Diversification Under Fire

Lazard Insights

Peter Kashanek

Lazard Equity Advantage

December 2020

Information and opinions presented have been obtained or derived from sources believed by Lazard to be reliable. Lazard makes no representation as to their accuracy or completeness. All opinions expressed herein are as of the date of this presentation and are subject to change. Why Have Diversified Portfolios Underperformed?

. Extreme concentration of market leadership . The continuing slump in value measures . The growing impact of macro factors on market returns

Information is subject to change. Past performance is no guarantee of future results.

2 Equity Markets Have Experienced a Drawdown of 10% or More Every 5 Years

Equity Market Drawdowns: Jan 1970 – December 2019 (%)

-20

-40

MSCI World Index

-60 Jan-70 Jan-74 Jan-78 Jan-82 Jan-86 Jan-90 Jan-94 Jan-98 Jan-02 Jan-06 Jan-10 Jan-14 Jan-18

As of 31 December 2019. Source: Lazard , MSCI 3 Concentration Remains A Key Market Driver

Just 30 Stocks Made Up The Entire 2020 Index Return

% USD YTD Return

0 MSCI World Average of Top Median Stock In Index 30 Contributors Index

As of 30 September 2020. Source: Lazard, MSCI, Factset 4 Value Freefall

Value has been on a steady downward decline MSCI World Value Drawdown MSCI EAFE Value Drawdown

0% 0% -5% -10% -10% -15% -20% -20% -25% -30% -30%

-40% -35% -40% -50% -45% -50% -60% Jan-75 Jul-82 Jan-90 Jul-97 Jan-05 Jul-12 Jan-20 Jan-75 Jul-82 Jan-90 Jul-97 Jan-05 Jul-12 Jan-20 MSCI Japan Value Drawdown MSCI Emerging Markets Value Drawdown

0% 0% -5% -10% -10% -15% -20% -20% -25% -30% -30% -35% -40% -40% -45% -50% -50% Jan-75 Jul-82 Jan-90 Jul-97 Jan-05 Jul-12 Jan-20 Jan-97 May-00 Sep-03 Jan-07 May-10 Sep-13 Jan-17 May-20

As of 30 September 2020 Source: Lazard, S&P Global BMI, Factset This chart reflects the cumulative underperformance of the MSCI Value Index from its previous high water mark versus the MSCI Growth Index for respective 5 regions and countries Macro Has Mattered More than Ever

Macro Factors As % Of Stock Return

(%) 80

72.0

64.0

44.9

0 2005-2008 2009-2019 2020

As of November 2020 Past performance is no guarantee of future results. Source: Citigroup 6 Looking Ahead

. We remain steadfast in our view that company fundamentals, diversification, and innovation will continue to separate the winners from the losers in the long run . Investors have demonstrated a strong propensity to reward companies that exhibit specific fundamental characteristics which include relative value, growth potential, positive market sentiment, and quality . Diversification is still a bedrock principle . Innovation will separate the winners from losers

Information and opinions are subject to change. Biography

Peter Kashanek Director, Portfolio Manager/Analyst

Peter Kashanek is a Portfolio Manager/Analyst on Lazard's Equity Advantage team. He began working in the investment field in 1994. Prior to joining Lazard in 2007, Peter was a Principal and a Portfolio Manager in the Global Active Equity group at State Street Global Advisors (SSgA). Previously, Peter was an investment analyst in the Institutional Equity Research Group at Bank of Montreal where he focused on global energy companies. Prior to that, he was an Associate in the Global Equity Research Group at Deutsche Bank Securities. Peter also worked at Reliant Energy in Houston as a member of its Corporate Development team. Peter has an MBA with a concentration in Finance from Vanderbilt University and a BA in Government from St. Lawrence University.

8 Disclosures

The strategies invest primarily in emerging market debt positions. The strategies will generally invest in debt investments denominated in emerging market currencies. As such, an investment in the strategies is subject to the general risks associated with fixed income investing, such as interest rate risk and credit risk, as well as the risks associated with emerging market investments, including currency fluctuation, devaluation and confiscatory taxation. The strategies may use derivative instruments that are subject to counterparty risk.

Investments in global currencies are subject to the general risks associated with fixed income investing, such as interest rate risk, as well as the risks associated with non-domestic investments, which include, but are not limited to, currency fluctuation, devaluation and confiscatory taxation. Furthermore, certain investment techniques required to access certain emerging markets currencies, such as swaps, forwards, structured notes, and loans of portfolio securities, involve risk that the counterparty to such instruments or transactions will become insolvent or otherwise default on its obligation to perform as agreed. In the event of such default, an investor may have limited recourse against the counterparty and may experience delays in recovery or loss.

The strategies will invest in securities of non-US companies and which trade on non-US exchanges. These investments may be denominated or traded in both Hard and Local currencies. Investments denominated in currencies other than US dollars involve certain considerations not typically associated with investments in US issuers or securities denominated or traded in US dollars. There may be less publicly available information about issuers in non-US countries that may not be subject to uniform accounting, auditing and financial reporting standards and other disclosure requirements comparable to those applicable to US issuers. Securities in certain non-domestic countries may be less liquid, more volatile, and less subject to governmental supervision than in one’s home market. The values of these securities may be affected by changes in currency rates, application of a country’s specific tax laws, changes in government administration, and economic and monetary policy. Emerging-market securities carry special risks, such as less developed or less efficient trading markets, a lack of company information, and differing auditing and legal standards. The securities markets of emerging-market countries can be extremely volatile; performance can also be influenced by political, social, and economic factors affecting companies in emerging-market countries.

Mention of these securities should not be considered a recommendation or solicitation to purchase or sell the securities. It should not be assumed that any investment in these securities was, or will prove to be, profitable, or that the investment decisions we make in the future will be profitable or equal to the investment performance of securities referenced herein. There is no assurance that any securities referenced herein are currently held in the portfolio or that securities sold have not been repurchased. The securities mentioned may not represent the entire portfolio.

All index data is shown for illustrative purposes only and not intended to reflect the performance of any product or strategy managed by Lazard. This material is for informational purposes only. It is not intended to, and does not constitute financial advice, fund management services, an offer of financial products or to enter into any contract or investment agreement in respect of any product offered by Lazard Asset Management and shall not be considered as an offer or solicitation with respect to any product, security, or service in any jurisdiction or in any circumstances in which such offer or solicitation is unlawful or unauthorized or otherwise restricted or prohibited. This document reflects the views of Lazard Asset Management LLC or its affiliates (“Lazard”) based upon information believed to be reliable as of the publication date. There is no guarantee that any forecast or opinion will be realized. This document is provided by Lazard Asset Management LLC or its affiliates (“Lazard”) for informational purposes only. Nothing herein constitutes investment advice or a recommendation relating to any security, commodity, derivative, investment management service or investment product. Investments in securities, derivatives and commodities involve risk, will fluctuate in price, and may result in losses. Certain assets held in Lazard’s investment portfolios, in particular alternative investment portfolios, can involve high degrees of risk and volatility when compared to other assets. Similarly, certain assets held in Lazard’s investment portfolios may trade in less liquid or efficient markets, which can affect investment. This document reflects the views of Lazard Asset Management LLC or its affiliates (“Lazard”) based upon information believed to be reliable as of the publication date. There is no guarantee that any forecast or opinion will be realized. This document is provided by Lazard Asset Management LLC or its affiliates (“Lazard”) for informational purposes only. Nothing herein constitutes investment advice or a recommendation relating to any security, commodity, derivative, investment management service, or investment product. Investments in securities, derivatives, and commodities involve risk, will fluctuate in price, and may result in losses. Certain assets held in Lazard’s investment portfolios, in particular alternative investment portfolios, can involve high degrees of risk and volatility when compared to other assets. Similarly, certain assets held in Lazard’s investment portfolios may trade in less liquid or efficient markets, which can affect investment performance. Past performance does not guarantee future results. The views expressed herein are subject to change, and may differ from the views of other Lazard investment professionals. This document is intended only for persons residing in jurisdictions where its distribution or availability is consistent with local laws and Lazard’s local regulatory authorizations. Please visit www.lazardassetmanagement.com/globaldisclosure for the specific Lazard entities that have issued this document and the scope of their authorized activities.