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HomeMy WebLinkAboutMorgan Stanley Quarterly Performance Summary ReportGraystone Consulting- A business of Morgan Stanley City of Sebastian Police Officers' Retirement Plan Quarterly Performance Summary As of March 31, 2021 Scott Owens, CFAo, CIMAo David Wheeler, CIMAo, CFPo, CRPSo Andy McIlvaine Executive Director - Wealth Management Executive Director - Wealth Management Institutional Consultant Institutional Consulting Director Institutional Consulting Director Financial Advisor - Wealth Management Scott.Owens@msgraystone.com Alterative Investment Director Andy.McIlvaine@msgraystone.com (813) 227-2027 Corporate Retirement Director (813) 227-2160 David.A.Wheeler@msgraystone.com (813)227-2178 Graystone Page 1 Consuhings" City of Sebastian Police Officers' Retirement Plan Capital Markets Returns as of March 31, 2021 Three Years Five Years Seven Years Quarter Year to Date 12 Months m (annualized) (annualized) (annualized) S&P 500 Index 6.17 6.17 56.35 16.78 16.29 13.60 Dow Jones Industrial Average 8.29 8.29 53.78 13.61 15.99 13.11 Russell 3000 Index 6.35 6.35 62.53 17.12 16.64 13.44 Russell 3000 Value Index 11.89 11.89 58.38 10.99 11.87 9.35 Russell 3000 Growth Index 1.19 1.19 64.32 22.39 20.87 17.14 Russell 1000 Index 5.91 5.91 60.59 17.31 16.66 13.64 Russell 1000 Value Index 11.25 11.25 56.09 10.96 11.74 9.40 Russell 1000 Growth Index 0.94 0.94 62.74 22.80 21.05 17.50 Russell Midcap Index 8.14 8.14 73.64 14.73 14.67 11.65 Russell Midcap Value Index 13.05 13.05 73.76 10.69 11.60 9.34 Russell Midcap Growth Index (0.56) (0.56) 68.61 19.41 18.39 14.37 Russell 2000 Index 12.70 12.70 94.84 14.76 16.35 11.05 Russell 2000 Value Index 21.17 21.17 97.06 11.57 13.56 8.93 Russell 2000 Growth Index 4.87 4.87 90.20 17.16 18.61 12.77 11Period Ending March 31, 2021 Quarter Energy 30.85 Financials 15.99 Industrials 11.41 Materials 9.08 Real Estate 9.02 Communication Services 8.08 Health Care 3.18 Consumer Discretionary 3.11 Utilities 2.80 Technology 1.97 Consumer Staples 1.15 Past Performance is not a guarantee of future results. Indices are not available for direct investment. Source: PARis Page 2 Graystone Consuhings" City of Sebastian Police Officers' Retirement Plan Capital Markets Returns as of March 31, 2021 Developed.. Ending March 31, 2021 U.S. Dollar Local Currency Year to 3 5 Year to 3 5 Quarter 12 Months Quarter 12 Months Date Years Years Date Years Years Regional and Other Multi -Country Indices MSCI EAFE 3.48 3.48 44.57 6.08 8.85 7.72 7.72 37.11 7.59 9.35 MSCI Europe 4.08 4.08 44.95 5.65 8.18 7.69 7.69 35.18 7.40 8.87 MSCI Far East 2.57 2.57 39.80 6.51 10.59 8.76 8.76 42.34 7.47 10.32 MSCI Pacific ex. Japan 4.61 4.61 53.95 7.13 9.55 5.76 5.76 34.65 7.27 9.72 MSCI The World 5.04 5.04 54.76 13.42 13.98 6.27 6.27 52.65 N/A N/A MSCI World ex. U.S. 4.04 4.04 45.86 6.39 8.92 7.77 7.77 37.51 7.77 9.40 National Indices MSCI Hong Kong 7.26 7.26 37.29 5.39 10.08 7.52 7.52 37.68 5.08 10.13 MSCI Ireland 5.49 5.49 63.60 10.18 7.72 9.82 9.82 52.74 11.86 8.50 MSCI Japan 1.70 1.70 40.18 6.95 10.86 8.85 8.85 43.48 8.07 10.48 MSCI Singapore 8.88 8.88 40.39 0.76 6.61 10.69 10.69 32.48 1.57 6.56 L Regional and Other Multi -Country Indices MSCI EM National Indices MSCI China MSCI Malaysia MSCI Taiwan MSCI Thailand U.S. Dollar Local Currency luarter Year to 12 Months 3 5 Quarter Year to 12 Months 3 5 Date Years Years Date Years Years 2.34 2.34 58.92 6.92 12.48 4.02 4.02 53.51 9.69 13.29 (0.43) (0.43) 43.81 8.41 16.29 (0.16) (0.16) 42.76 7.97 16.22 (5.81) (5.81) 20.82 (5.91) (0.93) (2.90) (2.90) 15.97 (3.87) 0.28 10.95 10.95 94.55 23.85 23.24 12.67 12.67 83.56 22.65 20.31 4.41 4.41 39.45 (4.09) 7.10 4.41 4.41 39.45 (4.09) 7.10 Past Performance is not a guarantee of future results. Indices are not available for direct investment. Source: PARis Graystone Page 3 Consuhings" City of Sebastian Police Officers' Retirement Plan Capital Markets Returns as of March 31, 2021 Quarter Year to Date 12 Months Three Years Five Years Ten Years (annualized) (annualized) (annualized) U.S. Fixed Income 90-Day T-Bills 0.02 0.02 0.21 1.45 1.15 0.60 Barclays Aggregate (3.37) (3.37) 0.71 4.65 3.10 3.44 Barclays Credit (4.45) (4.45) 7.88 5.95 4.67 4.83 Barclays Govt/Credit (4.28) (4.28) 0.87 4.99 3.36 3.70 Barclays Government (4.14) (4.14) (4.26) 4.10 2.25 2.83 Barclays High Yield 0.86 0.86 23.65 6.82 8.04 6.47 Barclays Intermediate Govt/Credit (1.86) (1.86) 2.01 4.36 2.75 2.88 Barclays Long Govt/Credit (10.41) (10.41) (2.05) 7.14 5.47 6.98 Barclays Mortgage Backed (1.10) (1.10) (0.09) 3.75 2.43 2.83 Barclays Municipal (0.35) (0.35) 5.51 4.91 3.49 4.54 Global Fixed Income Merrill Lynch Global High Yield (0.08) (0.08) 25.67 5.95 7.63 6.12 Barclays Global Treasury ex. US (6.36) (6.36) 6.43 1.06 2.13 1.50 Barclays Capital Majors ex. U.S. (6.43) (6.43) 3.45 0.54 1.61 0.90 Past Performance is not a guarantee of future results. Indices are not available for direct investment. Source: PARis Page 4 Graystone Consuhings" City of Sebastian Police Officers' Retirement Plan Total Fund - Executive Summary as of March 31, 2021 Manager Performance Chart 80.0 60.0 v 40.0 20.0 0.0 Current Fiscal 1 3 5 7 10 Since Quarter YTD Year Years Years Years Years Inception Manager Annualized Performance Current Fiscal 1 3 5 7 10 Inception Quarter YTD Year Years Years Years Years 02/01/2011 Total Fund 6.29 18.64 45.00 11.12 10.49 8.55 8.35 8.37 Policy Index 1 4.21 17.12 43.02 11.52 10.65 8.94 9.17 9.21 Differences 2.08 1.52 1.98 -0.40 -0.16 -0.39 -0.82 -0.84 Historic Asset Growth Current Fiscal 1 3 5 7 10 Inception Quarter YTD Year Years Years Years Years 02/01/2011 Total Fund Beginning Market Value 19,694 17,178 14,159 14,117 11,956 10,828 7,922 7,730 Net Contributions -182 363 293 1,402 1,333 1,733 2,587 2,659 Fees/Expenses -34 -58 -100 -309 -473 -595 -741 -741 Income 71 151 316 1,063 1,714 2,219 2,869 2,901 Gain/Loss 1,159 3,074 6,040 4,435 6,179 6,524 8,071 8,160 Ending Market Value 20,708 20,708 20,708 20,708 20,708 20,708 20,708 20,708 Modern Portfolio Statistics Standard Maximum Return Beta Deviation Drawdown Total Fund 8.37 9.58 0.98 -17.43 Policy Index 1 9.21 9.56 1.00 -17.24 Manager Risk & Return 14.0 12.0 1 ().0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Risk (Standard Deviation %) Total Fund Q Policy Index 1 . 90-Day T-Bills Up Down Sharpe Inception Capture Alpha Capture Ratio R-Squared Date 98.58 106.88 -0.58 0.83 0.96 02/01/2011 100.00 100.00 0.00 0.91 1.00 02/01/2011 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Page 5 Consuhings" City of Sebastian Police Officers' Retirement System as of March 31, 2021 Trailing Returns Manager vs Benchmark: Return through March 2021 (not annualized if less than 1 year) - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 40— — — — — — — — — — — — — — — — — — — — — — — — — — — — — — - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 30— — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — -- - - - -------------------- - - - - -- rr20— — — — — — — — — — — — — — — — — — — — — — — — — — — — — — — - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 10— — — — — — — — — — — — — — — — — — — — — — o- 1 q uarter 1 year 3 years 5 years 10 years 18 years 1 quarter Manager vs Benchmark: Return through March 2021 (not annualized if less than 1 year) ■ Sebastian Police (Gross) ■ Sebastian Police (Net) ■ Sebastian Police Policy Index Sebastian Police (Gross) 6.29% 45.00% 11.13% 10.49% 8.35% Sebastian Police (Net) 6.11 % 44.18% 10.41 % 9.79% 7.72% Sebastian Police Policy Index 4.21 % 43.02% 11.52% 10.65% 9.17% Source: Zephyr 7.00% 6.32% 7.60% The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Page 6 Consulting'" City of Sebastian Police Officers' Retirement System as of March 31, 2021 Risk/Return - 5 Year Analysis Manager Performance 20-Quarter Moving Windows, Computed Quarterly April 2016 - March 2021 170 160— - 150— - 140— — — — — — — — — — — — — — — — 130— — — — — — — — — — — — — — — 120— — 110— — 100 Q1 2016 Q4 2016 Q4 2017 Q4 2018 Q4 2019 Q1 2021 Sebastian Police (Gross) Manager Risk/Return Single Cor potation April 2016 - March 2021 12% 10°% 8% cle slian Police (Gross) 6 , L esh_ Pdce Policy Irdex l - 4% 2°r 0 0�1% 2% 49% 6% 8% 101% 12% 14 % 16% Standard Deviation Return & Risk Measurements Apri 1 2016 - Nib rc h 2021* Summary Stati stics • Sebastian Police (Gross) Market Benchmark: Sebastian Police Policy Index Cash Equivalent: Citigroup 3-month T-bi II 10.49% -0.16% 13.89% 0.97-17.43% 99.88% 101.79% 0.13% 0.67 97.93% Sebastian Police Policy Index 10.65% 0.00% 14.12% 1.00-17.24% 100.00% 100.00% 0.00% 0.67 100.00% Source: Zephyr The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Page 7 Consulting'" City of Sebastian Police Officers' Retirement System as of March 31, 2021 Risk/Return - 18 Year Analysis Manager Performance 20-Quarter Moving Windows, Computed Quarterly January 2003 - March 2021 40C 04-002 Q42005 042007 042009 042011 042013 Q42015 042017 Q1 '"21 Sebastian Police (Gross) s% 7% 6% 5% E —Sebastian Police (Gress) 4 - —Sebastian Police Policy Index 3% 2% 1% 0 2°/ Return & Risk Measurements January 2003-Nhrch 2021: Summary Statistics Manager Risk/Return Single Conputation January 2003 - March 2021 4% 69/ 81% 101% Standard Deviation • Sebastian Police (Goss Nfirket Benchmark Sebastian Police Policy Index 0 Cash Equivalent: Citigroup 3-month -r-bi ll 7.00% -0.60% 9.84% 1.00-22.97% 97.99% 107.65% -0.54% 0.58 96.99% Sebastian Police Policy Index 7.60% 0.00% 9.70% 1.00-21.59% 100.00% 100.00% 0.00% 0.65 100.00% Source: Zephyr The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Page 8 Consulting'" City of Sebastian Police Officers' Retirement Plan Asset Allocation & Time Weighted Performance as of March 31, 2021 Allocation Performance(%) Market Quarter Fiscal 1 3 5 7 10 Since Inception Value % To YTD YTD Year Years Years Years Years Inception Date ($) Date Total• 20,708,336 100.00 6' 45.00 11.12 10.49I I I Total Fund (net) 6.11 6.11 18.28 44.18 10.41 9.79 7.89 7.72 7.75 Policy Index 1 4.21 4.21 17.12 43.02 11.52 10.65 8.94 9.17 9.21 Domestic Highland - Large Cap Value 4,183,478 20.20 14.02 14.02 31.83 57.85 10.81 N/A N/A N/A 10.43 08/01/2017 Highland - Large Cap Value (net) 13.88 13.88 31.51 57.12 10.28 N/A N/A N/A 9.85 Russell 1000 Value 11.25 11.25 29.34 56.09 10.96 N/A N/A N/A 10.09 Polen - Large Cap Growth 1,677,028 8.10 N/A N/A N/A N/A N/A N/A N/A N/A N/A 04/01 /2021 Polen - Large Cap Growth (net) N/A N/A N/A N/A N/A N/A N/A N/A N/A Russell 1000 Gr N/A N/A N/A N/A N/A N/A N/A N/A N/A iShares - Russell 1000 Growth ETF 1,605,689 7.75 1.50 1.50 N/A N/A N/A N/A N/A N/A 1.50 01/01/2021 iShares - Russell 1000 Growth ETF (net) 1.50 1.50 N/A N/A N/A N/A N/A N/A 1.50 Russell 1000 Gr 0.94 0.94 N/A N/A N/A N/A N/A N/A 0.94 Boston Partners - SMID Value 2,757,328 13.32 19.17 19.17 55.25 103.02 11.16 N/A N/A N/A 10.58 08/01/2017 Boston Partners - SMID Value (net) 19.06 19.06 54.79 101.41 10.02 N/A N/A N/A 9.51 Russell 2500 VL 16.83 16.83 50.13 87.47 10.88 N/A N/A N/A 10.14 Fiera Capital - SMID Growth 1,660,241 8.02 7.00 7.00 30.54 98.88 21.33 N/A N/A N/A 22.41 08/01/2017 Fiera Capital - SMID Growth (net) 6.80 6.80 30.08 9750 20.45 N/A N/A N/A 21.57 Russell 2500 GR 2.49 2.49 29.02 8750 19.96 N/A N/A N/A 20.16 Highland - Intl Value 1,037,533 5.01 5.45 5.45 24.73 57.31 6.35 N/A N/A N/A 6.55 08/01/2017 Highland - Intl Value (net) 5.32 5.32 24.43 56.75 5.92 N/A N/A N/A 6.07 MSCI EAFE Net 3.48 3.48 20.08 44.57 6.08 N/A N/A N/A 6.34 MSCI EAFE VL Net 7.44 7.44 28.08 45.71 1.89 N/A N/A N/A 2.50 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Page 9 Consuhings" City of Sebastian Police Officers' Retirement Plan Asset Allocation & Time Weighted Performance as of March 31, 2021 Renaissance - International Growth Renaissance - International Growth (net) MSCI AC World ex US Net Highland - Fixed Income Highland - Fixed Income (net) Barclays Aggregate Intercontinental - Private Real Estate Intercontinental - Private Real Estate (net) NCREIF Property Idx Barclays Aggregate Lazard - Global Infrastructure Lazard - Global Infrastructure (net) DJ Brookfield Gbl Infra Comp TR Receipt & Disbursement 90-Day T-Bills Allocation Performance(%) Market Quarter Fiscal 1 3 5 7 10 Since Inception Val % Va To YTD YTD Year Years Years Years Years Inception Date ( Date 1,543,129 7.45 4.44 4.44 24.54 57.78 3.18 N/A N/A N/A 4.03 08/01/2017 4.27 4.27 24.15 56.81 2.53 N/A N/A N/A 3.40 3.49 3.49 21.10 49.41 6.56 N/A N/A N/A 7.04 4,460,580 21.54 -1.57 -1.57 -0.55 -1.64 -1.64 -0.70 -3.37 -3.37 -2.73 737,869 3.56 2.51 2.51 3.00 2.27 2.27 2.71 1.72 1.72 2.89 -3.37 -3.37 -2.73 1,007,555 4.87 3.55 3.55 N/A 3.55 3.55 N/A 6.14 6.14 N/A 37,022 0.18 0.01 0.02 3.59 5.31 N/A N/A N/A 3.28 4.99 N/A N/A N/A 0.71 4.65 N/A N/A N/A 3.91 7.29 N/A N/A N/A 3.10 5.98 N/A N/A N/A 2.63 4.90 N/A N/A N/A 0.71 4.65 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.01 0.02 0.08 0.02 0.04 0.21 1.04 N/A N/A N/A 1.45 N/A N/A N/A 4.16 08/01/2017 3.79 3.60 7.95 10/01/2017 6.66 5.22 3.65 3.55 01 /01 /2021 3.55 6.14 1.15 08/01/2017 1.41 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Page 10 Consuhings" City of Sebastian Police Officers' Retirement Plan Asset Allocation & Net Dollar Weighted Performance (IRR) as of March 31, 2021 ova Current Fiscal 1 3 5 7 10 Since Inception Quarter YTD Year Years Years Years Years Inception Date Highland - Large Cap Value 20.20 13.85 31.62 56.29 10.54 N/A N/A N/A 10.52 07/31/2017 Polen - Large Cap Growth 8.10 N/A N/A N/A N/A N/A N/A N/A 0.11 03/15/2021 iShares - Russell 1000 Growth ETF 7.75 1.50 N/A N/A N/A N/A N/A N/A 1.50 12/31/2020 Boston Partners - SMID Value 13.32 19.02 45.84 95.08 18.17 N/A N/A N/A 16.43 07/31/2017 Fiera Capital - SMID Growth Im-111-i 8.02 6.81 28.44 92.51 20.65 N/A N/A N/A 21.73 07/31/2017 al Equity Highland - Intl Value 5.01 5.32 23.46 55.39 6.22 N/A N/A N/A 6.31 07/31/2017 Renaissance - International Growth 7.45 4.27 22.92 55.02 3.18 N/A N/A N/A 3.87 07/31/2017 Fixed Income Highland - Fixed Income 21.54 -1.64 -0.79 3.07 4.90 N/A N/A N/A 3.70 07/31/2017 Altern. Intercontinental - Private Real Estate 3.56 2.26 2.70 3.08 6.01 N/A N/A N/A 6.57 10/15/2017 Lazard - Global Infrastructure 4.87 3.55 N/A N/A N/A N/A N/A N/A 3.55 12/31/2020 Receipt & Disbursement 0.18 -20.39 -11.35 -7.02 -5.66 N/A N/A N/A -5.08 07/31/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a Graystone guarantee of future results. " Page 11 Consulting City of Sebastian Police Officers' Retirement Plan Asset Allocation Compliance as of March 31, 2021 Executive Summary Global Equity $14,465.3K (69.9%) 40.0% - 70.0% Fixed Income $4,460.6K (21.50/6) - 20.0% - 30.0% Alternatives $1,745.4K (8.40/4) - 0.0% - 20.0% 1/ 10.0% 25.0% 65.0% Receipt & Disbursement $37.OK (0.2%) 0.0% 0.0% - 5.0% 0.0% 15.0% 30.0% 45.0% 60.0% 75.0% 90.0% ❑ Policy Target . In Policy . Outside Policy The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Page 12 105.0% Graystone Consuhings" City of Sebastian Police Officers' Retirement Plan Asset Allocation Compliance as of March 31, 2021 Executive Summary Highland - Large Cap Value $4,183.5K (20.2%) 12.5% - 22.5% Polen - Large Cap Growth $1,677.OK (8.10/(,) 6.2% - 11.2% iShares - Russell 1000 Growth ETF $1,605.7K (7.80/(,) 6.2% - 11.2% Boston Partners - SMID Value $2,757.3K (13.30X) 2.5% - 15.0% Fiera Capital - SMID Growth $1,660.2K (8.0%) 2.5% - 10.5% Highland - Intl Value $1,037.5K (5.0%) 2.5% - 7.5% Renaissance - International Growth $1,543.1K (7.5%) 5.0% - 10.0% Highland - Fixed Income $4,460.6K (21.5°/a) 20.0% - 30.0% Intercontinental - Private Real Estate $737.9K (3.6%) 0.0% - 10.0% Lazard - Global Infrastructure $1,007.6K (4.9%) 0.0% - 10.0% Receipt & Disbursement $37.OK (0.2%) 0.0% - 5.0% I12.0°• t8. 0% t5.0% 17.5% 0.0% 6.0% 16.3% 12.0% 18.0% ❑ Policy 0 Target 25.0% o 24.0% 30.0% 36.0% . In Policy . Outside Policy The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Page 13 42.0% Graystone Consuhings" City of Sebastian Police Officers' Retirement Plan Highland - Large Cap Value - Executive Summary as of March 31, 2021 Manager Performance Chart 100.0 75.0 2 50.0 25.0 0.0 Current Fiscal 1 3 Since Quarter YTD Year Years Inception Manager Annualized Performance Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 Highland - Large Cap Value 14.02 31.83 57.85 10.81 10.43 Russell 1000 Value 11.25 29.34 56.09 10.96 10.10 Differences 2.77 2.49 1.76 -0.15 0.33 Historic Asset Growth Current Quarter Highland - Large Cap Value Beginning Market Value 3,723 Net Contributions -52 Fees/Expenses -5 Income 21 Gain/Loss 496 Ending Market Value 4,183 Modern Portfolio Statistics Fiscal 1 3 Inception YTD Year Years 08/01/2017 3,667 2,741 3,229 4,342 -552 -168 -186 -1,562 -9 -17 -50 -68 42 87 285 347 1,036 1,540 906 1,125 4,183 4,183 4,183 4,183 Manager Risk & Return 14. 1 12.0 8.0 6.0 4.0 2.0 0.0 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 Risk (Standard Deviation %) Highland - Large Cap Value Q Russell 1000 Value . 90-Day T-Bills 20.0 24.0 28.0 Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Highland - Large Cap Value 10.43 18.62 1.01 -28.00 102.22 101.57 0.23 0.55 0.99 08/01/2017 Russell 1000 Value 10.10 18.28 1.00 -26.73 100.00 100.00 0.00 0.54 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Consuhings" Page 14 City of Sebastian Police Officers' Retirement Plan Boston Partners - SMID Value - Executive Summary as of March 31, 2021 Manager Performance Chart 150.0 100.0 Q 50.0 0.0 Current Fiscal 1 3 Since Quarter YTD Year Years Inception Manager Annualized Performance Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 Boston Partners - SMID Value 19.17 55.25 103.02 11.16 10.58 Russell 2500 VL 16.83 50.13 87.47 10.88 10.15 Differences 2.34 5.12 15.55 0.28 0.43 Historic Asset Growth Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 Boston Partners - SMID Value Beginning Market Value 2,348 836 545 700 672 Net Contributions -35 1,231 1,360 1,481 1,476 Fees/Expenses -2 -4 -8 -24 -27 Income 9 13 19 48 56 Gain/Loss 437 681 840 553 580 Ending Market Value 2,757 2,757 2,757 2,757 2,757 Modern Portfolio Statistics Manager Risk & Return 15.0 12.0 9.0 6.0 3.0 0.0 -3.0 -10.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0 Risk (Standard Deviation %) Boston Partners - SMID Value 0 Russell 2500 VL . 90-Day T-Bills Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Boston Partners - SMID Value 10.58 25.79 1.10 -38.80 109.71 110.28 -0.11 0.47 0.98 08/01/2017 Russell 2500 VL 10.15 23.32 1.00 -34.64 100.00 100.00 0.00 0.48 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Consuhings" Page 15 City of Sebastian Police Officers' Retirement Plan Fiera Capital SMID Growth - Executive Summary as of March 31, 2021 Manager Performance Chart 150.0 100.0 rx 50.0 0.0 Current Fiscal Quarter YTD Manager Annualized Performance Current Quarter Fiera Capital - SMID Growth 7.00 Russell 2500 GR 2.49 Differences 4.51 Historic Asset Growth Current Quarter Fiera Capital - SMID Growth Beginning Market Value 1,584 Net Contributions -30 Fees/Expenses -3 Income 2 Gain/Loss 108 Ending Market Value 1,660 Modern Portfolio Statistics 1 3 Since Year Years Inception Fiscal 1 3 Inception YTD Year Years 08/01/2017 30.54 98.88 21.33 22.41 29.02 87.50 19.96 20.18 1.52 11.38 1.37 2.23 Fiscal 1 3 Inception YTD Year Years 08/01/2017 1,018 671 782 669 302 301 276 275 -5 -8 -20 -22 4 6 16 19 341 689 606 720 1,660 1,660 1,660 1,660 Manager Risk & Return 35.0 30.0 25.0 20.0 15.0 a 10.0 5.0 0.0 - -5.0 - -10.0 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0 Risk (Standard Deviation %) Fiera Capital - SMID Growth Q Russell 2500 GR . 90-Day T-Bills Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Fiera Capital - SMID Growth 22.41 21.25 0.94 -22.46 97.21 85.04 2.88 1.00 0.95 08/01/2017 Russell 2500 GR 20.18 21.92 1.00 -23.30 100.00 100.00 0.00 0.89 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Consuhings" Page 16 City of Sebastian Police Officers' Retirement Plan Highland - International Value - Executive Summary as of March 31, 2021 Manager Performance Chart 100.0 75.0 2 50.0 25.0 0.0 Current Fiscal 1 3 Since Quarter YTD Year Years Inception Manager Annualized Performance Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 Highland - Intl Value 5.45 24.73 57.31 6.35 6.55 MSCI EAFE Net 3.48 20.08 44.57 6.08 6.35 Differences 1.97 4.65 12.74 0.27 0.20 Historic Asset Growth Current Fiscal 1 3 Quarter YTD Year Years Highland - Intl Value Beginning Market Value 985 Net Contributions - Fees/Expenses -1 Income 3 Gain/Loss 51 Ending Market Value 1,038 Modern Portfolio Statistics Return Highland - Intl Value 6.55 MSCI EAFE Net 6.35 722 573 732 130 129 154 -2 -3 -9 9 16 53 179 322 108 1,038 1,038 1,038 Inception 08/01/2017 701 154 -12 61 134 1,038 Manager Risk & Return I.I 8.0 ^.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 1.0 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 Risk (Standard Deviation %) Highland - Intl Value Q MSCI EAFE Net . 90-Day T-Bills 24.0 28.0 Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date 18.94 1.12 -28.37 112.42 113.83 -0.24 0.36 0.93 08/01/2017 16.32 1.00 -22.83 100.00 100.00 0.00 0.37 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Page 17 Consuhings" City of Sebastian Police Officers' Retirement Plan Renaissance - International Growth - Executive Summary as of March 31, 2021 Manager Performance Chart 100.0 75.0 r~ 2 50.0 25.0 0.0 Current Fiscal 1 3 Since Quarter YTD Year Years Inception Manager Annualized Performance Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 Renaissance - International Growth 4.44 24.54 57.78 3.18 4.03 MSCI AC World ex US Net 3.49 21.10 49.41 6.56 7.05 Differences 0.95 3.44 8.37 -3.38 -3.02 Historic Asset Growth Renaissance - International Growth Beginning Market Value Net Contributions Fees/Expenses Income Gain/Loss Ending Market Value Modern Portfolio Statistics Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 1,497 1,041 825 1,065 1,016 -17 233 232 360 359 -2 -4 -7 -21 -24 2 6 17 68 77 64 269 477 71 115 1,543 1,543 1,543 1,543 1,543 Manager Risk & Return 10.5 9.0 '.7 6.0 4.5 3.0 1.5 0.0 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 Risk (Standard Deviation %) Renaissance - International Growth Q MSCI AC World ex US Net . 90-Day T-Bills 24.0 28.0 Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Renaissance - International Growth 4.03 18.91 1.13 -33.88 100.55 114.23 -3.38 0.23 0.95 08/01/2017 MSCI AC World ex US Net 7.05 16.30 1.00 -24.30 100.00 100.00 0.00 0.41 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Consuhings" Page 18 City of Sebastian Police Officers' Retirement Plan Highland - Fixed Income - Executive Summary as of March 31, 2021 Manager Performance Chart 12.0 8.0 4.0 ■ . ■ 9 0.0 - -4.0 -8.0 Current Fiscal 1 3 Since Quarter YTD Year Years Inception Manager Annualized Performance Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 Highland - Fixed Income -1.57 -0.55 3.59 5.31 4.16 Barclays Aggregate -3.37 -2.73 0.71 4.65 3.60 Differences 1.80 2.18 2.88 0.66 0.56 Historic Asset Growth Manager Risk & Return j.4 4.8 4.2 3.6 3.0 a 2.4 1.8 1.2 0.6 0.0 -1.4 -0.7 0.0 0.7 1.4 2.1 2.8 3.5 4.2 4.9 5.6 6.3 7.0 Current Fiscal 1 3 Inception u Risk (Standard Deviation /o) Quarter YTD Year Years 08/01/2017 Highland - Fixed Income 0Highland - Fixed Income Q Barclays Aggregate Beginning Market Value 4,549 4,147 3,988 3,561 3,980 Net Contributions -14 348 347 345 -41 . 90-Day T-Bills Fees/Expenses -3 -7 -13 -36 -50 Income 29 55 114 357 444 Gain/Loss -100 -82 24 234 127 Ending Market Value 4,461 4,461 4,461 4,461 4,461 Modern Portfolio Statistics Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Highland - Fixed Income 4.16 4.77 0.91 -4.16 97.97 75.88 0.94 0.59 0.41 08/01/2017 Barclays Aggregate 3.60 3.39 1.00 -3.57 100.00 100.00 0.00 0.66 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Consuhings" Page 19 City of Sebastian Police Officers' Retirement Plan Intercontinental - Private Real Estate - Executive Summary as of March 31, 2021 Manager Performance Chart 12.0 9.0 r~ 2 6.0 a 3.0 0.0 Current Fiscal 1 3 Since Quarter YTD Year Years Inception Manager Annualized Performance Current Fiscal 1 3 Inception Quarter YTD Year Years 10/01/2017 Intercontinental - Private Real Estate 2.51 3.00 3.91 7.29 7.95 NCREIF Property Idx 1.72 2.89 2.63 4.90 5.22 Differences 0.79 0.11 1.28 2.39 2.73 Historic Asset Growth Manager Risk & Return 12.0 10.0 8.0 0 6.0 a 4.0 2.0 0.0 -2.0 -1.2 -0.6 0.0 0.6 1.2 1.8 2.4 3.0 3.6 4.2 4.8 5.4 Current Fiscal 1 3 Inception Risk (Standard Deviation %) Quarter YTD Year Years 10/01/2017 Intercontinental - Private Real Estate Intercontinental - Private Real Estate 0 NCREIF Property Idx Beginning Market Value 724 725 730 669 112 Net Contributions -3 -6 -14 -54 483 . 90-Day T-Bills Fees/Expenses -2 -2 -6 -26 -28 Income - - - - - Gain/Loss 18 22 28 148 171 Ending Market Value 738 738 738 738 738 Modern Portfolio Statistics Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Intercontinental - Private Real Estate 7.95 3.72 1.14 -0.02 142.97 2.02 1.92 1.71 0.61 10/01/2017 NCREIF Property Idx 5.22 2.55 1.00 -0.99 100.00 100.00 0.00 1.48 1.00 10/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Consuhings" Page 20 City of Sebastian Police Officers' Retirement Plan IPS Checklist as of March 31, 2021 Equitv Portfolio Listed on recognized exchange Yes Single issue shall does not exceed 5% of total plan market value Yes Fixed Income Portfolio U.S. Government / Agency or U.S. Corporations Yes Bonds rated "BBB" or better Yes Single corporate issuer not exceed 10% of bond portfolio Yes (except U.S. Government/Agency) Page 21 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Consulting" City of Sebastian Police Officers' Retirement Plan Policy Index History As of March 31, 2021 Feb-2011 S&P 500 Total Return 48.00 Barclays Govt/Credit Bond 49.00 90-Day T-Bills 3.00 Jul-2011 S&P 500 Total Return 50.00 Barclays Aggregate 40.00 MSCI EAFE Net 10.00 Jan-2016 S&P 500 Total Return 50.00 Barclays Aggregate 40.00 MSCI EAFE Net 10.00 Jul-2017 Russell 1000 Value 21.25 Barclays Aggregate 25.00 MSCI EAFE Net 5.00 Russell 1000 Gr 21.25 Russell 2500 VL 5.00 Russell 2500 GR 5.00 MSCI AC World ex US Net 7.50 Alerian MLP Index 5.00 NCREIF Property Idx 5.00 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Page 22 Graystone Consuhings" Important Notes About This Report PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. ACTUAL INDIVIDUAL ACCOUNT RESULTS WILL DIFFER FROM THE PERFORMANCE SHOWN IN THIS REPORT. INVESTMENT DECISIONS. Do not use this report as the sole basis for investment decisions Do not select an allocation investment disciplines or investment managers funds based on performance alone_ Consider, in addition to performance results other relevant information about each investment manager or fund as ixell as matters such as your investment objectives risk tolerance and investment time horizon. SOURCE OF PERFORMANCE INFORMATION FOR INVESTMENT MANAGERS AVAILABLE IN CONSULTING AND EVALUATION SERVICES OR SELECT UNIA Each investment manager included in this report that participates in one or more of the Consulting and Evaluation Services or Select UMA programs ("Programs") has a track record of investing assets in the relevant investment discipline The investment manager's gross performance track record sho7,vn in this report consists of its gross performance in either the Morgan Stanley orthe Smith Barney form of the Select UMA program (if that investment managerixas in the Select UMA program) for periods forixhich sufficient data is available. If the strategy or similar strategies are available in both the Morgan Stanley and Smith Barney forms of the program this profile presents the composite forthe strateg�i that is closest to the strategy currently offered in the Select UPdA program If both strategies are equally close. the profile sho7,xis the longer of the bxo composites For other periods the gross performance track record is provided by the investment manager and consists of accounts managed by the investment manager in the same or a similar investment discipline, 1xhether at Morgan Stanley or elselxhere (and may include institutional accounts retail accounts and. or pooled investment vehicles such as mutual funds) - Page 23 Graystone Consulting'"' Page 24 Important Notes About This Report (Cont'd) There may be differences beb,%-een the performance in the different forms of the Select UMA program. in different Programs and beb,%feen the performance in Programs and performance outside the Programs due to, among other things- investment and operational differences For example Institutional accounts included in related performance may hold more securities than the Program accounts participate in initial public offerings (IPOs) and invest directly in foreign securities (ratherthan in ADRs)_ Mutual funds included in related performance may hold more securities than the Program accounts. may participate in IPOs may engage in options and futures transactions and are subject to certain regulatory limitations. Performance results in Select UMA accounts could differ from that in Consulting and Evaluation Services accounts because Select UPJA accounts may hold fel er securities and have automatic rebalancing. } ash sale loss and tax harvesting features You should read the investment manager profile accompanying this report for each investment manager. The investment manager profile gives further details on the sources of performance information for a particular investment manager as i ell as other calculations of the manager's performance returns (such as performance net of fees and expenses) SOURCE OF PERFORMANCE INFORMATION FOR GLOBAL INVESTMENT SOLUTION STRATEGIES In the Global Investment Solutions program dedicated portfolio managers employed by Morgan Stanley orthird party subadvisors make day-to-day investment decisions for clients' accounts invested in various investment strategies. The track record sho},k;n in this report for Global Investment Solutions strategies consists of the portfolio management team's gross performance in that strategy in the Global Investment Solutions program (or a predecessor program) SOURCE OF PERFORPVIANCE INFORMATION FOR OTHER INVESTPJENT PJANAGERS For any investment managers sho7,kin in this report that are not available in the Consulting and Evaluation Services or Select UPJA programs the performance data is obtained from databases maintained by parties outside Morgan Stanley. This data has been included for your information. and has not been verified by Morgan Stanley in any l ay. See ''Sources of Information" beloix The gross performance shol,%n in this report for these managers could differ materially from their gross performance in investment advisory programs offered by firms other than Idorgan Stanley. If you have invested 1 ith any such manager through another firm i e recommend that you seek information from that firm on the managers gross and net performance in its programs Graystone Consulting'"' Important Notes About This Report (Cont'd) SOURCE OF PERFORMANCE INFORMATION FOP, FUND For any fund shol,%n in this report the performance data is obtained from databases maintained by parties outside Morgan Stanley. This data has been included for your information and has not been verified by Morgan Stanley in any lo%fay. See 'Sources of Information' belol,% BENCHMARK INDICES Depending on the composition of your account and your investment objectives, the indices sho),%n in this report may not be appropriate measures for comparison purposes and are therefore presented for illustration only The indices used in this report may not be the same indices used for comparative purposes in the profile for each investment manager mutual fund and/or ETF that accompanies this report. Indices are unmanaged They do not reflect any management, custody transaction or other expenses and generally assume reinvestment of dividends accrued income and capital gains Performance of selected indices may be more or less volatile than that of any investment manager., -fund sho,,,%n in this report Past performance of indices does not guarantee future results You cannot invest directly in an index MANAGERS AND FUNDS APPROVED IN MORGAN STANLEY '.,"-,rEALTH MANAGEMENT PROGRAMS Morgan Stanlev'4h.+`ealth Management approves certain managers and funds offered in its investment advisory programs. • Morgan Stanley'01ealth Management's Global Investment Manager Analysis ("GIMA") team approves managers and funds offered in Consulting and Evaluation Services and Select UMA • Managers and funds offered in Institutional Consulting Group and Graystone Consulting programs may be approved by GIMA approved by MGrgan Stanley Wealth Management using another process or not approved by Morgan Stanley'uhJealth Management. • Morgan Stanley'.,".Iealth Management does not approve managers in the Investment Management Services consulting program. • Managers in the Global Investment Solutions (GIS) program are not evaluated by GIMA. Page 25 Graystone Consulting'"' Page 26 Important Notes About This Report (Contd) If you invest in a manager or fund that is not approved by Morgan Stanley Wealth Management, you are responsible for selecting and/or retaining that manager orfund, and Morgan Manley Wealth Management does not recommend or monitor that manager or fund_ For more information on the approval process in any program, seethe applicable ADV brochure, available at www.MDrganStanley.comfADV or from your Financial Advisor or Private Wealth Advisor_ If you have any questions about whether or how Morgan Stanley Wealth Management has approved a manager or fund shown in this report.. please ask our Financial Advisor or Private Wealth Advisor_ SHARE CLASSES OF FUNDS SHOWN IN THIS REPORT: The share class of a fund shown in this report may differ from the share class available in any Morgan Stanley Wealth Management investment advisory program in which you invest_ The performance of the share class in which you invest may differ from that of the share class shown in this report_ REINVESTMENT: The performance results shown in this report assume that all dividends. accrued income and capital gains were reinvested_ SOURCES OF INF0RMATION: Although the statements of fact in this report have been obtained from, and are based on, sources that Morgan Stanley believes to be reliable, Morgan Stanley makes no representation as to the accuracy or completeness of the information from sources outside Morgan Stanley_ Any such information may be incomplete and you should not use it as the sole basis for investment decisions - It is important to consider a fund's investment objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other information about the fund. A copy of the prospectus may be obtained from your Financial Advisor or Private Wealth Advisor. Please read the prospectus carefully before investing in the fund. Graystone Consulting'" Important Notes About This Report (Cont'd) KEY ASSET CLASS RISE{ CONSIDERATIONS Investing insecurities entails risk including the risk of losing principal_ There is no assurance that the investment disciplines and investment managers:+funds selected will meet their intended objectives_ Commodities — Diversified. The commodities markets may fluctuate 1xidely based on a variety of factors including changes in supply and demand relationships. governmental programs and policies national and international political and economic. events 1,var and terrorist events changes in interest and exchange rates: trading activities in commodities and related contracts. pestilence weather: technological change and the price volatility of a commodity. In addition to commodity riskcommodity-linked notes may be subject to special risks such as risk of loss of interest and principal lack of a secondary market and risk of greater volatility that do not affect traditional equity and debt securities.. Commodities - Precious Metals The prices of Commodities - Precious Metals tend to fluctuate widely and in an unpredictable manner and have historically experienced extended periods of flat or declining prices_ The prices of Commodities - Precious Metals are affected by several factors including global supply and demand, investors' expectations with respect to the rate of inflation currency exchange rates interest rates investment and trading activities of hedge funds and commodity funds and global or regional political economic or financial events and situations. Fixed Income. Fixed income securities are subject to certain inherent risks such as credit risk, reinvestment risk call risk and interest rate risk Fixed income securities are sensitive to changes in prevailing interest rates_ When interest rates rise the value of fixed income securities generally declines accordingly managers or funds that invest in fixed income securities are subject to interest rate risk and portfolio values can decline in value as interest rates rise and an investor can lose principal High Yield Fixed Income: As well as being subject to risks relating to fixed income generally (see "Fixed Income') high yield or "junk" bonds are considered speculative have significantly higher credit and default risks (including loss of principal) and may be less liquid and more volatile than investment grade bonds Clients should only invest in high yield strategies if this is consistent ,,xith their risk tolerance and high yield investments should comprise only a limited part of a balanced portfolio Page 27 Graystone Consulting'"' Important Notes About This Report (Contd) InternationalfEmerging Market: International ingesting (including investing in particular countries or groups of countries) should be considered only one component of a complete and diversified investment program_ Investing in foreign markets may entail greater risks than those normally associated with domestic markets, such as foreign political, currency, economic and market risks_ In addition, the securities markets of many emerging markets are substantially smaller, less developed, less liquid and more volatile than the securities markets of the U-S_ and other more developed countries_ Further, a portfolio that focuses on a single country may be subject to higher volatility than one that is more diversified_ Preferred Securities: Preferred securities are generally subject to the same risks as apply to fixed income securities. (See "Fixed Income-") However, preferred securities (especially equity preferred securities) may rank below traditional forms of debtforthe purposes of repayment in the event of bankruptcy_ Many preferred securities are "callable': meaning that the issuer may retirethe securities at specific prices and dates priorto maturity_ If a preferred security is called. the investor bears the risk of reinvesting proceeds at a potentially lower return_ Investors may not receive regular distributions on preferred securities_ For example, dividends on equity preferred securities may only be declarable in the discretion of the issuer's board and may not be cumulative_ Similarly, interest payments on certain debt preferred securities may be deferred by the issuer for periods of up to 10 years or more, in which case the investor would still have income tax liability even though payments would not have been received. Real Estate: Real estate investments are subject to special risks, including interest rate and property value fluctuations as well as risks related to general and local conditions - Small and Mid Cap: Investments in small -to medium-sized corporations are generally more vulnerable to financial risks and other risks than larger corporations and may involve a higher degree of price volatility than investments in the broad equity market_ Hedged and Alternatives Strategies: In most Consulting Group investment advisory program, alternative investments are limited to US registered open-end mutual funds, separate account strategies, and ETFs that seek to pursue alternative investment strategies or returns utilizing publicly traded securities_ Investment products in this category may employ various investment strategies and techniques for both hedging and more speculative purposes such as short selling, leverage, derivatives, and options,. which can increase volatility and the risk of investment loss_ Alternative Investments are not suitable for all investors_ Page 28 Graystone Consulting'" Important Notes About This Report (Contd) Managed Futures: Involve a high degree of risk,. often involve leveraging and other speculative investment practices that may increase the risk of investment loss, can be highly illiquid, are not required to provide periodic pricing or valuation information to investors, may involve complex tax structures and delays in distributing important tax information, are not subject to the same regulatory requirements as mutual funds, often charge high fees which may offset any trading profits, and in many cases the underlying investments are nottransparent and are known only tothe investment manager_ Master Limited Partnerships (MLPs) are limited partnerships or limited liability companies whose interests (limited partnership or limited liability company units) are generally traded on securities exchanges like shares of common stock_ Investment in MLPs entails different risks, including tax risks, than is the caste for other types of investments_ Currently, most PvILPs operate in the energy, natural resources or real estate sectors and are subject to the risks generally applicable to companies in those sectors, including commodity pricing risk, supply and demand risk, depletion risk and exploration risk_ Depending on the ownership vehicle, MLP interests are subject to varying tax treatment_ Page 29 Graystone Consulting'" Glossary ALPHA: Synonym of'value added', linearly similar to the lxay beta is computed alpha is the incremental return on a portfolio lxhen the market is stationary In otherixords. it is the extra expected return due to non -market factors This risk -adjusted measurement takes into account both the performance of the market as a 1xhole and the volatility of the portfolio A positive alpha indicates that a portfolio has produced returns above the expected level at that level of risk and vice versa for a negative alpha. ANNUALIZED RETURN- The constant rate of return that compounded annually, }xould yield the same overall return fora period of more than one year as the actual return observed for that period ANNUALIZED EXCESS RETUPN Excess return represents the difference bet},xceen the manager's return and the return of a benchmark for that manager Annualized excess return is calculated by taking the annualized return of the original series and forming the difference bet,veen the t},vo A positive annualized excess return implies thatthe manager outperformed the benchmark overthe time period sho',xn BEST AND 'V,10RST PERIOD RETURNS The best period return for a time 1xindoix is simply the maximum of the returns forthat period inside this 1xindo',x Similarly the ixorst period return for a time 1xindo,,x is the minimum of the returns forthat period inside this 1,vindoix To calculate the best one-year return for a return series the program moves a one-year time window along the series and calculates the compound return for each of these 1xindol s. The best one-year return is the maximum of the returns thus found Similarly the ixorst one-vear return is the minimum of the returns thus found Therefore best and ixorst one-year returns do not refer to calendarvears. BETA The measure of a portfolio's risk in relation to the market (for example, the S&P 500) or to an alternative benchmark or factors Roughly speaking a portfolio 1xith a beta of 1.5 will have moved. on average 1 e5 times the market return According to asset pricing theory beta represents the type of risk, systematic risk 1xhich cannot be diversified al ay V./hen using beta there are a number of issues thatyou need to be al are of- (1) betas may change through time: (2) betas may be different depending on the direction of the market (i_e_ betas may be greater for down moves in the market rather than up moves); (3)the estimated beta },rill be biased if the portfolio does not frequently trade and (4)the beta is not necessarily a complete measure of risk (you may need multiple betas)_ Also, notethat the beta is a measure of co movement not volatility_ It is possible for a security to have a zero beta and higher volatility than the market. Page 30 Graystone Consulting'"' Glossary (Cont'd) CORRELATION_ Statistical method to measure how closely related the variances of tavo series are- Assets that are highly correlated would be expected to react in similar ways to changing market conditions - CUMULATIVE RETURN: Thetotal return on an investment over a specified time period - CUMULATIVE EXCESS RETURN: Excess return represents the difference between the manager's return and the return of a benchmark for that manager- Cumulative excess return is calculated by taking the cumulative return of the original series and forming the difference between the two. A positive cumulative excess return implies that the manager outperformed the benchmark over the time periodshown - DOWNSIDE CAPTURE RATIO: For each portfolio, this is calculated by ( 1) identifying the calendar quarters in which the portfolio's benchmark index had negative returns and then (2)for those quarters, dividing the portfolio's annualized net performance by the benchmark index's performance- For investors. the lower the downside capture ratio, the better- For example, a downside capture ratio of 9 0 % means that the portfolio's losses were only 9 0 % of the market's losses (as represented by the benchmark index) - DOWNSIDE DEVIATION: Similar to Standard Deviation, but Downside Deviation captures the range of expected returns only on the down side [when the returns fall below the minimum acceptable return (MAR)]- DRAWDOWN (MAXIMUM DRAWDOWN): The Maximum loss (compounded, not annualized) that the manager incurred during any sub -period ofthetime period shown- DRAWDOWN BEGIN DATE: the first date of the sub -period used to calculate the maximum drawdown DRAWDOWN END DATE The last date of the sub period used to calculate the maximum drawdown DRAWDOWN LENGTH: The number of periods {months or quarters depending on the periodicity of the data}the sub -period used to -calculate the maximum drawdown DRAWDOWN RECOVERY DATE: Date at which the compounded returns regain the peak level thatwas reached beforethe drawdown began DRAWDOWN RECOVERY LENGTH: Number of periods it takes to reach the recovery level from maximum drawdown end date Page 31 Graystone Consulting'" Glossary (Cont'd) EXCESS RETURN. The difference bet}Pveen the returns of t,, o portfolios Usually excess return is the difference bet}rveen a portfolio's return and the return of a benchmark forthat portfolio. GAIN TO LOSS RATIO_ Divides the average gain in an up period by the average loss in a do}xm period A higher Gain to Loss Ratio is more favorable_ HIGH WATER P-ilARK TheHigh'yVater Mark representsthe peak level ofthe manager's return as represented bythe peak ofthe cumulative return series_ HIGH V-1ATER MARK DATE- The date '-,vhich the High V.,later Mark 1, as reached. UNDER V-1ATER LOSS_ Loss incurred beb,veen the high ),eater mark date and the end of the period analyzed UNDER V.,IATER LENGTH Length of the time Interval that begins }r%,ith the high },%fater mark and ends " ith the analysis period TO HIGH V-1ATER MART : The percentage of gain that the manager/fund needs to regain the peak level of the cumulative return series INFORMATION RATIO Measures the active return of the manager divided by the manager's active risk. Active return is the annualized differences of the manager and the benchmark index 1,vhile active risk is measured by tracking error The higherthe information ratio the better An information ratio of D implies that a manager. fund (or benchmark index if applicable) has provided a return that is equivalent to the risk of the benchmark return MAR: Stands for "Minimum Acceptable Return ' This represents the lo,,,%est return possible that could be considered a successful result of the investment In most cases the MAR 7,%rill either be defined as D (meaning no negative return) or as the return of a cash benchmark (meaning the investment had a higher return that simply keeping the investment amount in the relatively safe investment of money market funds) Please refer to the specific chart.'statistic to see the specific MAP, used in the illustration Page 32 Graystone Consulting'"' Glossary (Cont'd) MANAGER STYLE (RETURNS EASED STYLE ANALYSIS)_ A measure for analyzing the style of a portfolio's returns ),when compared }with the quarterly returns on a number of selected style indices (the °'Style Basis`). These style indices represent distinct investment styles or asset classes such as large cap value. large cap gro},%,th. small cap gro},wth small cap value. government bonds or cash equivalents asset classes. Style analysis uses a calculation procedure that finds the combination of selected indices that besttracks (i e. that has the highest correlation to) a given managers return series This allo7,%s the advisor to capture an accurate picture of the investment style of the manager },without vie7,wing the underlying holdings OMEGA A measure of volatility designed to capture the entire return distribution (useful for investments that do not have normal return distributions)- the Omega is tied to a MAR (see above} and sho},xs the ratio of the entire upside performance to the entire do7,%nside 7,x;ith the MAR representing the dividing line betiveen upside and do7,%nside (e g. If MAR = g 00% any positive return is captured in the upside and any negative return is captured in the do7,wnside) PAIN INDEX- Represents the frequency the depth and the },vidth of the manager.`fund:s dra},wdownse The Pain Index captures the information for every period in ),which the manager/Tund is negative_ A, higher Pain Index, indicates that the manager/fund had a more negative result7,xihen considering not just the depth (lo,,vest return) but also the frequency of negative returns (frequency) and the amount of time that the return remained negative (1,%idth)e PAIN RATIO A risk.;return ratio },which uses the Pain Index as the measure of risk The higher the Pain Ratio. the better the risk - adjusted return of the portfolio_ ROLLING )."WINDOW Indicates that the chart or statistic },teas evaluated using periodic smaller },%indo},ws of data on a rolling basis As an example. a 20 Quarter Rolling V.,lindow (Annual Roll) over a 10 year period indicates that 5 year (20 quarter) periods of time were evaluated from the start date moving forward one year at a time for the duration of the 10 year period resulting in 5 windo7,vs` Evaluating data this 1,kay allo7,vs usto remove end point bias and determine a measure of consistency in performance R-SQUARED Used to sholv holv much of a portfolio's variability can be accounted for by the market For example if a portfolio's R-Squared is D 79 then 79% of the portfolio's variability is due to market conditions_ As R-Squared approaches 100%, the portfolio is more closely correlated1,xith the market Page 33 Graystone Consulting'"' Page 34 Glossary (Cont'd) SHARPE RATIO Developed by William F Sharpe this calculation measures a ratio of return to volatility It is useful in comparing b,%o portfolios or stocks in terms of risk -adjusted return The higher the Sharpe Ratio, the betterthe risk -adjusted return of the portfolio It is calculated by first subtracting the risk free rate (Citigroup 3-month T-bill) from the return of the portfolio then dividing by the standard deviation of the portfolio Using Sharpe ratios to compare and select among investment alternatives can be difficult because the measure of risk (standard deviation) penalizes portfolios for positive upside returns as much as the undesirable do',xnside returns. SINGLE COMPUTATION For a single computation chart, StyleADVISOR calculates the information over the entire time period sho)xn as a single data point AS an example in a chart showing 10 years of performance, a "Single Computation" lxould represent the statistic sholxn over the entire 10 yea r1xrindoix STANDARD DEVIATION A statistical measure of the degree to }which the performance of a portfolio varies from its average performance during a specified period The higher the standard deviation the greater the volatility of the portfolio's performance returns relative to its average return A portfolio:s returns can be expected to fall 1xithin plus or minus one standard deviation relative to its average return, two-thirds of the time and fall 1xithin plus or minus bxo standard deviations relative to its average return. 95% of the time For example. if a portfolio had a return of 5% and a standard deviation of 13% then, if future volatility of returns is similar to historical volatility (which may not be the case): About Wo-thirds of the time. the future returns could be expected to fall bet}xeen -8% and 18% (being 5% +(- 13%) .About 95% of the time the future returns could be expected to fall beb,%een -21 % and 31 % (being 5% +f- 26%)- In performance measurement it is generally assumed that a larger standard deviation means that great risk) as taken to achieve the return Graystone Consulting'"' Glossary (Cont'd) STYLE BASIS: A set of indices that represent the broad asset category being utilized The Style Basis is used in the equation that calculates the Manager Style (see definition)- The `'Manager Style': chart sholxs the specific benchmarks utilized in the Style Basis Thefolloixing Style Bases t ould be appropriate for the asset classes sho)xn below_ Domestic Equity Russell Generic Corners Russell G Way Style basis: S&P Pure Style Basis International Equity MSCl Regional Style Basis; IVISCI World Ex USA Style Basis, MSCI International Equity Style Basin S&P Regional International Indexes, S&P International 4 Way Style Basis Global Equity IV1SCl V.1orld Style Basis; NISCl World Regional Indexes. NISCl Global Equity Style Basis Fixed income Citigroup Corporate Bond Indexes; BofA rJerrill Lynch Fixed Income Indexes; Citigroup Goyt Fixed Income Indexes: Global Bond Indexes STYLE BENCHI`,-1ARK A unique benchmark calculated for each managerAund based on the Returns Based Style Analysis described above. The :Asset Allocation': chart in Zephyr sho7,xis the specific 1,veightings used for the Style Benchmark for each manager or fund. TRACKING ERROR- A measurement that indicates the standard deviation of the difference bet-xeen a selected market index and a portfolio's returns_ The portfolio's returns are then compared to the index's returns to determine the amount of excess return. },xhich produces a tracking error A lo)x tracking error indicates that the portfolio is tracking the selected index closely or has roughly the same returns as the index UPSIDE CAPTURE RATIO: For each portfolio, this is calculated by (1) identifying the calendar quarters in 1xhich the portfolios benchmark index had positive returns and then (2)forthose quarters dividing the portfolios annualized net performance by the benchmark index`s performance A percentage less than 100% indicates that the portfolio "captured': less performance than the benchmark index 1xhile a percentage greater than 100% indicates the portfolio captured more performance than the benchmark index For investors the higher the upside capture ratio the better. For example if the annualized performance of an benchmark index during ''up': markets (,,%;hen its returns ixrere zero or positive) is 20_8% and the portfolio's annualized performance during the same period is 16 8% then the portfolios upside capture ratio is 16 M-20 8% = 80 7% meaning the portfolio "captured': 80 7% of the upside performance of the index Stated another way. the portfolio in this example performed almost 20% 1, orse than the market during up periods VARIANCE A measure of Mix spread out a distribution is It is computed as the average squared deviation of each number from its mean Page 35 Graystone Consulting'"' Performance Appendix Performance Data below is net of fees. Please seethe Morgan Stanley Smith Barney LLC Form ADV Part 2 Brochure for advisory accounts and/or any applicable brokerage account trade confirmation statements for a full disclosure of the applicable charges, fees and expenses. Your Financial Advisor will provide those documents to you upon request. __W� Now OW -, 3 5 10 Since Inception Account Name a QTD YTD Year Years Years Years Inception Date 4 Boston Partners - SMID Value Fiera Capital - SMID Growth Highland - Fixed Income Highland - Intl Value Highland - Large Cap Value Intercontinental - Private Real Estate Lazard - Global Infrastructure Polen - Large Cap Growth Receipt & Disbursement Renaissance - International Growth iShares - Russell 1000 Growth ETF All performance above are Time Weighted(TWR) performance Glossary of Terms 19.06 19.06 101.41 10.02 -- -- 9.17 6.80 6.80 97.50 20.45 -- -- 20.76 -1.64 -1.64 3.28 4.99 5.56 5.62 5.59 5.32 5.32 56.75 5.92 -- -- 6.57 13.88 13.88 57.12 10.28 -- -- 9.69 2.27 2.27 3.10 5.98 -- -- 6.66 3.55 3.55 -- -- -- -- 3.55 -22.16 -22.16 -24.57 -13.32 -- -- -10.77 4.27 4.27 56.81 2.53 -- -- 3.42 1.50 1.50 -- -- -- -- 1.50 Active Contribution Return: The gain or loss percentage of an investment relative to the performance of the investment benchmark. Active Exposure: The percentage difference in weight of the portfolio compared to its policy benchmark. Active Return: Arithmetic difference between the manager's return and the benchmark's return over a specified time period. Actual Correlation: A measure of the correlation (linear dependence) between two variables X and Y, with a value between +1 and -1 inclusive. This is also referred to as coefficient of correlation. Alpha: A measure of a portfolio's time weighted return in excess of the market's return, both adjusted for risk. A positive alpha indicates that the portfolio outperformed the market on a risk -adjusted basis, and a negative alpha indicates the portfolio did worse than the market. Best Quarter: The highest quarterly return for a certain time period. Beta: A measure of the sensitivity of a portfolio's time weighted return (net of fees) against that of the market. A beta greater than 1.00 indicates volatility greater than the market. Consistency: The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. The higher the consistency figure, the more value a manager has contributed to the product's performance. 07/14/2017 07/20/2017 01/31/2011 07/17/2017 07/17/2017 10/01/2017 12/31 /2020 04/01 /2021 08/01 /2017 07/17/2017 12/31/2020 Core: Refers to an investment strategy mandate that is blend of growth and value styles without a pronounced tilt toward either style. Cumulative Selection Return (Cumulative Return): Cumulative investment performance over a specified period of time. Distribution Rate: The most recent distribution paid, annualized, and then divided by the current market price. Distribution rate may consist of investment income, short-term capital gains, long-term capital gains, and/or return of capital. Down Market Capture: The ratio of average portfolio returns over the benchmark during periods of negative benchmark return. Lower values indicate better product performance. Downside Risk: A measure similar to standard deviation, but focuses only on the negative movements of the return series. It is calculated by taking the standard deviation of the negative quarterly set of returns. The higher the value, the more risk the product has. Downside Semi Deviation: A statistical calculation that measures the volatility of returns below a minimum acceptable return. This return measure isolates the negative portion of volatility: the larger the number, the greater the volatility. Drawdown: A drawdown is the peak -to -trough decline during a specific period of an investment, fund or commodity. Excess over Benchmark: The percentage gain or loss of an investment relative to the investment's benchmark. Excess Return: Arithmetic difference between the manager's return and the risk -free return over a specified time period. Growth: A diversified investment strategy which includes investment selections that have capital appreciation as the primary goal, with little or no dividend payouts. These strategies can include reinvestment in expansion, acquisitions, and/or research and development opportunities. Growth of Dollar: The aggregate amount an investment has gained or lost over a certain time period, also referred to as Cumulative Return, stated in terms of the amount to which an initial dollar investment would have grown over the given time period. Investment Decision Process (IDP): A model for structuring the investment process and implementing the correct attribution methodologies. The IDP includes every decision made concerning the division of the assets under management over the various asset categories. To analyze each decisions contribution to the total return, a modeling approach must measure the marginal value of every individual decision. In this respect, the hierarchy of the decisions becomes very important. We therefore use the IDP model, which serves as a proper foundation for registering the decisions and relating them to each other. Information Ratio: Measured by dividing the active rate of return by the tracking error. The higher the Information Ratio, the more value-added contribution by the manager. Jensen's Alpha: The Jensen's alpha measure is a risk -adjusted performance measure that represents the average return on a portfolio or investment above or below that predicted by the capital asset pricing model (CAPM) given the portfolio's or investment's beta and the average market return. This metric is also commonly referred to as alpha.. Kurtosis: A statistical measure that is used to describe the distribution, or skewness, of observed data around the mean, sometimes referred to as the volatility of volatility. Maximum Drawdown: The drawdown is defined as the percent retrenchment from a fund's peak to the fund's trough value. It is in effect from the time the fund's retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund's peak to the fund's valley (length), and the time from the fund's valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund's data record. Modern Portfolio Theory (MPT): An investment analysis theory on how risk -averse investors can construct portfolios to optimize or maximize expected return based on a given level of market risk, emphasizing that risk is an inherent part of higher reward. Mutual Fund (MF): An investment program funded by shareholders that trade in diversified holdings and is professionally managed. Peer Group: A combination of funds that share the same investment style combined as a group for comparison purposes. Peer/ Plan Sponsor Universe: A combination of asset pools of total plan investments by specific sponsor and plan types for comparison purposes. Performance Ineligible Assets: Performance returns are not calculated for certain assets because accurate valuations and transaction data for these assets are not processed or maintained by us. Common examples of these include life insurance, some annuities and some assets held externally. Performance Statistics: A generic term for various measures of investment performance measurement terms. Portfolio Characteristics: A generic term for various measures of investment portfolio characteristics. Preferred Return: A term used in the private equity (PE) world, and also referred to as a "Hurdle Rate." It refers to the threshold return that the limited partners of a private equity fund must receive, prior to the PE firm receiving its carried interest or "carry." Ratio of Cumulative Wealth: A defined ratio of the Cumulative Return of the portfolio divided by the Cumulative Return of the benchmark for a certain time period. Regression Based Analysis: A statistical process for estimating the relationships among variables. It includes many techniques for modeling and analyzing several variables, when the focus is on the relationship between a dependent variable and one or more independent variables Residual Correlation: Within returns -based style analysis, residual correlation refers to the portion of a strategy's return pattern that cannot be explained by its correlation to the asset -class benchmarks to which it is being compared. Return: A rate of investment performance for the specified period. Rolling Percentile Ranking: A measure of an investment portfolio's ranking versus a peer group for a specific rolling time period (i.e. Last 3 Years, Last 5 years, etc.). R-Squared: The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark. High R-Squared means a higher correlation of the portfolio's performance to the appropriate benchmark. SA/CF (Separate Account/Comingled Fund): Represents an acronym for Separate Account and Commingled Fund investment vehicles. Sector Benchmark: A market index that serves as a proxy for a sector within an asset class. Sharpe Ratio: Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk -adjusted performance results in. Standard Deviation: A statistical measure of the range of a portfolio's performance; the variability of a return around its average return over a specified time period. Total Fund Benchmark: The policy benchmark for a complete asset pool that could consist of multiple investment mandates. Total Fund Composite: The aggregate of multiple portfolios within an asset pool or household. Tracking Error: A measure of standard deviation for a portfolio's investment performance, relative to the performance of an appropriate market benchmark. Treynor Ratio: A ratio that divides the excess return (above the risk free rate) by the portfolio's beta to arrive at a unified measure of risk adjusted return. It is generally used to rank portfolios, funds and benchmarks. A higher ratio is indicative of higher returns per unit of market risk. This measurement can help determine if the portfolio is reaching its goal of increasing returns while managing market risk. Up Market Capture: The ratio of average portfolio returns over the benchmark during periods of positive benchmark return. Higher values indicate better product performance. Upside Semi Deviation: A statistical calculation that measures the volatility of returns above an acceptable return. This return measure isolates the positive portion of volatility: the larger the number, the greater the volatility. Value: A diversified investment strategy that includes investment selections which tend to trade at a lower price relative to its dividends, earnings, and sales. Common attributes are stocks that include high dividend, low price -to -book ratio, and/or low price -to -earnings ratio. Worst Quarter: The lowest rolling quarterly return for a certain time period. Information Disclosures Performance results are annualized for time periods greater than one year and include all cash and cash equivalents, realized and unrealized capital gains and losses, and dividends, interest and income. The investment results depicted herein represent historical performance. As a result of recent market activity, current performance may vary from the figures shown. Past performance is not a guarantee of future results. Please see the Morgan Stanley Smith Barney LLC Form ADV Part 2 Brochure for advisory accounts and/or any applicable brokerage account trade confirmation statements for a full disclosure of the applicable charges, fees and expenses. Your Financial Advisor will provide those documents to you upon request. Benchmark indices and blends included in this material are for informational purposes only, are provided solely as a comparison tool and may not reflect the underlying composition and/or investment objective(s) associated with the account(s). Indices are unmanaged and not available for direct investment Index returns do not take into account fees or other charges. Such fees and charges would reduce performance. The performance data shown reflects past performance, which does notguarantee future results. Investment return and principal will fluctuate so that an investor's shares when redeemed may be worth more or less than original cost Please note, current performance may be higher or lower than the performance data shown. For up to date month -end performance information, please contact your Financial Advisor or visit the funds' company website. Investors should carefully consider the fund's investment objectives, risks, charges and expenses before investing. The prospectus and, if available the summary prospectus, contains this and other information that should be read carefully before investing. Investors should review the information in the prospectus carefully. To obtain a prospectus, please contact your Financial Advisor or visit the funds' company website. Past performance is no guarantee of future results. Investing involves market risk, including possible loss of principal. Growth investing does not guarantee a profit or eliminate risk. The stocks of these companies can have relatively high valuations. Because of these high valuations, an investment in a growth stock can be more risky than an investment in a company with more modest growth expectations. Value investing involves the risk that the market may not recognize that securities are undervalued and they may not appreciate as anticipated. Small and mid -capitalization companies may lack the financial resources, product diversification and competitive strengths of larger companies. The securities of small capitalization companies may not trade as readily as, and be subject to higher volatility than those of larger, more established companies. Bond funds and bond holdings have the same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the funds. The return of principal in bond funds, and in funds with significant bond holdings, is not guaranteed. International securities' prices may carry additional risks, including foreign economic, political, monetary and/or legal factors, changing currency exchange rates, foreign taxes and differences in financial and accounting standards. International investing may not be for everyone. These risks may be magnified in emerging markets. Alternative investments, including private equity funds, real estate funds, hedge funds, managed futures funds, and funds of hedge funds, private equity, and managed futures funds, are speculative and entail significant risks that can include losses due to leveraging or\other speculative investment practices, lack of liquidity, volatility of returns, restrictions on transferring interests in a fund, potential lack of diversification, absence and/or delay of information regarding valuations and pricing, complex tax structures and delays in tax reporting, less regulation and higher fees than mutual funds and risks associated with the operations, personnel and processes of the advisor. Master Limited Partnerships (MLPs) are limited partnerships or limited liability companies that are taxed as partnerships and whose interests (limited partnership units or limited liability company units) are traded on securities exchanges like shares of common stock. Currently, most MLPs operate in the energy, natural resources or real estate sectors. Investments in MLP interests are subject to the risks generally applicable to companies in the energy and natural resources sectors, including commodity pricing risk, supply and demand risk, depletion risk and exploration risk; and MLP interests in the real estate sector are subject to special risks, including interest rate and property value fluctuations, as well as risks related to general and economic conditions. Because of their narrow focus, MLPs maintain exposure to price volatility of commodities and/or underlying assets and tend to be more volatile than investments that diversify across many sectors and companies. MLPs are also subject to additional risks including: investors having limited control and rights to vote on matters affecting the MLP, limited access to capital, cash flow risk, lack of liquidity, dilution risk, conflict of interests, and limited call rights related to acquisitions. Mortgage backed securities also involve prepayment risk, in that faster or slower prepayments than expected on underlying mortgage loans can dramatically alter the yield -to -maturity of a mortgage -backed security and prepayment risk includes the possibility that a fund may invest the proceeds at generally lower interest rates. Tax managed funds may not meet their objective of being tax -efficient. Real estate investments are subject to special risks, including interest rate and property value fluctuations, as well as risks related to general and economic conditions. High yield fixed income securities, also known as "junk bonds", are considered speculative, involve greater risk of default and tend to be more volatile than investment grade fixed income securities. Credit quality is a measure of a bond issuer's creditworthiness, or ability to repay interest and principal to bondholders in a timely manner. The credit ratings shown are based on security raring as provided by Standard & Poor's, Moody's and/or Fitch, as applicable. Credit ratings are issued by the rating agencies for the underlying securities in the fund and not the fund itself, and the credit quality of the securities in the fund does not represent the stability or safety of the fund. Credit ratings shown range from AAA, being the highest, to D, being the lowest based on S&P and Fitch's classification (the equivalent of Aaa and C, respectively, by Moody(s). Ratings of BBB or higher by S&P and Fitch (Baa or higher by Moody's) are considered to be investment grade -quality securities. If two or more of the agencies have assigned different ratings to a security, the highest rating is applied. Securities that are not rated by all three agencies are listed as "NR". "Alpha tilt strategies comprise a core holding of stocks that mimic a benchmark type index such as the S&P 500 to which additional securities are added to help tilt the fund toward potentially outperforming the market in an effort to enhance overall investment returns. Tilt strategies are subject to significant timing risk and could potentially expose investors to extended periods of underperformance." Custom Account Index: The Custom Account Index is an investment benchmark based on your historical target allocations and/or manager selection that you may use to evaluate the performance of your account. The Custom Account index does take into consideration certain changes that may have occurred in your portfolio since the inception of your account, i.e., asset class and/or manager changes. However, in some circumstances, it may not be an appropriate benchmark for use with your specific account composition. For detailed report of the historical composition of this blend please contact your Financial Advisor. Peer Groups Peer Groups are a collection of similar investment strategies that essentially group investment products that share the same investment approach. Peer Groups are used for comparison purposes to compare and illustrate a clients investment portfolio versus its peer across various quantitative metrics like performance and risk. Peer Group comparison is conceptually another form of benchmark comparison whereby the actual investment can be ranked versus its peer across various quantitative metrics. All Peer Group data are provided by Investment Metrics, LLC. The URL below provides all the definitions and methodology about the various Peer Groups https://www.invmetrics.com/style-peer-groups Peer Group Ranking Methodology A percentile rank denotes the value of a product in which a certain percent of observations fall within a peer group. The range of percentile rankings is between 1 and 100, where 1 represents a high statistical value and 100 represents a low statistical value. The 30th percentile, for example, is the value in which 30% of the highest observations may be found, the 65th percentile is the value in which 65% of the highest observations may be found, and so on. Percentile rankings are calculated based on a normalized distribution ranging from 1 to 100 for all products in each peer group, where a ranking of 1 denotes a high statistical value and a ranking of 100 denotes a low statistical value. It is important to note that the same ranking methodology applies to all statistics, implying that a ranking of 1 will always mean highest value across all statistics For example, consider a risk/retum assessment using standard deviation as a measure of risk. A percentile ranking equal to 1 for return denotes highest return, whereas a percentile ranking of 1 for standard deviation denotes highest risk among peers. In addition, values may be used to demonstrate quartile rankings. For example, the third quartile is also known as the 75th percentile, and the median is the 50th percentile. Alternatives Graystone Consulting is a business of Morgan Stanley Smith Barney LLC. ("Morgan Stanley") This material is not to be reproduced or distributed to any other persons (other than professional advisors of the investors) and is intended solely for the use of the persons to whom it has been delivered. This material is not for distribution to the general public. The sole purpose of this material is to inform, and it in no way is intended to be an offer or solicitation to purchase or sell any security, other investment or service, or to attract any funds or deposits. Investments mentioned may not be suitable for all clients. Any product discussed herein may be purchased only after a client has carefully reviewed the offering memorandum and executed the subscription documents. Morgan Stanley has not considered the actual or desired investment objectives, goals, strategies, guidelines, or factual circumstances of any investor in any fund(s). Before making any investment, each investor should carefully consider the risks associated with the investment, as discussed in the applicable offering memorandum, and make a determination based upon their own particular circumstances, that the investment is consistent with their investment objectives and risk tolerance. This information is being provided as a service of your Graystone Institutional Consultant and does not supersede or replace your Morgan Stanley customer statement. The information is as of the date(s) noted and subject to daily market fluctuation. Your interests in Alternative Investments, which may have been purchased through us, are generally not held here, and are generally not covered by SIPC. The information provided to you: 1) is included as a service to you, valuations for certain products may not be available; 2) is derived from you or another external source for which we are not responsible, and may have been modified to take into consideration capital calls or distributions to the extent applicable; 3) may not reflect actual shares, share prices or values; 4) may include invested or distributed amounts in addition to a fair value estimate; and 5) should not be relied upon for tax reporting purposes. Notwithstanding the foregoing, 1) to the extent this report displays Alternative Investment positions within a Morgan Stanley Individual Retirement Account ("IRA"), such positions are held by Morgan Stanley Smith Barney LLC as the custodian of your Morgan Stanley IRA; and 2) if your Alternative Investment positon(s) is held by us and is registered pursuant to the Securities Act of 1933, as amended, your Alternative Investment position(s) is covered by SIPC. Alternatives may be either traditional alternative investment vehicles or non-traditional alternative strategy vehicles. Traditional alternative investment vehicles may include, but are not limited to, Hedge Funds, Fund of Funds (both registered and unregistered), Exchange Funds, Private Equity Funds, Private Credit Funds, Real Estate Funds, and Managed Futures Funds. Non-traditional alternative strategy vehicles may include, but are not limited to, Open or Closed End Mutual Funds, Exchange -Traded and Closed -End Funds, Unit Investment Trusts, exchange listed Real Estate Investment Trusts (REITs), and Master Limited Partnerships (MLPs). These non-traditional alternative strategy vehicles also seek alternative -like exposure but have significant differences from traditional alternative investment vehicles. Non-traditional alternative strategy vehicles may behave like, have characteristics of, or employ various investment strategies and techniques for both hedging and more speculative purposes such as short -selling, leverage, derivatives, and options, which can increase volatility and the risk of investment loss. Characteristics such as correlation to traditional markets, investment strategy, and market sector exposure can play a role in the classification of a traditional security being classified as alternative. Traditional alternative investment vehicles are illiquid and usually are not valued daily. The estimated valuation provided will be as of the most recent date available and will be included in summaries of your assets. Such valuation may not be the most recent provided by the fund in which you are invested. No representation is made that the valuation is a market value or that the interest could be liquidated at this value. We are not required to take any action with respect to your investment unless valid instructions are received from you in a timely manner. Some positions reflected herein may not represent interests in the fund, but rather redemption proceeds withheld by the issuer pending final valuations which are not subject to the investment performance of the fund and may or may not accrue interest for the length of the withholding. Morgan Stanley does not engage in an independent valuation of your alternative investment assets. Morgan Stanley provides periodic information to you including the market value of an alternative investment vehicle based on information received from the management entity of the alternative investment vehicle or another service provider. Traditional alternative investment vehicles often are speculative and include a high degree of risk. . Investors should carefully review and consider potential risks before investing. Certain of these risks may include but are not limited to:• Loss of all or a substantial portion of the investment due to leveraging, short - selling, or other speculative practices;- Lack of liquidity in that there may be no secondary market for a fund;- Volatility of returns;- Restrictions on transferring interests in a fund;- Potential lack of diversification and resulting higher risk due to concentration of trading authority when a single advisor is utilized; - Absence of information regarding valuations and pricing;- Complex tax structures and delays in tax reporting;- Less regulation and higher fees than mutual funds; and- Risks associated with the operations, personnel, and processes of the manager. As a diversified global financial services firm, Morgan Stanley Wealth Management engages in a broad spectrum of activities including financial advisory services, investment management activities, sponsoring and managing private investment funds, engaging in broker - dealer transactions and principal securities, commodities and foreign exchange transactions, research publication, and other activities. In the ordinary course of its business, Morgan Stanley Wealth Management therefore engages in activities where Morgan Stanley Wealth Management's interests may conflict with the interests of its clients, including the private investment funds it manages. Morgan Stanley Wealth Management can give no assurance that conflicts of interest will be resolved in favor of its clients or any such fund. Indices are unmanaged and investors cannot directly invest in them. Composite index results are shown for illustrative purposes and do not represent the performance of a specific investment. Past performance is no guarantee of future results. Actual results may vary. Diversification does not assure a profit or protect against loss in a declining market. Any performance or related information presented has not been adjusted to reflect the impact of the additional fees paid to a placement agent by an investor (for Morgan Stanley placement clients, a one-time upfront Placement Fee of up to 3%, and for Morgan Stanley investment advisory clients, an annual advisory fee of up to 2.5%), which would result in a substantial reduction in the returns if such fees were incorporated. For most investment advisory clients, the program account will be charged an asset -based wrap fee every quarter ("the Fee"). In general, the Fee covers investment advisory services and reporting. In addition to the Fee, clients will pay the fees and expenses of any funds in which their account is invested. Fund fees and expenses are charged directly to the pool of assets the fund invests in and impact the valuations. Clients must understand that these fees and expenses are an additional cost and will not be included in the Fee amount in the account statements. As fees are deducted quarterly, the compounding effect will be to increase the impact of the fees by an amount directly related to the gross account performance. For example, for an account with an initial value of $100,000 and a 2.5% annual fee, if the gross performance is 5% per year over a three year period, the compounding effect of the fees will result in a net annual compound rate of return of approximately 2.40% per year over a three year period, and the total value of the client's portfolio at the end of the three year period would be approximately $115,762.50 without the fees and $107,372.63 with the fees. Please see the applicable Morgan Stanley Smith Barney LLC Form ADV Part 2A for more information including a description of the fee schedule. It is available at www.morganstanlev.com/ADV <httn://www.mor2anstanlev.com/ADV> <http://www.morganstanley.com/ADV> or from your Financial Advisor/Private Wealth Advisor. Alternative investments involve complex tax structures, tax inefficient investing, and delays in distributing important tax information. Individual funds have specific risks related to their investment programs that will vary from fund to fund. Clients should consult their own tax and legal advisors as Morgan Stanley does not provide tax or legal advice. Interests in alternative investment products are offered pursuant to the terms of the applicable offering memorandum, are distributed by Morgan Stanley Smith Barney LLC and certain of its affiliates, and (1) are not FDIC -insured, (2) are not deposits or other obligations of Morgan Stanley or any of its affiliates, (3) are not guaranteed by Morgan Stanley and its affiliates, and (4) involve investment risks, including possible loss of principal. Morgan Stanley Smith Barney LLC is a registered broker -dealer, not a bank. SIPC insurance does not apply to precious metals, other commodities, or traditional alternative investments. © 2018 Morgan Stanley Smith Barney LLC. Member SIPC. Money Market Funds You could lose money in Money Market Funds. Although MMFs classified as government funds (i.e., MMFs that invest 99.5% of total assets in cash and/or securities backed by the U.S government) and retail funds (i.e., MMFs open to natural person investors only) seek to preserve value at $1.00 per share, they cannot guarantee they will do so. The price of other MMFs will fluctuate and when you sell shares they may be worth more or less than originally paid. MMFs may impose a fee upon sale or temporarily suspend sales if liquidity falls below required minimums. During suspensions, shares would not be available for purchases, withdrawals, check writing or ATM debits. A MMF investment is not insured or guaranteed by the Federal Deposit Insurance Corporation or other government agency.