The BEAT

BONDS | EQUITIES | ALTERNATIVES | TRANSITION

April 2024

Previously known as the Monthly Market Monitor.

The BEAT | April 2024

 The BEAT, previously known as the Monthly Market Monitor, provides connectivity between changing market
TOP IDEAS events and implications for investor portfolios.
3 Spanning Bonds, Equities, Alternatives and Transition*, this monthly review provides timely information
across a broad array of markets and investment topics.
BONDS Each edition explores investment ideas, identifies areas of focus and provides a comprehensive outlook on
16 asset allocation — all supported by a concise review of economic and asset class data through clear and
impactful charts.

EQUITIES We believe The BEAT is a critical desk reference that enables more informed discussion and understanding
of financial markets.
28

17
29
3 ALTERNATIVES 55
46
40
39

TRANSITION
If you are viewing this book on your computer or
45 tablet, click or tap on the section box to jump to
the beginning of each section.

Data provided is for informational use only. See end of report for important additional information.
*Transition is an asset allocation view, which refers to cash, cash equivalents or liquid short-duration assets, such as short-dated Treasuries, that can be used to “transition” to other asset classes.

The BEAT | April 2024 2

TOP IDEAS

The Capital Markets Group – Our Top 5 Ideas

Downgrading Global Equities to Neutral from Overweight The Demise of Bond Yields is Greatly Exaggerated
We are taking profits and reducing risk from our prior OW Bond yields are likely to remain in a range. At the start of the year bond
position. To be clear, we are not turning negative on global equities, yields were already priced for aggressive rate cuts by central banks. As it
instead are looking to monetize the recent run-up in equity prices and is turning out, inflation has proven stickier and economic demand stronger,
move back to neutral. This also means upgrading Underweights to which is delaying aggressive cuts. But it's very unlikely the economy
Neutral. Our thinking is that 1Q24 brought many surprise factors that may accelerates to the point where rate cuts are taken off the table. The result
not be repeated in 2Q24, such as stronger than expected momentum from is that we expect a range-bound market in which bonds offer carry — and
prior quarter GDP, stronger earnings and greater prospects for fiscal little else.
stimulus in 2024.
Credit: We Continue to Hold a Low Quality Overweight
Downgrading U.S. Equity to Neutral / Upgrading Europe Relative to High Quality
and China from an Underweight Earning carry amidst a soft landing. Consistent with our soft-landing
Downgrading OWs while upgrading UWs. The path to Neutral means view, and related expectations for default rates to remain contained, we
reducing the highest weighted global equity allocation, namely U.S. prefer owning lower quality, or High Yield credit, over Investment Grade.
exposure, and upgrading allocations to Europe and China from UW to Our rationale is that IG spreads are tight and provide more duration
Neutral. The global economy is now in a more stable position relative to exposure than carry income. We prefer owning duration in higher-quality
prior expectations which may benefit China and, in turn, Europe. government bonds, set against HY bonds in our barbell approach. This
can be weighted such that the credit quality of the pair is still IG rated, but
Holding our OW in Japanese Equities; $/¥ Neutral Despite carries a higher yield and less duration exposure.
Bank of Japan Rate Hikes
A change in BoJ policy rates was well anticipated. We do not believe
the hikes in BoJ policy rates marks a surprise factor to the market that
rises to the level of changing the trend in Japanese equities or currency.
The trends in place exist for greater structural reasons that are unlikely to
be negated by a well-anticipated rate hike. This is not to say there can't be
a correction, just that it doesn't change the trend in our view.

The views and opinions expressed are those of the Capital Markets Group at the time of writing of this presentation and are subject to change at any time due to market, economic, or other conditions, and may not necessarily come to pass. Not
to be construed as an investment or research recommendation.

The BEAT | April 2024 3

TOP IDEAS

Key Themes for April

Fed Rate Cuts: The Pace Is in Question, but the Labor Markets Are Cooling, Not Collapsing
Path Is Almost Assured Perhaps the key element to a “soft-landing” view is that labor
While there is uncertainty as to whether cuts will start in markets cool enough to slow wage inflation, which in turn
June (or later), the market is confident that the path for Fed should lower price inflation. But simultaneously labor must
funds rates is downward from this point forward. This keeps remain strong enough to avoid a collapse that would trigger
the Fed’s inflation fighting credibility intact and may be the a sharp decline in consumption and GDP, leading to a risk of
primary reason as to why risky assets have remained recession. We are closely monitoring how this ultimately
buoyant, despite rates staying “higher for longer.” plays out, as it is an essential ingredient for keeping earnings
growth rates intact and supporting equity prices. The
interplay between wages, unemployment and consumption
Inflation Is Priced To Be Contained Over the
is a key risk indicator on our radar screen
Long Term
The market is pricing inflation to remain contained over the
The Land of the Rising Rates: Changes to Bank
long term, based on 5-year/5-year (5y5y) forward inflation
swap pricing for both the U.S. and Europe. This is why the
of Japan Policy
market is comfortable pricing lower policy rates in the future, Wage-Price inflation is taking root in Japan as evidenced by
keeping longer-dated bond yields low – another support for the recent “Shunto,” the annual pay negotiations led by
risky assets. If this changes, then higher rates represent a united Japanese labor unions, which ended in a larger wage
risk to asset prices. increase, reflected in the rise of inflation. The BoJ ended its
Negative Interest Rate Policy of -10bps to 0bps and
increased to a new range of 0bps to +10bps. Symbolically
this is seismic, as it illustrates that one of the main drivers of
global disinflation, and anchors to low interest rates, has now
ceased to exist – potentially a risk factor to watch for in April.

The views and opinions expressed are those of the Capital Markets Group at the time of writing of this presentation and are subject to change at any time due to market, economic, or other conditions, and may not necessarily come to pass. Not
to be construed as an investment or research recommendation.

The BEAT | April 2024 4

TOP IDEAS

“Fed Rate Cuts: The Pace Is in Question, but Path Almost Assured
While there is uncertainty as to whether cuts will start in June (or later), the market is confident that the path for Fed funds
rates is downward from this point forward. This keeps the Fed’s inflation fighting credibility intact and may be the primary
reason risky assets have remained buoyant despite rates staying “higher for longer.”
The Market Has Been Pricing a Downward Path for Fed Funds, Despite Volatility in Expectations on the Timing of the First Cut
Fed Fund Futures

5.5

4.5
%

3.5

3
Mar-24 Jun-24 Sep-24 Dec-24 Mar-25 Jun-25 Sep-25 Dec-25 Mar-26 Jun-26 Sep-26 Dec-26

Source: Bloomberg, MSIM. Data as of March 21, 2024. The views and opinions expressed are those of the Capital Markets Group at the time of writing/of this presentation and are subject to change at any time due to market, economic, or other
conditions, and may not necessarily come to pass. Forecasts/estimates are based on current market conditions, subject to change, and may not necessarily come to pass.

The BEAT | April 2024 5

TOP IDEAS

Inflation Is Priced To Be Contained Over the Long Term

Longer-term inflation expectations in the U.S. have remained stable and have fallen recently in Europe. Still, investors are
pricing inflation to be above target in both regions, likely why the Fed and ECB may be slow to adjust policy rates lower.
On a positive note, the risk of runaway inflation looks low, supporting stable long-end bond yields and risk assets.

U.S. Inflation Is Priced Above Target and its Long-term Average Eurozone Inflation Is Priced To Be Much Higher vs. Pre-Covid
USD Inflation Swap Forward 5Y5Y EUR Inflation Swap Forward 5Y5Y

USD Inflation Swap Forward 5Y5Y Average since Mar 2014 EUR Inflation Swap Forward 5Y5Y Average since Mar 2014

3.00 2.75

2.50
2.75
2.25
2.50
2.00
2.25
1.75
2.00

%
%

1.50
1.75
1.25

1.50 1.00

1.25 0.75

1.00 0.50
Mar-14 Mar-16 Mar-18 Mar-20 Mar-22 Mar-24 Mar-14 Mar-16 Mar-18 Mar-20 Mar-22 Mar-24

Source: Bloomberg, Macrobond, MSIM. Data as of March 18, 2024. The views and opinions expressed are those of the Capital Markets Group at the time of writing/of this presentation and are subject to change at any time due to market,
economic, or other conditions, and may not necessarily come to pass. Forecasts/estimates are based on current market conditions, subject to change, and may not necessarily come to pass.

The BEAT | April 2024 6

 TOP IDEAS

Labor Markets Are Cooling, not Collapsing

Unemployment rates in the U.S. and EU have stopped declining and have even risen slightly in the U.S. Wage growth
remains above pre-COVID levels but has fallen from its peak and appears poised to slow further. This level of wage
growth should help to support consumption while not stoking an inflationary wage-price spiral.

The U.S. Labor Market Shows Signs of Normalization EU Wages Show Decline, Have Lagged U.S.
Unemployment rate and Atlanta Fed 3m moving avg. wage tracker EU-27 (excluding UK) unemployment and compensation growth

Unemployment Rate (%) Atlanta Fed Wage Growth (%, rhs) Unemployment Rate (%) Compensation per Employee y/y (%, rhs)
8.0 8
16 8

Compensation per Employee y/y (%, rhs)

14 7 7.5 6

Atlanta Fed Wage Growth (%, rhs)

Unemployment Rate (%)

12 6
Unemployment Rate (%)

7.0 4
10 5

6.5 2
8 4

6 3 6.0 0

4 2 Unemployment Stable
5.5 -2
2 Unemployment Stable 1

0 0 5.0 -4

Source: Macrobond, MSIM. Data as of March 20, 2024. The views and opinions expressed are those of the Capital Markets Group at the time of writing/of this presentation and are subject to change at any time due to market, economic, or
other conditions, and may not necessarily come to pass. Forecasts/estimates are based on current market conditions, subject to change, and may not necessarily come to pass.

The BEAT | April 2024 7

TOP IDEAS

The Land of the Rising Rates: Changes to the Bank of Japan Policy
Wage-price inflation is taking root as evidenced by the recent Shunto (annual wage negotiations), which showed a larger
increase reflecting rising inflation. The BoJ ended its NIRP of -10 to 0bps, adopting a new range of 0 to +10bps.
Symbolically this illustrates a main driver of global disinflation, and anchor to low interest rates, now ceases to exist.
The Market Is Pricing Two More 10 bp Rate Hikes by the End of 2024
BOJ Policy Rate implied by overnight index swaps (OIS)

0.3%
0.27%

0.3%

0.20%

0.2%

0.14%
0.2%
0.10%
0.09%
0.1% 0.07%
0.05%

0.1%

0.0%
Mar 2024 Apr 2024 Jun 2024 Jul 2024 Sep 2024 Oct 2024 Dec 2024

Source: Bloomberg, MSIM. Data as of March 20, 2024. The views and opinions expressed are those of the Capital Markets Group at the time of writing/of this presentation and are subject to change at any time due to market, economic, or other
conditions, and may not necessarily come to pass. Forecasts/estimates are based on current market conditions, subject to change, and may not necessarily come to pass.

The BEAT | April 2024 8

TOP IDEAS

Holding OW in Japanese Equities, USD/JPY Neutral Despite BoJ Rate Hikes

Japanese equity outperformance is supported by solid earnings growth, with valuation multiples rerating due to structural
shifts, such as Japan’s exit from deflation and corporate governance reforms. Limited prospects of significant yen strength
continue to be a tailwind, given the backdrop of higher-for-longer Fed rates and restrained BoJ tightening.
Japan’s Nikkei Index Achieved an All-time High, Last Set in 1989
Nikkei 225 Index

45,000
Previous high, Dec 1989 New all-time high, Mar 2024
38,916 40,109
40,000

35,000

30,000

25,000

20,000

15,000

10,000

5,000

0
1974 1979 1984 1989 1994 1999 2004 2009 2014 2019 2024

Source: Bloomberg, MSIM. Data as of March 20, 2024. The views and opinions expressed are those of the Capital Markets Group at the time of writing/of this presentation and are subject to change at any time due to market, economic, or other
conditions, and may not necessarily come to pass. Forecasts/estimates are based on current market conditions, subject to change, and may not necessarily come to pass. Past performance is no guarantee of future results. The index
performance is provided for illustrative purposes only and is not meant to depict the performance of a specific investment.

The BEAT | April 2024 9

TOP IDEAS

Private Equity Shows Signs of Improved Entry Valuations

Private markets transaction activity is thin, but a visible decline in valuations has emerged in response to higher interest
rates. When transaction volumes recover more broadly, we expect to see further evidence of price correction and
attractive entry valuations.
Purchase Price Multiples — All Leveraged Buyouts

14x Senior Debt/ EBITDA Sub Debt/ EBITDA Equity/ EBITDA Others

12x 0.17
0.08 0.11 0.06
0.03 0.04 0.19
0.17
0.12
10x 0.14 0.05
0.13 0.10
0.10 0.17 0.07 0.13
5.59 5.49 5.80
5.56
8x 0.11 4.85 4.77
3.47 3.89 4.49 4.49 5.97
4.03 3.68 3.49 3.39
3.80 5.25
6x 0.03 0.01 0.00 0.02 0.00 0.00 0.00
0.57 0.09 0.10
3.76 0.27 0.09
0.32
0.04
0.84 0.55 0.00
4x
0.80
5.50 5.70 5.51 5.72 5.78 5.81 5.73 5.81 5.88
4.85 5.18 5.31
4.12 4.60 4.63
2x 4.04 3.94
3.01

0x
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 4Q23
Sources: Pitchbook, Preqin. As of December 2023. This information reflects the views of the Capital Markets Group as of the date hereof and not of any future date and are subject to change without notice in response to changing
circumstances and market conditions. Forecasts/estimates are based on current market conditions, subject to change, and may not necessarily come to pass. Senior Debt are loans secured by collateral that must be paid off before other debts
when a company goes into default. Subordinated Debt are loans which rank after other debts (e.g. Senior Debt) if a company falls into default, and therefore carries more risk for the lender. EBITDA stands for Earnings Before Interest, Taxes,
Depreciation and Amortization, a reflection a firm's short-term operational efficiency. A lower debt/EBITDA ratio generally reflects a healthier company from a financial standpoint, representing a higher level of cash from earnings to cover debt
payments, viewed as less risky for an investor.

The BEAT | April 2024 10

TOP IDEAS

An Emerging Opportunity Set in Commercial Real Estate Equity

Commercial real estate valuations have become more attractive in the face of higher interest rates and elevated supply.
We expect volumes to pick up this year due to upcoming debt maturities, reinforcing these lower entry points.

Cap Rates Cap Rates vs. Cost of Debt

11.0 Office Retail Industrial Residential 12 CMBS US Index Yield to Worst 1,200
Average Cap Rate
10.0 CMBS US Index OAS to Treasury
10 1,000

CMBS US Index OAS to Treasury

9.0

Average Cap Rate (%)

8 800

8.0
6 600
%

7.0

4 400
6.0

5.0 2 200

4.0 0 0

Sources: CoStar, Bloomberg. As of December 2023. This information reflects the views of the Capital Markets Group as of the date hereof and not of any future date and are subject to change without notice in response to changing
circumstances and market conditions. Not to be construed as an investment or research recommendation. Forecasts/estimates are based on current market conditions, subject to change, and may not necessarily come to pass. Past
performance is no guarantee of future results. The index performance is provided for illustrative purposes only and is not meant to depict the performance of a specific investment.

The BEAT | April 2024 11

TOP IDEAS

Capital Markets Investment Framework Current allocation

Change from previous
––
–
High conviction underweight
Underweight
= Neutral
Representative Allocations from the Portfolio Solutions Group + Overweight
++ High conviction overweight
Asset Allocation Our View Commentary

–– – = + ++
Bonds
Duration may present a risk to fixed income exposures, instead of a hedge. The reason is that we
expect a softer landing scenario and believe that inflation may be sticky and fall slowly. This means
Duration
that bond duration risks face a potentially slow and shallow Fed rate cut cycle. IG credit has the same
challenge, as longer-duration exposures are not offset with materially higher yields than cash.
Credit Additionally tight spreads create vulnerability in a risk-off event.

Equities After the strong market rally since Q4 2023 and the materialization of quite a few positive
developments, we feel now it is a good time to take some profits and downgrade equities to neutral.
To be clear, we are not turning negative on global equities, but we do see risk and reward are more
Risk Level balanced at this juncture.
While the repricing of private assets in response to higher financing costs continues, substantial
Alternatives
progress is now evident, and we have increased confidence in entry prices for private equity and real
estate. We expect fundraising and deployment to recover from lows as M&A rebounds, leading to
Private Markets a broader opportunity to deploy capital. In private credit, interest levels on new loans are trending
down to long-term averages, but special situations strategies with flexibility have been able to
maintain relatively attractive pricing.
Hedge Funds Hedge funds have started strong in 2024 and their positioning suggests confidence in the
opportunities for skill-based returns.
Commodities We are neutral on key commodity markets, as undersupply tailwinds are balanced by headwinds
related to a slowdown in activity levels.
Transition
Keeping cash at neutral levels. It has the benefits of higher front-end yields as policy rates remain
sticky, but also has benefits of high quality to reduce risk.
Cash/Short Duration
For informational purposes and does not constitute an offer or a recommendation to buy or sell any particular security or to adopt any specific investment strategy. The tactical views expressed above are a broad reflection of our team’s views
and implementations, expressed for client communication purposes. Individual team allocations may differ. The information herein does not contend to address the financial objectives, situation or specific needs of any individual investor. The
signals represent the Portfolio Solutions Group view on each asset class.

The BEAT | April 2024 12

TOP IDEAS

Global Fixed Income Current allocation

Change from previous
––
–
High conviction underweight
Underweight
= Neutral
Representative Positioning from Portfolio Solutions Group + Overweight
++ High conviction overweight
Fixed Income Our View Commentary

–– – = + ++
Bonds
We remain neutral duration. The excessive 2024 rate cuts have been priced out, which leads to a
U.S.-Treasuries more balanced outlook for duration. Bumpy disinflation and recession tail risk balance each other.

Inflation Linked Bonds Real yields remain elevated and may fall further as inflation drops and a rate cutting cycle begins.

Lingering wage growth makes the risk/reward on eurozone duration balanced, although on a relative
Eurozone Govt. Bonds basis we see more risk of deeper-than-expect cuts by the ECB due to structural concerns on growth.
An environment of lower inflation, lower funding costs and stronger growth — all supported by the Fed
EM Hard Currency Govt. Bonds pivot — should provide a constructive backdrop for spreads and rates.
Depressed EM local yields compared to U.S. credit will limit inflows. However, EM FX could start to
EM Local Currency Govt. Bonds stabilize as markets adjust to a lower Fed Funds rate.

Public Credit
Current yields for high-quality Munis equate to minimal or zero pickup versus U.S. Treasuries on an
Municipal Bonds after-tax basis. On the other hand, there is a bit more value in lower rated parts of the market.
Underweight IG corporate bonds, as spreads are at historical tights. Excess return over USTs should be
Investment Grade minimal and IG remains sensitive to left-tail outcomes leading to a highly asymmetrical return profile.
High conviction in asset backed securities and yield per unit of credit quality remains attractive.
MBS/ABS Consumer cash flows are strong due to tight labor markets.

High Yield HY all-in yields remain attractive in a softer-landing scenario, where default risks may remain contained.

Holding OW exposure as soft-landing scenario lessens default risk and starting yields remain higher
Bank Loans as the Fed is slow to cut.
For informational purposes and does not constitute an offer or a recommendation to buy or sell any particular security or to adopt any specific investment strategy. The tactical views expressed above are a broad reflection of our team’s views
and implementations, expressed for client communication purposes. Individual team allocations may differ. The information herein does not contend to address the financial objectives, situation or specific needs of any individual investor. The
signals represent the Portfolio Solutions Group view on each asset class.

The BEAT | April 2024 13

TOP IDEAS

Global Equity Current allocation

Change from previous
––
–
High conviction underweight
Underweight
= Neutral
Representative Positioning from Portfolio Solutions Group + Overweight
++ High conviction overweight
Equity Our View Commentary

–– – = + ++
Regional
While U.S. growth should remain resilient, we see signs of stabilization for growth outside the U.S.
Developed Markets Valuation headwinds for U.S. equities lead us to use U.S. equities as a funding source.
A rebound in global manufacturing and a stabilization of the Chinese economy should lend some
U.S. support to Eurozone equities in the short term, despite lingering structural headwinds.
Japan’s slow exit from deflation should boost corporate revenue, while corporate reforms should further
Eurozone enhance profit margins and shareholder returns. Valuations have rerated but not stretched, while
positioning is not crowded. The absence of meaningful yen appreciation continues to be supportive.
Japan The absence of a DM hard landing and easing financial conditions are supportive for EM in general.
Structural concerns persist for China, but a lot of bad news could be in the price after the sell off.
Emerging Markets Government support could temporarily lift equities given depressed sentiment and light positioning.

Style

Earnings revision momentum and structural growth themes (e.g., AI) continue to support
Growth vs. Value
Growth outperformance.
Quality factors (profitability, ROE, etc.) tend to work both mid and late-cycle. Note that the Quality
Quality
does not denote defensive sector exposure.
Cost of capital remains high, and we see Large Caps as better insulated from leverage-related
Large Cap vs. Small Cap pressures than more fragile Small Caps.
We see balanced risk for Dividend yield exposures. Note that high dividend yield as an independent
Dividend factor does not imply quality, though many dividend focused funds also seek quality factors.

For informational purposes and does not constitute an offer or a recommendation to buy or sell any particular security or to adopt any specific investment strategy. The tactical views expressed above are a broad reflection of our team’s views
and implementations, expressed for client communication purposes. Individual team allocations may differ. The information herein does not contend to address the financial objectives, situation or specific needs of any individual investor. The
signals represent the Portfolio Solutions Group view on each asset class.

The BEAT | April 2024 14

TOP IDEAS

Alternatives Current allocation

Change from previous
––
–
Highly selective new investments
Selective new investments
= Neutral
Representative Positioning from Portfolio Solutions Group + Priority new investments
++ High priority new investments
Alternative Assets New Investments View Commentary

–– – = + ++
Commercial Real Estate has continued to reprice meaningfully given higher debt costs and elevated
Private Markets supply, leading us to upgrade to neutral. A significant amount of debt maturities this year should drive
higher transaction volumes and put additional downward pressure on pricing, leading to attractive
entry valuations. Long-term demand tailwinds in key sectors remain. Our view on Infrastructure is
Real Estate
unchanged, as entry valuations are largely defendable, and the asset class is well-placed to benefit
from the growth opportunities associated with the energy transition and digitization. Select markets
within Natural Resources continue to benefit from strong long-term fundamentals, such as
Infrastructure increasing food demand and decreasing arable land (in the case of agriculture investments).
We maintain a neutral indicator for Private Equity but have observed a compelling trend lower in
Natural Resources transaction valuations and anticipate that this will be reinforced during 2024 as M&A expands. An
increase in market activity and deployment could justify an upgrade in weighting. We continue to
emphasize the advantage of middle market Private Equity where leverage and valuation sensitivities
Private Equity are typically lower.
In Private Credit, loan pricing, terms and defaults are generally now in-line with long-term averages.
As a result, we have revised our view to neutral. However, as corporates continue to adjust to higher
Private Credit interest rate expense, the supply of opportunities for special situations lenders is growing and offers
attractive pricing.

Liquid Alternatives In long-short Hedge Funds, bottom-up fundamental security selection and trend following are
both benefiting from higher return dispersion and lower cross correlations in asset performance,
as well as benefitting from higher cash returns. Portfolio positioning shows hedge funds have a
Hedge Funds relatively high conviction in the current opportunities for skill-based returns.
We are neutral on key Commodity Markets: while a rebound in manufacturing activity is supportive of
commodity demand, high OPEC spare capacity and generally healthy supply from non-OPEC
Commodities countries should keep oil price upside capped for the time being.

For informational purposes and does not constitute an offer or a recommendation to buy or sell any particular security or to adopt any specific investment strategy. The tactical views expressed above are a broad reflection of our team’s views
and implementations, expressed for client communication purposes. Individual team allocations may differ. The information herein does not contend to address the financial objectives, situation or specific needs of any individual investor. The
signals represent the Portfolio Solutions Group view on each asset class. Note: Over/underweight in private markets refers to decisions regarding the flow of new investments, not the stock of existing investments.

The BEAT | April 2024 15

BONDS
Katie-
done
Sovereign Bond Yields

Developed Markets Emerging Markets

(10 yr. Yield) 1 Mo. Ago (10 yr. Yield) 1 Mo. Ago
12 Mo. Ago 12 Mo. Ago
15% 15%

10% 10%

5% 5%
Mar ’24

Mar ’24
0% 0%

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: Factset as of 3/31/24. Data provided is for informational use only. See end of report for important additional information.

The BEAT | April 2024 16

BONDS

Key Rates (%)

Security Current 12-Mo. Ago Average Minimum Maximum
1-Week SIFMA 3.64 3.97 3.43 1.90 4.55
Secured Overnight Financing Rate 5.34 4.84 5.21 4.80 5.40
1-Mo LIBOR 5.44 4.86 5.35 4.86 5.48
3-Mo LIBOR 5.56 5.16 5.56 5.19 5.69
2-Yr Treasury 4.62 4.07 4.64 3.74 5.21
5-Yr Treasury 4.22 3.67 4.14 3.28 4.96
10-Yr Treasury 4.20 3.56 4.09 3.29 4.99
30-Yr Treasury 4.34 3.78 4.24 3.54 5.11
2-Yr Japan 0.18 -0.07 0.03 -0.09 0.20
10-Yr Japan 0.70 0.33 0.62 0.32 0.96
2-Yr German Bund 2.85 2.57 2.89 2.38 3.31
10-Yr German Bund 2.29 2.28 2.45 1.91 2.98
2-Yr UK Gilt 4.14 3.35 4.50 3.35 5.52
10-Yr UK Gilt 3.92 3.45 4.14 3.42 4.74
Bloomberg US Agg 4.85 4.48 4.89 4.20 5.74
Bloomberg Global Agg 3.74 3.56 3.84 3.41 4.42
Bloomberg US Corporate 5.30 5.32 5.52 4.99 6.43
Bloomberg US Long Corporate 5.46 5.44 5.65 5.16 6.60
Bloomberg US Municipal 3.49 3.28 3.62 3.06 4.50
Bloomberg US Long Municipal 4.18 4.21 4.37 4.00 5.18
US High Yield 7.75 8.93 8.44 7.62 9.53
US Loans 9.82 10.26 10.31 9.82 10.80

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: Bloomberg, Leveraged Commentary & Data (LCD), and Factset as of 3/31/24. Current represents most recent month. Average, minimum, and maximum measure a 12-month period ending
most recent month. Data provided is for informational use only. US High Yield is represented by ICE BofA US High Yield Index. US Loans is represented by Morningstar LSTA U.S. Leveraged Loan Index. Bloomberg indices and ICE BofA US
HY index using yield to worst. Morningstar LSTA U.S. Leveraged Loan Index using yield to maturity. See end of report for important additional information.

The BEAT | April 2024 17

BONDS

Monetary Policy

Central Bank Policy Rates Market Expectations for Future Central Bank Rates
Current 1-Mo. Ago 12-Mo. Ago

10% U.S. Federal Reserve 5.50% 5.50% 5.00% 6.0% U.S. Federal Reserve
BOE 5.25% 5.25% 4.25%
9% 5.22% 5.02%
BOJ 0.10% -0.10% -0.10% 5.0% BOE
8% 5.11% 4.51%
ECB 4.50% 4.50% 3.50% 4.85%
4.33% 3.90%
7% 4.0% 3.76%
ECB
3.74%
6% 3.74% 3.53%
BOE 3.0% 3.42%
5%
U.S. Federal Reserve 2.88%
4% 2.39%
2.0% 2.30%
3%

2% 1.0%
0.51% 0.62%
ECB BOJ 0.36%
0.19%
1% 0.11%
BOJ 0.0%
0%
'98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22 '24
(1%) (1.0%)
3M 6M 1Y 2Y 3Y

Source: Bloomberg, Factset as of 3/31/24. Data provided is for informational use only. See end of report for important additional information. Forecasts/estimates are based on current market conditions, subject to change, and may not
necessarily come to pass.

The BEAT | April 2024 18

BONDS

U.S. Treasury Yields

Yields & Performance

U.S. Treasury Yield Curves
Yield (%) Total Return (%)
7% Security
Current 1-Mo. Ago 12-Mo. Ago 1-Mo. 12-Mo.

3-mo. Treasury 5.35 5.40 4.75 0.45 5.24

6%
6-mo. Treasury 5.32 5.33 4.89 0.45 5.22

5% 2-yr. Treasury 4.62 4.63 4.06 0.31 2.26

1-Mo. Ago
3-yr. Treasury 4.41 4.42 3.83 0.32 1.82
Mar ’24
4%
5-yr. Treasury 4.22 4.24 3.61 0.47 0.60
12-Mo. Ago
10-yr. Treasury 4.20 4.24 3.49 0.63 -2.44
3%

30-yr. Treasury 4.34 4.36 3.69 0.54 -8.20

2%

1%

0%
3M 2Y 5Y 10Y 30Y

Source: Factset, Morningstar as of 3/31/24. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information.

The BEAT | April 2024 19

BONDS

Characteristics and Performance Analysis

Averages Total Returns (%)
Coupon Price Yield to Spread Maturity Duration
Index
(%) ($) Worst (%) (bps) (yrs.) (yrs.) 1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y
U.S. High Grade
Bloomberg U.S. Aggregate Index 3.20 90.5 4.85 39 8.4 6.2 0.92 -0.78 -0.78 1.70 -2.46 0.36 1.54
U.S. Treasury 2.67 90.3 4.43 − 7.8 6.0 0.64 -0.96 -0.96 0.05 -2.73 -0.08 1.03
U.S. Mortgage Backed Securities 3.12 88.2 5.04 49 7.5 6.1 1.06 -1.04 -1.04 1.39 -2.84 -0.39 1.12
U.S. Asset Backed Securities 4.43 98.5 5.19 55 3.6 2.6 0.49 0.68 0.68 4.32 0.50 1.76 1.82
U.S. Commercial Mortgage Backed Securities 3.18 91.3 5.33 96 4.9 4.3 0.91 0.85 0.85 4.42 -1.41 1.20 2.02
U.S. Corp. Investment Grade 4.13 92.4 5.30 90 10.8 7.0 1.29 -0.40 -0.40 4.43 -1.87 1.52 2.61
Bloomberg Municipal Bond Index 4.54 102.3 3.49 − 13.4 6.1 0.00 -0.39 -0.39 3.13 -0.41 1.59 2.66
Bloomberg Taxable Municipal Bond Index 4.32 93.1 5.01 − 14.4 7.9 1.30 0.10 0.10 3.56 -2.29 1.27 3.36
ICE BofA US Inflation-Linked Treasury Index 0.89 92.5 2.00 − 7.6 5.4 0.71 0.02 0.02 0.16 -0.69 2.41 2.25
ICE BofA Preferred Index (Fixed Rate) 5.23 92.9 5.97 82 − 5.1 0.87 4.52 4.52 11.46 0.54 3.09 4.68
U.S. High Yield
ICE BofA US High Yield Index 6.16 93.2 7.75 315 4.9 3.3 1.19 1.51 1.51 11.04 2.21 4.03 4.36
Morningstar LSTA U.S. Leveraged Loan Index S+3.63 96.7 9.82 463 4.3 − 0.85 2.46 2.46 12.47 5.99 5.48 4.55
Emerging Markets
J.P. Morgan EM Bond Index (EMBI) Global Diversified 5.39 86.5 7.74 341 − 6.6 2.09 2.04 2.04 11.28 -1.40 0.71 3.05
J.P. Morgan Corp. EM Bond Index (CEMBI) Broad Diversified 4.96 92.9 6.65 231 − 4.3 1.00 2.32 2.32 9.17 -0.13 2.63 3.73
J.P. Morgan Govt. Bond Index-EM (GBI-EM) Global Diversified 5.33 − 6.27 − − 5.0 -0.03 -2.12 -2.12 4.91 -1.60 0.13 -0.32
Global Developed Markets
Bloomberg Global Aggregate Ex-U.S. Index 2.19 95.8 2.79 35 8.7 7.1 0.24 -3.21 -3.21 -0.71 -6.53 -2.49 -1.38
FTSE World Government Bond Index 2.31 − 3.48 − − 7.3 0.43 -2.42 -2.42 -0.84 -6.12 -2.21 -0.82
ICE BofA European Union Government Bond Index 2.01 93.8 2.95 48 9.1 7.4 0.82 -2.92 -2.92 3.27 -7.67 -2.48 -1.46
ICE BofA Developed Mkts HY Ex-Sub Fincl Index (USD Hedged) 5.86 93.1 7.50 347 3.7 3.1 1.00 1.60 1.60 11.45 2.39 4.12 4.50
Bloomberg Euro-Aggregate Corporates (EUR) 2.24 94.5 3.66 114 5.1 4.4 1.22 0.47 0.47 6.82 -2.18 -0.33 1.25
Bloomberg Pan-European High Yield Euro (EUR) 4.42 93.8 7.56 347 3.6 3.0 0.43 1.54 1.54 10.87 1.17 2.62 3.38
Past performance is no guarantee of future results. It is not possible to invest directly in an index. Source: Bloomberg, J.P. Morgan, ICE BofA Data Indices, LLC, Factset, and Leveraged Commentary & Data (LCD), as of 3/31/24. Data provided is
for informational use only. See end of report for important additional information. Yield to maturity is shown for the Morningstar LSTA U.S. Leveraged Loan Index and the FTSE World Government Bond Index. S+ refers to SOFR (Secured Overnight
Financing Rate) as the base rate. Loan Index spread represents the three-year discounted spread over SOFR. Returns of the ICE BofA Developed Mtks HY Ex-Sub Financial Index are USD Hedged. The averages for the index are unhedged.
Returns and averages for the Bloomberg Euro-Agg Corps and Bloomberg Pan-Euro HY indices are in EUR (unhedged).

The BEAT | April 2024 20

BONDS

Spread Analysis (bps)

1,600
High
1,400 1331

Current 1,200
Median 1087

Low 1,000

800 721

600 492
373 463 490
400 325 406
260 341 359
315
366
200 127 132 301
155 252
96 86 90 120 82
39 45 49 55 52
0 31
54 80
29 7 22
-200 -88
Floating-Rate Emerging
Aggregate MBS ABS CMBS Corporate Preferred Loans Markets (USD) High Yield
Max Spread Date 3/20/2020 3/19/2020 3/26/2020 3/25/2020 3/23/2020 3/23/2020 3/20/2020 3/23/2020 3/23/2020
Min Spread Date 4/14/2021 4/14/2021 6/21/2021 6/21/2021 6/30/2021 12/6/2017 4/20/2018 6/9/2014 12/28/2021
Spread on 12/31/23 42 47 68 126 99 148 490 384 339
Spread on 12/31/22 51 51 76 120 130 227 645 452 479
Spread on 12/31/21 36 31 38 68 92 113 428 369 310
Past performance is no guarantee of future results. It is not possible to invest directly in an index. Source: Factset and Leveraged Commentary & Data (LCD) as of 3/31/24. Spread history measures past 10 years. Data provided is for
informational use only. See end of report for important additional information. All fixed-income spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries using daily data. Aggregate
represented by Bloomberg US Aggregate Index. MBS represented by Bloomberg U.S. Mortgage Backed Securities (MBS) Index. ABS represented by Bloomberg U.S. Asset Backed Securities (ABS) Index. CMBS represented by Bloomberg
U.S. CMBS Investment Grade Index. Corporate represented by Bloomberg U.S. Corporate Investment Grade Index. Preferred represented by ICE BofA Fixed Rate Preferred Securities Index. Floating-Rate Loans represented by Morningstar
LSTA U.S. Leveraged Loan Index. Loan Index spread represents the three-year discounted spread over SOFR (Secured Overnight Financing Rate). Emerging Markets(USD) represented by J.P. Morgan Emerging Markets Bond Index (EMBI)
Global Diversified. High Yield represented by ICE BofA US High Yield Index.

The BEAT | April 2024 21

BONDS

Corporate Bond Market Update

Averages Total Returns (%)
Coupon Price Yield to Spread Maturity Duration
(%) ($) Worst (%) (bps) (yrs.) (yrs.) 1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y
U.S. High Grade
Bloomberg U.S. Corp. Investment Grade Index 4.13 92.4 5.30 90 10.8 7.0 1.29 -0.40 -0.40 4.43 -1.87 1.52 2.61
AAA Index 3.17 84.1 4.73 34 18.2 10.7 1.51 -1.64 -1.64 0.16 -4.00 0.11 2.10
AA Index 3.47 89.1 4.88 44 12.8 8.0 1.23 -0.98 -0.98 1.95 -3.00 0.07 1.66
A Index 3.99 92.7 5.17 77 10.6 7.0 1.21 -0.55 -0.55 3.70 -2.09 1.19 2.36
BBB Index 4.39 92.9 5.50 110 10.5 6.8 1.38 -0.14 -0.14 5.59 -1.44 2.09 2.99
U.S. High Yield
ICE BofA U.S. High Yield Index 6.16 93.2 7.75 315 4.9 3.3 1.19 1.51 1.51 11.04 2.21 4.03 4.36
BB Index 5.53 95.5 6.49 190 5.2 3.6 1.26 1.10 1.10 8.99 1.81 4.28 4.70
B Index 6.56 94.8 7.72 308 4.6 3.0 1.04 1.48 1.48 11.41 2.34 3.69 4.00
CCC Index 7.35 80.6 13.14 857 4.3 2.9 1.26 3.22 3.22 18.49 2.95 3.61 4.12
Morningstar LSTA U.S. Leveraged Loan Index S+3.63 96.7 9.82 463 4.3 - 0.85 2.46 2.46 12.47 5.99 5.48 4.55
BBB Index S+2.08 100.0 7.41 208 4.7 - 0.77 1.80 1.80 8.26 5.11 4.43 3.85
BB Index S+2.88 99.6 8.33 303 4.6 - 0.80 2.00 2.00 10.09 5.75 4.69 4.11
B Index S+3.89 98.4 9.76 450 4.3 - 0.87 2.45 2.45 13.32 6.36 5.88 4.82
CCC Index S+4.87 82.4 18.26 1300 3.6 - 1.01 5.17 5.17 18.97 4.67 4.90 6.06
D Index - 42.4 - - - - -0.18 -3.93 -3.93 -5.28 -24.35 -25.19 -17.99

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: Bloomberg, JPMorgan, ICE BofA Data Indices, LLC, Factset, and Leveraged Commentary & Data (LCD), as of 3/31/24. Data provided is for informational use only. See end of report for
important additional information. Yield to maturity is shown for the Morningstar LSTA U.S. Leveraged Loan Index. S+ refers to SOFR (Secured Overnight Financing Rate) as the base rate. Loan Index spread represents the three-year
discounted spread over SOFR.

The BEAT | April 2024 22

BONDS

Corporate Bond Market Update

Average Spread (bps) Current 1-Mo. Ago 12-Mo. Ago Median

HY Corporate 315 329 458 405
1,200
Loans 463 473 590 489
1,000
800 IG Corporate 90 96 138 120

600 Loans

400
200 High Yield Corporate

0 Investment
Grade Corporate

Annual Default Rate

Current 1-Mo. Ago 12-Mo. Ago Median
8%
HY Corporate 1.67 1.66 1.27 1.93
6% Loans 1.14 1.41 1.32 1.54
Loans High Yield
4% Corporate

2%

0%

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: J.P. Morgan and Leveraged Commentary & Data (LCD), as of 3/31/24. Data provided is for informational use only. See end of report for important additional information. Corporate spreads
are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries. Loan Index spread represents the three-year discounted spread over SOFR (Secured Overnight Financing Rate).

The BEAT | April 2024 23

BONDS

Municipal Bond Market Update

Averages Total Returns (%)
Coupon Price Yield To Maturity Duration
(%) ($) Worst (%) (yrs.) (yrs.) 1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y

Bloomberg Municipal Bond Index 4.54 102.3 3.49 13.4 6.1 0.00 -0.39 -0.39 3.13 -0.41 1.59 2.66

AAA Index 4.47 103.3 3.33 12.9 6.3 -0.13 -0.81 -0.81 2.39 -0.68 1.26 2.10

AA Index 4.57 103.5 3.35 12.9 5.9 -0.14 -0.56 -0.56 2.61 -0.51 1.43 2.43

A Index 4.53 100.4 3.75 13.9 5.9 0.24 0.10 0.10 4.30 -0.05 1.97 3.13

BBB Index 4.48 96.5 4.29 17.0 7.1 0.74 0.60 0.60 5.67 0.08 2.41 3.92

5-Year Index 4.69 105.7 3.06 5.0 3.6 -0.12 -0.37 -0.37 1.95 -0.30 1.25 1.74

10-Year Index 4.56 106.5 3.04 9.9 5.3 -0.09 -0.54 -0.54 2.39 -0.07 1.82 2.84

22+ Year Index 4.51 97.2 4.18 26.5 10.1 -0.01 -0.75 -0.75 4.09 -1.70 1.29 3.29

Bloomberg High Yield Municipal Bond Index 4.64 66.2 5.50 19.6 6.9 1.19 1.51 1.51 7.91 0.55 3.03 4.55

Hospital 5.29 85.7 6.36 20.6 6.7 1.96 2.02 2.02 5.98 -0.85 0.95 3.90

IDR/PCR 4.30 39.8 5.68 19.5 6.8 0.78 1.41 1.41 7.97 0.23 3.35 5.99

Tobacco 2.38 18.9 6.09 28.6 10.0 0.27 -1.03 -1.03 9.02 -0.76 4.10 7.56

Puerto Rico 3.64 56.8 4.57 19.3 7.1 0.54 2.17 2.17 13.73 2.46 5.90 4.35

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: Bloomberg, Morningstar as of 3/31/24. Coupon and Yield To Worst figures are based on average market prices while Price is based on an average of par value. Data provided is for
informational use only. See end of report for important additional information.

The BEAT | April 2024 24

BONDS

Municipal Bond Market Update

AAA Muni-to-Treasury Yield Ratios

350% Current 1-Mo. Ago 12-Mo. Ago Median

300% 5Y 61 57 62 74
250% 10Y 60 58 65 86
200% 30Y 84 81 90 97
150% 30Y
10Y
100%
50% 5Y
0%

Credit Quality Spreads vs. AAA (bps)

Current 1-Mo. Ago 12-Mo. Ago Median
200 AA 7 7 16 18
A 31 31 36 46
BBB
BBB 83 83 90 88
100
A

AA

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: Bloomberg as of 3/31/24. Data provided is for informational use only. See end of report for important additional information. All spreads are in basis points and measure option-adjusted yield
spread relative to comparable maturity U.S. Treasuries.

The BEAT | April 2024 25

BONDS

Emerging Markets Bond Market Update

Sovereign EMD Spreads (USD) Corporate EMD Spreads (USD) Local EMD Yields (%)
bps bps bps
700 700 10%

8%
500 500
6%
300 300
4%

100 100 2%
'14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24

Avg. Spread (bps) Avg. Spread (bps) Avg. Yield (%)

Current 341 Current 231 Current 6.27
1-Mo. Ago 368 1-Mo. Ago 245 1-Mo. Ago 6.19
12-Mo. Ago 484 12-Mo. Ago 347 12-Mo. Ago 6.59
Median 359 Median 301 Median 6.29

Averages Total Returns (%)

Coupon (%) Price ($) Yield (%) Duration 1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y

JPMorgan Emerging Markets

5.39 86.5 7.74 6.6 2.09 2.04 2.04 11.28 -1.40 0.71 3.05
Bond Index (EMBI) Global Diversified
JPMorgan Corporate Emerging Markets
4.96 92.9 6.65 4.3 1.00 2.32 2.32 9.17 -0.13 2.63 3.73
Bond Index (CEMBI) Broad Diversified
JPMorgan Government Bond Index-Emerging Markets
5.33 − 6.27 5.0 -0.03 -2.12 -2.12 4.91 -1.60 0.13 -0.32
(GBI-EM) Global Diversified

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: J.P. Morgan, Morningstar as of 3/31/24. Data provided is for informational use only. See end of report for important additional information. All spreads are in basis points and measure
option-adjusted yield spread relative to comparable maturity U.S. Treasuries.

The BEAT | April 2024 26

BONDS

Asset Class Return Analysis (%)

2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 YTD 2024
Higher EMD (Local Investment Global Agg
Municipal Municipal High Yield Municipal High Yield Bank Loan High Yield Bank Loan
Currency) Grade Ex-U.S.
9.05 3.30 17.49 1.28 5.36 -0.77 13.46 2.46
15.21 14.54 10.11
Investment EMD (Hard Global Agg EMD (Hard Investment EMD (Corp.
MBS MBS Bank Loan Municipal Bank Loan
Grade Currency) Ex-U.S. Currency) Grade Bonds)
1.51 0.99 5.20 -8.53 13.32
7.46 10.19 10.51 14.42 9.89 2.32
EMD (Corp. EMD (Hard EMD (Local
MBS Bank Loan Treasury High Yield Treasury Municipal High Yield High Yield
Bonds) Currency) Currency)
6.08 10.16 0.86 14.41 8.00 1.52 -11.22 1.51
1.30 9.32 12.70
EMD (Hard EMD (Hard EMD (Local EMD (Corp. EMD (Local EMD (Corp. EMD (Corp. EMD (Local EMD (Hard EMD (Hard
Bank Loan
Currency) Currency) Currency) Bonds) Currency) Bonds) Bonds) Currency) Currency) Currency)
0.44
5.53 1.23 9.94 7.96 13.47 7.13 0.91 -11.69 10.45 1.40
EMD (Corp. EMD (Corp. EMD (Corp. Investment EMD (Corp.
Treasury Treasury High Yield High Yield MBS Municipal
Bonds) Bonds) Bonds) Grade Bonds)
5.05 0.84 7.48 6.17 -11.81 -0.39
9.65 -1.65 13.09 -1.04 9.08
EMD (Corp. Investment Investment Investment Global Agg EMD (Hard EMD (Corp. Investment Investment
Bank Loan MBS
Bonds) Grade Grade Grade Ex-U.S. Currency) Bonds) Grade Grade
8.64 -1.04
4.96 -0.68 6.11 6.42 -2.15 5.88 -12.26 8.52 -0.40
EMD (Hard
High Yield Bank Loan MBS Municipal High Yield Municipal Municipal Treasury Municipal Treasury
Currency)
2.50 -0.69 1.67 5.45 -2.26 7.54 5.21 -12.46 6.40 -0.96
-1.51
Global Agg Investment Investment Global Agg
Bank Loan High Yield Bank Loan Treasury MBS Treasury MBS
Ex-U.S. Grade Grade Ex-U.S.
1.60 -4.64 4.12 6.86 3.87 -2.32 -1.04
1.49 -2.51 -15.76 5.72
Global Agg Global Agg EMD (Hard Global Agg EMD (Hard EMD (Local
Treasury MBS MBS Bank Loan MBS
Ex-U.S. Ex-U.S. Currency) Ex-U.S. Currency) Currency)
1.04 2.47 6.35 3.12 5.05
-3.08 -6.02 -4.61 -7.05 -16.45 -2.12
EMD (Local EMD (Local EMD (Local Global Agg EMD (Local EMD (Local Global Agg Global Agg
Municipal Treasury Treasury
Currency) Currency) Currency) Ex-U.S. Currency) Currency) Ex-U.S. Ex-U.S.
0.25 2.31 4.05
Lower -5.72 -14.92 -6.21 5.09 2.69 -8.75 -18.70 -3.21
Past performance is no guarantee of future results. It is not possible to invest directly in an index. In general, fixed income investments are subject to credit and interest rate risks. High yield investments may have a higher degree of credit and
liquidity risk. Foreign securities are subject to currency, political, economic and market risks. Investors should carefully review the risks of each asset class prior to investing. Source: Morningstar as of 3/31/24. Data provided is for informational use
only. See end of report for important additional information. Investment Grade represented by Bloomberg U.S. Corporate Index. MBS represented by Bloomberg U.S. Mortgage Backed Securities (MBS) Index. Treasury represented by Bloomberg
U.S. Treasury Index. High Yield represented by ICE BofA US High Yield Index. Municipal represented by Bloomberg Municipal Bond Index. Bank Loan represented by Morningstar LSTA U.S. Leveraged Loan Index. Global Agg Ex-U.S.
represented by Bloomberg Global Aggregate Ex-USD Index. EMD (Local Currency) represented by J.P. Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified. EMD (Hard Currency) represented by J.P. Morgan
Emerging Markets Bond Index (EMBI) Global Diversified. EMD (Corp. Bonds) represented by J.P. Morgan Corporate Emerging Market Bond Index (CEMBI) Broad Diversified.

The BEAT | April 2024 27

EQUITIES

Performance: Market Barometer (%)

1-Month Returns 1-Year Returns 3-Year Returns

Value Core Growth Value Core Growth Value Core Growth

Large Cap 5.00 3.21 1.76 20.27 29.87 39.00 8.11 10.45 12.50

Mid Cap 5.18 4.34 2.39 20.40 22.35 26.28 6.80 6.07 4.62

Small Cap 4.38 3.58 2.80 18.75 19.71 20.35 2.22 -0.10 -2.68

< -20

-20 to -10 Global U.S. Global U.S. Global U.S.

3.14 3.22 23.22 29.88 6.96 11.49
-10 to 0

0 to 10 Emerging Emerging Emerging

International International International
Markets Markets Markets
10 to 20 3.29 15.32 4.78
2.48 8.15 -5.05
> 20

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: Morningstar as of 3/31/24. Data provided is for informational use only. See end of report for important additional information. Returns over 1 year are annualized. Large Cap Value
represented by Russell 1000 Value Index. Large Cap Core represented by Russell 1000 Index. Large Cap Growth represented by Russell 1000 Growth Index. Mid Cap Value represented by Russell Mid Cap Value Index. Mid Cap Core
represented by Russell Mid Cap Index. Mid Cap Growth represented by Russell Mid Cap Growth Index. Small Cap Value represented by Russell 2000 Value Index. Small Cap Core represented by Russell 2000 Index. Small Cap Growth
represented by Russell 2000 Growth Index. Global represented by MSCI ACWI Index. US represented by S&P 500 Index. International represented by MSCI EAFE Index. Emerging Markets represented by MSCI Emerging Markets Index.

The BEAT | April 2024 28

EQUITIES

Dividend Yields and Volatility Analysis

Historical Yields Current Yields

4.0% 5.0%
4.20
3.5% MSCI EAFE 4.0%
3.0% 2.76
3.0%
2.34
2.5%
MSCI EM 2.0% 1.72
2.0% 1.31
MSCI World 1.0%
1.5%
S&P 500
1.0% 0.0%
'19 '20 '21 '22 '23 '24 S&P 500 MSCI World MSCI EM MSCI EAFE 10 Yr Treasury

Correlation of S&P 500 Stocks CBOE Market Volatility Index (VIX)

1.0 60.0
50.0 VIX
0.8
40.0
0.6
Average 30.0
0.4 20.0
0.2 10.0

0.0 0.0
'02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24 '19 '20 '21 '22 '23 '24

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: FactSet and Ned Davis Research as of 3/31/24. Correlation of S&P 500 Stocks is measured by the median 63-day rolling correlation of one day returns data provided is for informational use
only. See end of report for important additional information.

The BEAT | April 2024 29

EQUITIES

Valuation Analysis

Regions/Styles: Current NTM P/E vs. 10-Year High, Low, Average

High
70.0
63.2
Current
Average 60.0

Low
50.0

40.0
32.7

30.0
27.8
22.9 21.5
23.6 23.9 22.3 20.0
21.0 18.1 17.4 17.5
MSCI World 20.0 17.7 18.6 17.1 15.6
Current P/E 16.1 15.1 16.3 14.3 15.8 14.4
17.0 16.8 13.8 13.9 13.5 14.2 13.6
12.2 12.2
10.0 14.4 13.4
12.1 10.9 11.4
10.3 9.8
6.6
0.0

Russell 1000 Russell 1000 MSCI World ex MSCI AC

S&P 500 Russell 2000 Growth Value MSCI World USA Small Cap MSCI EAFE MSCI EM MSCI Europe Asia Pac

High Date 8/20 6/20 8/20 3/21 8/20 8/20 8/20 1/21 6/20 1/21

Low Date 12/18 9/22 2/16 9/22 12/18 9/22 9/22 10/18 9/22 12/18

Source: FactSet as of 3/31/24. NTM P/E is market price per share divided by expected earnings per share over the next twelve months. Data provided is for informational use only. See end of report for important additional information.
Forecasts/estimates are based on current market conditions, subject to change, and may not necessarily come to pass.

The BEAT | April 2024 30

EQUITIES

Valuation Analysis

S&P 500 Sectors: Current NTM P/E vs. 10-Year High, Low, Average

High 77.2

70.0
Current
Average
50.0 45.3
Low

28.4
30.0 26.2 28.4
24.0 22.1
25.7 21.9 21.3
23.2 20.2 16.0 19.1 21.6
S&P 500 19.0
19.5 19.1 18.1 20.3 21.5 16.8
15.8 16.0 16.1 17.6
Current P/E 16.0 13.2 16.2
10.0 16.9 16.4 13.0
13.8 13.6 14.3 14.7
12.2
10.0 9.3

(10.0)

(30.0) -263.8
*Not to scale
Communication Consumer Consumer Information
Services Discretionary Staples Energy Financials Health Care Industrials Technology Materials Utilities

High Date 8/20 6/20 12/21 4/16 3/24 3/24 8/20 3/24 7/20 3/22

Low Date 5/18 2/16 4/18 7/20 3/20 3/20 12/18 4/14 9/15 6/15

Source: FactSet as of 3/31/24. NTM P/E is market price per share divided by expected earnings per share over the next twelve months. The Real Estate sector is excluded from this 10-year chart since the sector was created on August 31,
2016. Data provided is for informational use only. See end of report for important additional information. Forecasts/estimates are based on current market conditions, subject to change, and may not necessarily come to pass.

The BEAT | April 2024 31

EQUITIES

Corporate Earnings Growth

Regions/Styles
Expected EPS Growth
2023 EPS Growth
30.0
22.42 21.18 20.44
20.0 16.74 21.68
15.34
10.95 8.84
10.0 7.35 6.06 4.96

0.0 0.28 1.32 0.79 -0.27

-1.16 -4.44
-7.07 -7.30
(10.0)
-18.43
(20.0)
Russell 2000 MSCI World ex USA MSCI EM MSCI Asia Pac Russell 1000 Growth S&P 500 MSCI World Russell 1000 Value MSCI EAFE MSCI Europe
Small Cap

S&P 500 Sectors

Expected EPS Growth
40.0 39.90
2023 EPS Growth
30.0
17.78 22.99 17.34 15.02
20.0 20.46
11.74 11.44 8.75 8.35
10.0 4.33 1.81
6.34 3.98 6.49 5.47
0.0 2.39

(10.0) -2.40
-6.74
(20.0) -20.62 -22.80
(30.0) -28.52
Info. Tech. Communications Health Care Financials Discretionary Utilities Industrials Staples Real Estate Materials Energy

Source: FactSet as of 3/31/24. Expected EPS Growth is defined as the expected % change in the EPS growth from the beginning of the current calendar year though the end of the calendar year. 2023 EPS Growth is defined as the % change
in EPS from the beginning of the year through the end of the year. Data provided is for informational use only. See end of report for important additional information. Forecasts/estimates are based on current market conditions, subject to
change, and may not necessarily come to pass.

The BEAT | April 2024 32

EQUITIES

S&P 500 Index: 1-Month Return Analysis

3-5 Year Earnings Growth Trailing 12 Month P/E Return On Equity

8.0% 8.0% 6.0%
7.5
5.1
6.1
6.0% 6.0% 4.1 4.2
5.3
4.7 4.0%
3.2
4.0% 4.0% 2.8
3.2 3.2 2.2
2.5 2.8
2.2 2.0%
2.0% 2.0% 1.5 1.7
0.8

0.0% 0.0% 0.0%

S&P 500 14.8+ 10.3-14.7 7.7-10.3 4.5-7.6 <4.4 S&P 500 41.4+ 29.1-41.2 20.7-28.8 14.5-20.7 <14.5 S&P 500 31.0+ 19.4-30.8 12.3-19.2 7.9-12.3 <7.9

Market Cap Beta Dividend Yield

6.0% 6.0% 8.0%
5.3
6.5
4.7 4.6
6.0%
4.0% 3.9
4.0% 4.7
3.2 3.2 3.3
3.2
2.6 4.0% 3.6
3.2
2.8
2.0% 2.0% 2.1
1.4
2.0%

0.0% 0.0% 0.0%

S&P 500 $100B+ $15B-$100B <$15B S&P 500 1.5+ 1.2-1.5 0.9-1.2 0.6-0.9 <0.6 S&P 500 3.5+ 2.4-3.5 1.6-2.4 0.6-1.6 0.0-0.6

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: FactSet as of 3/31/24. Data provided is for informational use only. See end of report for important additional information.

The BEAT | April 2024 33

EQUITIES

S&P 500 Index: YTD Analysis

3-5 Year Earnings Growth Trailing 12 Month P/E Return On Equity

30.0% 20.0% 15.0%
18.2 13.3 13.1
24.1
25.0%
15.0% 10.6
20.0% 12.7 10.0%
8.6
10.6 7.9
10.0
15.0% 10.0% 9.5 6.7
10.6 10.4
10.0% 7.7 5.0%
4.8
5.0%
5.0% 3.4
2.2

0.0% 0.0% 0.0%

S&P 500 15.2+ 10.2-15.2 7.3-10.2 3.5-7.1 <3.5 S&P 500 39.7+ 27.9-39.7 20.6-27.9 14.0-20.5 <14.0 S&P 500 31.0+ 19.4-30.8 12.3-19.2 7.9-12.3 <7.9

Market Cap Beta Dividend Yield

15.0% 20.0% 15.0%
17.3
12.5
10.6 11.3 10.8
15.0% 10.6 10.6
10.0% 9.3 10.0%
10.6 7.4
10.0% 9.3 8.9 7.0

5.2 6.9
5.0% 5.0%
5.0%
1.8

0.0% 0.0% 0.0%

S&P 500 $100B+ $15B-$100B <$15B S&P 500 1.5+ 1.2-1.5 1.0-1.2 0.7-1.0 <0.7 S&P 500 3.5+ 2.4-3.5 1.6-2.4 0.6-1.6 0.0-0.6

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: FactSet as of 3/31/24. Data provided is for informational use only. See end of report for important additional information.

The BEAT | April 2024 34

EQUITIES

Index Sectors: Return Analysis

S&P 500 MSCI World

Return % Return %

50.00 1 month 50.00 1 month

YTD YTD
1 year 1 year
40.00 40.00

30.00 30.00

20.00 20.00

10.00 10.00

0.00 0.00

(10.00) (10.00)

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: Morningstar as of 3/31/24. Data provided is for informational use only. See end of report for important additional information.

The BEAT | April 2024 35

EQUITIES

Current Characteristics and Sector Weights

MSCI MSCI World ex MSCI MSCI MSCI MSCI

S&P 500 R2000 R1000G R1000V World USA Small Cap EAFE EM Europe Asia Pac
Number of Holdings 503 1947 443 846 1465 2371 768 1376 421 1464
Maximum Market Cap $3,126.13B $59.14B $3,126.13B $909.70B $2,970.56B $8.55B $416.42B $599.65B $416.42B $599.65B
Minimum Market Cap $5.96B $0.02B $0.69B $0.35B $1.43B $0.09B $1.43B $0.11B $2.05B $0.11B
Dividend Yield 1.31 1.28 0.63 2.09 1.72 2.74 2.76 2.34 2.87 2.27
NTM PE 20.96 23.57 27.83 16.10 18.64 14.32 14.37 12.20 13.86 14.23
Price to Book 4.70 2.14 12.35 2.55 3.32 1.39 1.92 1.73 2.11 1.69
Price to Cash Flow 15.89 12.89 24.67 11.00 13.53 10.25 9.92 8.15 8.76 10.83
Price to Sales 2.82 1.30 4.71 1.77 2.18 0.88 1.36 1.34 1.36 1.36
Est 3-5 Yr EPS Growth 14.00 13.17 17.64 8.91 12.85 12.42 10.01 17.81 10.34 14.58
5Yr. Div Growth Rate 4.44 6.25 5.35 1.12 3.29 4.90 1.88 2.71 1.81 0.96

Real Estate Utilities Utilities

Real Estate
2% 2% 2%
2%
Materials Communication Services Communication Services
2% 9% Materials 7%
4%
Discretionary Discretionary
10% 11%

Staples Information Technology Staples

Information Technology
6% 24% 7%
30%
Energy Energy
4% 5%

Financials Industrials Financials

Industrials 13% 11% 15%
9% Health Care
Health Care
13% S&P 500 12% MSCI World

Source: FactSet as of 3/31/24. Data provided is for informational use only. See end of report for important additional information. Forecasts/estimates are based on current market conditions, subject to change, and may not necessarily come
to pass.

The BEAT | April 2024 36

EQUITIES

Asset Class Return Analysis (%)

1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y 2023 2022 2021 2020 2019
S&P 500 3.22 10.56 10.56 29.88 11.49 15.05 12.96 26.29 -18.11 28.71 18.40 31.49
Russell 1000 Defensive 2.36 7.62 7.62 22.94 9.70 12.49 11.97 20.23 -16.43 26.93 13.93 30.47
Russell 1000 Dynamic 4.03 12.98 12.98 37.22 11.15 16.80 13.20 33.34 -21.94 25.57 27.69 32.35
U.S. Russell 2500 4.13 6.92 6.92 21.43 2.97 9.90 8.84 17.42 -18.37 18.18 19.99 27.77
Equities Russell 1000 Growth 1.76 11.41 11.41 39.00 12.50 18.52 15.98 42.68 -29.14 27.60 38.49 36.39
Russell 1000 Value 5.00 8.99 8.99 20.27 8.11 10.32 9.01 11.46 -7.54 25.16 2.80 26.54
Russell Mid Cap 4.34 8.60 8.60 22.35 6.07 11.10 9.95 17.23 -17.32 22.58 17.10 30.54
Russell 2000 3.58 5.18 5.18 19.71 -0.10 8.10 7.58 16.93 -20.44 14.82 19.96 25.52
CBOE S&P 500 Buywrite BXM 2.20 6.02 6.02 11.89 6.18 5.93 5.94 11.82 -11.37 20.47 -2.75 15.68

MSCI World 3.21 8.88 8.88 25.11 8.60 12.07 9.39 23.79 -18.14 21.82 15.90 27.67
MSCI EAFE 3.29 5.78 5.78 15.32 4.78 7.33 4.80 18.24 -14.45 11.26 7.82 22.01
MSCI EM 2.48 2.37 2.37 8.15 -5.05 2.22 2.95 9.83 -20.09 -2.54 18.31 18.44
Global MSCI AC Asia Pac 2.75 5.04 5.04 11.74 -2.29 4.47 4.98 11.45 -17.22 -1.46 19.71 19.36
Equities MSCI ACWI 3.14 8.20 8.20 23.22 6.96 10.92 8.66 22.20 -18.36 18.54 16.25 26.60
MSCI Europe 3.74 5.23 5.23 14.11 6.19 7.96 4.44 19.89 -15.06 16.30 5.38 23.77
MSCI World Small Cap 3.89 4.39 4.39 15.87 1.27 7.90 6.94 15.76 -18.76 15.75 15.96 26.19
MSCI World Ex USA Small Cap 4.06 2.58 2.58 10.04 -0.93 5.39 4.54 12.62 -20.59 11.14 12.78 25.41
FTSE 100 4.71 3.04 3.04 10.73 6.68 5.04 2.97 14.38 -7.01 17.36 -8.73 22.03
FTSE All Small 2.08 -0.70 -0.70 10.18 -1.72 5.72 3.88 12.57 -23.06 22.15 10.77 22.63
STOXX Europe 600 3.83 5.24 5.24 14.32 5.72 8.04 4.55 19.87 -16.14 16.09 6.83 24.53
Nikkei 225 Average 2.49 13.04 13.04 28.48 1.97 8.54 8.00 22.05 -19.49 -4.69 23.99 21.35

S&P 500 Comm. Services 4.34 15.82 15.82 49.76 6.86 13.67 9.35 55.80 -39.89 21.57 23.61 32.69
S&P 500 Cons Disc 0.10 4.98 4.98 28.73 4.34 11.54 12.56 42.41 -37.03 24.43 33.30 27.94
Sectors
S&P 500 Cons Staples 3.49 7.52 7.52 7.19 8.00 9.96 9.27 0.52 -0.62 18.63 10.75 27.61
S&P 500 Energy 10.60 13.69 13.69 17.67 30.00 12.86 4.74 -1.33 65.72 54.64 -33.68 11.81
S&P 500 Financials 4.78 12.46 12.46 33.55 9.52 12.76 11.06 12.15 -10.53 35.04 -1.69 32.13
S&P 500 Health Care 2.38 8.85 8.85 16.09 10.01 12.05 11.67 2.06 -1.95 26.13 13.45 20.82
S&P 500 Industrials 4.41 10.97 10.97 26.70 10.44 12.97 11.14 18.13 -5.48 21.12 11.06 29.37
S&P 500 Info Tech 1.97 12.69 12.69 46.01 18.99 25.39 21.97 57.84 -28.19 34.53 43.89 50.29
S&P 500 Materials 6.50 8.95 8.95 17.57 7.87 13.30 9.23 12.55 -12.27 27.28 20.73 24.58
S&P 500 Real Estate 1.77 -0.55 -0.55 9.60 3.44 5.32 8.00 12.36 -26.13 46.19 -2.17 29.01
S&P 500 Utilities 6.62 4.57 4.57 0.42 4.14 5.87 8.35 -7.08 1.57 17.67 0.48 26.35
Past performance is no guarantee of future results. It is not possible to invest directly in an index. Source: Morningstar as of 3/31/24. Data provided is for informational use only. Results in US Dollar. See end of report for additional information.

The BEAT | April 2024 37

EQUITIES

Asset Class Return Analysis (%)

2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 YTD 2024
Higher
Emerging
S&P 500 Growth Small-Cap Growth Growth Growth S&P 500 Value Growth Growth
Markets
13.69 5.67 21.31 -1.51 36.39 38.49 28.71 -7.54 42.68 11.41
37.28
International International
Value Value S&P 500 S&P 500 Small-Cap Growth International S&P 500 S&P 500
Small-Cap Small-Cap
13.45 17.34 -4.38 31.49 19.96 27.60 -14.45 26.29 10.56
5.46 31.04

Mid-Cap S&P 500 Mid-Cap Growth Value Mid-Cap S&P 500 Value Mid-Cap Global Value
13.22 1.38 13.80 30.21 -8.27 30.54 18.40 25.16 -17.32 22.20 8.99

Emerging
Growth International S&P 500 International Mid-Cap Global Mid-Cap S&P 500 International Mid-Cap
Markets
13.05 -0.81 11.96 25.03 -9.06 26.60 22.58 -18.11 18.24 8.60
18.31
Emerging
Small-Cap Global Global Global Value Mid-Cap Global Global Mid-Cap Global
Markets
4.89 -2.36 23.97 -9.42 26.54 17.10 18.54 -18.36 17.23 8.20
11.19
Emerging
Global Mid-Cap Global S&P 500 Small-Cap Small-Cap Global Small-Cap Small-Cap International
Markets
4.16 -2.44 7.86 21.83 -11.01 25.52 16.25 14.82 16.93 5.78
-20.09
Emerging International International International
Value Growth Mid-Cap International International Small-Cap Small-Cap
Markets Small-Cap Small-Cap Small-Cap
-3.83 7.08 18.52 -13.79 11.26 -20.44 5.18
-2.19 25.41 12.78 12.62
International Emerging International International International
International Small-Cap Small-Cap International International Value
Small-Cap Markets Small-Cap Small-Cap Small-Cap
-4.90 -4.41 14.65 22.01 7.82 11.46
4.32 -14.58 11.14 -20.59 2.58
International Emerging International Emerging Emerging Emerging Emerging
International Value Value Growth
Small-Cap Markets Small-Cap Markets Markets Markets Markets
1.00 13.66 2.80 -29.14
-5.34 -14.92 -18.07 18.42 -2.54 9.83 2.37
Lower
Past performance is no guarantee of future results.
It is not possible to invest directly in an index. In general, Foreign securities are subject to currency, political, economic and market risks. The risks of investing in emerging market countries are greater than investments in foreign developed
countries. Investors should carefully review the risks of each asset class prior to investing. Source: Morningstar as of 3/31/24. Data provided is for informational use only. See end of report for important additional information. Small-Cap
represented by Russell 2000 Index. Emerging Markets represented by MSCI Emerging Markets Index. Value represented by Russell 1000 Value Index. Mid-Cap represented by Russell Midcap Index. Global represented by MSCI ACWI Index.
Growth represented by Russell 1000 Growth Index. International represented by MSCI EAFE Index. International Small-Cap represented by MSCI World Ex USA Small Cap Index.

The BEAT | April 2024 38

ALTERNATIVES

Developed Market Currency Performance and Yields

Spot Returns vs. USD (%) Spot Returns vs. EUR (%) Local Interest Rates (%)
Currency 1-Mo. YTD 1Y 3Y 5Y 1-Mo. YTD 1Y 3Y 5Y 1Y
U.S. Dollar (USD) - - - - - 0.20 2.28 0.59 2.86 0.78 5.06
Euro (EUR) * -0.20 -2.23 -0.59 -2.78 -0.77 - - - - - 3.12
British Pound (GBP) -0.13 -0.91 2.17 -2.90 -0.62 0.06 1.35 2.78 -0.12 0.16 4.23
Japanese Yen (JPY) -1.11 -6.85 -12.06 -9.95 -6.07 -0.91 -4.72 -11.54 -7.38 -5.33 0.18
Australian Dollar (AUD) 0.19 -4.39 -2.59 -5.03 -1.69 0.39 -2.21 -2.01 -2.32 -0.92 4.03
Canadian Dollar (CAD) 0.23 -2.56 0.01 -2.43 -0.26 0.43 -0.34 0.60 0.36 0.52 4.72
New Zealand Dollar (NZD) -1.82 -5.53 -4.39 -5.12 -2.59 -1.63 -3.37 -3.83 -2.41 -1.83 4.92
Norwegian Krone (NOK) -2.30 -6.39 -3.46 -7.68 -4.51 -2.11 -4.25 -2.89 -5.04 -3.77 4.27
Swedish Krona (SEK) -3.23 -5.75 -3.02 -6.59 -2.80 -3.04 -3.60 -2.44 -3.92 -2.05 3.42
Danish Krone (DKK) -0.26 -2.29 -0.72 -2.87 -0.76 -0.07 -0.06 -0.13 -0.10 0.02 3.23
Swiss Franc (CHF) -2.24 -6.56 1.43 1.48 2.03 -2.04 -4.42 2.03 4.38 2.83 0.94

U.S. Dollar Index

160

140

120

100

80

60
'70 '72 '74 '76 '78 '80 '82 '84 '86 '88 '90 '92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22 '24
Past performance is no guarantee of future results.
It is not possible to invest directly in an index. *German Rate. Source: Factset, Bloomberg as of 3/31/24. Dollar is represented by the US Trade Weighted Dollar Index (DXY). Data provided is for informational use only. See end of report for
important additional information.

The BEAT | April 2024 39

ALTERNATIVES

Emerging Market Currency Performance and Yields

Spot Returns vs. USD (%) Spot Returns vs. EUR (%) Local Interest Rates (%)
Currency 1-Mo. YTD 1Y 3Y 5Y 1-Mo. YTD 1Y 3Y 5Y 1Y
Asia, excluding Japan
Chinese Renminbi (CNY) -0.47 -1.87 -4.92 -3.20 -1.44 -0.28 0.37 -4.35 -0.44 -0.68 1.67
Malaysian Ringgit (MYR) 0.26 -2.92 -6.77 -4.31 -2.91 0.46 -0.70 -6.22 -1.58 -2.16 3.27
Indian Rupee (INR) -0.58 -0.23 -1.46 -4.29 -3.64 -0.39 2.05 -0.88 -1.56 -2.89 7.01
Indonesian Rupiah (IDR) -0.88 -2.89 -5.43 -2.88 -2.13 -0.69 -0.67 -4.86 -0.10 -1.36 6.28
Philippine Peso (PHP) 0.00 -1.49 -3.29 -4.78 -1.35 0.20 0.75 -2.72 -2.06 -0.58 5.96
Singapore Dollar (SGD) -0.37 -2.26 -1.49 -0.15 0.07 -0.18 -0.03 -0.90 2.71 0.85 3.41
South Korean Won (KRW) -1.09 -4.33 -3.30 -5.62 -3.35 -0.89 -2.15 -2.72 -2.92 -2.60 3.40
Taiwanese Dollar (TWD) -1.23 -4.10 -4.86 -3.75 -0.75 -1.04 -1.92 -4.30 -1.00 0.02 1.23
Thai Baht (THB) -1.71 -6.45 -6.28 -5.03 -2.75 -1.51 -4.32 -5.73 -2.32 -1.99 2.11
Latin America
Brazilian Real (BRL) -0.74 -2.96 1.29 4.08 -4.91 -0.54 -0.74 1.89 7.05 -4.17 9.89
Chilean Peso (CLP) -1.41 -10.97 -19.40 -9.86 -7.05 -1.22 -8.94 -18.92 -7.28 -6.33 5.75
Colombian Peso (COP) 1.59 0.23 20.54 -1.67 -3.79 1.79 2.51 21.26 1.14 -3.04 8.29
Mexican Peso (MXN) 2.68 1.88 8.63 7.17 3.14 2.88 4.20 9.28 10.23 3.94 10.99
Peruvian New Sol (PEN) 1.44 -0.48 1.09 0.37 -2.25 1.64 1.79 1.69 3.24 -1.49 5.48

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: Factset, Bloomberg as of 3/31/24. Data provided is for informational use only. See end of report for important additional information..

The BEAT | April 2024 40

ALTERNATIVES

Emerging Market Currency Performance and Yields

Spot Returns vs. USD (%) Spot Returns vs. EUR (%) Local Interest Rates (%)
Currency 1-Mo. YTD 1Y 3Y 5Y 1-Mo. YTD 1Y 3Y 5Y 1Y
Europe
Czech Koruna (CZK) -0.12 -4.54 -7.71 -1.72 -0.35 0.08 -2.37 -7.16 1.09 0.43 3.70
Hungarian Forint (HUF) -0.41 -5.17 -4.05 -5.47 -4.72 -0.21 -3.00 -3.48 -2.77 -3.98 6.57
Polish Zloty (PLN) 0.00 -1.39 8.03 -0.35 -0.78 0.20 0.86 8.68 2.50 -0.01 5.07
Romanian Leu (RON) -0.20 -2.14 -1.05 -3.10 -1.55 -0.01 0.09 -0.46 -0.34 -0.78 5.81
Russian Ruble (RUB) -1.59 -3.43 -16.07 -6.56 -6.63 -1.40 -1.23 -15.57 -3.89 -5.90 --
Turkish New Lira (TRY) -3.50 -8.71 -40.67 -36.52 -29.46 -3.31 -6.63 -40.32 -34.70 -28.91 42.49
Middle East and Africa
Ghanaian Cedi (GHS) -4.72 -10.08 -12.83 -24.14 -16.93 -4.53 -8.03 -12.31 -21.97 -16.29 17.90
Israeli Shekel (ILS) -2.51 -1.71 -1.72 -3.09 -0.19 -2.32 0.53 -1.14 -0.32 0.59 3.94
Kenyan Shilling (KES) 11.57 19.16 0.57 -6.02 -5.22 11.79 21.88 1.17 -3.34 -4.48 16.68
Moroccan Dirham (MAD) -0.36 -2.46 1.07 -3.64 -0.91 -0.17 -0.23 1.67 -0.88 -0.14 2.98
Nigerian Naira (NGN) 21.11 -31.23 -64.69 -32.05 -22.66 21.35 -29.66 -64.48 -30.10 -22.06 11.54
South African Rand (ZAR) 1.31 -3.43 -6.30 -7.96 -5.30 1.51 -1.22 -5.75 -5.33 -4.56 9.21
Ugandan Shilling (UGX) 1.03 -2.83 -2.96 -1.97 -0.91 1.23 -0.61 -2.38 0.84 -0.14 13.25
Zambian Kwacha (ZMK) -5.78 3.21 -14.99 -3.91 -13.41 -5.59 5.57 -14.49 -1.17 -12.74 15.45

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: Factset, Bloomberg as of 3/31/24. Data provided is for informational use only. See end of report for important additional information..

The BEAT | April 2024 41

ALTERNATIVES

Local Sovereign Currency Yields

Developed Market Local Interest Rates % (1 Year) Emerging Market Local Interest Rates % (1 Year)
Current 1 Yr Prior Current 1 Yr Prior

5.06 Turkish New Lira (TRY) 42.49

U.S. Dollar (USD) 12.33
4.62
Nigerian Naira (NGN) 11.54
4.92 14.74
New Zealand Dollar (NZD)
4.79 10.99
Mexican Peso (MXN)
4.72 11.74
Canadian Dollar (CAD) 9.89
4.39 Brazilian Real (BRL)
12.91
4.27 9.21
Norwegian Krone (NOK) South African Rand (ZAR)
3.33 8.56
4.23 Colombian Peso (COP) 8.29
British Pound (GBP) 10.30
3.99
Hungarian Forint (HUF) 6.57
4.03 14.48
Australian Dollar (AUD)
3.15 Indonesian Rupiah (IDR) 6.28
5.83
3.42
Swedish Krona (SEK) 5.96
3.40 Philippine Peso (PHP)
4.49
3.23 Chilean Peso (CLP) 5.75
Danish Krone (DKK) 7.71
2.78
Peruvian New Sol (PEN) 5.48
3.12 6.83
Euro (EUR) *
2.97 5.07
Polish Zloty (PLN)
0.94 6.08
Swiss Franc (CHF) 3.27
0.77 Malaysian Ringgit (MYR)
2.74
0.18 2.11
Japanese Yen (JPY) Thai Baht (THB)
-0.11 0.82
-5.00 0.00 5.00 10.00 15.00 0.00 10.00 20.00 30.00 40.00
Past performance is no guarantee of future results.
It is not possible to invest directly in an index. *German Rate. Source: Bloomberg as 3/31/24. Data provided is for informational use only. See end of report for important additional information.

The BEAT | April 2024 42

ALTERNATIVES

Commodities Return Analysis (%)

Index 1-Mo. 3-Mo. YTD 1Y 3Y 5Y Index 1-Mo. 3-Mo. YTD 1Y 3Y 5Y

Bloomberg Commodity Index 3.31 2.19 2.19 -0.56 9.11 6.38 Bloomberg Sub Industrial Metals 1.75 -0.73 -0.73 -7.88 2.20 4.82

Bloomberg Sub Agriculture 2.51 -2.96 -2.96 -7.29 8.32 10.68 Aluminum 4.90 -2.24 -2.24 -4.32 1.03 2.02

Coffee 2.86 3.77 3.77 25.90 20.58 13.24 Copper 4.59 3.74 3.74 0.27 1.67 7.11

Corn 3.33 -7.57 -7.57 -22.91 2.50 7.55 Nickel -6.38 0.72 0.72 -29.62 2.13 5.52

Cotton -7.85 13.51 13.51 15.26 14.47 8.17 Zinc 0.37 -8.67 -8.67 -14.13 -1.20 -0.93

Soybean 4.88 -7.48 -7.48 -5.99 6.26 12.07 Bloomberg Sub Precious Metals 8.56 6.57 6.57 9.93 6.57 10.05

Soybean Oil 6.50 -0.13 -0.13 -5.12 8.49 17.30 Gold 8.33 7.37 7.37 12.05 8.47 10.24

Sugar 4.25 14.31 14.31 13.48 23.46 14.89 Platinum 3.59 -8.43 -8.43 -6.11 -7.00 1.82

Wheat -2.38 -10.06 -10.06 -24.21 -8.47 -0.55 Silver 9.32 3.83 3.83 2.76 0.16 9.24

Bloomberg Sub Energy 2.43 4.84 4.84 1.03 13.21 -1.23 Bloomberg Sub Livestock -0.79 10.97 10.97 13.71 4.77 -2.67

Brent Crude 7.08 15.64 15.64 20.81 29.70 14.79 Lean Hogs -2.22 14.97 14.97 11.66 -0.14 -8.04

Heating Oil 1.47 13.07 13.07 27.41 41.30 16.91 Live Cattle -0.12 9.03 9.03 14.78 7.21 0.44

Natural Gas -11.84 -28.71 -28.71 -50.14 -28.40 -31.60

Unleaded Gas 6.25 18.73 18.73 25.14 35.69 20.49

WTI Crude Oil 7.83 17.70 17.70 21.77 23.89 3.47

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: Morningstar as of 3/31/24. Data provided is for informational use only. See end of report for important additional information. Commodity represented by Bloomberg Commodity Index.
Agriculture represented by Bloomberg Agriculture Subindex. Energy represented by Bloomberg Energy Subindex. Grains represented by Bloomberg Grains Subindex. Industrial Metals represented by Bloomberg Industrial Metals Subindex.
Livestock represented by Bloomberg Livestock Subindex. Precious Metals represented by Bloomberg Precious Metals Subindex.

The BEAT | April 2024 43

ALTERNATIVES

Asset Class Return Analysis (%)

2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 YTD 2024
Higher Managed Futures Multi-Strategy MLP Long/Short Equity
Fixed Income
Long/Short Equity
Convertible
MLP MLP MLP MLP
Arbitrage Arbitrage
18.37 3.84 18.31 13.41 12.17 40.17 30.92 26.56 8.96
1.10 10.25

Multi-Strategy Long/Short Equity Commodity Currency Global Macro Global Macro Long/Short Equity Commodity Managed Futures Long/Short Equity Managed Futures
6.09 3.55 11.77 11.54 -0.11 10.38 7.86 27.11 19.12 10.93 6.32

Equity Market Convertible Equity Market

Long/Short Equity Multi-Strategy Managed Futures Event Driven Event Driven Commodity Event Driven Long/Short Equity
Neutral Arbitrage Neutral
5.55 -1.05 9.01 6.95 12.92 16.09 9.30 5.50
1.69 6.60 8.45
Convertible Convertible
MLP Multi-Strategy Multi-Strategy Event Driven Global Macro Global Macro Global Macro Currency Multi-Strategy
Arbitrage Arbitrage
4.80 4.41 6.83 8.22 6.53 9.60 15.89 8.44 2.79
0.81 -2.26
Fixed Income Fixed Income Fixed Income Fixed Income Convertible Equity Market
Currency Multi-Strategy Long/Short Equity Multi-Strategy Global Macro
Arbitrage Arbitrage Arbitrage Arbitrage Arbitrage Neutral
-3.33 5.60 8.35 8.04 2.71
4.37 0.59 4.29 6.52 8.15 1.71
Fixed Income Fixed Income
Global Macro Global Macro Global Macro Event Driven Event Driven Commodity Managed Futures Multi-Strategy Event Driven
Arbitrage Arbitrage
3.11 0.18 3.58 6.30 -3.95 7.69 8.19 1.27 2.49
3.64 7.71
Convertible Fixed Income Equity Market Fixed Income
Event Driven Managed Futures Currency Long/Short Equity Multi-Strategy Managed Futures Multi-Strategy
Arbitrage Arbitrage Neutral Arbitrage
1.57 -0.93 3.54 -4.62 7.25 1.86 6.97
5.01 -0.97 6.73 1.92
Equity Market Equity Market Convertible Convertible Convertible Equity Market
Event Driven Event Driven Managed Futures MLP Currency
Neutral Neutral Arbitrage Arbitrage Arbitrage Neutral
-6.29 2.68 3.29 6.56 1.73
-1.19 -5.00 6.33 -3.32 4.04 1.75
Convertible Fixed Income Equity Market Equity Market Convertible
Currency Long/Short Equity Global Macro Managed Futures Long/Short Equity Managed Futures
Arbitrage Arbitrage Neutral Neutral Arbitrage
-7.61 -3.43 2.14 -6.67 -5.77 -2.78
-1.68 6.10 1.69 6.16 1.12
Equity Market Fixed Income
Currency Commodity Commodity Commodity Currency Commodity Event Driven Global Macro Commodity
Neutral Arbitrage
-7.03 -24.66 1.70 -11.25 5.20 -3.12 -6.80 -5.19 -1.08
-4.58 5.22
Equity Market
Commodity MLP Managed Futures MLP MLP MLP Currency Currency Commodity Currency
Neutral
-17.01 -32.59 -6.84 -6.52 -12.42 -28.69 -3.09 -7.14 -7.91 -1.10
1.58
Lower
Past performance is no guarantee of future results. It is not possible to invest directly in an index. Source: Morningstar as of 2/29/24. *Data is on a 1-month lag. Data provided is for informational use only. Alternative investments often are
speculative and include a high degree of risk. See end of report for important additional information. Global Macro represented by Credit Suisse Global Macro Index. MLP represented by Alerian MLP Index. Event Driven represented by Credit
Suisse Event Driven Index. Multi-Strategy represented by Credit Suisse Multi-Strategy Index. Long/Short Equity represented by Credit Suisse Long/Short Equity Index. Convertible Arbitrage represented by Credit Suisse Convertible Arbitrage
Index. Currency represented by J.P. Morgan EMLI+ Index. Equity Market Neutral represented by Credit Suisse Equity Market Neutral Index. Fixed Income Arbitrage represented by Credit Suisse Fixed Income Arbitrage Index. Managed Futures
represented by Credit Suisse Managed Futures Index. Commodity represented by Bloomberg Commodity Index.

The BEAT | April 2024 44

TRANSITION Katie-
qc
Major Asset Classes Correlation Table

S&P 500 International Emerging Markets Small Cap U.S. Aggregate Municipal High Yield Bank Loan Commodities

S&P 500 1.00 0.87 0.70 0.86 0.36 0.37 0.80 0.61 0.41

International 0.90 1.00 0.81 0.77 0.39 0.45 0.81 0.62 0.47

Emerging Markets 0.74 0.82 1.00 0.64 0.39 0.43 0.71 0.58 0.49

Small Cap 0.88 0.86 0.76 1.00 0.25 0.29 0.77 0.65 0.41

U.S. Aggregate 0.48 0.52 0.48 0.38 1.00 0.86 0.48 0.16 -0.06

Municipal 0.52 0.60 0.56 0.47 0.86 1.00 0.54 0.28 0.02

High Yield 0.83 0.83 0.72 0.84 0.56 0.67 1.00 0.81 0.52

Bank Loan 0.62 0.62 0.61 0.69 0.21 0.37 0.81 1.00 0.50

Commodities 0.45 0.50 0.50 0.46 -0.04 0.09 0.50 0.50 1.00

5 Years ended March 31, 2024 10 Years ended March 31, 2024

Past performance is no guarantee of future results.

It is not possible to invest directly in an index. Source: Morningstar as of 3/31/24. The table above shows the return correlation between various asset classes (represented by market indices as defined in this disclosure) over the past five and
ten years. Data provided is for informational use only. See end of report for important additional information. S&P 500 is represented by the S&P 500 Index. International is represented by MSCI EAFE Index. Emerging Markets is represented by
MSCI Emerging Markets Index. Small-Cap is represented by Russell 2000 Index. US Aggregate is represented by the Bloomberg Barclays Capital US Aggregate Bond Index. Municipal is represented by Bloomberg Barclays Municipal Bond
Index. High Yield is represented by ICE BofA US High Yield Index. Bank Loan is represented by Morningstar LSTA U.S. Leveraged Loan Index. Commodities is represented by Bloomberg Commodity Index.

The BEAT | April 2024 45

TRANSITION

Fund and ETF Flows by Category

Top 10 Open-End Mutual Fund Categories by Monthly Flows ($MM) Top 10 Exchange-Traded Fund Categories by Monthly Flows ($MM)
1 Mo. 3 Mo. 12 Mo. 1 Mo. 3 Mo. 12 Mo.
Intermediate Core Bond 13,423 30,324 79,131 Large Blend 8,987 75,494 233,504
Intermediate Core-Plus Bond 7,658 13,381 34,793 Digital Assets 5,340 7,628 8,193
Multisector Bond 4,914 10,916 20,934 Large Growth 4,850 19,047 53,955
Global Bond-USD Hedged 3,132 7,287 13,134 Intermediate Core Bond 4,829 13,541 47,838
High Yield Bond 3,104 7,989 4,321 Intermediate Government 4,120 6,168 28,375
Diversified Emerging Mkts 2,891 4,307 -3,700 Foreign Large Blend 3,278 14,203 41,095
Foreign Large Blend 2,406 3,088 14,951 Ultrashort Bond 3,213 -4,967 29,497
Technology 1,813 2,418 2,805 Long Government 3,181 7,304 43,111
High Yield Muni 1,578 2,509 1,596 Small Value 2,583 7,949 11,127
Intermediate Government 1,554 3,130 5,971 Intermediate Core-Plus Bond 2,256 7,896 18,925

Bottom 10 Open-End Mutual Fund Categories by Monthly Flows ($MM) Bottom 10 Exchange-Traded Fund Categories by Monthly Flows ($MM)
1 Mo. 3 Mo. 12 Mo. 1 Mo. 3 Mo. 12 Mo.
Health -1,029 -4,304 -14,645 Emerging Markets Bond -793 78 3
Ultrashort Bond -1,255 -2,131 -18,713 Consumer Defensive -901 -2,259 -4,880
Global Large-Stock Blend -1,258 -3,488 -8,858 Global Bond-USD Hedged -988 2,128 7,902
Moderately Conservative Allocation -1,352 -4,207 -17,393 Corporate Bond -1,153 10,193 16,260
Global Allocation -1,470 -5,958 -16,541 Equity Energy -1,193 -3,246 -6,430
Moderate Allocation -1,719 -7,789 -34,147 Natural Resources -1,497 -2,341 -6,287
Mid-Cap Value -2,116 -6,519 -20,110 Financial -1,690 483 -3,016
Mid-Cap Growth -2,147 -8,726 -22,177 Commodities Focused -2,375 -4,538 -10,954
Large Value -3,137 -17,480 -73,339 Short Government -3,549 -4,204 -1,016
Large Growth -10,947 -31,812 -95,876 Trading--Leveraged Equity -4,241 -8,783 -10,004

Source: Morningstar as of 2/29/24. Flow data is on a one month lag. Data provided is for informational use only. See end of report for important additional information.

The BEAT | April 2024 46

TRANSITION

Major Asset Class Return Analysis (%)

2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 YTD 2024
Higher
S&P 500 Municipal Small-Cap Emerging Markets Municipal S&P 500 Small-Cap S&P 500 Commodities S&P 500 S&P 500
13.69 3.30 21.31 37.28 1.28 31.49 19.96 28.71 16.09 26.29 10.56

Municipal S&P 500 High Yield International Bank Loan Small-Cap S&P 500 Commodities Bank Loan International International
9.05 1.38 17.49 25.03 0.44 25.52 18.40 27.11 -0.77 18.24 5.78

US Agg US Agg S&P 500 S&P 500 US Agg International Emerging Markets Small-Cap Municipal Small-Cap Small-Cap
5.97 0.55 11.96 21.83 0.01 22.01 18.31 14.82 -8.53 16.93 5.18

Small-Cap Bank Loan Commodities Small-Cap High Yield Asset Allocation Asset Allocation Asset Allocation High Yield Asset Allocation Asset Allocation
4.89 -0.69 11.77 14.65 -2.26 18.70 11.95 11.43 -11.22 14.09 4.21

Asset Allocation International Emerging Markets Asset Allocation S&P 500 Emerging Markets International International US Agg High Yield Bank Loan
4.28 -0.81 11.19 14.02 -4.38 18.42 7.82 11.26 -13.01 13.46 2.46

High Yield Asset Allocation Bank Loan High Yield Asset Allocation High Yield US Agg High Yield Asset Allocation Bank Loan Emerging Markets
2.50 -2.03 10.16 7.48 -5.40 14.41 7.51 5.36 -13.04 13.32 2.37

Bank Loan Small-Cap Asset Allocation Municipal Small-Cap US Agg High Yield Bank Loan International Emerging Markets Commodities
1.60 -4.41 8.61 5.45 -11.01 8.72 6.17 5.20 -14.45 9.83 2.19

Emerging Markets High Yield US Agg Bank Loan Commodities Bank Loan Municipal Municipal S&P 500 Municipal High Yield
-2.19 -4.64 2.65 4.12 -11.25 8.64 5.21 1.52 -18.11 6.40 1.51

International Emerging Markets International US Agg International Commodities Bank Loan US Agg Emerging Markets US Agg Municipal
-4.90 -14.92 1.00 3.54 -13.79 7.69 3.12 -1.54 -20.09 5.53 -0.39

Commodities Commodities Municipal Commodities Emerging Markets Municipal Commodities Emerging Markets Small-Cap Commodities US Agg
-17.01 -24.66 0.25 1.70 -14.57 7.54 -3.12 -2.54 -20.44 -7.91 -0.78
Lower
Past performance is no guarantee of future results. It is not possible to invest directly in an index. Source: Morningstar as of 3/31/24. Data provided is for informational use only. Investing involves risks including the possible loss of principal.
Investors should carefully review the risks of each asset class prior to investing. See end of report for important additional information. S&P 500 represented by the S&P 500 Index. International represented by MSCI EAFE Index. Emerging
Markets represented by MSCI Emerging Markets Index. Small-Cap represented by Russell 2000 Index. US Aggregate represented by the Bloomberg Capital US Aggregate Bond Index. Municipal represented by Bloomberg Municipal Bond
Index. High Yield represented by ICE BofA US High Yield Index. Bank Loan represented by Morningstar LSTA U.S. Leveraged Loan Index. Commodity represented by Bloomberg Commodity Index. The Asset Allocation portfolio assumes the
following weights: 25% in the S&P 500 Index, 15% in the MSCI EAFE Index, 5% in the MSCI Emerging Markets Index, 10% in the Russell 2000 Index, 25% in the Bloomberg Capital US Aggregate Bond Index, 5% in the Bloomberg Municipal
Bond Index, 5% in the Bloomberg US Corporate High Yield Index, 5% in the Morningstar LSTA U.S. Leveraged Loan Index, and 5% in the Bloomberg Commodity Index.

The BEAT | April 2024 47

Capital Markets Group

The Capital Markets Group provides

top-down, macro analysis of equity, fixed
income and alternative assets, designed
to help clients capitalize on evolving
economic dynamics and market
JIM CARON EWA TUREK ERIC ZHANG SCHUYLER
dislocations globally. The Capital Chief Investment SEMMELROTH Executive Director HOOPER
Markets Group supports the MSIM Officer Executive Director Executive Director
Managing Director
Portfolio Solutions Group, which builds
custom multi-asset investment solutions
across a range of broadly-diversified to
hyper-focused portfolios.

GREG UMAR MALIK FLORIAN CHRIS CHIA

WATERMAN Vice President REGNERY Vice President
Vice President Vice President

The BEAT | April 2024 48

Asset Allocation Committee

The Asset Allocation Committee is an

MARK BAVOSO
independent group of senior investment Senior Portfolio Manager, Global Multi-Asset team
professionals across various disciplines JUSTIN BOURGETTE
within MSIM and Eaton Vance. The Portfolio Manager and Head of Investment Strategy for the High Yield team

CRAIG BRANDON
Capital Markets Group presents multi- Portfolio Manager and Co-Head of the Municipals team
sector research and investment ideas JIM CARON
to the Committee, who is responsible CIO, Portfolio Solutions Group

for vetting and challenging these ideas AARON DUNN

Portfolio Manager and Co-Head of the Eaton Vance Value team
to insure they meet their rigorous RICHARD FORD
standards and can then be included Portfolio Manager and Co-Head of the Broad Markets Fixed Income team

in representative asset allocation JONATHAN G. ISAAC

Portfolio Specialist
recommendations. JITANIA KANDHARI
Deputy CIO, Solutions & Multi Asset Group; Head of Macro & Thematic Research, Emerging Markets; Portfolio Manager

VISHAL KHANDUJA
Portfolio Manager and Co-Head of the Broad Markets Fixed Income team

CHRISTOPHER REMINGTON
Portfolio Specialist

ANDREW SLIMMON
Senior Portfolio Manager and Head of Applied Equity Advisors

STEVEN TURNER
Portfolio Solutions Group

The BEAT | April 2024 49

Glossary of Terms
Index Definitions

Bloomberg Commodity Index is a broadly diversified index tracking futures Bloomberg U.S. Treasury Index measures public debt instruments issued by J.P. Morgan Government Bond Index-Emerging Markets (GBI-EM) Global
contracts on physical commodities. the U.S. Treasury. Diversified is an unmanaged index of local-currency bonds with maturities of
Bloomberg Euro-Aggregate Corporates Index consists of bonds issued in CBOE Volatility Index (VIX) tracks the implied volatilities of a wide range of more than one year issued by emerging market governments.
the euro or the legacy currencies of the 16 sovereign countries participating in S&P 500 Index options. Morgan Stanley Capital International (MSCI) Emerging Markets Index is
the European Monetary Union (EMU) an unmanaged index of emerging markets common stocks
CBOE S&P 500 BuyWrite Index measures the performance of a hypothetical
Bloomberg Global Aggregate Ex-USD Index is a broad-based measure of buy-write strategy on the S&P 500 Index. MSCI EMU Index (European Economic and Monetary Union) captures
global Investment Grade fixed-rate debt investments, excluding USD- ICE BofA US Inflation-Linked Treasury Index tracks the performance of large and mid cap representation across the 10 Developed Markets countries
denominated debt. USD denominated inflation linked sovereign debt publicly issued by the US in the EMU. With 229 constituents, the index covers approximately 85% of the
Bloomberg High Yield Municipal Bond Index is an unmanaged index of government. free float-adjusted market capitalization of the EMU.
non-Investment Grade Municipal bonds traded in the U.S. ICE BofA Fixed Rate Preferred Securities Index is an unmanaged index of Morgan Stanley Capital International All Country Asia Pacific Index
Bloomberg Municipal Bond Index is an unmanaged index of Municipal fixed-rate, preferred securities issued in the U.S. (MSCI AC Asia Pac) is an unmanaged total return, capitalization-weighted
bonds traded in the U.S. index that measures the performance of stock markets in 15 Pacific region
ICE BofA European Union Government Bond Index tracks the performance countries, including Australia, China, Hong Kong, India, Indonesia, Japan,
Bloomberg Pan-European High Yield Index covers the universe of fixed- of sovereign debt publicly issued by countries that are members of the Korea, Malaysia, New Zealand, Pakistan, the Philippines, Singapore, Sri
rate, sub-investment-grade debt denominated in euros or other European European Union. Lanka, Taiwan and Thailand.
currencies (except Swiss francs). ICE BofA U.S. High Yield Index is an unmanaged index of below-investment Morgan Stanley Capital International (MSCI) Japan Index is an
Bloomberg Taxable Municipal Bond Index is an unmanaged index of grade U.S. corporate bonds. unmanaged index designed to measure the performance of the large and mid
Taxable Municipal bonds traded in the U.S. ICE BofA Developed Markets High Yield Ex-Subordinated Financial Index cap segments of the Japan market.
Bloomberg U.S. Agency Index measures agency securities issued by U.S (Hedged) is an unmanaged index of global developed market below Morgan Stanley Capital International (MSCI) World Index is an unmanaged
government agencies, quasi-federal corporations, and corporate or foreign investment grade corporate bonds, USD hedged. index of equity securities in the developed markets.
debt guaranteed by the U.S. government.
FTSE 100 Index is an unmanaged market-capitalization weighted index Morgan Stanley Capital International (MSCI) World ex USA Small Cap
Bloomberg U.S. Aggregate Index is an unmanaged index of domestic representing the performance of the 100 largest UK listed blue chip Index is an unmanaged index of small-cap equity securities in the developed
investment-grade bonds, including corporate, government and mortgage- companies, which pass screening for size and liquidity. markets, excluding the United States.
backed securities. FTSE All Small Index consists of all the companies in the FTSE SmallCap Morgan Stanley Capital International All Country World (MSCI AC World)
Bloomberg U.S. Asset Backed Securities (ABS) Index measures ABS with and FTSE Fledgling indices. Index is an unmanaged free float-adjusted market-capitalization-weighted
the following collateral type: credit and charge card, auto, and utility loans. FTSE World Government Bond Index (WGBI) measures the performance of index designed to measure the equity market performance of developed and
Bloomberg U.S. CMBS Index measures the market of conduit and fusion fixed-rate, local currency, investment-grade sovereign bonds. emerging markets.
CMBS deals with a minimum current deal size of $300mn. Morgan Stanley Capital International Europe (MSCI Europe) Index is
J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad
Bloomberg U.S. Corporate Investment Grade Index is an unmanaged Diversified is an unmanaged index of USD-denominated emerging market an unmanaged free float-adjusted market-capitalization-weighted index
index that measures the performance of investment-grade corporate corporate bonds. designed to measure the equity market performance of the developed
securities within the Barclays U.S. Aggregate Index. markets in Europe.
J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified is
Bloomberg U.S. Mortgage Backed Securities (MBS) Index measures an unmanaged index of USD-denominated bonds with maturities of more than
agency mortgage-backed pass-through securities issued by GNMA, FNMA, one year issued by emerging markets governments.
and FHLMC.

The BEAT | April 2024 50

ADDITIONAL INFORMATION

Glossary of Terms and About Risk

Index Definitions (cont.) Terms

Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE) Index is an unmanaged Municipal-to-Treasury Yield Ratios are relative value indicators that measure the richness or cheapness of
index of equities in the developed markets, excluding the U.S. and Canada. Municipal bond yields to comparable maturity Treasury bond yields.
MSCI USA Index is designed to measure the performance of the large and mid cap segments of the US market. With Yield to Worst is a measure which reflects the lowest potential yield earned on a bond without the issuer
625 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the US. defaulting. The yield to worst is calculated by making worst-case scenario assumptions by calculating the
Morningstar LSTA U.S. Leveraged Loan Index is an unmanaged index of the institutional leveraged loan returns that would be received if provisions, including prepayment, call or sinking fund, are used by the issuer.
market. Prior to August 29, 2022 the index name was S&P/LSTA Leveraged Loan Index.
Nikkei 225 Stock Average Index is unmanaged price-weighted index of 225 top-rated Japanese companies About Risk
listed in the First Section of the Tokyo Stock Exchange.
Bank Loans – There can be no assurance that the liquidation of collateral securing an investment will satisfy
Russell 1000 Index is an unmanaged index of 1,000 U.S. large-cap stocks. the issuer’s obligation in the event of non-payment or that collateral can be readily liquidated. The ability to
Russell 1000 Growth Index is an unmanaged index of 1,000 U.S. large-cap growth stocks. realize the benefits of any collateral may be delayed or limited. Commodities – The value of commodities
investments will generally be affected by overall market movements and factors specific to a particular industry
Russell 1000 Value Index is an unmanaged index of 1,000 U.S. large-cap value stocks.
or commodity including weather, embargoes, tariffs, or health, political, international and regulatory
Russell 2000 Index is an unmanaged index of 2,000 U.S. small-cap stocks. developments. Credit – Investments in income securities may be affected by changes in the creditworthiness of
Russell 2500 Index is an unmanaged index of approximately 2,500 U.S. small- and mid-cap U.S. stocks. the issuer and are subject to the risk of non-payment of principal and interest. The value of income securities
Russell Midcap Index is an unmanaged index of U.S. mid-cap stocks. also may decline because of real or perceived concerns about the issuer’s ability to make principal and interest
payments. Duration – Securities with longer durations tend to be more sensitive to interest rate changes than
Standard & Poor’s 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of securities with shorter durations. Equity – Equity investment values are sensitive to stock market volatility.
U.S. stock market performance. Foreign – Investments in foreign instruments or currencies can involve greater risk and volatility than U.S.
STOXX Europe 600 Index is a fixed component number index designed to provide a broad yet liquid investments because of adverse market, economic, political, regulatory, geopolitical, or other conditions. In
representation of large, mid and small capitalization companies in Europe. emerging countries, these risks may be more significant. Gov’t Agency – While certain U.S. Government-
ICE BofA Indexes: ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without sponsored agencies may be chartered or sponsored by acts of Congress, their securities are neither issued nor
warranties, and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not guaranteed by the U.S. Treasury. Income Market – An imbalance in supply and demand in the income market
endorse it, or guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark may result in valuation uncertainties and greater volatility, less liquidity, widening credit spreads and a lack of
of Bank of America Corporation in the United States and other countries. price transparency in the market. There generally is limited public information about Municipal issuers. Inflation-
Linked – Interest payments on inflation-linked securities may vary widely and will fluctuate as principal and
MSCI Indexes: Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI interest are adjusted for inflation. Investments in inflation-linked securities may lose value in the event that the
provides no warranties, has not prepared or approved this report, and has no liability hereunder. actual rate of inflation is different than the rate of the inflation index. Interest Rate – As interest rates rise, the
J.P. Morgan Indices: Information has been obtained from sources believed to be reliable but J.P. Morgan does value of certain income investments is likely to decline. The London Interbank Offered Rate or LIBOR, is used
not warrant its completeness or accuracy. The Index is used with permission. The Index may not be copied, throughout global banking and financial industries to determine interest rates for a variety of financial
used, or distributed without J.P. Morgan’s prior written approval. Copyright 2019, J.P. Morgan Chase & Co. All instruments (such as debt instruments and derivatives) and borrowing arrangements. The ICE Benchmark
rights reserved. Administration Limited, the administrator of LIBOR, is expected to cease publishing certain LIBOR settings on
S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for December 31, 2021, and the remaining LIBOR settings on June 30, 2023. The transition process may involve,
use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of among other things, increased volatility or illiquidity in markets for instruments that currently rely on LIBOR, such
Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not as floating-rate debt obligations. Lower-Rated – Investments rated below Investment Grade (typically referred
sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any to as “junk”) are generally subject to greater price volatility and illiquidity than higher rated investments. Maturity
liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. – Longer-term bonds typically are more sensitive to interest rate changes than shorter-term bonds. Preferred
Stocks – When interest rates rise, the value of preferred stocks will generally decline. Prepayment - MBS –
Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, Mortgage-backed securities are subject to prepayment risk. Prepayment - Bank Loan – Bank Loans are
expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. Data provided is for subject to prepayment risk. Real Estate – Changes in real estate values or economic downturns can have a
informational use only. Past performance is no guarantee of future results. See end of report for important significant negative effect on issuers in the real estate industry, including REITs.
additional information.

The BEAT | April 2024 51

ADDITIONAL INFORMATION

Risk Considerations This material has been prepared on the basis of publicly available information, internally developed
Diversification does not eliminate the risk of loss. data and other third-party sources believed to be reliable. However, no assurances are provided
regarding the reliability of such information and the Firm has not sought to independently verify
In general, equity securities’ values also fluctuate in response to activities specific to a company. information taken from public and third-party sources.
Investments in foreign markets entail special risks such as currency, political, economic, and market
risks. The risks of investing in emerging market countries are greater than risks associated with This material is a general communication, which is not impartial and all information provided has
investments in foreign developed countries. Fixed income securities are subject to the ability of an been prepared solely for informational and educational purposes and does not constitute an offer or
issuer to make timely principal and interest payments (credit risk), changes in interest rates a recommendation to buy or sell any particular security or to adopt any specific investment strategy.
(interest-rate risk), the creditworthiness of the issuer and general market liquidity (market risk). In a The information herein has not been based on a consideration of any individual investor
rising interest-rate environment, bond prices may fall and may result in periods of volatility and circumstances and is not investment advice, nor should it be construed in any way as tax,
increased portfolio redemptions. In a declining interest-rate environment, the portfolio may generate accounting, legal or regulatory advice. To that end, investors should seek independent legal and
less income. Longer-term securities may be more sensitive to interest rate changes. Alternative financial advice, including advice as to tax consequences, before making any investment decision.
investments are speculative, involve a high degree of risk, are highly illiquid, typically have higher Charts and graphs provided herein are for illustrative purposes only. Past performance is no
fees than other investments, and may engage in the use of leverage, short sales, and derivatives, guarantee of future results.
which may increase the risk of investment loss. These investments are designed for investors who The indexes are unmanaged and do not include any expenses, fees or sales charges. It is not
understand and are willing to accept these risks. Performance may be volatile, and an investor possible to invest directly in an index. Any index referred to herein is the intellectual property
could lose all or a substantial portion of its investment. (including registered trademarks) of the applicable licensor. Any product based on an index is in no
There is no guarantee that any investment strategy will work under all market conditions, and each way sponsored, endorsed, sold or promoted by the applicable licensor and it shall not have any
investor should evaluate their ability to invest for the long-term, especially during periods of liability with respect thereto.
downturn in the market. This material is not a product of Morgan Stanley’s Research Department and should not be
A separately managed account may not be appropriate for all investors. Separate accounts regarded as a research material or a recommendation.
managed according to the Strategy include a number of securities and will not necessarily The Firm has not authorised financial intermediaries to use and to distribute this material, unless
track the performance of any index. Please consider the investment objectives, risks and such use and distribution is made in accordance with applicable law and regulation. Additionally,
fees of the Strategy carefully before investing. A minimum asset level is required. financial intermediaries are required to satisfy themselves that the information in this material is
For important information about the investment managers, please refer to Form ADV Part 2. appropriate for any person to whom they provide this material in view of that person’s
The views and opinions and/or analysis expressed are those of the author or the investment team circumstances and purpose. The Firm shall not be liable for, and accepts no liability for, the use or
as of the date of preparation of this material and are subject to change at any time without notice misuse of this material by any such financial intermediary.
due to market or economic conditions and may not necessarily come to pass. Furthermore, the This material may be translated into other languages. Where such a translation is made this English
views will not be updated or otherwise revised to reflect information that subsequently becomes version remains definitive. If there are any discrepancies between the English version and any
available or circumstances existing, or changes occurring, after the date of publication. The views version of this material in another language, the English version shall prevail.
expressed do not reflect the opinions of all investment personnel at Morgan Stanley Investment The whole or any part of this material may not be directly or indirectly reproduced, copied, modified,
Management (MSIM) and its subsidiaries and affiliates (collectively “the Firm”), and may not be used to create a derivative work, performed, displayed, published, posted, licensed, framed,
reflected in all the strategies and products that the Firm offers. distributed or transmitted or any of its contents disclosed to third parties without the Firm’s express
Forecasts and/or estimates provided herein are subject to change and may not actually come to written consent. This material may not be linked to unless such hyperlink is for personal and non-
pass. Information regarding expected market returns and market outlooks is based on the research, commercial use. All information contained herein is proprietary and is protected under copyright and
analysis and opinions of the authors or the investment team. These conclusions are speculative in other applicable law.
nature, may not come to pass and are not intended to predict the future performance of any specific Eaton Vance is part of Morgan Stanley Investment Management. Morgan Stanley Investment
strategy or product the Firm offers. Future results may differ significantly depending on factors such Management is the asset management division of Morgan Stanley.
as changes in securities or financial markets or general economic conditions.

The BEAT | April 2024 52

ADDITIONAL INFORMATION

DISTRIBUTION MIDDLE EAST

This material is only intended for and will only be distributed to persons resident in jurisdictions where Dubai: MSIM Ltd (Representative Office, Unit Precinct 3-7th Floor-Unit 701 and 702, Level 7, Gate Precinct
such distribution or availability would not be contrary to local laws or regulations. Building 3, Dubai International Financial Centre, Dubai, 506501, United Arab Emirates. Telephone: +97 (0)14
709 7158).
MSIM, the asset management division of Morgan Stanley (NYSE: MS), and its affiliates have
arrangements in place to market each other’s products and services. Each MSIM affiliate is regulated This document is distributed in the Dubai International Financial Centre by Morgan Stanley Investment
as appropriate in the jurisdiction it operates. MSIM’s affiliates are: Eaton Vance Management Management Limited (Representative Office), an entity regulated by the Dubai Financial Services Authority
(International) Limited, Eaton Vance Advisers International Ltd, Calvert Research and Management, (“DFSA”). It is intended for use by professional clients and market counterparties only. This document is not
Eaton Vance Management, Parametric Portfolio Associates LLC, and Atlanta Capital Management LLC. intended for distribution to retail clients, and retail clients should not act upon the information contained in this
This material has been issued by any one or more of the following entities: document.

EMEA This document relates to a financial product which is not subject to any form of regulation or approval by the
DFSA. The DFSA has no responsibility for reviewing or verifying any documents in connection with this financial
This material is for Professional Clients/Accredited Investors only. product. Accordingly, the DFSA has not approved this document or any other associated documents nor taken
In the EU, MSIM and Eaton Vance materials are issued by MSIM Fund Management (Ireland) Limited (“FMIL”). any steps to verify the information set out in this document, and has no responsibility for it. The financial product
FMIL is regulated by the Central Bank of Ireland and is incorporated in Ireland as a private company limited by to which this document relates may be illiquid and/or subject to restrictions on its resale or transfer. Prospective
shares with company registration number 616661 and has its registered address at 24-26 City Quay, Dublin 2, purchasers should conduct their own due diligence on the financial product. If you do not understand the
DO2 NY19, Ireland. contents of this document, you should consult an authorised financial adviser.
Outside the EU, MSIM materials are issued by Morgan Stanley Investment Management Limited (MSIM Ltd) is U.S.
authorised and regulated by the Financial Conduct Authority. Registered in England. Registered No. 1981121. NOT FDIC INSURED | OFFER NO BANK GUARANTEE | MAY LOSE VALUE | NOT INSURED BY ANY
Registered Office: 25 Cabot Square, Canary Wharf, London E14 4QA. FEDERAL GOVERNMENT AGENCY | NOT A DEPOSIT
In Switzerland, MSIM materials are issued by Morgan Stanley & Co. International plc, London (Zurich Branch) LATIN AMERICA (Brazil, Chile Colombia, Mexico, Peru, and Uruguay)
Authorised and regulated by the Eidgenössische Finanzmarktaufsicht ("FINMA"). Registered Office:
This material is for use with an institutional investor or a qualified investor only. All information contained herein
Beethovenstrasse 33, 8002 Zurich, Switzerland.
is confidential and is for the exclusive use and review of the intended addressee, and may not be passed on to
Outside the US and EU, Eaton Vance materials are issued by Eaton Vance Management (International) Limited any third party. This material is provided for informational purposes only and does not constitute a public
(“EVMI”) 125 Old Broad Street, London, EC2N 1AR, UK, which is authorised and regulated in the United offering, solicitation or recommendation to buy or sell for any product, service, security and/or strategy. A
Kingdom by the Financial Conduct Authority. decision to invest should only be made after reading the strategy documentation and conducting in-depth and
Italy: MSIM FMIL (Milan Branch), (Sede Secondaria di Milano) Palazzo Serbelloni Corso Venezia, 16 20121 independent due diligence.
Milano, Italy. The Netherlands: MSIM FMIL (Amsterdam Branch), Rembrandt Tower, 11th Floor Amstelplein 1
1096HA, Netherlands. France: MSIM FMIL (Paris Branch), 61 rue de Monceau 75008 Paris, France. Spain:
MSIM FMIL (Madrid Branch), Calle Serrano 55, 28006, Madrid, Spain. Germany: MSIM FMIL Frankfurt Branch,
Große Gallusstraße 18, 60312 Frankfurt am Main, Germany (Gattung: Zweigniederlassung (FDI) gem. § 53b
KWG). Denmark: MSIM FMIL (Copenhagen Branch), Gorrissen Federspiel, Axel Towers, Axeltorv2, 1609
Copenhagen V, Denmark.

The BEAT | April 2024 53

ADDITIONAL INFORMATION

ASIA PACIFIC
Hong Kong: This material is disseminated by Morgan Stanley Asia Limited for use in Hong Kong and shall only be made available to “professional investors” as defined under the Securities and Futures Ordinance of Hong Kong (Cap 571). The
contents of this material have not been reviewed nor approved by any regulatory authority including the Securities and Futures Commission in Hong Kong. Accordingly, save where an exemption is available under the relevant law, this material
shall not be issued, circulated, distributed, directed at, or made available to, the public in Hong Kong. Singapore: This material is disseminated by Morgan Stanley Investment Management Company and should not be considered to be the
subject of an invitation for subscription or purchase, whether directly or indirectly, to the public or any member of the public in Singapore other than (i) to an institutional investor under section 304 of the Securities and Futures Act, Chapter 289 of
Singapore (“SFA”); (ii) to a “relevant person” (which includes an accredited investor) pursuant to section 305 of the SFA, and such distribution is in accordance with the conditions specified in section 305 of the SFA; or (iii) otherwise pursuant to,
and in accordance with the conditions of, any other applicable provision of the SFA. This publication has not been reviewed by the Monetary Authority of Singapore. Australia: This material is provided by Morgan Stanley Investment Management
(Australia) Pty Ltd ABN 22122040037, AFSL No. 314182 and its affiliates and does not constitute an offer of interests. Morgan Stanley Investment Management (Australia) Pty Limited arranges for MSIM affiliates to provide financial services to
Australian wholesale clients. Interests will only be offered in circumstances under which no disclosure is required under the Corporations Act 2001 (Cth) (the “Corporations Act”). Any offer of interests will not purport to be an offer of interests in
circumstances under which disclosure is required under the Corporations Act and will only be made to persons who qualify as a “wholesale client” (as defined in the Corporations Act). This material will not be lodged with the Australian Securities
and Investments Commission.
Japan: For professional investors, this material is circulated or distributed for informational purposes only. For those who are not professional investors, this material is provided in relation to Morgan Stanley Investment Management (Japan) Co.,
Ltd. (“MSIMJ”)’s business with respect to discretionary investment management agreements (“IMA”) and investment advisory agreements (“IAA”). This is not for the purpose of a recommendation or solicitation of transactions or offers any
particular financial instruments. Under an IMA, with respect to management of assets of a client, the client prescribes basic management policies in advance and commissions MSIMJ to make all investment decisions based on an analysis of the
value, etc. of the securities, and MSIMJ accepts such commission. The client shall delegate to MSIMJ the authorities necessary for making investment. MSIMJ exercises the delegated authorities based on investment decisions of MSIMJ, and the
client shall not make individual instructions. All investment profits and losses belong to the clients; principal is not guaranteed. Please consider the investment objectives and nature of risks before investing. As an investment advisory fee for an
IAA or an IMA, the amount of assets subject to the contract multiplied by a certain rate (the upper limit is 2.20% per annum (including tax)) shall be incurred in proportion to the contract period. For some strategies, a contingency fee may be
incurred in addition to the fee mentioned above. Indirect charges also may be incurred, such as brokerage commissions for incorporated securities. Since these charges and expenses are different depending on a contract and other factors,
MSIMJ cannot present the rates, upper limits, etc. in advance. All clients should read the Documents Provided Prior to the Conclusion of a Contract carefully before executing an agreement. This material is disseminated in Japan by MSIMJ,
Registered No. 410 (Director of Kanto Local Finance Bureau (Financial Instruments Firms)), Membership: the Japan Securities Dealers Association, The Investment Trusts Association, Japan, the Japan Investment Advisers Association and the
Type II Financial Instruments Firms Association.

CRC 6504718 Exp 03/31/2025

43274 | 4/3/2024

The BEAT | April 2024 54