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Quarterly Trends WebcastMarch 2020

What We’ll Cover1. Global Asset Movement

2. Consultant & Investor Screening Behavior

3. Mandate Trends

4. Finding Opportunities

John MolesphiniGlobal Head of Insights, eVestment

Source: eVestment DatabaseUnderlying This Trends Analysis

25,000+Institutional Strategies

4,000+Asset Management

Firms Reporting Data

895+Consultants & Investors

Conducting Screens

$80TAUM Represented By

Managers Reporting Data

10,000+Manager Screens By Investors & Consultants Each Quarter

60,000+Public Plan Documents

180,000+Product Views By Investors & Consultants Each Quarter

3

Products AUM ($B)

US Equity 3,607 $15,026

US Fixed Income 2,631 $13,611

Global Equity 1,644 $4,040

Global Fixed Income 911 $2,488

EAFE Equity 550 $1,890

ACWI ex-US Equity 391 $1,755

Emerging Markets Equity 691 $1,553

Global Balanced/TAA 503 $1,018

Europe Fixed Income 452 $878

Emerging Markets Fixed Income 414 $844

Source: eVestment AnalyticsUnderlying This Trends Analysis

4

2019 2020 Through February

S&P 500 31.49% -8.27%

Bloomberg Barclays US Aggregate 8.72% 3.76%

MSCI World-GD 28.40% -8.94%

Bloomberg Barclays Global Aggregate 6.84% 1.96%

MSCI EAFE-GD 22.66% -10.92%

MSCI ACWI ex-US-GD 22.13% -10.35%

MSCI EM-GD 18.90% -9.68%

50% MSCI World/50% Citi WGBI 16.57% -3.24%

Bloomberg Barclays Euro Aggregate 4.07% 0.15%

JPM EMBI Global Diversified 15.04% 0.54%

Source: eVestment AnalyticsUnderlying This Trends Analysis

5

Global Asset Movement

State of Long-OnlySource: eVestment Analytics and Asset Flows

-$300,000

-$100,000

$100,000

$300,000

$500,000

$700,000

$900,000

$1,100,000

$0

$5,000,000

$10,000,000

$15,000,000

$20,000,000

$25,000,000

$30,000,000

$35,000,000

Q1 2005 Q1 2006 Q1 2007 Q1 2008 Q1 2009 Q1 2010 Q1 2011 Q1 2012 Q1 2013 Q1 2014 Q1 2015 Q1 2016 Q1 2017 Q1 2018 Q1 2019

$0

Cumulative Institutional Flows

Reported Institutional AUM

60% MSCI World/40% WGBI

7

Institutional AUM with Flows OverlaySource: eVestment Analytics and Asset Flows

-$3,750,000

-$2,250,000

-$750,000

$750,000

$2,250,000

$3,750,000

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Fixed Income Flows

Equity Flows

BALANCED/MULTI-ASSET

FIXED INCOME

EQUITY

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Balanced/Multi-Asset Flows

8

Active vs. Passive Cumulative FlowsSource: eVestment Analytics and Asset Flows

-$3,750,000

-$2,750,000

-$1,750,000

-$750,000

$250,000

$1,250,000

$2,250,000

ACTIVE EQUITY

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ACTIVE FIXED INCOME FLOWS

PASSIVE EQUITY FLOWS

PASSIVE FIXED INCOME FLOWS

ACTIVE EQUITY FLOWS

9

Inflow Drivers – Q4 2019 (Institutional Only)Source: eVestment Analytics and Asset Flows ($M)

$284,555

P r i o r F o u r Q u a r t e r s

$4,798

$10,624

$3,699

-$10,635

-$950

$17,300

$10,298

$4,402

-$3,889$0 $10,000 $20,000 $30,000 $40,000 $50,000 $60,000 $70,000 $80,000 $90,000 $100,000

US Cash Management

US Core Plus Fixed Income

US Core Fixed Income

Global Passive Fixed Income

US Long Duration Fixed Income

Diversified Growth Funds

US Passive Core Fixed Income

US High Yield Municipal Fixed Income

Buy and Maintain Credit Fixed Income

Canadian Core Fixed Income

10

Outflow Drivers – Q4 2019 (Institutional Only)Source: eVestment Analytics and Asset Flows ($M)

-$75,352

P r i o r F o u r Q u a r t e r s

-$35,683

$13,618

-$55,948

$5,671

-$42,742

-$14,052

-$14,144

-$8,200

$23,757-$30,000 -$25,000 -$20,000 -$15,000 -$10,000 -$5,000 $0

US Large Cap Value Equity

Global Large Cap Core Equity

EAFE Passive Equity

US Large Cap Growth Equity

US Short Duration Fixed Income

US Floating-Rate Bank Loan Fixed Income

EAFE Large Cap Core Equity

US Enhanced S&P 500 Equity

Global Emerging Mkts Fixed Income - Local Currency

US Passive S&P 500 Equity

11

Largest Positive Shifts (Institutional Only)Source: eVestment Analytics and Asset Flows ($M)

Q 4 2 0 1 9P R I O R F O U R Q U A R T E R S

-$50,000 -$40,000 -$30,000 -$20,000 -$10,000 $0 $10,000

US Corporate Fixed Income

Global Passive Equity

US Long Duration Fixed Income

US Balanced

Global Emerging Mkts All Cap Core Equity

UK Passive Equity

Global Large Cap Value Equity

Canadian Core Fixed Income

Asia ex-Japan All Cap Value Equity

US Passive Russell 1000 Growth Equity

12

Largest Negative Shifts (Institutional Only)Source: eVestment Analytics and Asset Flows ($M)

Q 4 2 0 1 9 P R I O R F O U R Q U A R T E R S

-$20,000 -$10,000 $0 $10,000 $20,000 $30,000 $40,000

US Enhanced Cash Management

US Passive S&P 500 Equity

EAFE Passive Equity

Global Multi-Sector Fixed Income

Europe Fixed Income - Cash Management

Global Emerging Mkts Passive Equity

US Short Duration Fixed Income

US Passive Large Cap - Other Indices

ACWI ex-US Passive Equity

Europe Fixed Income - Corporate

13

Recent State of the eVestment ESG UniverseSource: eVestment Analytics and Asset Flows

$592B AS OF Q4 2019

AUM FLOWS

$(10,000)

$(5,000)

$-

$5,000

$10,000

$15,000

$20,000

2015 2016 2017 2018 2019

EMEA US APAC Canada

14

Consultant & Investor Screening Behavior

Shifts in 150,000+ Consultant & Investor ViewsSource: eVestment Advantage – Q4 2019

-0.1%

-2.3%-0.6%

+1.4%

+1.0%

-0.1%

+0.2%

+0.4%

16

Universes With Highest Average Product Views By Investors & Consultants GloballySource: eVestment Advantage – Q4 2019

0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0

eVestment Global Emerging Mkts All Cap Core Equity

eVestment ACWI ex-US Small Cap Growth Equity

eVestment Canadian All Cap Value Equity

eVestment ACWI ex-US Large Cap Value Equity

eVestment Canadian Large Cap Value Equity

eVestment Global Emerging Mkts All Cap Value Equity

eVestment Global Emerging Mkts All Cap Growth Equity

eVestment Global All Cap Growth Equity

eVestment ACWI ex-US All Cap Growth Equity

eVestment EAFE All Cap Value Equity

17

Universes Most Viewed By U.S. Investors & ConsultantsSource: eVestment Advantage – Q4 2019

0 500 1000 1500 2000 2500 3000 3500 4000 4500

eVestment Global Large Cap Core Equity

eVestment Global All Cap Core Equity

eVestment US Core Fixed Income

eVestment US Large Cap Core Equity

eVestment Global Emerging Mkts All Cap Core Equity

eVestment US Small Cap Core Equity

eVestment US Small Cap Growth Equity

eVestment US Large Cap Growth Equity

eVestment US Small Cap Value Equity

eVestment US Large Cap Value Equity

18

Universes With Largest Changes In U.S. Investor & Consultant InterestSource: eVestment Advantage – Q4 2019

0.00% 0.10% 0.20% 0.30% 0.40% 0.50% 0.60%

eVestment US Multi-Sector Fixed Income

eVestment Global Tactical Asset Allocation

eVestment Global All Cap Value Equity

eVestment US Long Duration Fixed Income

eVestment Global All Cap Growth Equity

eVestment Global Large Cap Core Equity

eVestment Global All Cap Core Equity

eVestment US Small-Mid Cap Core Equity

eVestment Global Large Cap Growth Equity

eVestment US Core Plus Fixed Income

19

Universes Most Viewed By EMEA Investors & ConsultantsSource: eVestment Advantage – Q4 2019

0 250 500 750 1000 1250

eVestment Global All Cap Value Equity

eVestment Global Emerging Mkts Fixed Income - Hard Currency

eVestment Global Unconstrained Fixed Income

eVestment Global Large Cap Growth Equity

eVestment Diversified Growth Funds

eVestment Global Large Cap Value Equity

eVestment Global Emerging Mkts All Cap Core Equity

eVestment Global All Cap Growth Equity

eVestment Global Large Cap Core Equity

eVestment Global All Cap Core Equity

20

Universes With Largest Changes In EMEA Investor & Consultant InterestSource: eVestment Advantage – Q4 2019

0.00% 0.25% 0.50% 0.75% 1.00%

eVestment Canadian Large Cap Core Equity

eVestment US Securitized Fixed Income - Non-Traditional

eVestment Pan-Europe Small Cap Equity

eVestment US Securitized Fixed Income - Mortgage

eVestment Europe Fixed Income - Corporate

eVestment Global Credit Fixed Income

eVestment US High Yield Fixed Income

eVestment Global High Yield Fixed Income

Fund of Funds - Multi-Strategy

eVestment Global All Cap Growth Equity

21

Universes Most Viewed By APAC Investors & ConsultantsSource: eVestment Advantage – Q4 2019

0 100 200 300 400 500 600 700

eVestment Japan All Cap Value Equity

eVestment US Large Cap Value Equity

eVestment Global All Cap Value Equity

eVestment Global Emerging Mkts All Cap Core Equity

eVestment Global Large Cap Growth Equity

eVestment Global Large Cap Value Equity

eVestment Global All Cap Growth Equity

eVestment Global All Cap Core Equity

eVestment Global Large Cap Core Equity

eVestment Australian Equity Shares - Long Only

22

Universes With Largest Changes In APAC Investor & Consultant InterestSource: eVestment Advantage – Q4 2019

0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 3.00%

eVestment Global Credit Fixed Income

Macro - Multi-Strategy

eVestment US Small-Mid Cap Growth Equity

eVestment US Sector Focus Equity

eVestment Global Small-Mid Cap Equity

eVestment Canadian Large Cap Value Equity

eVestment US Securitized Fixed Income - Non-Traditional

eVestment US Large Cap Value Equity

eVestment Global All Cap Growth Equity

eVestment Australian Equity Shares - Long Only

23

Mandate Trends

PUBLIC + ANONYMOUS SEARCHES PUBLIC SEARCHES ONLY

Private Equity 25% 41%

Equity 29% 12%

Fixed Income 14% 6%

Real Estate 13% 16%

HF / Multi Asset 7% 8%

Real Assets 7% 7%

Private Debt 6% 11%

Mandate Searches

9 7 5 5 5 5

Source: eVestment Market LensQ4 2019

25

Finding Opportunities

Largest Allocation Imbalances – Implying Future FlowsSource: eVestment Market Lens ($B)

($50) ($30) ($10) $10 $30 $50 $70

Cash & Overlays

Total Fixed Income

Other Assets

Public Equity

Hedge Funds/Abs. Return - Alt

Private Equity - Alt

Multi-Asset

Natural Resources - RA

Infrastructure - RA

Alternatives (Blend) Alt

Private Markets - Alt

Alternatives

Real Estate - RA

Real Assets (Blend) - RA

Total Real Assets

RA rolls into Total Real Assets

Alt rolls into Alternatives

US Plans

UK Plans

27

$54B USD In Demand For Public EquitySource: eVestment Market Lens

Implied Gross Inflow$53.8B

Implied Gross Inflow (inside allowable range)

Implied Gross Outflow$77.2B

144U.S. public plans under allocated to public equity

226Potential individual mandates

54U.S. equity opportunities

38EM equity opportunities, one over $1B

11Plans widely under-allocated by $18M

-$70

-$50

-$30

-$10

+$10

+$30

+$50

Public Equity

Implied Gross Inflow$53.8 billion

Implied Net Flow-$5.3 billion

Implied Gross Outflow$59.0 billion

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Identify Opportunities By Tracking Under AllocationsSource: eVestment Market Lens

0%

5%

10%

15%

20%

25%

30%

35%

40%

0% 5% 10% 15% 20% 25% 30% 35% 40%

Targ

et A

lloca

tion

(%)

Current Allocation (%)

U.S. EquityInternational EquityEmerging Markets Equity

Investor: Eastern state public planPlan Size: $10 billion Opportunity: 4.5% underweight US Equity

$460 million potential mandate

29

Claire Spencerclairespencer@evestment.com

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