4% Furniture/furnishings -1.7%

2Q18 Entertainment goods -13.8%

2% 1Q24
Electronics/appliances -14.1%
Other*
3% Clothing -34.9%

-50% -25% 0% 25% 50%

0% 6% 12% 18%
U.S. industrial construction activity and vacancy rates U.S. cities with highest industrial net absorption
1Q22 – 1Q24 Net absorption as a % of total deliveries, 1Q24
700 7% 100%
Under construction (in million square feet)
93%
634 633 Vacancy rate
621 90%
587 587 85%
600 6%

530 80%

491
500 5% 70%
65%

408 59% 58%

60%
400 4%
362
50%

300 3%
40%

30%
200 2% 30%

20%
100 1%
10%

0 0% 0%
1Q22 2Q22 3Q22 4Q22 1Q23 2Q23 3Q23 4Q23 1Q24 Savannah Eastern & Houston Atlanta New Phoenix
Central Jersey
Penn.
U.S. renter occupied housing units Investor market share by property type
%, Rented occupied units as a percentage of total, 1Q00 – 1Q24 1Q00 – 1Q24, share of sales, 50 most populous U.S. metro areas
38 40%

Max: 35%
37 35%

Current
36 30% 32%

35 25%
34.4%
20%
19%
34 20% Average 19%

18% 18% 18%

33 15%

32 10% Min: 12%

31 5%
6%
5% 5%

30 0%
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22 Single family Multi-family Condo/Co-op Townhouse
European transaction volumes European transaction volumes by property type
EUR billions 1Q13 – 1Q24 1Q07 – 4Q23
180 100%
6% 5% 5% 6% 7% 5% 5% 6%
8% 7% 7% 7% 9% 9% 8% 10%
11%
6% 8% 7% 6% 7% 8%
160 90% 7%
6% 7% 7% 7% 8% 4% 4% 5%
6% 8%
9%
6% 11% 10% 14% 12%
80% 8% 15% 13% 14%
15%
140 18% 19% 23% 20%
27% 19%
70%
23%
120 26%
26% 22%
26% 29% 24% 24% 22% 18%
22%
60% 16% 13% 15%
13%
100 10% 18%
10%
50% 9% 11% 12%
10% 9% 14%
80 10% 10% 9% 11% 12%
10% 16%
20%
40% 20%
19%
60
30%

46%
40 44% 42% 41% 40% 43% 40% 40%
20% 39% 38% 40% 40% 41%
35%
30% 32%
26%
20 10%

0 0%
'13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23
Other Hotel Apartment Retail Office
Office Retail Industrial Apartment Hotel
Industrial
Europe real estate estate yields and interest rates Europe real estate yield spreads
2Q98 – 1Q24 Spread to euro area 10-year government bond, basis points
7% 400
Avg. 1Q24
Eurozone 10-year yield 2.5 2.3
6% Europe all-property yield 4.9 4.9 350

300
5%

250
4%
194.2
200
Avg.170
3%
150

2%
100

1%
50

0% 0

-1% -50
'98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22 '24 '97 '00 '03 '06 '09 '12 '15 '18 '21 '24
Prime yield by property type* Prime rent growth by property type
4Q87 – 1Q24 Year-over-year % change, 4Q87 – 1Q24
11% 30%
Avg. 4Q87 - '23 1Q24 Avg. 4Q87 - '23 1Q24
Industrial 7.4% 5.2% Industrial 2.9% 5.4%
25%
10% Office 5.0% 4.9% Office 3.2% 6.1%
Retail 4.9% 4.6% Retail 4.9% 2.5%
20%
9%
15%

8%
10%

7% 5%

0%
6%

-5%
5%
-10%

4%
-15%

3% -20%
'87 '90 '93 '96 '99 '02 '05 '08 '11 '14 '17 '20 '23 '87 '90 '93 '96 '99 '02 '05 '08 '11 '14 '17 '20 '23
Prime yielddemand
Industrial by property
and type*
supply
4Q87 – 4Q23
Thousands, square meters
30,000 9

Net absorption (lhs)

8
Net completions (lhs)
25,000
Vacancy rate (rhs)
7

20,000 6

5
15,000
4

10,000 3

2
5,000
1

0 0
'11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23
Office vacancy rates by city Office vacancy rates within cities
1Q10 – 1Q24 Total city vacancy rates vs. central business districts*, 1Q24
16% 10%

Hundreds
Paris

Munich 9%
14%
Milan
8%
London
12%
7%

10% 6%

5%
8%
4%

6%
3%

4% 2%

1%
2%
0%
Overall CBD Overall City Overall CBD Overall West
0% centre End
'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24
Paris Munich Milan London
Global online retail sales Retail real estate per capita
Percent of total retail sales, 1Q24* Square feet per person
32%
North America Indonesia 1

Asia Pacific Russia 1.4 North America

28% Asia Pacific
Europe South Korea 2.2
Germany 2.3 Europe
24%
Thailand 2.3
Taiwan 2.4
20%
Italy 2.8
China 2.8
16%
Spain 3.4
Switzerland 3.6
12%
France 3.8
Netherlands 4.1
8%
Japan 4.4
U.K. 4.6
4%
Australia 11.1
Canada 16.8
0%
U.S. 23.5

0 5 10 15 20 25
 2014-2023
2014 2015 2016 2017 2018 2019 . 2020 2021 2022 2023 YTD '24 Ann. Vol.*
Ret. Free Regional Ret. Free Regional
Mfgd. Homes Self Storage Industrial Data Centers Mfgd. Homes Data Centers Data Centers Health Care Mfgd. Homes
Standing Malls Standing Malls
46.2% 40.6% 30.7% 28.4% 13.9% 49.1% 21.0% 92.1% -6.5% 30.1% 9.5% 16.1% 35.0%
Lodging/ Shopping Regional Regional Lodging/
Apartments Mfgd. Homes Mfgd. Homes Mfgd. Homes Industrial Self Storage Self Storage Industrial
Resorts Centers Malls Malls Resorts
39.6% 25.6% 24.3% 24.9% 11.4% 48.7% 12.9% 79.4% -12.5% 29.9% 6.8% 15.9% 29.8%
Ret. Free Shopping Lodging/ Lodging/ Shopping
Health Care Apartments Industrial Health Care Data Centers Industrial Apartments Self Storage
Standing Centers Resorts Resorts Centers
33.3% 16.5% 17.0% 20.6% 7.6% 44.2% 12.2% 65.1% -15.3% 23.9% 5.2% 13.7% 28.9%
Regional Ret. Free All Equity Ret. Free
Mfgd. Homes Apartments Office Mfgd. Homes Apartments Health Care Industrial Data Centers Apartments
Malls Standing REITs Standing
32.6% 5.9% 14.2% 8.7% 3.7% 31.4% -1.7% 63.6% -22.2% 19.2% 0.4% 8.5% 22.0%
Lodging/ Shopping Lodging/ All Equity All Equity Regional Ret. Free All Equity
Office Self Storage Industrial Self Storage Self Storage
Resorts Centers Resorts REITs REITs Malls Standing REITs
32.5% 4.7% 13.2% 7.2% 2.9% 28.7% -5.1% 62.0% -22.9% 18.5% -3.9% 7.9% 21.8%
Regional All Equity All Equity Shopping Ret. Free
Self Storage Office Industrial Apartments Health Care Mfgd. Homes Health Care Office
Malls REITs REITs Centers Standing
31.4% 4.2% 8.6% 5.2% -2.5% 26.3% -9.9% 42.0% -24.9% 13.9% -4.2% 7.0% 21.7%
Shopping All Equity All Equity Shopping Ret. Free All Equity Shopping All Equity
Health Care Self Storage Self Storage Health Care Health Care
Centers REITs REITs Centers Standing REITs Centers REITs
30.0% 2.8% 6.4% 3.7% -4.0% 25.0% -10.5% 41.3% -26.7% 12.0% -4.3% 4.9% 21.3%
All Equity Shopping Regional Ret. Free All Equity Lodging/ Shopping
Industrial Apartments Apartments Data Centers Data Centers Industrial
REITs Centers Malls Standing REITs Resorts Centers
28.0% 2.6% 3.7% 3.7% -7.0% 24.8% -15.3% 25.5% -28.0% 11.4% -5.7% 4.6% 20.6%
Ret. Free Lodging/ Regional
Office Office Apartments Health Care Office Office Mfgd. Homes Apartments Office Apartments
Standing Resorts Malls
25.9% 0.3% 2.9% 3.1% -12.8% 21.2% -18.4% 22.0% -28.3% 5.9% -6.5% 2.7% 18.9%
Regional Lodging/ Lodging/ Ret. Free Lodging/
Industrial Health Care Health Care Data Centers Industrial Mfgd. Homes Self Storage Mfgd. Homes
Malls Resorts Resorts Standing Resorts
21.0% -7.2% -5.2% 0.9% -14.1% 15.6% -23.6% 19.7% -28.6% 2.5% -9.0% 2.5% 17.3%
Ret. Free Lodging/ Regional Shopping Lodging/ All Equity
Self Storage Office Self Storage Apartments Office Mfgd. Homes Office
Standing Resorts Malls Centers Resorts REITs
9.7% -24.4% -8.1% -2.7% -14.5% 13.7% -27.6% 18.2% -32.0% 2.0% -10.4% 0.7% 17.3%
Shopping Shopping Regional Regional Ret. Free
Data Centers Data Centers Data Centers Health Care Office Industrial Data Centers Data Centers
Centers Centers Malls Malls Standing
N/A N/A N/A -11.4% -14.5% -9.1% -37.2% 16.3% -37.6% -1.5% -14.8% N/A N/A
Global core infrastructure returns
1Q09-4Q23, rolling 4-quarter returns from income and capital appreciation Segment Weight in index*
18% Power 50%
Capital appreciation Transport 23%
Income Water 16%
15%
Communication 7%
Other 4%
12%

9%

6%

3%

0%

-3%

-6%
'09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23
Average annual global infrastructure need by type Infrastructure investment needs by region
USD trillions, as of 2017 USD trillions, 2016-2040, constant 2016 dollars

Share of total
$3.6 Asia 49%
U.S. 13%
Europe 16%
ROW 22%
Number of private infrastructure deals
1Q14-2Q24, USD billions
1,000
North America Europe Asia Pacific
900

800

700

600

500

400

300

200

100

0
'14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24
Number of deals by region Number of deals by type
Number of deals, Jan. 2014 – May 2024 Number of deals, Jan. 2014 – May 2024

Education Facilities Other

Healthcare/Medical 3% 2%
Facilities
5%

Telecom.
Asia Pacific 6%
22%

Europe
44% Utilities
9%

Energy
Transport 65%
North America
10%
34%
Gas and electric utilities: Allowed returns versus inflation Household utility spending
Average allowed return on equity* 1970-2023 Household utility spending % of personal consumption expenditures

16 5.0%
Recession

14
4.5%

12
Utility allowed Return on Equity (%)

4.0%
10

8 3.5%

6
3.0%

2.5%
2

0 2.0%
0 2 4 6 8 10 12 14 '79 '83 '87 '91 '95 '99 '03 '07 '11 '15 '19 '23
CPI (y/y % change, from two years prior)
Global temperature anomaly Global greenhouse gas emissions by source
1900-2023, annual difference from 20th century average temperature 2019, measured in tons of carbon dioxide equivalents
1.5°C

Air transport
2%
Energy Shipping
4% 2%
1.0°C Road transport
12% Rail
transport
0.2%

Industry
0.5°C 27%
Other transport
8%

Residential
bldgs
0.0°C 5%

Agriculture
12% Electricity and
heat production Commercial
-0.5°C 26% bldgs
2%

-1.0°C
'00 '10 '20 '30 '40 '50 '60 '70 '80 '90 '00 '10 '20
Planned U.S. electricity generating capacity U.S.’s energy consumption by type
Rest of 2024 % of primary energy consumption
2.9% 100%
Retirements
Coal 90%
Natural gas 14%
25%
Oil
Other* 80%
Total
retirements:
6.6GW 70%

60%
59%
50%
Additions 0.3%
Solar
Natural gas 40%
Wind 6%
Batteries
Nuclear 24% 30%
Other**
20%
Total additions:
51.1GW
10% 10%

60%
0%
'65 '70 '75 '80 '85 '90 '95 '00 '05 '10 '15 '20

Oil Gas Coal Nuclear Hydro Renewables***

Electric vehicles sales in the U.S. Number of electric vehicle charging points in the U.S.
Millions Thousands
10 1,100
Forecasts* Forecasts*
9 1,000
920

8
900
Plug-in hybrid electric vehicles
Battery electric vehicles 800
7

700
6
600
5
500
4
400 380

3
300

2 183
200
99 114 128
1 100 77
54
32 38 43
12 15 20
0 0
'12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '25F '30F '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '25F'30F
 U.S. timber returns and inflation Sources of U.S. timber returns
Headline CPI, NCREIF Timberland Index, 5-yr. ann. change, quarterly NCREIF Timberland Index, total return, yearly
30% 20%
Capital appreciation
Income

25% 15%
NCREIF Timberland Total Return Index

20% 10%

15% 5%

R² = 38%

10% 0%

5% -5%

0% -10%
0% 1% 2% 3% 4% 5% '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22

Headline CPI (y/y%)

Global merchandise trade World seaborne trade by product
% of global GDP Estimated in trillion ton-miles
55% 60
2022:
50.5%
50%
50
Gas

45%
40 Containers

40%
Average 38.3% Oil and oil
30 products

35%

20
30%

Dry bulk
10
25%

20% 0
'80 '85 '90 '95 '00 '05 '10 '15 '20 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Global fleet and orderbook Idle containership capacity as % of global fleet
Gross tonnage 10%
60% 1,800
World fleet
Orderbook as a % fleet 8%
Orderbook
1,600
6%
50%
May 2024:
1,400 2.4%
4%

40% 1,200 2%

1,000 0%
'14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24
30%
800 Global fleet age
+100 gross tonnage, average number of years
23 Dec. 2023:
20% 600 22.0 years
22
21
400 20
10% 19
200 18
17
0% 0 16
'05 '07 '09 '11 '13 '15 '17 '19 '21 '23 '05 '07 '09 '11 '13 '15 '17 '19 '21 '23
Global shipping costs Global port call duration*
USD per 40-foot container, weekly Number of days, 30-day moving average
$12,000 2.5

2.3

$10,000
2.1

1.9
$8,000

1.7

$6,000 1.5

1.3

$4,000
Average since 2019 1.1
Asia Pacific
0.9 Europe
$2,000
North America
0.7

$0 0.5
'19 '20 '21 '22 '23 '24 '20 '21 '22 '23 '24
Average age of commercial aircraft in the U.S. U.S. airline passenger miles flown
Number of years Billions of miles, yearly
14 13.3 13.4 14.0 100
12.7
11.8
12
10.4
90
10

8 80
6

4 70

2
60
0
1993 2000 2010 2018 2019 2020
50
Percent of industry-wide aviation fleet leased globally*
60% 40

50%
30
40%

30% 20

20%
10
10%

0% 0
1970 1980 1990 2000 2010 2020 2021 2022 '96 '01 '06 '11 '16 '21
Number of listed U.S. companies* and market cap. Average market value and median age at IPO
Number, S&P 500 market capitalization in USD trillions
$2.0 12
9,000 45

# of listed companies Market cap. Market value (LHS, USD billions)

40 Median age (RHS, years) 11

8,000
35 $1.5 10

7,000 30
9

25
6,000 $1.0 8

20

7
5,000 15

$0.5 6
10
4,000
5
5

3,000 0 $0.0 4
'91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 '23 1980-1989 1990-1998 1999-2000 2001-2023
Private equity value* and small cap market cap. Private equity vs. small cap sector weights
2007 – 2023, USD trillions 2022

4 12.7%
Private equity Tech
37.1%
Russell 2000
16.4%
Health Care
14.1%
3
14.7%
Industrials
15.1%

9.9% Russell 2000

Cons. Disc.
2 10.5% Private equity

17.1%
Financials
7.4%

1 2.9%
Comm. Services
5.9%

18.6%
Other**
3.2%
0
'07 '09 '11 '13 '15 '17 '19 '21 '23 0% 8% 16% 24% 32% 40%
U.S. applications for business formation Growth in business establishments by private industry
Seasonally adjusted, thousands, 1Q06 – 1Q24 December 2019 – September 2023

1,700
Total 16%

Information* 52%
1,500 Professional and business
28%
Recession services
Other services** 23%

1,300 Service-providing 17%

Education and health services 17%

1,100 Financial activities 16%

Construction 12%

900 Manufacturing 11%

Goods-producing 11%

Leisure and hospitality 9%

700
Trade, transportation, and utilities 6%

Natural resources and mining 4%

500
'06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24 0% 10% 20% 30% 40% 50% 60%
Global private equity fundraising by type Global private equity fundraising by region
Annual, USD billions Annual, USD billions

$1,200 $1,200
Buyout North America
Growth Europe
YTD 2024: ROW YTD 2024:
Secondaries $300 bn $300 bn
$1,000 $1,000
Venture capital
Others

$800 $800

$600 $600

$400 $400

$200 $200

$0 $0
'05 '07 '09 '11 '13 '15 '17 '19 '21 '23 '05 '07 '09 '11 '13 '15 '17 '19 '21 '23
Private equity investments by value Private equity exits by value
USD billions USD billions
$2,000 $2,000
Avg. '14 - '23 2024* Avg. '14 - '23 2024*
North America $534 $175 $1,844
North America $389 $100
$1,800 Europe $218 $75 $1,800
Europe $153 $35
APAC $261 $50
APAC $120 $17
$1,600 Total investments $1,600
$1,538

$1,400 $1,400
$1,225
$1,200 $1,200
$1,066 $1,088

$1,000 $962 $1,000

$802 $822
$800 $751 $800 $692
$677 $645 $648
$592 $571 $621
$581 $540 $567
$600 $600 $519

$400 $400
$299

$152
$200 $200

$0 $0
'14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24
U.S. private equity investments by sector U.S. private equity exits by type
USD billions USD billions
$1,500 $900
Avg. '08 - '23 1Q24 Avg. '08 - '23 1Q24
Business to business 28.5% 28.8% Public listing 18.7% 2.3%
Business to consum er 18.6% 12.9% $800 Secondary buyout 38.3% 30.4%
Natural resources 13.0% 10.2% Corporate acquisition 43.1% 67.3%
Financial services 8.3% 18.4%
$1,200 $700
Health care 12.7% 10.0%
Technology 18.9% 19.8%

$600

$900
$500

$400
$600

$300

$200
$300

$100

$0 $0
'08 '10 '12 '14 '16 '18 '20 '22 '24 '08 '10 '12 '14 '16 '18 '20 '22 '24
U.S. private equity investments by size U.S. private equity investments by type
% of total number of investments, 2008 – 1Q24 % of total number of investments, 2008 – 1Q24
60% 70%
Max: 56.7%
62.4%
60%
50%

Median: 46.0%

50%
48.6%
40%

Min: 37.4% Max: 41.0%

40%
40.3%
30.1% 30.9%
30%
Current
25.5% 30% Median: 30.9%
24.8%

22.8% 22.7%
20%
20% 19.7%
Current
15.4% Min: 18.9%
17.2%
10%
10%
6.4%

3.9%
2.3%
0% 0%
<$25M $25-100M $100-500M >$500M Buyout/LBO Add-on PE growth/expansion
U.S. LBOs: purchase price multiples U.S. middle market private company revenues by sector
Equity and debt over trailing EBITDA 1Q24, year-over-year growth
14 12%
10.7%
Equity
10% 9.2%
Debt 8.3%
12 11.9x 8%
11.5x 11.4x
11.4x
11.0x
10.6x10.6x 10.8x 6%
10.3x
4.6%
10.0x
10 9.7x 9.7x 4%
9.1x
1.8%
8.6x 8.8x8.7x 8.8x 2%
8.5x 5.6x
5.8x
8.2x 5.6x 5.5x
4.9x 4.8x
8 3.5x
7.7x 4.5x 6.1x 0%
7.4x 3.9x 4.5x 6.0x
Aggregate Consumer Health Care Industrials Technology
2.9x 4.0x 3.4x
2.6x 3.7x 3.5x
3.8x U.S. middle market private company earnings by sector
6 2.3x 1Q24, year-over-year growth
3.8x
30%
25.9%
25%
4
20%
6.1x
5.7x 5.8x 5.8x 5.7x 5.8x 5.9x
5.5x 5.6x
5.3x
5.7x 5.6x
5.4x 15%
4.9x 5.0x
4.6x
4.9x 5.1x
4.7x 4.8x
11.0% 9.9% 10.6%
2 3.8x 10%
4.0%
5%

0%
0
Aggregate Consumer Health Care Industrials Technology
'04 '06 '08 '10 '12 '14 '16 '18 '20 '22 '24
Global private equity return dispersion by vintage year
2000 - 2020, Internal rate of return (IRR)
35%

31%
30%
29% 29%
27% 26%
26% 26%
Top quartile
25% 24% 24%
23%
21% 21% 22% 22% 21%
21% 20%
20%
17% Median
16%
15% 14%
13% 15%

13% 13%
12% Bottom quartile
10%
11% 11%
10% 10% 11%

8% 9% 8% 8%
8%
7% 7%
5% 6% 6% 6%

3% 3%
0%
'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20
Secondary market volume Secondary pricing*
USD billions Percent of net asset value (NAV)
$140 100%
$132

$120 95%
$112
$108
91%

$100 90%

$88

85%
$80 85%
$74

$58 $60
$60 80%
77%
$42 $40
$40 $37 75%
Buyout
$28
$25 All 71%
$20 Real Estate
70%
Venture

Credit 68%
$0 65%
'12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23
Investment and exit activity Venture capital IPO price-to-sales
Number of investments/number of exits*, 2012 - present 1980 – 2023, market price
50
16x
Venture capital
Private equity 45
14x

40
1Q24:
12x
13.1x
Average: 10.9x 35

10x 30

1Q24: 25
8x
6.9x

20
6x
Average: 4.7x 2023: 13.6x
15

4x
Average: 8.2x
10

2x
5

0x 0
'12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '80 '84 '88 '92 '96 '00 '04 '08 '12 '16 '20
Global M&A by acquirer type Global M&A multiples by sector
USD billions Enterprise value/EBITDA, trailing 12-month multiples
$6,000 20x
Avg. '07 - '23 1Q24
Corporate M&A 68% 67% 17.5x
18x
Sponsor-backed 32% 33% 1Q24
16.1x
$5,000 Average: 2010 - 2023
16x

14x
$4,000

12x 10.8x
10.2x

$3,000 10x
8.4x
7.0x
8x
6.1x
$2,000
6x 12.0x
11.0x 11.4x
9.4x
4x 8.2x 8.3x
$1,000 6.9x

2x

$0 0x
Energy Materials & Biz. to Biz. to Financial Technology Health
'07 '09 '11 '13 '15 '17 '19 '21 '23
Resources business consumer Services Care
OECD average current expenditure on health Global health care M&A activity
Percent of GDP Deal count, 25 years
10%
9,000
2022: 9.2% YTD 2024:
9% 2,254

8%
7,500
7%

6%
6,000
5%

4%
'70 '75 '80 '85 '90 '95 '00 '05 '10 '15 '20 4,500
U.S. drug patent expiration
Number of patents expiring each calendar year
2,000 1952
1621 3,000
1,600 1504 1509
1412 1424
1223 1217
1,200 1086 1108 1055
971
1,500
800

400

0 0
'24 '25 '26 '27 '28 '29 '30 '31 '32 '33 '34 '35 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 '23
Global corporate investment in AI by type Global venture capital investments in AI by industry
USD billions Number of investments
$400 1,400
Private investment IT infra & hosting
$350 $202
M&A Health care, drugs, biotech
$300 Business & support services
Other* 1,200
$250 $337 Social media & marketing
$103 $173 $235
$200 Robots, sensors, IT hardware
$150 $117 Financial services
$81 1,000
$80 Digital security
$100 $54
$36 $39
$34 $132 Mobility & autonomous vehicles
$50 $25 $22 $103 $96
$25 $64
$13
$26 $43 $58 Logistics, wholesale, retail
$17
$0 800
2016 2017 2018 2019 2020 2021 2022 2023

Global private investment in AI by region

USD billion, 2023 600
$80
$67.2
$60
400

$40

$20 200
$7.8
$3.8 $1.9 $1.9 $1.7 $1.6 $1.5 $1.4 $1.4
$0

0
'12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23
Global private credit fundraising by type
USD billions
$325
Other* $298
$300
Mezzanine
$275 Real estate & infrastructure debt
$260
Distressed $251
$250 $246
Direct lending
$225
$199
$200
$182 $176
$175
$157
$150 $135
$125 $116 YTD May
$102 $103 2024
$100
$78 $78
$75
$60
$51 $53
$50
$36
$25

$0
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24
Global private credit deal activity
Aggregate deal value by region, USD billions
$300 $285

North America Europe APAC

$250
$231

$201 $206
$200 $192

$167
$160

$150 $139
$131

$98
$100

1Q24
$50

$6
$0
'14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24
Expansion: Manufacturing PMI >50 and rising Recession: Manufacturing PMI <50 and falling
Average annualized total return, 1Q05 – 1Q24* Average annualized total return, 1Q05 – 1Q24*
14% 12% 10.8%
12.1%
12% 11.4%
10% 8.9% 9.1%
10%
7.9% 8% 7.0%
8% 6.1%
6%
6%
4.2%
4% 3.1%
4%
2% 1.0% 1.3% 2%

0% 0%
10y UST 2y UST U.S. IG U.S. HY U.S. U.S. 10y UST 2y UST U.S. IG U.S. HY U.S. U.S.
leveraged direct leveraged direct
loans lending loans lending
Late cycle cooling: Manufacturing PMI >50 and falling Turnaround: Manufacturing PMI <50 and rising
Average annualized total return, 1Q05 – 1Q24* Average annualized total return, 1Q05 – 1Q24*
10% 9.3% 40%
28.6% 26.4%
8% 30%
6.3%
6% 20%
4% 3.5% 6.5% 6.7%
2.9% 2.7% 10% 3.4%
1.6%
2% 0%
-2.8%
0% -10%
10y UST 2y UST U.S. IG U.S. HY U.S. U.S. 10y UST 2y UST U.S. IG U.S. HY U.S. U.S.
leveraged direct leveraged direct
loans lending loans lending
Tier 1 risk-based capital ratios by bank asset size Primary market sources of financing
Percentage, quarterly, 4Q96 – 4Q23 New-issue market for broadly syndicated loans, 1999 – 2022
16.5x 100%
> $250 billion
$10 billion - $250 billion
15.5x 90%
$1 billion - $10 billion

80%
14.5x
75%
70%
13.5x

60%
12.5x Banks & securities firms
50%
Non-banks*
11.5x
40%

10.5x
30%
25%
9.5x
20%

8.5x 10%

7.5x 0%
'96 '99 '02 '05 '08 '11 '14 '17 '20 '23 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Leveraged loans vs. private credit sector exposure Share of leveraged loan defaults by industry
U.S., December 2023, last 12 months, % of total default volume

18% 3% Media 23%

8%
Health Care 20%

10% Industrials
12% Leveraged loans Software 11%
Info. Tech

12% Health care Pharmaceuticals 9%

7%
Consumer discretionary
Household Durables 5%
23% Communication services

Materials 0% 4% 8% 12% 16% 20% 24%

Financials
Private credit and leveraged loans default rate
Quarterly, 2Q20 – 1Q24
3% Real estate 10%
6% Consumer staples Private Credit
8%
Energy Leveraged loans
42%
12% 6%
Private credit Utilities

4%

12%
2%

16%
0%
Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22 Jun-23 Dec-23
Sources of LBO financing
Number of deals of broadly syndicated or private credit loans, quarterly, 1Q19–1Q24
100 98 98

90
Syndicated
82
Private credit
80

69
70 66
61 61
60 57 57 58

52
50 48 47 47
45 46
43 44
42
40
40 38
36
32 33
30 29
30 28
26
23 22
20 18 18

12 12 12 12
10
10 8 7
5 4
1
0
'19 '20 '21 '22 '23 '24
Sponsored and non-sponsored leveraged loan spreads Sponsored and non-sponsored leveraged loan default rates
Weighted average nominal spreads, monthly, 1Q97 – 1Q24 By issuer count, monthly, December 2012 – April 2024
600 7%
Long-term average* 1Q24 Long-term average** Apr. '24

Sponsored 354.8 398.9 Sponsored 1.5% 2.2%

550 Non-sponsored 1.8% 1.6%
Non-sponsored 309.5 306.4 6%
Difference -0.3% 0.5%
Difference 45.4 92.4

500
5%

450
4%

400

3%
350

2%
300

1%
250

200 0%
'97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 '23 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23
Covenant-lite loans* Average discounted recovery rates by EBITDA
% of total loans, 4Q10 – 1Q24, quarterly, by deal size 1987 – 2023
80% 70%
Large middle market ($501M+)
70% 63%
Middle market
60%
60% 58%
50%
40%
30% 50%

20% 43%
10%
40%
0%
'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23
New issue yields
30%
December 2010 – May 2024**, monthly, by EBITDA
11%
10% Middle Market ($50M or Less)
Large Corporate (more than $50M) 20% Done
9%
8%
7% 10%

6%
5%
0%
4% Negative EBITDA EBITDA between $0 EBITDA greater than
'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 and $50M $50M
U.S. leveraged loans downgrade/upgrade ratio U.S. leveraged loans interest rate coverage
Rolling 3-month period Weighted average*, EBITDA/Interest expense, 3Q19 – 4Q23
45
15 7x
5.8x 5.7x
6x 5.5x 5.4x 5.6x 5.5x
5.0x
5x 4.6x 4.8x 4.6x
4.1x 4.1x 4.3x 4.1x
3.9x 3.8x 3.8x 3.9x
Recession 4x

3x

10 2x

1x

0x
3Q19 1Q20 3Q20 1Q21 3Q21 1Q22 3Q22 1Q23 3Q23
U.S. leveraged loans amendments and extensions by year
Count
600 YTD May
527
5 2024
447
Apr. 2024: 450
1.8x 348
293
300 265 254
213 227 222 204
174 196
172 155
147
150 100

0 0
'08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24
U.S. distressed loan volume outstanding Business bankruptcy filings by year
USD billions U.S., 2008 – 1Q24, in thousands
$110 70

$100
Dec. 2023: 60
$90 $63bn

$80 50

$70

40
$60

$50
30

$40
1Q24:
5.5K
$30 20

$20
10
$10

$0 0
'21 '22 '23 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24
Commercial mortgage spreads Commercial mortgage yields
Spreads over Treasury, basis points, senior loans Weighted average yield, senior loans, 1Q24
8%
550
Asset class Avg. '14 - '23 Current spread
7.1%
500 BBB-rated CML 228.7 291.5
7% 6.7%
CML index 211.8 268.0 6.6%
6.4%
A-rated CML 194.8 244.6 6.3%
450 6.1%
U.S. Corp. IG*** 126.8 86.1
6%

400 5.3%

5%
350

4%
300

250 3%

200
2%

150
1%
100

0%
50 Office Other Retail Aggregate Apartment Industrial U.S. Corp.
'13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 sectors** CML* IG***
Hedge fund manager dispersion
Based on returns from 2014-2023 in USD
18%
16.2%
16%
14.5%
13.9%
14%
Top quartile 12.7%

12% 11.8%
11.0%
10.8% 10.7%
10.3%
10%

Median
8%
7.2%
6.3% 6.4% 6.3% 6.5%
6% 6.2% 6.0%
5.3%

4% 4.2%

2% 2.7% 2.7%
Bottom quartile
1.3%
0%
-0.4% -0.1% 0.1%
-0.7% -0.6%
-0.8%
-2%
All hedge funds Fixed income Equity market Event driven Relative value Relative value Macro total Equity hedge Emerging
relative value neutral total multi-strategy markets
Assets under management (AUM) by strategy
As of 1Q24, USD billions
$800
Equity Hedge Event-Driven Macro Relative Value
Total: $1,250 bn Total: $1,207 bn Total: $1,129 bn Total: $715 bn
$700

$600

$500

$400

$300

$200

$100

$0
 2014-2023
2014 2015 2016 2017 2018 2019 . 2020 YTD2021 2022 2023 YTD '24 Ann. Vol.
G loba l Eq. Ma rke t G loba l Me rge r G loba l G loba l G loba l G loba l G loba l G loba l G loba l
Distre sse d Distre sse d
Ma c ro Ne utra l Equitie s Arbitra ge Equitie s Equitie s Ma c ro Equitie s Equitie s Equitie s Equitie s
5.8% 4.5% 9.8% 24.6% 4.3% 27.3% 16 . 8 % 20.0% 9.7% 22.8% 9 . 1% 8.5% 15 . 5 %

Re la tive Me rge r G loba l Equity Re la tive G loba l Equity G loba l Me rge r Equity Equity Equity
Distre sse d
V a lue Arbitra ge Equitie s Long/ S hort V a lue Bonds Long/ S hort Equitie s Arbitra ge Long/ S hort Long/ S hort Long/ S hort
5.3% 2.6% 8.5% 12 . 8 % 2 . 1% 6.8% 14 . 2 % 19 . 0 % 2.7% 5.9% 8.2% 5.0% 7.8%

G loba l G loba l Re la tive HFRI Equity G loba l Equity Eq. Ma rke t Re la tive G loba l Me rge r Equity
Distre sse d
Equitie s Ma c ro V a lue Composite Long/ S hort Bonds Long/ S hort Ne utra l V a lue Ma c ro Arbitra ge Long/ S hort
4.7% 0.4% 5.4% 8.5% 2 . 1% 6.7% 9.2% 16 . 3 % 1. 8 % 5.8% 8 . 1% 4.4% 7.7%

HFRI Re la tive Me rge r Eq. Ma rke t G loba l HFRI HFRI Re la tive G loba l HFRI HFRI G loba l
Distre sse d
Composite V a lue Arbitra ge Ne utra l Ma c ro Composite Composite V a lue Bonds Composite Composite Bonds
4.3% 0.2% 3.5% 7.7% - 0.8% 6.0% 8.9% 13 . 9 % - 0.6% 5.7% 7.0% 4.4% 6.5%

Equity Equity Equity G loba l G loba l HFRI Me rge r HFRI Eq. Ma rke t Eq. Ma rke t Re la tive HFRI
Distre sse d
Long/ S hort Long/ S hort Long/ S hort Bonds Bonds Composite Arbitra ge Composite Ne utra l Ne utra l V a lue Composite
3.6% - 0.2% 3.4% 7.4% - 1. 2 % 5.6% 8.4% 13 . 4 % - 2.8% 5.2% 6.6% 4.0% 5.6%

Eq. Ma rke t HFRI HFRI Re la tive HFRI Me rge r Me rge r G loba l HFRI G loba l
Distre sse d Distre sse d Distre sse d
Ne utra l Composite Composite V a lue Composite Arbitra ge Arbitra ge Ma c ro Composite Ma c ro
3.2% - 0.2% 3.2% 5.5% - 1. 2 % 5.3% 2.9% 11. 1% - 3 . 1% 4.5% 6.3% 3.9% 5.0%

Me rge r G loba l G loba l Me rge r Equity Re la tive Re la tive Re la tive Equity Re la tive G loba l Me rge r
Distre sse d
Arbitra ge Equitie s Bonds Arbitra ge Long/ S hort V a lue V a lue V a lue Long/ S hort V a lue Ma c ro Arbitra ge
1. 9 % - 1. 8 % 2 . 1% 5.0% - 2.2% 4 . 1% 2.7% 9.5% - 8 . 1% 3.4% 4.0% 3.0% 4 . 1%

G loba l Eq. Ma rke t Eq. Ma rke t G loba l Eq. Ma rke t G loba l Eq. Ma rke t G loba l Me rge r Me rge r Eq. Ma rke t Re la tive
Distre sse d
Bonds Ne utra l Ne utra l Ma c ro Ne utra l Ma c ro Ne utra l Bonds Arbitra ge Arbitra ge Ne utra l V a lue
1. 2 % - 3.2% 1. 6 % 4.9% - 3.6% 2.3% 2.0% 7.4% - 16 . 2 % 3.2% 1. 7 % 2.9% 4 . 1%

G loba l G loba l G loba l G loba l Eq. Ma rke t G loba l G loba l G loba l G loba l G loba l Eq. Ma rke t
Distre sse d Distre sse d
Bonds Ma c ro Ma c ro Equitie s Ne utra l Bonds Equitie s Ma c ro Bonds Bonds Ne utra l
0.6% - 7.4% - 1. 3 % 2.5% - 8.9% - 0.7% - 1. 2 % - 4.7% - 18 . 0 % - 1. 0 % - 3.3% 0.4% 2.2%
Hedge fund correlation with a 60/40 stock-bond portfolio*
Monthly, rolling 12 months
1

0.8

0.6

0.4

COVID-19
0.2

0
Tech bubble

Government
Early 1990’s shutdown(s) Eurozone
-0.2 Energy weakness/
Recession/ double-dip dollar strength
Fed
tightening
concerns Global financial
-0.4 crisis
Sticky inflation/
9/11, Post tech- hawkish Fed
bubble recession
-0.6
'90 '92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Hedge funds vs. global equity performance and volatility
Average monthly returns by VIX level, Nov. 1990 – May 2024, total return
2.0%

1.5%
Beta Alpha Global equity index

1.0%
0.6% 1.6%
0.7%
0.5% 0.5% 1.0%
0.7%
0.5%
0.2% 0.3% 0.2% 0.0%
0.0%
-0.3% -0.2%
-0.5%
-0.8%
-0.5% -1.1%

-1.0%

-0.4%
-1.5%
-3.5%
-2.0%

-2.5%
10-15 15-20 20-25 25-30 30-35 35<
Macro hedge fund relative performance & volatility
VIX index level, y/y change in relative performance of Hedge Fund Research Institute Macro Index
70 50%
VIX Macro hedge fund relative performance to 60/40 portfolio

40%
60

30%
50

20%
40

10%

30
0%

20
-10%

10
-20%

0 -30%
'97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 '23
S&P 500 Index dispersion* Hedge fund sector exposure relative to S&P 500
Monthly As of 4Q23
60%
Industrials 1.7%

Financials 1.2%
50%
HFs underweight
Energy 0.9%
May. 2024:
27%
40% Real Estate 0.9%

Materials 0.8%
Average: 24%

30% Health Care 0.5%

Cons. Discretionary 0.5%

20%
Utilities 0.1%

Cons. Staples -0.7%

10% HFs overweight
Comm. Svcs. -1.1%

Info. Tech. -4.8%

0%
'91 '95 '99 '03 '07 '11 '15 '19 '23 -6% -4% -2% 0% 2% 4% 6%
Equity, interest rate and foreign exchange volatility Hedge fund returns and short rates
Z-score, 4-week moving average Dec. 1990 – May 2024, year-over-year, total return
6 50%
2020 - present 2000s

2010s 1990s
5 40%
FX
Interest rate
4 Equity
30%

Hedge fund returns

3
20%

2
10%

0%

-10%
-1

-20%
-2 0% 1% 2% 3% 4% 5% 6% 7%
'07 '09 '11 '13 '15 '17 '19 '21 '23 3- month US T-bill yield
Real estate Private equity
Base rent – The gross revenue from rental payments. Buyout fund – Private equity fund that focuses on taking a majority stake or full control of mature,
Capitalization rate (Cap rate) – The rate of return on a real estate investment property defined as the net undervalued.
operating income from the property divided by the current market price of the property. Called capital – The amount of capital wired to a fund that is “drawn down” over time as the general
Cap rate spread – The difference between the cap rate and a Treasury security with the same maturity. partner selects investments.
Core real estate – High quality properties in primary markets with high occupancy rates, credit-worthy Committed capital – The specific amount of capital that a limited partner is obliged to provide to a
tenants and long leases. closed-end fund for investments. The capital commitment is “drawn down” or “called” over time, meaning
a portion of the commitment must be wired to the closed-end fund by a set date.
Effective rent – Base rent less rental concessions and tenant improvements.
Corporate mergers and acquisition (M&A)– The consolidation of companies through financial
Gross absorption – Space that became physically occupied in a specific period. transactions.
Mezzanine debt – Financing that is half-way between equity and debt by which the lender can convert to Dry powder – The amount of capital that has been committed to a private capital fund minus the amount
equity if the loan is not paid on time or in full. that has been called by the general partner for investment.
Net absorption – Space that became physically occupied minus space that was physically vacated in a Earnings before interest, taxes, depreciation and amortization (EBITDA) – A broad measure of the
specific period. cash profit generated by a company’s operations.
Net absorption rate – Net absorption during a specific period divided by space available to lease at the Enterprise value (EV)– The total value of a company including equity and debt.
start of that period.
General partner (GP) – The managing partner of a lmited partnership. The general partner is managed
Occupancy rate – The percentage of available space that is occupied. by the asset management team responsible for making fund investments (i.e., the intermediary between
Real estate prime yield – The real estate yield on a property at a prime location. investors with capital and businesses seeking capital to grow).
Real estate net operating income – Income after operating expenses but before interest, taxes, capital Growth fund – Private equity fund that targets firms with the potential for scalable and renewed growth.
spending, depreciation and amortization. Initial public offering (IPO) – When shares of a private company are made available to the public for the
Real estate yields – Annual income divided by total investment. Note that annual income, unlike NOI, first time.
does deduct interest costs so that real estate yields should be lower than cap rates. Internal rate of return (IRR) – The dollar-weighted internal rate of return. This return considers the daily
Real estate yield spread – The difference between the yields and a Treasury security with the same timing of cash flows and cumulative fair stated value, as of the end of the reported period.
maturity. Leveraged buyout (LBO) – The acquisition of another company using a significant amount of debt to
Vacancy rate – The percentage of available space that is unoccupied. finance the acquisition. Limited partner (LP) – An investor in a Limited Partnership, which is a form of
legal entity used for certain hedge funds, private equity funds and real estate funds.
Middle market – Companies having revenues between $10 million and $1 billion.
Multiple of invested capital (MOIC) – Calculation performed by adding the remaining (reported) value
and the distributions received (cash out) and subsequently dividing that amount by the total capital
contributed.
Net asset value (NAV) – This is the current fair stated value for each of the investments, as reported by
the administrator of the fund.
Private equity – Equity capital invested in a private company through a negotiated process.
Sponsor-backed acquisition – Acquisition of a company by a private equity firm.
Secondary fund – Private equity funds that purchase existing assets from a primary private equity fund.
Venture capital – A specialized form of private equity, characterized chiefly by high-risk investment in
new or young companies following a growth path in technology and other value-added sectors.
Private credit Hedge funds
Amend and extend – A technique that allows an issuer to delay part of its loan maturity or amend Distressed securities – funds that invest in debt and equity securities of firms in reorganization or
existing terms through an amendment rather than a refinancing. bankruptcy.
Covenant-lite loans – A type of financing that is issued with fewer restrictions on the borrower regarding Long/short (L/S) equity – funds that involve long and/or short positions in equity securities deemed to be
collateral, level of income, and loan payment terms, and fewer protections for the lender, including under- or overvalued, respectively. Exposures to sectors, geographies, and market capitalizations are
financial maintenance tests that measure the debt-service capabilities of the borrower. often flexible and will change over time.
Direct lending – A loan made by an investor or non-bank lender to a company. Merger arbitrage/event-driven - funds that invest in opportunities created by significant corporate
transactions and events which tend to alter a company’s financial structure or operating strategy.
Distressed debt – The securities of a company that has either defaulted, is under bankruptcy protection
or is in financial distress and is moving towards default or bankruptcy in the near future. Opportunistic/Macro - funds that involve investments in a wide variety of strategies and instruments,
which often have a directional stance based on the manager’s global macroeconomic views.
Hedge-adjusted yield – The yield on a foreign currency denominated asset minus the cost of hedging
the asset back into U.S. dollars. For assets countries with short-term rates that are lower than U.S. rates, Relative Value/Arbitrage – funds that involve the simultaneous purchase and sale of similar securities to
the hedge-adjusted yield will be lower than the yield denominated in foreign currency. exploit pricing differentials. Strategies in this sector offer potential to generate consistent returns while
minimizing directional risk.
Leveraged loan – A commercial loan provided by a group of lenders that is either: 1) rated BB+ or lower,
2) not rated or rated BBB- or higher and has a base rate spread of 125 bps or higher and is secured by a
first or second lien. This loan is structured, arranged and administered by one or several banks, and is
then syndicated to other institutional investors. As such, this market is often referred to as the broadly
syndicated loan market.
Mezzanine commercial real estate debt – Loan finance that is half-way between equity and secured
debt, either unsecured or with junior access to security. A mezzanine fund is a fund focusing on
mezzanine financing.
Net IRR – The dollar-weighted internal rate of return, net of management fees and carried interest
generated by the fund. This return considers the daily timing of all cash flows and the cumulative fair
stated value, as of the end of the reported period.
Non-sponsored loan – Credit provided to a business that is not wholly-owned or majority-owned by a
private equity firm or another financial sponsor.
Payment-in-kind (PIK) – An interest payment in which the borrower makes an interest payment in forms
other than cash. This includes, but is not limited to, a type of debt whose interest payments come in the
form of additional debt accrued onto existing debt.
Performing loans – Loans that are not in default.
Private credit – Nonbank corporate credit provided through bilateral agreements or small “club deals”
outside the realm of public securities or commercial banks. This definition excludes bank loans, broadly
syndicated loans, and funding provided through publicly traded assets such as corporate bonds.
Sponsored loan – Credit provided by a non-bank lender to a business that is either wholly-owned or
majority-owned by a private equity firm or another financial sponsor.
Syndicated loan - A loan extended by a group of financial institutions, often referred to as a loan
syndicate, to a single borrower.
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Prepared by: David Kelly, Meera Pandit, Aaron Hussein, Sahil Gauba, May Park Durham and Brandon Hall.
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