Loading...
HomeMy WebLinkAboutMorgan Stanley Quarterly Performace ReportCity of Sebastian Police Officers' Retirement Plan Quarterly Performance Report As of March 31, 2021 Scott Owens, CFAo, CIMAo Executive Director - Wealth Management Institutional Consulting Director Scott.Owens@msgraystone.com (813)227-2027 David Wheeler, CIMAo, CFPo, Executive Director - Wealth Management Institutional Consulting Director Alterative Investment Director Corporate Retirement Director David.A.Wheeler@msgraystone.com (813)227-2178 Graystone Consulting=- A business of Morgan Sranfey CRPSo Andy McIlvaine Institutional Consultant Financial Advisor - Wealth Management Andy. McIlvaine@msgraystone.com (813) 227-2160 Graystone Page 1 Consulting' WEALTH MANAGEMENT Morgan Stanley Capital Markets Overview: 1Q 2021 Introduction Quarterly Update as of March 31, 2021 and Forecasts as of March 26, 2021 • To kick off 2021, the S&P Soo saw continued gains, the fourth consecutive quarter of strong returns following the one-year anniversary of the March 2020 lows. Equities rallied 6.2% on the quarter, following a quarter in which they gained 12.1%. Equities continued to rally as investors cheered the much -anticipated si.g trillion stimulus package and continued vaccine distribution, as well as robust economic data and easy monetary policy. US equities outperformed both international developed and emerging market equities in the first quarter. Morgan Stanley & Co. U.S. Equity Strategy has a 3,9oo price target on the S&P Soo to December 2021. • After the S&P Soo sectors finished the fourth quarter posting a strong performance, the sectors finished the first quarter with moderate returns. Energy, Financials, and Industrials outperformed for the second consecutive quarter, returning 3o.8%, i5.9%, and 11.4%, compared to 402o, returning 27.8%, 23.2%, and i5.7%. Laggards included Utilities, Info Tech, and Consumer Staples, coming in at 2.8%, 2.0%, 1.2%, respectively. other major US indices were also up for the quarter: The Dow Jones Industrial Average rose 8.3%and the NASDAQ Composite rose 3.ol • The MSCI EAFE Index (a benchmark for international developed markets) rose 3.6%while the MSCI Emerging Markets Index rose 2.3%for the quarter. US equities outperformed International developed and emerging market equities by 257 and 383 basis points, respectively, in iQ. • The US aggregate bond market fell in the first quarter, and the Bloomberg Barclays US Aggregate Bond Index, a general measure of the bond market, fell 3.37%. • Morgan Stanley & Co. economists expect US GDP will be 12.4% in 02 2021, and forecast positive GDP growth for 2021 as economic recovery continues, with an estimate of 8.1%GDP growth in Q4 2021. • Commodities were up in the third quarter; the Bloomberg Commodity Index rose by 6.9%and Gold fell by-1o.o%. Source: FactSet, Bloomberg, Morgan Stanley & Co. Research, Morgan Stanley Wealth Management GIC Past performance is no guarantee offuture results. Estimates offuture performance are based on assumptionsthat may not be realized. This material is not a solicitation of any offerto b financial instrument orto participate in anytrading strategy. Please referto important information, disclosures and qualifications atthe end ofthis material. This slide sourced from Mark PagdAr2ALTH MANAGEMENT GLOBAL INVESTMENT OFFICE I CHARTBOOK I MARKET PERFORMANCE Graystone Consulting' WEALTH MANAGEMENT Morgan Stanley Capital Markets Overview: 1Q 2021 The US Economy Quarterly Update as of March 31, 2021 and Forecasts as of March 26, 2021 Awaiting finalized Qi data, the Bureau of Economic Analysis estimated that real Gross Domestic Product increased at an annualized rate of 4.3% in 020, in comparison to a 33.4% increase in 3Q20. With Global GDP output having already fully recovered, US economy should be back to pre- COVID levels by 2021, and pre-COVID trend by 4021. Having expected a deceleration of growth in late 04 into 1021, MS & Co. projects 1.2%year- on-year average growth for 1021, with a ramp -up to 12.4% in zQzi. The seasonally adjusted unemployment rate for February 2021 was 6.2%, steadily decreasing each month after peaking in April at 14.7%. In February, total nonfarm payrolls were +379K.The improvements in the labor market reflect the continued resumption in economic activity to curtail effects of the pandemic. The number of long-term unemployed (those jobless for 27 weeks or more) was 4.1 million, changed little over the month but is up by 3.o million over the year. According to the most recent data from the Federal Reserve Bank of St. Louis from 020, corporate profits decreased -3.3% quarter over quarter and decreased -2.4%year over year. The Bureau of Labor Statistics has reported a +o.4% MOM price increase, and a 1.7% price increase for the year ending February 2021. Morgan Stanley & Co. economists forecast a 1.8% inflation rate for 1021, and a 2.3% inflation rate for 4021. The Census Bureau reported that the number of new private -sector housing starts in February was at a seasonally adjusted annual rate of 1,421,000—down 9.3%from February of last year. The Census Bureau also reported that seasonally adjusted retail and food services sales declined 3.0%from the previous month, but increased 6.3% above February 2020. Consumer confidence increased in February, with the Conference Board Consumer Confidence Index reading 90.4, after reading 88.9 in January. Despite the decline, the US National Economy Expectations Diffusion Index increased from 39.S in January to 48.S in February. In September, the Institute for Supply Management's (ISM) Purchasing Managers Index (PMI), a manufacturing sector index, registered 64.7% in March, up 6.4%from February. Overall, this figure indicates expansion in the overall economy after a major contraction in April, which had been the lowest since 2008. Generally speaking, a PMI or NMI (ISM Non -Manufacturing Index) over So indicates that the sector is expanding, and a PMI below So indicates that the sector is shrinking. The ISM's Non -Manufacturing Index (NMI), which represents growth in the services sector, was 55.3%f or February, down -S.8%from January. Source- FactSet, Bloomberg, Morgan Stanley & Co Research, Federal Reserve Bank of St. Louis, Morgan Stanley Wealth Management GIC Past performance is no guarantee offuture results. Estimates offuture performance are based on assumptions that may not be realized. This material is not a solicitation of any offerto b Graystone financial instrument orto participate in any trading strategy. Please referto important information, disclosures and qualifications at the end ofthis material. This slide sourced from Mark PagdA,3ALTH MANAGEMENT GLOBAL INVESTMENT OFFICE I CHARTBOOK I MARKET PERFORMANCE Consulting WEALTH MANAGEMENT Morgan Stanley Capital Markets Overview: 1Q 2021 US Equity Markets As of 1Q 2021 The Dow Jones Industrial Average gained 8.3% in the first quarter of 2021, while the NASDAQ Composite Index gained 3.o%. The S&P Soo Index climbed 6.2%over the same time period. All ii sectors of the S&P Soo gained in the fourth quarter with Energy the top performer, having gained 30.8%, and Consumer Staples the laggard, with a return of 1.2%. Energy, Financials, and Industrials outperformed for the second consecutive quarter, returning 30.8%, iS.g%, and 11.4%, compared to 402o, returning 27.8%, 23.2%, and 15.7%. Laggards included Utilities, Info Tech, and Consumer Staples, coming in at 2.8%, 2.0%, 1.2%, respectively. The Russell Midcap gained 8.1%on the quarter, with mid -cap value (13.1%) outperforming mid -cap growth (-o.6%). The Russell z000, a small -cap index, gained 12.7%for the quarter, with small -cap value (21.2%) outperforming small -cap growth (4.g%) INDEX IN USD Quarter 12Months 5-Years 7-Years (Annualized) (Annualized S&P5oo 6.17% 56.351/o 11 13.580/6 Dow Jones 8.29% 53.78% i5.98% 13.10% Russell z000 12.70% 94.85% 11 11.04% Russell Midcap 8.14% 73.640/0 14.67% 11.64% Russell i000 5.91% 6o.5g% i6.65% i3.630/o Source: FactSet, Bloomberg, Morgan Stanley Wealth Management GIC Past performance is no guarantee offuture results. Estimates offuture performance are based on assumptions that may not be realized. This material is not a solicitation of any offerto b Graystone financial instrument orto participate in any trading strategy. Please referto important information, disclosures and qualifications at the end ofthis material. This slide sourced from Mark Pag"ALTH MANAGEMENT GLOBAL INVESTMENT OFFICE I CHARTBOOK I MARKET PERFORMANCE Consulting WEALTH MANAGEMENT S&P 500 Sectors YTDTotaI Return As of March 31, 2021 Staples Technology Utilities Discretionary Health Care Communication Services Real Estate Materials Industrials Financials Energy i.1d/o 2.0% _ 2.8% 3.1% 3.2% - 8.1% 9.0% 9.1% 11.4% 15.9% 0% 10% 20% 30% 30.8% Source: Bloomberg Past performance is no guarantee offuture results. Estimates offuture performance are based on assumptlonsthat may not be realized. This material is not a solicitation of any offerto b financial instrument orto participate in anytrading strategy. Please referto important information, disclosures and qualifications atthe end ofthis material. This slide sourced from Mark PagdASALTH MANAGEMENT GLOBAL INVESTMENT OFFICE I CHARTBOOK I MARKET PERFORMANCE Morgan Stanley 40% Graystone Consulting'" WEALTH MANAGEMENT Morgan Stanley Capital Markets Overview: 1Q 2021 Global Equity Markets As Of iQ 2021 US equities outperformed International in the first quarter of 2021 .The MSCI EAFE Index (a benchmark for international developed markets) advanced 3.6%for US -currency investors. In the first quarter, the MSCI Emerging Markets Index gained 2.3%for US -currency investors. The MSCI Europe Index advanced 4.2%for US - currency investors, while the MSCI Japan underperformed, gaining i.S%. The S&P Soo Index rallied 6.2%for the quarter. Emerging economy equity market indices saw muted returns in the first quarter. The MSCI BRIC (Brazil, Russia, India and China) Index fell -o.i% in US dollar terms, while the MSCI EM Asia Index rose 2.1%. INDEX IN USD Ouarter 12 Months 5-Years (Annualized) MSCI EAFE 3.6o0A 45-15% 9-37% MSCI EAFE Growth -0.490A 43.000A 11.25a/o MSCI EAFE Value 7.6o0A 46.480A 7.200A MSCI Europe 4.210A 4S.680A 8.830A MSCI Japan 2 47% 39.67% 20 839/0 S&P 500 6.279/0 56.35% 26 28% MSCI Emerging Markets 2.30/ 58.92% 22 47% 7-Years (Annualized) 5.29°A 7.610A 2.776A 4.30% 8.32% 23 58% 6.96% Source: FactSet, Bloomberg, Morgan Stanley Wealth Management GIC Past performance is no guarantee offuture results. Estimates offuture performance are based on assumptions that may not be realized. This material is not a solicitation of any offerto b Graystone financial instrument orto participate in any trading strategy. Please referto important information, disclosures and qualifications at the end ofthis material. This slide sourced from Mark PagdAgALTH MANAGEMENT GLOBAL INVESTMENT OFFICE I CHARTBOOK I MARKET PERFORMANCE Consulting WEALTH MANAGEMENT Morgan Stanley Capital Markets Overview: 1Q 2021 The US Bond Market As of iQ 2023. The bond marketfell forthe firsttime in the pastthree quarters.The Bloomberg Barclays USAggregate Bond Index, a general measure of the bond market, fell -3.4%. The yield on the io-year USTreasury note notably increased, closing the quarter above 1.7%, up from the fourth quarter but still down from 1.92% at the end of zoig. The shortest end of the curve fell in iQzo as the Fed cut its Fed funds target rate, with the yield on 3-month Treasury bills falling to 0.02% as of iQzi, from i.54% at the start of the 2020. Riskier parts of the bond market, such as US high yield debt, gained the most in the fourth quarter, buoyed by the market's risk -on sentiment. The Bloomberg Barclays HighYield Index, a measure of lower -rated corporate bonds, gained o.85%. Mortgage -backed securities fell in the first quarter. The Bloomberg Barclays Mortgage -Backed Securities Index fell -i.i%. Municipal bonds fell slightly less; the Bloomberg Barclays Municipal Index fell-0.35%. INDEX IN USD Quarter iz Months 5-Years 7-Years (Annualized) (Annualized) Bloomberg Barclays US Aggregate 137% 0.71% 315% 3.31% Bloomberg Barclays High Yield o.8S% 23.72% 8a1% 5.42% Bloomberg Barclays Government/Credit -4 35% 0.70% 3.41% 3.48% Bloomberg Barclays Government -4 25% -4.43% 2 27% 2.69% Bloomberg Barclays IntermediateGovt/Credit -2.89% 2.02% 2.80% 2.78% Bloomberg Barclays LongGovt/Credit -10.41% -2.05% S-591/0 6.1.2% Bloomberg Barclays Mortgage Backed Securities -i.i00/o -0.09% 2.4S% 2.86% Bloomberg Barclays Muni -0 35% 5.51% 3.52% 4.00% Source- FactSet, Bloomberg, Morgan Stanley & Co Research, Morgan Stanley Wealth Management GIC Past performance is no guarantee offuture results. Estimates offuture performance are based on assumptions that may not be realized. This material is not a solicitation of any offerto b Graystone financial instrument orto participate in any trading strategy. Please referto important information, disclosures and qualifications at the end ofthis material. This slide sourced from Mark Consulting Pagd&7ALTH MANAGEMENT GLOBAL INVESTMENT OFFICE I CHARTBOOK I MARKET PERFORMANCE WEALTH MANAGEMENT Morgan Stanley Morgan Stanley Wealth Management is the trade name of Morgan Stanley Smith Barney LLC, a registered broker -dealer in the United States. The sole purpose of this material is to inform, and it in noway is intended to bean 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 appropriate for all clients. Any product discussed herein maybe purchased only after a client has carefully reviewed the offering memorandum and executed the subscription documents. Morgan Stanley Wealth Management has not considered the actual or desired investment objectives, goals, strategies, guidelines, orfactual 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. Morgan Stanley Smith Barney LLC offers investment program services through a variety of investment programs, which are opened pursuant to written client agreements. Each program offers investment managers, funds and features that are not available in other programs; conversely, some investment managers, funds or investment strategies may be available in more than one program. Morgan Stanley's investment advisory programs may require a minimum asset level and, depending on your specific investment objectives and financial position, may not be appropriate for you. Please see the Morgan Stanley Smith Barney LLC program disclosure brochure (the "Morgan Stanley ADV") for more information in the investment advisory programs available. The Morgan Stanley ADV is available at www.moraanstanlev.com/ADV. Sources of Data. Information in this material in this report has been obtained from sources that we believe to be reliable, but we do not guarantee its accuracy, completeness or timeliness. Third -party data providers make no warranties or representations relating to the accuracy, completeness ortimeliness ofthe data they provide and are not liable for any damages relating to this data. All opinions included in this material constitute the Firm'sjudgment as ofthe date of this material and are subjectto change without notice. This material was not prepared by the research departments of Morgan Stanley & Co. LLC or Morgan Stanley Smith Barney LLC. Some historical figures may be revised due to newly identified programs, firm restatements, etc. Global Investment Manager Analysis (GIMA) Focus List, Approved List and Tactical Opportunities List; Watch Policy. GIMA uses two methods to evaluate investment products in applicable advisory programs: Focus (and investment products meeting this standard are described as being on the Focus List) and Approved (and investment products meeting this standard are described as being on the Approved List). In general, Focus entails a more thorough evaluation of an investment product than Approved. Sometimes an investment product may be evaluated using the Focus List process but then placed on the Approved List instead ofthe Focus List. Investment products may move from the Focus Listto the Approved List, or vice versa. GIMA may also determine that an investment product no longer meets the criteria under either process and will no longer be recommended in investment advisory programs (in which case the investment product is given a "Not Approved" status). GIMA has a `Watch" policy and may describe a Focus List or Approved List investment product as being on "Watch" if GIMA identifies specific areas that (a) merit further evaluation by GIMA and (b) may, but are not certain to, result in the investment product becoming "Not Approved." The Watch period depends on the length of time needed for GIMA to conduct its evaluation and forthe investment manager or fund to address any concerns. Certain investment products on eitherthe Focus List or Approved List may also be recommended forthe Tactical Opportunities List based in part on tactical opportunities existing at a given time. The investment products on the Tactical Opportunities List change over time. For more information on the Focus List, Approved List, Tactical Opportunities List and Watch processes, please see the applicable Form ADV Disclosure Document for Morgan Stanley Wealth Management. Your Financial Advisor or Private Wealth Advisor can also provide upon request a copy of a publication entitled "Manager Selection Process." The Global Investment Committee is a group of seasoned investment professionals who meet regularly to discuss the global economy and markets. The committee determines the investment outlook that guides our advice to clients. They continually monitor developing economic and market conditions, review tactical outlooks and recommend model portfolio weightings, as well as produce a suite of strategy, analysis, commentary, portfolio positioning suggestions and other reports and broadcasts. The GIC Asset Allocation Models are not available to be directly implemented as part of an investment advisory service and should not be regarded as a recommendation of any Morgan Stanley investment advisory service. The GIC Asset Allocation Models do not represent actual trading or any type of account or any type of investment strategies and none ofthe fees or other expenses (e.g. commissions, mark-ups, mark-downs, advisory fees, fund expenses) associated with actual trading or accounts are reflected in the GIC Asset Allocation Models which , when compounded over a period ofyears, would decrease returns. Adverse Active AlphaSM 2.0 is a patented screening and scoring process designed to help identify high -quality equity and fixed income managers with characteristics that may lead to future outperformance relative to index and peers. While highly ranked managers performed well as a group in our Adverse Active Alpha model back tests, not all ofthe managers will outperform. Please note thatthis data may be derived from back -testing, which has the benefit of hindsight. In addition, highly ranked managers can have differing risk profiles that might not be appropriate for all investors. Our view is that Adverse Active Alpha is a good starting point and should be used in conjunction with other information. Morgan Stanley Wealth Management's qualitative and quantitative investment manager due diligence process are equally important factors for investors when considering managers for use through an investment advisory program. Factors including, but not limited to. manaaer Graystone DISCLOSURES CO Suit ng" Page 8 WEALTH MANAGEMENT Morgan Stanley turnover and changes to investment process can partially or fully negate a positive Adverse Active Alpha ranking. Additionally, highly ranked managers can have differing risk profiles that might not be appropriate for all investors. The proprietary Value Score methodology considers an active investment strategies'value proposition relative to its costs. From a historical quantitative study of several quantitative markers, Value Score measures perceived forward -looking benefit and computes (i) "fair value" expense ratios for most traditional investment managers across 40 categories and (2) managers' perceived "excess value" by comparing the fair value expense ratios to actual expense ratios. Managers are then ranked within each category by their excess value to assign a Value Score. Our analysis suggests that greater levels of excess value have historically corresponded to attractive subsequent performance. For more information on the ranking models, please see Adverse Active AlphaSM 2.0: Scoring Active Managers According to Potential Alpha and Value Score: Scoring Fee Efficiency by Comparing Managers' "Fair Value" and Actual Expense Ratios. The whitepapers are available from your Financial Advisor or Private Wealth Advisor. ADVERSE ACTIVE ALPHA is a registered service mark of Morgan Stanley and/or its affiliates. U.S. Pat. No. 8,756,o98 applies to the Adverse Active Alpha system and/or methodology. Additionally, highly ranked managers can have differing risk profiles that might not be appropriate for all investors. For more information on AAA, please see the Adverse Active Alpha Ranking Model and Selecting Managers with Adverse Active Alpha whitepapers. The whitepaper are available from your Financial Advisor or Private Wealth Advisor. ADVERSE ACTIVE ALPHA is a registered service mark of Morgan Stanley and/or its affiliates. U.S. Pat. No. 8,756,o98 applies to the Adverse Active Alpha system and/or methodology. The Global Investment Manager Analysis (GIMA) Services Only Apply to Certain Investment Advisory Programs GIMA evaluates certain investment products for the purposes of some — but not all — of Morgan Stanley Smith Barney LLC's investment advisory programs (as described in more detail in the applicable Form ADV Disclosure Document for Morgan Stanley Wealth Management). If you do not invest through one of these investment advisory programs, Morgan Stanley Wealth Management is not obligated to provide you notice of any GIMA Status changes even though it may give notice to clients in other programs. Strategy May Be Available as a Separately Managed Account or Mutual Fund Strategies are sometimes available in Morgan Stanley Wealth Management investment advisory programs both in the form of a separately managed account ("SMA") and a mutual fund. These may have different expenses and investment minimums. Your Financial Advisor or Private Wealth Advisor can provide more information on whether any particular strategy is available in more than one form in a particular investment advisory program. Generally, investment advisory accounts are subject to an annual asset -based fee which is payable monthly in advance (some account types may be billed differently). (The "Fee"). In general, the Fee covers Morgan Stanley investment advisory services, custody of securities with Morgan Stanley, trade execution with orthrough Morgan Stanley or its affiliates, as well as compensation to any Morgan Stanley Financial Advisor. In addition, each account that is invested in a program that is eligible to purchase certain investment products, such as mutual funds, will also pay a Platform Fee (which is subject to a Platform Fee offset) as described in the applicable ADV brochure. Accounts invested in the Select LIMA program will also pay a separate Morgan Stanley Overlay Manager Fee and any applicable Sub -Manager fees. If your account is invested in mutual funds or exchange traded funds (collectively "funds"), you will pay the fees and expenses of any funds in which your account is invested. Fees and expenses are charged directly to the pool of assets the fund invests in and are reflected in each fund's share price. These fees and expenses are an additional cost to you and would not be included in the Fee amount in your account statements. Overlay Managers or Executing Sub -Managers ("managers") in some of Morgan Stanley's Separately Managed Account ("SMA") programs may affect transactions through broker -dealers other than Morgan Stanley or our affiliates. Ifyour managertrades with another firm, you may be assessed costs by the otherfirm in addition to Morgan Stanley'sfees. Those costs will be included in the net price ofthe security, not separately reported on trade confirmations or account statements. Certain managers have historically directed most, if not all, of theirtrades to outside firms. Information provided by managers concerning trade execution away from Morgan Stanley is summarized at: www.morganstanley.com/wealth/investmentsolutions/pdfs/adv/sotresponse.pdf. For more information, please refer to the ADV Brochure for your program(s), available at www.morganstanley.com/ADV or contact your Financial Advisor/Private Wealth Advisor. For example, on an advisory account with a 32.5% annual fee, if the gross annual performance is 6.00%, the compounding effect ofthe fees will result in a net performance of approximately 3.38% after one year, 2o.5o% after three years, and 3.8.2o%afterfive years. Conflicts of Interest: GIMA's goal is to provide professional, objective evaluations in support ofthe Morgan Stanley Wealth Management investment advisory programs. We have policies and procedures to help us meet this goal. However, our business is subject to various conflicts of interest. For example, ideas and suggestions for which investment products should be evaluated by GIMA come from a variety of sources, including our Morgan Stanley Wealth Management Financial Advisors and their direct or indirect managers, and other business persons within Morgan Stanley Wealth Management or its affiliates. Such persons may have an ongoing business relationship with certain investment managers or mutual fund companies whereby they, Morgan Stanley Wealth Management or its affiliates receive compensation from, or otherwise related to, those investment managers or mutual funds. For example, a Financial Advisor may suggest that GIMA evaluates an investment manager or fund in which a portion of his or her clients' assets are already invested. While such a recommendation is permissible, GIMA is responsible for the opinions expressed by GIMA. See the conflicts of interest section in the applicable Form ADV Disclosure Document for Morgan Stanley Wealth Management for a discussion of other tvoes of Graystone DISCLOSURES Consult ngS" Page 9 WEALTH MANAGEMENT Morgan Stanley conflicts that maybe relevant to GIMA's evaluation of managers and funds. In addition, Morgan Stanley Wealth Management, MS & Co., managers and their affiliates provide a variety of services (including research, brokerage, asset management, trading, lending and investment banking services) for each other and for various clients, including issuers of securities that maybe recommended for purchase or sale by clients or are otherwise held in client accounts, and managers in various advisory programs. Morgan Stanley Wealth Management, managers, MS & Co., and their affiliates receive compensation and fees in connection with these services. Morgan Stanley Wealth Management believes that the nature and range of clients to which such services are rendered is such that it would be inadvisable to exclude categorically all of these companies from an account. Morgan Stanley charges each fund family we offer a mutual fund support fee, also called a "revenue -sharing payment," on client account holdings in fund families according to a tiered rate that increases along with the management fee of the fund so that lower management fee funds pay lower rates than those with higher management fees. ConsiderYour Own Investment Needs: The model portfolios and strategies discussed in the material are formulated based on general client characteristics including risk tolerance. This material is not intended to bean analysis of whether particular investments or strategies are appropriate for you or a recommendation, or an offer to participate in any investment. Therefore, clients should not use this material as the sole basis for investment decisions. They should consider all relevant information, including their existing portfolio, investment objectives, risk tolerance, liquidity needs and investment time horizon. Such a determination may lead to asset allocation results that are materially different from the asset allocation shown in this profile. Talk to your Financial Advisor about what would bean appropriate asset allocation for you, whether CGCM is an appropriate program for you. No obligation to notify — Morgan Stanley Wealth Management has no obligation to notify you when the model portfolios, strategies, or any other information, in this material changes. Please consider the investment objectives, risks, fees, and charges and expenses of mutual funds, ETFs, closed end funds, unit investment trusts, and variable insurance products carefully before investing. The prospectus contains this and other information about each fund. To obtain a prospectus, contact your Financial Advisor or Private Wealth Advisor or visit the Morgan Stanley website at www.moroanstaniev.com. Please read it carefully before investing. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value ofyour investment at si.00 per share, it is possible to lose money by investing in the fund. The type of mutual funds and ETFs discussed in this presentation utilizes nontraditional or complex investment strategies and/or derivatives. Examples of these types of funds include those that utilize one or more of the below noted investment strategies or categories or which seek exposure to the following markets: (i) commodities (e.g., agricultural, energy and metals), currency, precious metals; (z) managed futures; (3) leveraged, inverse or inverse leveraged; (q) bear market, hedging, long -short equity, market neutral; (5) real estate; (6) volatility (seeking exposure to the CBOE VIX Index). Investors should keep in mind that while mutual funds and ETFs may, at times, utilize nontraditional investment options and strategies, they should not be equated with unregistered privately offered alternative investments. Because of regulatory limitations, mutual funds and ETFs that seek alternative -like investment exposure must utilize a more limited investment universe. As a result, investment returns and portfolio characteristics of alternative mutual funds and ETFs may vary from traditional hedge funds pursuing similar investment objectives. Moreover, traditional hedge funds have limited liquidity with long "lock -up" periods allowing them to pursue investment strategies without having to factor in the need to meet client redemptions and ETFs trade on an exchange. On the other hand, mutual funds typically must meet daily client redemptions. This differing liquidity profile can have a material impact on the investment returns generated by a mutual fund or ETF pursuing an alternative investing strategy compared with a traditional hedge fund pursuing the same strategy. Nontraditional investment options and strategies are often employed by a portfolio manager to further a fund's investment objective and to help offset market risks. However, these features may be complex, making it more difficult to understand the fund's essential characteristics and risks, and how it will perform in different market environments and over various periods of time. They may also expose the fund to increased volatility and unanticipated risks particularly when used in complex combinations and/or accompanied by the use of borrowing or"leverage." The Morgan Stanley Digital Vault ("Digital Vault") is accessible to clients with dedicated Financial Advisors. Documents shared via the Digital Vault should be limited to those relevant to your Morgan Stanley account relationship. Uploading a document to the Digital Vault does not obligate us to review or take any action on it, and we will not be liable for any failure to act upon the contents of such document. Please contact your Financial Advisor or Branch Management to discuss the appropriate process for providing the document to us for review. If you maintain a Trust or entity account with us, only our certification form will govern our obligations for such account. Please refer to the Morgan Stanley Digital Vault terms and conditions for more information. Information related to your external accounts is provided for informational purposes only. It is provided by third parties, including the financial institutions where your external accounts are held. Graystone DISCLOSURES Consult ng' Page 10 WEALTH MANAGEMENT Morgan Stanley Morgan Stanley does not verify that the information is accurate and makes no representation or warranty as to its accuracy, timeliness, or completeness. Additional information about the features and services offered through Total Wealth View are available on the Total Wealth View site on Morgan Stanley Online and also in the Total Wealth View Terms and Conditions of Use. Mobile check deposits are subject to certain terms and conditions. Checks must be drawn on a U.S. Bank. Send Money with Zelle® is available on the Morgan Stanley Mobile App for iPhone and Android and on Morgan Stanley Online. Enrollment is required and dollar and frequency limits may apply. Domestic fund transfers must be made from an eligible account at Morgan Stanley Smith Barney LLC (Morgan Stanley) to a US -based account at another financial institution. Morgan Stanley maintains arrangements with JP Morgan Chase Bank, N.A. and UMB Bank, N.A. as NACHA-participating depository financial institutions for the processing of transfers on Zelle®. Data connection required, and message and data rates may apply, including those from your communications service provider. Must have an eligible account in the U.S. to use Zelle®. Transactions typically occur in minutes when the recipient's email address or U.S. mobile number is already enrolled with Zelle. See the Morgan Stanley Send Money with Zelle® terms for details. Zelle and the Zelle related marks are wholly owned by Early Warning Services, LLC and are used herein under license. Morgan Stanley is not affiliated with Zelle®. Electronic payments arrive to the payee within 1-2 business days, check payments arrive to the payee within 5 business days. Same -day and overnight payments are available for an additional fee within the available payment timeframes. KEY ASSET CLASS CONSIDERATIONS AND OTHER RISKS Investing in the markets entails the risk of market volatility. The value of all types of investments, including stocks, mutual funds, exchange -traded funds ("ETFs"), closed -end funds, and unit investment trusts, may increase or decrease over varying time periods. To the extent the investments depicted herein represent international securities, you should be aware that there may be additional risks associated with international investing, including foreign economic, political, monetary and/or legal factors, changing currency exchange rates, foreign taxes, and differences in financial and accounting standards. These risks may be magnified in emerging markets and frontier markets. Small- and mid -capitalization companies may lack the financial resources, product diversification and competitive strengths of larger companies. In addition, the securities of small- and mid -capitalization companies may not trade as readily as, and be subject to higher volatility than, those of larger, more established companies. The value of fixed income securities will fluctuate and, upon a sale, may be worth more or less than their original cost or maturity value. Bonds are subject to interest rate risk, call risk, reinvestment risk, liquidity risk, and credit risk of the issuer. High yield bonds are subject to additional risks such as increased risk of default and greater volatility because of the lower credit quality of the issues. In the case of municipal bonds, income is generally exempt from federal income taxes. Some income may be subject to state and local taxes and to the federal alternative minimum tax. Capital gains, if any, are subject to tax. Treasury Inflation Protection Securities' (TIPS) coupon payments and underlying principal are automatically increased to compensate for inflation by tracking the consumer price index (CPI). While the real rate of return is guaranteed, TIPS tend to offer a low return. Because the return ofTIPS is linked to inflation, TIPS may significantly underperform versus conventional U.S. Treasuries in times of low inflation. There is no guarantee that investors will receive par if TIPS are sold prior to maturity. The returns on a portfolio consisting primarily of environmental, social, and governance -aware investments ("ESG") may be lower or higher than a portfolio that is more diversified or where decisions are based solely on investment considerations. Because ESG criteria exclude some investments, investors may not be able to take advantage of the same opportunities or market trends as investors that do not use such criteria. The companies identified and investment examples are for illustrative purposes only and should not be deemed a recommendation to purchase, hold or sell any securities or investment products. They are intended to demonstrate the approaches taken by managers who focus on ESG criteria in their investment strategy. There can be no guarantee that a client's account will be managed as described herein. Options and margin trading involve substantial risk and are not appropriate for all investors. Besides the general investment risk of holding securities that may decline in value and the possible loss of principal invested, closed -end funds may have additional risks related to declining market prices relative to net asset values (NAVs), active manager underperformance and potential leverage. Closed -end funds, unlike open-end funds, are not continuously offered. There is a one-time public offering and once issued, shares of closed -end funds are sold in the open market through a stock exchange. Shares of closed -end funds frequentlytrade at a discount from their NAV which may increase investors' risk of loss. The risk of loss due to this discount may be greater for investors expecting to sell their shares in a relatively short period after completion of the public offering. This characteristic is a risk separate and distinct from the risk that a closed -end fund's net asset value may decrease as a result of investment activities. NAV is total assets less total liabilities divided by the number of shares outstanding. At the time an investor purchases or sells shares of a closed -end fund, shares may have a market price that is above or below NAV. Portfolios that invest a large percentage of assets in only one industry sector (or in only a few sectors) are more vulnerable to price fluctuation than those that diversify among a broad range of sectors. Alternative investments often are speculative and include a high degree of risk. Investors could lose all or a substantial amount of their investment. Alternative investments are appropriate only for eligible, long-term investors who are willing to forgo liquidity and put capital at risk for an indefinite period oftime. They may be highly illiquid and can engage in leveraae and othersoeculative Graystone DISCLOSURES CO Suit ng" Page 11 WEALTH MANAGEMENT Morgan Stanley practices that may increase the volatility and risk of loss. Alternative Investments typically have higher fees than traditional investments. 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 maybe 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; Risks associated with the operations, personnel, and processes of the manager; and Risks associated with cybersecurity. Asa diversified global financial services firm, Morgan Stanley Wealth Management engages in abroad spectrum of activities including financial advisory services, investment management activities, sponsoring and managing private investment funds, engaging in broker-dealertransactions 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. All expressions of opinion are subject to change without notice and are not intended to be a forecast of future events or results. Further, opinions expressed herein may differ from the opinions expressed by Morgan Stanley Wealth Management and/or other businesses/affiliates of Morgan Stanley Wealth Management. This is not a "research report" as defined by FINRA Rule 2241 or a "debt research report" as defined by FINRA Rule 2242 and was not prepared by the Research Departments of Morgan Stanley Smith Barney LLC or Morgan Stanley & Co. LLC or its affiliates. Certain information contained herein may constitute forward -looking statements. Due to various risks and uncertainties, actual events, results or the performance of a fund may differ materially from those reflected or contemplated in such forward -looking statements. Clients should carefully consider the investment objectives, risks, charges, and expenses of a fund before investing. While the HFRI indices are frequently used, they have limitations (some of which are typical of other widely used indices). These limitations include survivorship bias (the returns of the indices may not be representative of all the hedge funds in the universe because ofthe tendency of lower performing funds to leave the index); heterogeneity (not all hedge funds are alike or comparable to one another, and the index may not accurately reflect the performance of a described style); and limited data (many hedge funds do not report to indices, and the index may omit funds, the inclusion of which might significantly affect the performance shown. The HFRI indices are based on information self -reported by hedge fund managers that decide on their own, at anytime, whether or not they want to provide, or continue to provide, information to HFR Asset Management, L.L.C. Results for funds that go out of business are included in the index until the date that they cease operations. Therefore, these indices may not be complete or accurate representations of the hedge fund universe, and maybe biased in several ways. Composite index results are shown for illustrative purposes and do not represent the performance of a specific investment. Individual funds have specific tax 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 Wealth Management 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 Wealth Management and certain of its affiliates, and (i) are not FDIC -insured, (2) are not deposits or other obligations of Morgan Stanley Wealth Management or any of its affiliates, (3) are not guaranteed by Morgan Stanley Wealth Management and its affiliates, and (y) involve investment risks, including possible loss of principal. Morgan Stanley Wealth Management is a registered broker -dealer, not a bank. This material is not to be reproduced or distributed to any other persons (other than professional advisors of the investors or prospective investors, as applicable, receiving this material) 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. Past performance is no guarantee of future results. Actual results may vary. SIPC insurance does not apply to precious metals, other commodities, or traditional alternative investments. In Consulting Group's advisory programs, alternative investments are limited to US -registered mutual funds, separate account strategies and exchange -traded funds (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 appropriate for all investors. 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-dealertransactionsand 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. 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 Wealth Management does not provide tax or legal advice. A majority of Alternative Investment managers reviewed and selected by GIMA pay or cause to be paid an ongoing fee for distribution from their management fees to Morgan Stanley Wealth Management in connection with Morgan Stanley Wealth Management clients that purchase an interest in an Alternative Investment and in some instances pay these fees on the investments held by investments held by brokerage clients. Morgan Stanley Wealth Management has a conflict of interest in offering alternative investments because Morgan Stanley Wealth Management or our affiliates, in most instances, earn more money in your account from your investments in alternative investments than from other investment options. It should be noted that the majority of hedge fund indexes are comprised of hedge fund manager returns. This is in contrast to traditional indexes, which are comprised of individual securities in the Graystone DISCLOSURES Consult ngS" Page 12 WEALTH MANAGEMENT Morgan Stanley various market segments they represent and offer complete transparency as to membership and construction methodology. As such, some believe that hedge fund index returns have certain biases that are not present in traditional indexes. Some of these biases inflate index performance, while others may skew performance negatively. However, many studies indicate that overall hedge fund index performance has been biased to the upside. Some studies suggest performance has been inflated by up to 26o basis points or more annually depending on the types of biases included and the time period studied. Although there are numerous potential biases that could affect hedge fund returns, we identify some of the more common ones throughout this paper. Self-selection bias results when certain manager returns are not included in the index returns and may result in performance being skewed up or down. Because hedge funds are private placements, hedge fund managers are able to decide which fund returns they want to report and are able to opt out of reporting to the various databases. Certain hedge fund managers may choose only to report returns forfunds with strong returns and opt out of reporting returns for weak performers. Other hedge funds that close may decide to stop reporting in order to retain secrecy, which may cause a downward bias in returns. Survivorship bias results when certain constituents are removed from an index. This often results from the closure of funds due to poor performance, "blow ups," or other such events. As such, this bias typically results in performance being skewed higher. As noted, hedge fund index performance biases can result in positive or negative skew. However, it would appearthat the skew is more often positive. While it is difficult to quantify the effects precisely, investors should be aware that idiosyncratic factors may be giving hedge fund index returns an artificial `lift" or upwards bias. Hedge Funds of Funds and many funds of funds are private investment vehicles restricted to certain qualified private and institutional investors. They are often speculative and include a high degree of risk. Investors can lose all or a substantial amount of their investment. They may be highly illiquid, can engage in leverage and other speculative practices that may increase volatility and the risk of loss, and may be subject to large investment minimums and initial lockups. They involve complex tax structures, tax -inefficient investing and delays in distributing important tax information. Categorically, hedge funds and funds of funds have higher fees and expenses than traditional investments, and such fees and expenses can lowerthe returns achieved by investors. Funds of funds have an additional layer of fees over and above hedge fund fees that will offset returns. An investment in an exchange -traded fund involves risks similar to those of investing in a broadly based portfolio of equity securities traded on an exchange in the relevant securities market, such as market fluctuations caused by such factors as economic and political developments, changes in interest rates and perceived trends in stock and bond prices. An investment in a target date portfolio is subject to the risks attendant to the underlying funds in which it invests, in these portfolios the funds are the Consulting Group Capital Market funds. A target date portfolio is geared to investors who will retire and/or require income at an approximate year. The portfolio is managed to meet the investor's goals by the pre -established year or "target date." A target date portfolio will transition its invested assets from a more aggressive portfolio to a more conservative portfolio as the target date draws closer. An investment in the target date portfolio is not guaranteed at any time, including, before or afterthe target date is reached. Managed futures investments are speculative, involve a high degree of risk, use significant leverage, are generally illiquid, have substantial charges, subject investors to conflicts of interest, and are appropriate only forthe risk capital portion of an investor's portfolio. Managed futures investments do not replace equities or bonds but rather may act as a complement in a well diversified portfolio. Managed Futures are complex and not appropriate for all investors. Rebalancing does not protect against a loss in declining financial markets. There may be a potential tax implication with a rebalancing strategy. Asset allocation and diversification do not assure a profit or protect against loss in declining financial markets. Past performance is no guarantee of future results. Actual results may vary Tax laws are complex and subject to change. Morgan Stanley Smith Barney LLC ("Morgan Stanley"), its affiliates and Morgan Stanley Financial Advisors and Private Wealth Advisors do not provide tax or legal advice and are not "fiduciaries" (under ERISA, the Internal Revenue Code or otherwise) with respect to the services or activities described herein except as otherwise provided in writing by Morgan Stanley and/or as described at www.moraanstanley.com/disclosures/dol. Individuals are encouraged to consult theirtax and legal advisors (a) before establishing a retirement plan or account, and (b) regarding any potential tax, ERISA and related consequences of any investments made under such plan or account. Annuities and insurance products are offered in conjunction with Morgan Stanley Smith Barney LLC's licensed insurance agency affiliates. Indices are unmanaged and investors cannot directly invest in them. They are not subject to expenses orfees and are often comprised of securities and other investment instruments the liquidity of which is not restricted. A particular investment product may consist of securities significantly different than those in any index referred to herein. Composite index results are shown for illustrative purposes only, generally do not represent the performance of a specific investment, may not, for a variety of reasons, be an appropriate comparison or benchmark for a particular investment and may not necessarily reflect the actual investment strategy or objective of a particular investment. Consequently, comparing an investment to a particular index may be of limited use. This material is not a financial plan and does not create an investment advisory relationship between you and your Morgan Stanley Financial Advisor. We are not your fiduciary either underthe Employee Retirement Income Security Act of 1974 (ERISA) or the Internal Revenue Code of 1986, and any information in this report is not intended to form the primary basis for any investment decision by you, or an investment advice or recommendation for either ERISA or Internal Revenue Code purposes. Morgan Stanley Private Wealth Management will only prepare a financial Dian at vour specific Graystone DISCLOSURES CO Suit ng' Page 13 WEALTH MANAGEMENT request using Private Wealth Management approved financial planning signature. Morgan Stanley We may act in the capacity of a broker or that of an advisor. As your broker, we are not your fiduciary and our interests may not always be identical to yours. Please consult with your Private Wealth Advisor to discuss our obligations to disclose to you any conflicts we may from time to time have and our duty to act in your best interest. We maybe paid both by you and by others who compensate us based on what you buy. Our compensation, including that of your Private Wealth Advisor, may vary byproduct and overtime. Investment and services offered through Morgan Stanley Private Wealth Management, a division of Morgan Stanley Smith Barney LLC, Member SIPC. For index, indicator and survey definitions referenced in this report please visit the following: httos://www.moraanstaniev.com/wealth-investmentsolutions/wmir-defnitions GLOBAL INVESTMENT COMMITTEE (GIC) ASSET ALLOCATION MODELS: The Asset Allocation Models are created by Morgan Stanley Wealth Management's GIC. HYPOTHETICAL MODEL PERFORMANCE (GROSS): Hypothetical model performance results do not reflect the investment or performance of an actual portfolio following a GIC Strategy, but simply reflect actual historical performance of selected indices on a real-time basis over the specified period of time representing the GIC's strategic and tactical allocations as of the date ofthis report. The past performance shown here is simulated performance based on benchmark indices, not investment results from an actual portfolio or actual trading. There can be large differences between hypothetical and actual performance results achieved by a particular asset allocation or trading strategy. Hypothetical performance results do not represent actual trading and are generally designed with the benefit of hindsight. Actual performance results of accounts vary due to, for example, market factors (such as liquidity) and client -specific factors (such as investment vehicle selection, timing of contributions and withdrawals, restrictions and rebalancing schedules). Clients would not necessarily have obtained the performance results shown here if they had invested in accordance with any GIC Asset Allocation Model for the periods indicated. Despite the limitations of hypothetical performance, these hypothetical performance results allow clients and Financial Advisorsto obtain a sense of the risk/return trade-off of different asset allocation constructs. The hypothetical performance results in this report are calculated using the returns of benchmark indices for the asset classes, and not the returns of securities, fund or other investment products. Models may contain allocations to Hedge Funds, Private Equity and Private Real Estate. The benchmark indices for these asset classes are not issued on a daily basis. When calculating model performance on a day for which no benchmark index data is issued, we have assumed straight line growth between the index levels issued before and after that date. FEES RED UCETHE PERFORMANCE OFACTUALACCOUNTS: None of the fees or other expenses (e.g. commissions, mark-ups, mark-downs, fees) associated with actual trading or accounts are reflected in the GIC Asset Allocation Models. The GIC Asset Allocation Models and any model performance included in this presentation are intended as educational materials. Were a client to use these models in connection with investing, any investment decisions made would be subject to transaction and other costs which, when compounded over a period of years, would decrease returns. Information regarding Morgan Stanley's standard advisory fees is available in the Form ADV Part 2, which is available at www.morganstanley.com/adv. The following hypothetical illustrates the compound effect fees have on investment returns: For example, if a portfolio's annual rate of return is 3.5%for 5 years and the account pays 5o basis points in fees per annum, the gross cumulative five-year return would be ioi.i%and the five-year return net of fees would be 96.8%. Fees and/or expenses would apply to clients who invest in investments in an account based on these asset allocations, and would reduce clients' returns. The impact of fees and/or expenses can be material. Variable annuities are long-term investments designed for retirement purposes and maybe subject to market fluctuations, investment risk, and possible loss of principal. All guarantees, including optional benefits, are based on the financial strength and claims -paying ability of the issuing insurance company and do not apply to the underlying investment options. Optional riders may not be able to be purchased in combination and are available at an additional cost. Some optional riders must be elected at time of purchase. Optional riders maybe subject to specific limitations, restrictions, holding periods, costs, and expenses as specified by the insurance company in the annuity contract. If you are investing in a variable annuity through a tax -advantaged retirement plan such as an IRA, you will get no additional tax advantage from the variable annuity. Under these circumstances, you should only consider buying a variable annuity because of its other features, such as lifetime income payments and death benefits protection. Taxable distributions (and certain deemed distributions) are subject to ordinary income tax and, if taken prior to age 591h, maybe subject to a io%federal income tax penalty. Early withdrawals will reduce the death benefit and cash surrender value. Equity securities may fluctuate in response to news on companies, industries, market conditions and general economic environment. Ultrashort-term fixed income asset class is comprised of fixed income securities with high quality, very short maturities. They are therefore subject to the risks associated with debt securities such as credit and interest rate risk. Master Limited Partnerships (MLPs) are limited partnerships or limited liability compan iesthat 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 MI -Ps operate in the energy, natural resources or real estate sectors. Investments in MLP interests are subiect to Graystone DISCLOSURES Consulting' Page 14 WEALTH MANAGEMENT Morgan Stanley 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. Individual MLPs are publicly traded partnerships that have unique risks related to their structure. These include, but are not limited to, their reliance on the capital markets to fund growth, adverse ruling on the current tax treatment of distributions (typically mostly tax deferred), and commodity volume risk. The potential tax benefits from investing in MLPs depend on their being treated as partnerships for federal income tax purposes and, if the MLP is deemed to be a corporation, then its income would be subject to federal taxation at the entity level, reducing the amount of cash available for distribution to the fund which could result in a reduction of the fund's value. MLPs carry interest rate risk and may underperform in a rising interest rate environment. MLP funds accrue deferred income taxes for future tax liabilities associated with the portion of MLP distributions considered to be a tax -deferred return of capital and for any net operating gains as well as capital appreciation of its investments; this deferred tax liability is reflected in the daily NAV, and, as a result, the MLP fund's after-tax performance could differ significantly from the underlying assets even if the pre-tax performance is closely tracked. Investing in commodities entails significant risks. Commodity prices may be affected by a variety of factors at anytime, including but not limited to, (i) changes in supply and demand relationships, (ii) governmental programs and policies, (iii) national and international political and economic events, war and terrorist events, (iv) changes in interest and exchange rates, (v) trading activities in commodities and related contracts, (vi) pestilence, technological change and weather, and (vii) the price volatility of a commodity. In addition, the commodities markets are subject to temporary distortions or other disruptions due to various factors, including lack of liquidity, participation of speculators and government intervention. Physical precious metals are non -regulated products. Precious metals are speculative investments, which may experience short-term and long term price volatility. The value of precious metals investments may fluctuate and may appreciate or decline, depending on market conditions. Unlike bonds and stocks, precious metals do not make interest or dividend payments. Therefore, precious metals may not be appropriate for investors who require current income. Precious metals are commodities that should be safely stored, which may impose additional costs on the investor. REITs investing risks are similar to those associated with direct investments in real estate: property value fluctuations, lack of liquidity, limited diversification and sensitivityto economic factors such as interest rate changes and market recessions. Risks of private real estate include: illiquidity; a long-term investment horizon with a limited or nonexistent secondary market; lack of transparency; volatility (risk of loss); and leverage. Principal is returned on a monthly basis overthe life of a mortgage -backed security. Principal prepayment can significantly affect the monthly income stream and the maturity of any type of MBS, including standard MBS, CMOs and Lottery Bonds. Asset -backed securities generally decrease in value as a result of interest rate increases, but may benefit less than other fixed -income securities from declining interest rates, principally because of prepayments. Yields are subject to change with economic conditions. Yield is only one factor that should be considered when making an investment decision. Credit ratings are subject to change. Duration, the most commonly used measure of bond risk, quantifies the effect of changes in interest rates on the price of a bond or bond portfolio. The longer the duration, the more sensitive the bond or portfolio would be to changes in interest rates. The majority of S25 and si000 par preferred securities are "callable" meaning that the issuer may retire the securities at specific prices and dates prior to maturity. Interest/dividend payments on certain preferred issues may be deferred by the issuer for periods of up to 5 to io years, depending on the particular issue. The investor would still have income tax liability even though payments would not have been received. Price quoted is per $ay or si,000 share, unless otherwise specified. Current yield is calculated by multiplying the coupon by par value divided by the market price. The initial interest rate on a floating-rate security may be lowerthan that of a fixed-rate security of the same maturity because investors expect to receive additional income due to future increases in the floating security's underlying reference rate. The reference rate could be an index or an interest rate. However, there can be no assurance that the reference rate will increase. Some floating-rate securities may be subject to call risk. The market value of convertible bonds and the underlying common stock(s) will fluctuate and after purchase may be worth more or less than original cost. If sold prior to maturity, investors may receive more or less than their original purchase price or maturity value, depending on market conditions. Callable bonds may be redeemed by the issuer priorto maturity. Additional call features may exist that could affect yield. Some $25 or si000 par preferred securities are ODI (Qualified Dividend Income) eligible. Information on ODI eligibility is obtained from third party sources. The dividend income on ODI eligible preferreds qualifies for a reduced tax rate. Many traditional dividend paying' perpetual preferred securities (traditional preferreds with no maturity date) are ODI eligible. In orderto qualify for the preferential tax treatment all qualifying preferred securities must be held by investors fora minimum period —gi days during a 18o day window period, beginning go days before the ex -dividend date. Companies paying dividends can reduce or cut payouts at any time. Nondiversification: For a portfolio that holds a concentrated or limited number of securities, a decline in the value ofthese investments would cause the portfolio's overall value to decline to a greater degree than a less concentrated portfolio. The indices selected by Morgan Stanley Wealth Managementto measure performance are representative of broad asset classes. Morgan Stanley Wealth Management retains the right to change representative indices at anytime. Because oftheir narrow focus, sector investments tend to be more volatile than investments that diversify across many sectors and companies. Growth investing does not guarantee a profit or eliminate risk. The stocks ofthese companies can have relatively high valuations. Because ofthese 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 does not guarantee a profit or eliminate risk. Not all companies whose stocks are considered to be value stocks are able to turn their business around or successfully employ corrective strategies which would result in stock prices that do not rise as initiallv expected . Graystone DISCLOSURES Consult ng' Page 15 WEALTH MANAGEMENT Morgan Stanley Any type of continuous or periodic investment plan does not assure a profit and does not protect against loss in declining markets. Since such a plan involves continuous investment in securities regardless of fluctuating price levels of such securities, the investor should consider his financial ability to continue his purchases through periods of low price levels. This material is disseminated in the United States of America by Morgan Stanley Smith Barney LLC. Morgan Stanley Wealth Management is not acting as a municipal advisor to any municipal entity or obligated person within the meaning of Section iSB of the Securities Exchange Act (the "Municipal Advisor Rule") and the opinions or views contained herein are not intended to be, and do not constitute, advice within the meaning of the Municipal Advisor Rule. This material, or any portion thereof, may not be reprinted, sold or redistributed without the written consent of Morgan Stanley Smith Barney LLC. © 2022 Morgan Stanley Smith Barney LLC. MemberSIPC. DISCLOSURES Page 16 Graystone Consulting' City of Sebastian Police Officers' Retirement Plan Asset Allocation & Time Weighted Performance as of March 31, 2021 Allocation Performance(%) Market Quarter Value % To YTD Fiscal 1 3 5 7 10 Since Inception YTD Year Years Years Years Years Inception Date ($) Total Fund 20,708,336 II II Date II 11.12 10.4902/01/2011 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 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/O1/2017 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 97.50 20.45 N/A N/A N/A 21.57 Russell 2500 GR 2.49 2.49 29.02 87.50 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 17 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 Renaissance - International Growth 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 Renaissance - International Growth (net) 4.27 4.27 24.15 56.81 2.53 N/A N/A N/A 3.40 MSCI AC World ex US Net 3.49 3.49 21.10 49.41 6.56 N/A N/A N/A 7.04 08/01/2017 Fixed Income Highland - Fixed Income 4,460,580 21.54 -1.57 -1.57 -0.55 3.59 5.31 N/A N/A N/A 4.16 Highland - Fixed Income (net) -1.64 -1.64 -0.70 3.28 4.99 N/A N/A N/A 3.79 Barclays Aggregate -3.37 -3.37 -2.73 0.71 4.65 N/A N/A N/A 3.60 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 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 0.01 0.02 0.02 0.02 0.04 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 0.08 1.04 N/A N/A N/A 0.21 1.45 N/A N/A N/A 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. Gtaystone Page 18 Consulting' City of Sebastian Police Officers' Retirement Plan Asset Allocation & Net Dollar Weighted Performance (IRR) as of March 31, 2021 % Current Fiscal 1 3 5 7 10 Since Inception Quarter YTD Year Years Years Years Years Inception Date Total Fund II II 6.10 01/31/2011 Domestic Equity 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 8.02 6.81 28.44 92.51 20.65 N/A N/A N/A 21.73 07/31/2017 International 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 IncomeFixed 7.45 4.27 22.92 55.02 3.18 N/A N/A N/A 3.87 07/31/2017 Highland -Fixed Income Alternative 21.54 -1.64 -0.79 3.07 4.90 N/A N/A N/A 3.70 07/31/2017 Investments 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. Consulting' Page 19 City of Sebastian Police Officers' Retirement Plan Total Fund - Executive Summary as of March 31, 2021 Manager Performance Chart 80.0 60.0 9 40.0 v ai 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 Return Standard Beta Maximum 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 10.0 8.0 Z 6.0 7 a 4.0 - 2.0 0.0 -2.0 -4.0 -4.0 -2.0 Total Fund Up Down Capture Capture 98.58 106.88 100.00 100.00 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Risk (Standard Deviation %) Policy Index 1 . 90-Day T-Bills Alpha Sharpe R-Squared Inception Ratio Date -0.58 0.83 0.96 02/01/2011 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 20 Consulting' City of Sebastian Police Officers' Retirement Plan Total Fund - Change in Assets & Distribution of Returns as of March 31, 2021 Historic Change in Assets $32.0 a 0 $24.0 uo $16.0 n D .4 $8.0 — ro 522.2 $20.7 $9.6 $0.0 1/11 7/11 1/12 7/12 1/13 7/13 1/14 7/14 1/15 7/15 1/16 7/16 1/17 7/17 1/18 7/18 1/19 7/19 1/20 7/20 3/21 — Total Fund — Policy Index 1 — Net Cash Flow Quarterly Change in Assets Market Value Net Return On Market Value As of Transfers Contributions Distributions Fees Expenses Income Investment As of 01/01/2021 03/31/2021 Total Fund 19,694.31 12,992.18-13,174.22 -33.77 70.59 1,229.83 20,708.34 Distribution of Returns 45 � 30 u C u C u u. 15 0 28 < -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 Returns (%) 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 21 >5 Graystone Consulting' City of Sebastian Police Officers' Retirement Plan Highland - Large Cap Value - Executive Summary as of March 31, 2021 Manager Performance Chart Manager Risk & Return 100.0 14.0 75.0 12.0 50.0 10.0 P9 25.0 8.0 0.0 6.0 Current Fiscal 1 3 Since Quarter YTD Year Years Inception °py Manager Annualized Performance 4.0 Current Fiscal 1 3 Inception 2.0 - 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 0.0 - Differences 2.77 2.49 1.76 -0.15 0.33 Historic Asset Growth -20 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 Current Fiscal 1 3 Inception Risk (Standard Deviation % ) Quarter YTD Year Years 08/01/2017 Highland - Large Cap Value 0 Highland - Large Cap Value © Russell 1000 Value Beginning Market Value 3,723 3,667 2,741 3,229 4,342 Net Contributions -52 -552 -168 -186 -1,562 . 90-Day T-Bills Fees/Expenses -5 -9 -17 -50 -68 Income 21 42 87 285 347 Crain/Loss 496 1,036 1,540 906 1,125 Ending Market Value 4,183 4,183 4,183 4,183 4,183 Modern Portfolio Statistics 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 Consulting' Page 22 City of Sebastian Police Officers' Retirement Plan Highland Large Cap Value - Change in Assets & Distribution of Returns as of March 31, 2021 Historic Change in Assets $6.3 a $5.4 4 $4.5 $4.2 $4.1 � $3.6 14 $2.7 1.0/ $2.7 $1.8 7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 10/19 1/20 4/20 7/20 10/20 1/21 3/21 — Highland - Large Cap Value Russell 1000 Value — Net Cash Flow Quarterly Change in Assets Market Value Market Value As of Net Contributions Distributions Fees Expenses Return e n As of 01/01/2021 Transfers Investment 03/31/2021 Highland - Large Cap Value 3,723,446.86 544,820.82-596,417.64-4,649.60 516,277.70 4,183,478.14 Distribution of Returns 16 12 9 W 4 0 < -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 > 5 Returns (%) 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 23 Consulting' City of Sebastian Police Officers' Retirement Plan Highland - Large Cap Value - Quarterly Performance Attributes as of March 31, 2021 Allocation Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities 0.0 8.0 16.0 24.0 Highland - Large Cap Value Russell 1000 Value Total Attribution Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities 32.0 Performance Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities 40.0 0.0 10.0 20.0 Highland - Large Cap Value Russell 1000 Value -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0 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 24 30.0 40.0 50.0 1.2 1.4 Graystone Consulting' City of Sebastian Police Officers' Retirement Plan Highland - Large Cap Value - Quarterly Performance Attributes as of March 31, 2021 Allocation - 01/01/2021 Performance - Quarter Ending March 31, 2021 Portfolio Benchmark Portfolio Benchmark Communication Services 8.04 9.63 1.27 6.13 Consumer Discretionary 8.89 7.55 14.42 14.94 Consumer Staples 6.27 7.62 9.00 3.15 Energy 3.05 4.37 34.17 30.07 Financials 24.21 19.60 18.89 17.52 Health Care 13.39 13.44 7.01 4.20 Industrials 12.09 13.45 14.36 13.73 Information Technology 10.03 9.67 19.43 11.15 Materials 5.65 4.78 16.57 10.87 Real Estate 3.29 4.40 9.93 9.11 Utilities 5.08 5.48 2.97 2.87 Total 100.00 100.00 13.60 11.27 Attribution Sector Stock Interaction Total 0.08 -0.47 0.08 -0.31 0.05 -0.04 -0.01 0.00 0.11 0.45 -0.08 0.48 -0.25 0.18 -0.05 -0.12 0.29 0.27 0.06 0.62 0.00 0.38 0.00 0.38 -0.03 0.09 -0.01 0.04 0.00 0.80 0.03 0.83 0.00 0.27 0.05 0.32 0.02 0.04 -0.01 0.05 0.03 0.01 0.00 0.04 0.31 1.96 0.06 2.33 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 25 Consulting' City of Sebastian Police Officers' Retirement Plan Highland - Large Cap Value - Portfolio Characteristics as of March 31, 2021 Portfolio Characteristics Top Ten Equity Holdings Portfolio Benchmark Portfolio Benchmark Active Quarterly Wtd. Avg. Mkt Cap ($000) 118,431,275.46 146,309,295.98 Weight Weight Weight Return Median Mkt. Cap ($000) 48,027,746.40 12,390,200.28 (%) (%) (%) (%) Price/Earnings ratio 23.29 23.89 JPMorgan Chase & Co 3.55 2.43 1.12 20.66 Price/Book ratio 2.73 2.72 Johnson & Johnson 2.75 1.97 0.78 5.08 5 Yr. EPS Growth Rate Cl) 8.78 6.40 Walt Disney Co (The) 2.29 1.75 0.54 1.84 Beta (3 Years, Monthly) 1.02 1.00 Procter & Gamble Cc (The) 2.17 0.96 1.21 -2.08 Number of Stocks 96 860 Chevron Corp 2.09 1.06 1.03 25.80 Debt to Equity (/) 228.73 137.39 Citigroup Inc 2.01 0.80 1.21 19.02 Goldman Sachs Group Inc 1.93 0.57 1.36 24.47 Verizon Communications Inc 1.83 1.27 0.56 0.04 Cummins Inc. 1.79 0.20 1.59 14.73 Norfolk Southern Corp 1.76 0.36 1.40 13.46 % of Portfolio 22.17 11.37 10.80 Ten Best Performers Ten Worst Performers Portfolio Benchmark Active Quarterly Portfolio Benchmark Active Quarterly Weight Weight Weight Return Weight Weight Weight Return (%) (%) (%) (%) (%) (%) (%) (%) Marathon Oil Corp 0.62 0.04 0.58 60.62 Electronic Arts Inc 0.95 0.17 0.78 -5.61 Ohn Corp 1.00 0.03 0.97 55.57 PepsiCo Inc 1.21 0.27 0.94 -3.86 Occidental Petroleum Corp 0.29 0.12 0.17 53.84 FMC Corp. 0.59 0.06 0.53 -3.34 Ford Motor Co 0.48 0.25 0.23 39.36 Procter & Gamble Co (The) 2.17 0.96 1.21 -2.08 Walgreens Boots Alliance Inc 1.37 0.21 1.16 38.98 Thermo Fisher Scientific Inc 0.45 0.39 0.06 -1.96 General Motors Co 1.17 0.38 0.79 37.99 NextEra Energy Inc 1.11 0.78 0.33 -1.49 MasTec Inc. 0.82 0.00 0.82 37.43 Jazz Pharmaceuticals Plc 1.02 0.05 0.97 -0.41 Murphy Oil Corp 0.22 0.01 0.21 36.81 Fidelity Natioal Info Sery Inc. 0.92 0.46 0.46 -0.33 Hewlett Packard Enterprise Co 1.14 0.11 1.03 33.90 Fortive Corp 0.50 0.11 0.39 -0.15 Conocophillips 1.71 0.38 1.33 33.69 Verizon Communications Inc 1.83 1.27 0.56 0.04 of Portfolio 8.82 1.53 7.29 % of Portfolio 10.75 4.52 6.23 Graystone Page 26 Consulting' 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 f a u a 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 Crain/Loss 437 681 840 553 580 Ending Market Value 2,757 2,757 2,757 2,757 2,757 Modern Portfolio Statistics Standard Maxi Return Beta Manager Risk & Return 15.0 12.0 9.0 6.0 �i 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 Q Russell 2500 VL . 90-Day T-Bills m um Up Down Alpha 4 Sharpe R-S uared Inception own Capture Capture P Ratio Date 80 109.71 110.28 -0.11 0.47 0.98 08/O1/2017 64 100.00 100.00 0.00 0.48 1.00 08/O1/2017 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. Gtaystone Page 27 Consulting' 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. Gtaystone Page 27 Consulting' City of Sebastian Police Officers' Retirement Plan Boston SMID Value - Change in Assets & Distribution of Returns as of March 31, 2021 Historic Change in Assets $4.5 a 0 $3.0 $2.8 $2.7 .�, $2.1 y $1.5 n .4 $0.0 ro 7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 10/19 1/20 4/20 7/20 10/20 1/21 3/21 — Boston Partners - SMID Value Russell 2500 VL — Net Cash Flow Quarterly Change in Assets Market Value Net Return On Market Value As of Transfers Contributions Distributions Fees Expenses Investment As of 01/01/2021 03/31/2021 Boston Partners - SMID Value 2,348,393.96 2,097,692.60-2,132,239.42-2,448.37 445,929.60 2,757,328.37 Distribution of Returns 16 12 u C u 8 0 u W 5 4 3 3 1 IL 0 0 10 < -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 > 5 Returns (%) 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 28 Graystone Consulting' City of Sebastian Police Officers' Retirement Plan Boston Partners - SMID Value - Quarterly Performance Attributes as of March 31, 2021 Allocation Communication Services Consumer utovary Consumer Staples Energy Financials Health Care Industrials _ - Information Technology Materials Real Estate Utilities 0.0 8.0 16.0 24.0 Boston Partners - SMID Value Russell 2500 VL Total Attribution Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities 32.0 Perforrnance Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities 40.0 0.0 10.0 20.0 30.0 40.0 50.0 Boston Partners - SMID Value Russell 2500 VL -1.8 -1.5 -1.2 -0.9 -0.6 -0.3 0.0 0.3 0.6 0.9 1.2 1.5 The prices, quotes, or statisucs contained herein have been obtained from sources beheved to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Page 29 1.8 2.1 Graystone Consulting' City of Sebastian Police Officers' Retirement Plan Boston Partners - SMID Value - Quarterly Performance Attributes as of March 31, 2021 Allocation - 01/01/2021 Performance - Quarter Ending March 31, 2021 Portfolio Benchmark Portfolio Benchmark Communication Services 1.34 3.21 24.84 14.60 Consumer Discretionary 10.70 13.15 20.38 26.12 Consumer Staples 3.42 3.47 14.57 13.46 Energy 4.79 3.47 29.14 35.46 Financials 27.15 20.89 20.23 20.68 Health Care 9.00 6.54 9.49 6.61 Industrials 15.18 17.59 15.02 17.40 Information Technology 16.86 9.34 19.60 9.12 Materials 7.53 7.08 15.51 15.28 Real Estate 2.26 11.19 8.98 10.72 Utilities 1.77 4.07 3.75 4.15 Total 100.00 100.00 17.77 16.72 Attribution Sector Stock Interaction Total 0.04 0.33 -0.19 0.18 -0.23 -0.75 0.14 -0.84 0.00 0.04 0.00 0.04 0.25 -0.22 -0.08 -0.06 0.25 -0.09 -0.03 0.12 -0.25 0.19 0.07 0.01 -0.02 -0.42 0.06 -0.38 -0.57 0.98 0.79 1.19 -0.01 0.02 0.00 0.01 0.54 -0.20 0.16 0.50 0.29 -0.02 0.01 0.28 0.29 -0.15 0.92 1.06 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 30 Consulting' City of Sebastian Police Officers' Retirement Plan Boston Partners - SMID Value - Portfolio Characteristics as of March 31, 2021 Portfolio Characteristics Top Ten Equity Holdings Portfolio Benchmark Portfolio Benchmark Active Quarterly Wtd. Avg. Mkt. Cap ($000) 6,219,188.13 7,145,390.69 Weight Weight Weight Return Median Mkt. Cap ($000) 4,858,092.95 1,462,559.69 (%) (%) (%) (%) Price/Earnings ratio 18.39 20.91 SLM Corp 2.50 0.13 2.37 45.31 Price/Book ratio 2.14 227 WESCO International Inc 1.53 0.11 1.42 10.23 5 Yr. EPS Growth Rate (°/) 10.36 6.94 ASGN Inc 1.42 0.02 1.40 14.26 Beta (3 Years, Monthly) 1.10 1.00 Essent Group Ltd 1.38 0.13 1.25 10.35 Number of Stocks 175 1,952 Envista Holdings Corp 1.37 0.17 1.20 20.96 Debt to Equity (/) 128.70 153.92 FTI Consulting Inc. 1.32 0.13 1.19 25.41 Concentrix Corp 1.29 0.16 1.13 51.69 Diamondback Energy Inc 1.27 0.32 0.95 52.66 Huntington Bancshares Inc 1.27 0.00 1.27 25.62 Championx Corp 1.27 0.10 1.17 42.03 % of Portfolio 14.62 1.27 13.35 Ten Best Performers Ten Worst Performers Portfolio Benchmark Active Quarterly Portfolio Benchmark Active Quarterly Weight Weight Weight Return Weight Weight Weight Return Ultra Clean Holdings Inc 0.95 0.00 0.95 86.32 KAR Auction Services Inc 1.03 0.05 0.98 -19.40 PDC Energy Inc 0.38 0.09 0.29 67.56 Science Applications International Corp 1.05 0.11 0.94 -11.34 Enerplus Corp 0.34 0.00 0.34 60.96 Vistra Corp 0.52 0.22 0.30 -9.33 Midland States Bancorp Inc 0.36 0.02 0.34 57.33 Sotera Health Co 0.52 0.02 0.50 -9.04 Diamondback Energy Inc 1.27 0.32 0.95 52.66 DaVita HealthCare Partners 0.53 0.00 0.53 -8.20 Concentrix Corp 1.29 0.16 1.13 51.69 PRA Group Inc 0.39 0.04 0.35 -6.53 Aegion Corp 0.22 0.02 0.20 51.40 International Game Technology PLC 0.30 0.04 0.26 -5.25 PacWest Bancorp 0.66 0.12 0.54 51.20 EVERTEC Inc 0.51 0.00 0.51 -5.22 ProAssurance Corp 0.68 0.04 0.64 50.70 Allison Transmission Holdings Inc 0.53 0.04 0.49 -4.86 Navient Corp 0.85 0.07 0.78 47.57 Harsco Corp 0.43 0.03 0.40 -4.62 % of Portfolio 7.00 0.84 6.16 % of Portfolio 5.81 0.55 5.26 Graystone Page 31 Consulting' 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 f u ai 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 Fiera Capital - SMID Growth 7.00 30.54 98.88 21.33 22.41 Russell 2500 GR 2.49 29.02 87.50 19.96 20.18 Differences 4.51 1.52 11.38 1.37 2.23 Historic Asset Growth Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 Fiera Capital - SMID Growth Beginning Market Value 1,584 1,018 671 782 669 Net Contributions -30 302 301 276 275 Fees/Expenses -3 -5 -8 -20 -22 Income 2 4 6 16 19 Gain/Loss 108 341 689 606 720 Ending Market Value 1,660 1,660 1,660 1,660 1,660 Modern Portfolio Statistics Manager Risk & Return 35.0 30.0 25.0 20.0 - 15.0 W 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/O1/2017 Russell 2500 GR 20.18 21.92 1.00 -23.30 100.00 100.00 0.00 0.89 1.00 08/O1/2017 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 Consulting' Page 32 City of Sebastian Police Officers' Retirement Plan Fiera Capital SMID Growth - Change in Assets & Distribution of Returns as of March 31, 2021 Historic Change in Assets $2.5 a o $2.0 $1.5 $1.0 $0.0 $1.7 "/-11.s $0.9 7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 10/19 1/20 4/20 7/20 10/20 1/21 3/21 — Fiera Capital - SMID Growth Russell 2500 GR — Net Cash Flow Quarterly Change in Assets Market Value Net As of Transfers Contributions Distributions 01/01/2021 Fiera Capital - SMID Growth 1,583,746.15 863,910.26-894,302.08 Distribution of Returns 20 15 u C u D 10 u w 5 5 1 0 0 Return On Market Value Fees Expenses Investment As of 03/31/2021 -2,969.75 109,856.09 1,660,240.67 12 < -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 > 5 Returns (%) 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 33 Graystone Consulting' City of Sebastian Police Officers' Retirement Plan Fiera Capital - SMID Growth - Quarterly Performance Attributes as of March 31, 2021 Allocation Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities 0.0 8.0 16.0 24.0 Fiera Capital - SMID Growth Russell 2500 GR Total Attribution Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities 32.0 40.0 48.0 Perforrnance Communication Services Consumer Discretionary - Consumer Staples - Energy Financials Health Care Industrials Information Technology Materials F7 Real Estate Utilities -30,0 -15.0 0 I0 15.0 30.0 Fiera Capital - SMID Growth L , Russell 2500 GR -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 The prices, quotes, or statisucs contained herein have been obtained from sources beheved to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Page 34 45.0 60.0 3.5 4.0 Graystone Consulting' City of Sebastian Police Officers' Retirement Plan Fiera Capital - SMID Growth - Quarterly Performance Attributes as of March 31, 2021 Allocation - O1/01/2021 Performance - Quarter Ending March 31, 2021 Portfolio Benchmark Portfolio Benchmark Communication Services 5.29 2.48 4.40 -0.07 Consumer Discretionary 18.10 11.77 24.29 13.78 Consumer Staples 0.84 2.68 21.00 12.14 Energy 1.70 0.10 23.46 34.71 Financials 6.73 3.98 24.94 2.16 Health Care 27.31 29.10 2.09 -1.98 Industrials 8.22 11.89 8.09 11.89 Information Technology 28.47 31.44 -2.77 -2.51 Materials 3.33 2.94 21.53 11.18 Real Estate 0.00 2.59 0.00 5.83 Utilities 0.00 1.02 0.00 -0.29 Total 100.00 100.00 8.05 2.59 Attribution Sector Stock Interaction Total -0.07 0.11 0.13 0.16 0.71 1.24 0.67 2.61 -0.18 0.24 -0.16 -0.10 0.51 -0.01 -0.18 0.32 -0.01 0.91 0.63 1.52 0.08 1.18 -0.07 1.19 -0.34 -0.45 0.14 -0.65 0.15 -0.08 0.01 0.08 0.03 0.30 0.04 0.38 -0.08 0.00 0.00 -0.08 0.03 0.00 0.00 0.03 0.83 3.44 1.19 5.46 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 35 Graystone Consulting' City of Sebastian Police Officers' Retirement Plan Fiera Capital - SMID Growth - Portfolio Characteristics as of March 31, 2021 Portfolio Characteristics Top Ten Equity Holdings Portfolio Benchmark Portfolio Benchmark Active Quarterly Wtd. Avg. Mkt. Cap ($000) 10,930,949.23 7,565,479.37 Weight Weight Weight Return Median Mkt. Cap ($000) 8,760,673.24 1,709,993.88 (%) (%) (%) (%) Price/Earnings ratio 32.26 35.79 Etsy Inc 3.14 0.99 2.15 13.35 Price/Book ratio 4.73 6.43 Entegris Inc 2.69 0.58 2.11 16.43 5 Yr. EPS Growth Rate (°/) 15.03 19.42 Citizens Financial Group Inc 2.65 0.00 2.65 23.46 Beta (3 Years, Monthly) 0.95 1.00 Synchrony Financial 2.63 0.00 2.63 17.84 Number of Stocks 71 1,353 Arrowhead Pharmaceuticals Inc 2.42 0.28 2.14 -13.58 Debt to Equity (/) -2,901.42 -1,608.89 Mohawk Industries Inc. 2.25 0.00 2.25 36.44 Berry Global Group Inc 2.13 0.12 2.01 9.27 PVH Corp 2.11 0.00 2.11 12.58 Mosaic Company (The) 2.04 0.00 2.04 37.59 Dolby Laboratories Inc 1.98 0.03 1.95 1.88 of Portfolio 24.04 2.00 22.04 Ten Best Performers Ten Worst Performers Portfolio Benchmark Active Quarterly Portfolio Benchmark Active Quarterly Weight Weight Weight Return Weight Weight Weight Return (%) (%) (%) (%) (%) (%) (%) (%) Invesco Ltd 1.45 0.00 1.45 45.68 Amicus Therapeutics Inc 0.95 0.11 0.84 -57.21 Revolve Group Inc 1.69 0.00 1.69 44.14 iRhythm Technologies Inc 1.53 0.17 1.36 -41.46 Championx Corp 1.89 0.00 1.89 42.03 MongoDB Inc 0.82 0.58 0.24 -25.52 CarMax Inc 1.98 0.00 1.98 40.44 NovoCure Ltd 1.43 0.55 0.88 -23.61 Devon Energy Corp 1.06 0.00 1.06 39.91 B1ackLine Inc 1.36 0.23 1.13 -18.73 TTEC Holdings Inc 1.49 0.08 1.41 37.74 Paycom Software Inc 1.29 0.00 1.29 -18.17 Mosaic Company (The) 2.04 0.00 2.04 37.59 Ritchie Bros Auctioneers Inc 0.62 0.00 0.62 -15.49 Mohawk Industries Inc. 2.25 0.00 2.25 36.44 Qualys Inc 1.44 0.15 1.29 -14.02 DicWs Sporting Goods Inc. 1.72 0.00 1.72 36.11 Biomarin Pharmaceutical Inc 1.65 0.00 1.65 -13.89 BeiGene Ltd 1.72 0.00 1.72 34.71 Arrowhead Pharmaceuticals Inc 2.42 0.28 2.14 -13.58 of Portfolio 17.29 0.08 17.21 % of Portfolio 13.51 2.07 11.44 Graystone Page 36 Consulting' City of Sebastian Police Officers' Retirement Plan Highland - International Value - Executive Summary as of March 31, 2021 Manager Performance Chart 100.0 75.0 a 50.0 v a 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 SAFE 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 Inception Quarter YTD Year Years 08/O1/2017 Highland - Intl Value Beginning Market Value 985 722 573 732 701 Net Contributions - 130 129 154 154 Fees/Expenses -1 -2 -3 -9 -12 Income 3 9 16 53 61 Crain/Loss 51 179 322 108 134 Ending Market Value 1,038 1,038 1,038 1,038 1,038 Modern Portfolio Statistics Return Standard Beta Maximum Deviation Drawdown Highland - Intl Value 6.55 18.94 1.12 -28.37 MSCI EAFE Net 6.35 16.32 1.00 -22.83 Manager Risk & Return �.o 8.0 -- 7.0 - 6.0 - 5.0 - 4.0 a 3.0 2.0 1.0 -- 0.0 - -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 Risk (Standard Deviation %) Highland - Intl Value Q MSCI SAFE Net . 90-Day T-Bills Up Down Alpha Sharpe R-Squared Inception Capture Capture Ratio Date 112.42 113.83 -0.24 0.36 0.93 08/01/2017 100.00 100.00 0.00 0.37 1.00 08/O1/2017 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. Gtaystone Page 37 Consulting' City of Sebastian Police Officers' Retirement Plan Highland - International Value - Change in Assets & Distribution of Returns as of March 31, 2021 Historic Change in Assets $1.5 a 0 $1.2 $1.0 q $1.0 y $0.9 $0.8 $0.6 ro $0.3 7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 — Highland - Intl Value — MSCI EAFE Net — Net Cash Flow Quarterly Change in Assets Market Value Net 7/19 10/19 1/20 4/20 7/20 10/20 1/21 3/21 As of Transfers Contributions Distributions Fees Expenses 01/01/2021 Highland - Intl Value 985,261.57 5,073.10-5,213.94-1,231.78 Distribution of Returns 12 9 u C u II 6 u u. 3 0 Return On Market Value Investment As of 03/31/2021 53,643.70 1,037,532.65 8 < -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 > 5 Returns (%) 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 38 Graystone Consulting' City of Sebastian Police Officers' Retirement Plan Highland - Ind Value - Quarterly Performance Attributes as of March 31, 2021 Allocation Performance Communication Services I Communication Services Consumer Discretionary Consumer Staples Consumer Discretionary - Consumer Staples Energy Energy Financials I Financials Health Care Health Care Industrials Industrials y Information Technology Information Technology ro Materials Materials Real Estate - Real Estate - Utilities - - , Utilities Other Other 0.0 8.0 16.0 24.0 32.0 40.0 Highland - Intl Value MSCI EAFE Net Total Attribution Communication Services - Consumer Discretionary Consumer Staples Energy Financials - Health Care Industrials Information Technology Materials Real Estate Utilities Other -30.0 -15.0 0.0 15.0 30.0 45.0 Highland - Intl Value E MSCI EAFE Net -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 The prices, quotes, or statistics contained herein have been obtained from sources beheved to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Page 39 0.8 1.0 1.2 Graystone Consulting' City of Sebastian Police Officers' Retirement Plan Highland - Intl Value - Quarterly Performance Attributes as of March 31, 2021 Allocation - 01/01/2021 Performance - Quarter Ending March 31, 2021 Portfolio Benchmark Portfolio Benchmark Communication Services 9.80 5.22 3.32 3.81 Consumer Discretionary 24.45 12.53 7.64 5.42 Consumer Staples 7.62 10.94 -4.07 -2.70 Energy 2.08 3.13 31.78 10.80 Financials 8.28 16.31 12.43 9.75 Health Care 9.98 12.85 -0.15 -3.74 Industrials 6.88 15.22 15.61 5.48 Information Technology 22.60 8.94 6.09 2.31 Materials 5.02 7.87 4.75 5.21 Real Estate 0.00 3.10 0.00 2.56 Utilities 1.12 3.88 0.36 -2.51 Other 2.17 0.00 3.23 0.00 Total 100.00 100.00 6.32 3.46 Attribution Sector Stock Interaction Total 0.02 -0.03 -0.02 -0.03 0.23 0.28 0.26 0.78 0.20 -0.15 0.05 0.10 -0.08 0.66 -0.22 0.36 -0.50 0.44 -0.21 -0.28 0.21 0.46 -0.10 0.57 -0.17 1.54 -0.85 0.53 -0.16 0.34 0.52 0.70 -0.05 -0.04 0.01 -0.07 0.03 0.00 0.00 0.03 0.17 0.11 -0.08 0.20 -0.01 0.00 0.00 -0.01 -0.11 3.61 -0.65 2.86 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 40 Consulting' City of Sebastian Police Officers' Retirement Plan Highland - Intl Value - Portfolio Characteristics as of March 31, 2021 Portfolio Characteristics Top Ten Equity Holdings Portfolio Benchmark Portfolio Benchmark Active Quarterly Wtd. Avg. Mkt. Cap ($000) 147,740,115.63 71,231,653.33 Weight Weight Weight Return Median Mkt. Cap ($000) 54,705,125.60 12,927,746.85 (%) (%) (%) (%) Price/Earnings ratio 20.80 22.71 Sony Group Corporation 8.96 0.81 8.15 4.86 Price/Book ratio 3.01 2.59 STMicroelectronics NV 6.53 0.15 6.38 3.37 5 Yr. EPS Growth Rate (°/) 14.24 3.49 Siemens AG 5.23 0.77 4.46 17.39 Beta (3 Years, Monthly) 1.13 1.00 Philips Electronics NV 4.88 0.32 4.56 5.28 Number of Stocks 53 876 Hitachi Ltd 4.35 0.27 4.08 15.02 Debt to Equity (/) 95.60 111.09 Kyocera Corp 3.74 0.13 3.61 3.76 Taiwan Semiconductor 3.55 0.00 3.55 8.87 Daimler AG 3.43 0.47 2.96 27.30 Glaxosmithkline PLC 3.21 0.55 2.66 -3.02 Honda Motor Co Ltd 3.01 0.30 2.71 6.90 % of Portfolio 46.89 3.77 43.12 Ten Best Performers Ten Worst Performers Portfolio Benchmark Active Quarterly Portfolio Benchmark Active Quarterly Weight Weight Weight Return Weight Weight Weight Return (%) (%) (%) (%) (%) (%) (%) (%) Ovintiv Inc 0.86 0.00 0.86 66.43 Credit Suisse Group 1.49 0.16 1.33 -17.19 Invesco Ltd 0.98 0.00 0.98 45.68 Smith & Nephew PLC 0.82 0.10 0.72 -10.13 ING Groep NV 1.52 0.29 1.23 31.27 Anheuser-Busch InBev SA/NV 2.71 0.30 2.41 -10.10 Atcelormittal SA 0.64 0.13 0.51 27.38 Unilever PLC 1.94 0.90 1.04 -6.62 Daimler AG 3.43 0.47 2.96 27.30 Novartis AG 1.03 1.17 -0.14 -6.01 NXP Semiconductors NV 1.21 0.00 1.21 27.01 SAP AG 2.95 0.79 2.16 -5.83 Fox Corp 0.52 0.00 0.52 21.68 iQIYI Inc 0.30 0.00 0.30 -4.92 Capri Holdings Ltd 0.61 0.00 0.61 21.43 JD.com Inc 2.02 0.00 2.02 -4.06 Siemens AG 5.23 0.77 4.46 17.39 Glaxosmithkline PLC 3.21 0.55 2.66 -3.02 Toronto -Dominion Bank (The) 1.96 0.00 1.96 16.81 Alibaba Group Holding Ltd 1.36 0.00 1.36 -2.58 % of Portfolio 16.96 1.66 15.30 % of Portfolio 17.83 3.97 13.86 Graystone Page 41 Consulting' City of Sebastian Police Officers' Retirement Plan Renaissance - International Growth - Executive Summary as of March 31, 2021 Manager Performance Chart Manager Risk & Return 100.0 10.5 75.0 9.0 v 50.0 7.5 P9 25.0 6.0 0.0 4.5 Current Fiscal 1 3 Since ■ Quarter YTD Year Years Inception °py Manager Annualized Performance 3.0 Current Fiscal 1 3 Inception 1.5 Quarter YTD Year Years 08/O1/2017 Renaissance - International Growth 4.44 24.54 57.78 3.18 4.03 MSCI AC World ex US Net 3.49 21.10 0.0 49.41 6.56 7.05 - Differences 0.95 3.44 8.37 -3.38 -3.02 Historic Asset Growth -1.5 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 Current Fiscal 1 3 Inception Risk (Standard Deviation % ) Quarter YTD Year Years 08/O1/2017 Renaissance - International Growth Renaissance - International Growth Q MSCI AC World ex US Net Beginning Market Value 1,497 1,041 825 1,065 1,016 Net Contributions -17 233 232 360 359 . 90-Day T-Bills Fees/Expenses -2 -4 -7 -21 -24 Income 2 6 17 68 77 Gain/Loss 64 269 477 71 115 Ending Market Value 1,543 1,543 1,543 1,543 1,543 Modern Portfolio Statistics 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/O1/2017 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 Consulting' Page 42 City of Sebastian Police Officers' Retirement Plan Renaissance - International Growth - Change in Assets & Distribution of Returns as of March 31, 2021 Historic Change in Assets $2.5 a s $2.0 � $1.7 $1.5 $1.5 $1.0 —_ _., v $0.5 $0.0 7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 10/19 1/20 4/20 7/20 10/20 1/21 3/21 — Renaissance - International Growth MSCI AC World ex US Net — Net Cash Flow Quarterly Change in Assets Market Value Net Return On Market Value As of Transfers Contributions Distributions Fees Expenses Investment As of 01/01/2021 03/31/2021 Renaissance - International Growth 1,496,586.45 442,450.45 -459,702.27-2,445.13 - 66,239.32 1,543,128.82 Distribution of Returns 16 12 10 u C 0 8 7 8 u W 5 4 3 3 3 2 2 Wj 1 0 IL 0 M 0 < -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 > 5 Returns (%) 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 43 Consulting' City of Sebastian Police Officers' Retirement Plan Renaissance - International Growth - Quarterly Performance Attributes as of March 31, 2021 Allocation Perforrnance Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care i Industrials Information Technology Materials Real Estate Utilities 0.0 6.0 12.0 18.0 Renaissance - International Growth MSCI AC World ex US Net Total Attribution Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials - Real Estate Utilities Communication Services Consumer Discretionary - Consumer Staples - Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities 24.0 30.0 -20,0 -10.0 0.0 10.0 Renaissance - International Growth MSCI AC World ex US Net -3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 The prices, quotes, or statisucs contamed herein have been obtained from sources beheved to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Page 44 20.0 30.0 3.5 4.0 Graystone Consulting' City of Sebastian Police Officers' Retirement Plan Renaissance - International Growth - Quarterly Performance Attributes as of March 31, 2021 Allocation - 01/01/2021 Performance - Quarter Ending March 31, 2021 Portfolio Benchmark Portfolio Benchmark Communication Services 10.46 7.06 1.09 5.38 Consumer Discretionary 12.36 13.80 -8.11 2.06 Consumer Staples 7.92 8.93 1.77 -2.32 Energy 3.56 4.31 -7.43 9.80 Financials 12.23 18.04 6.73 8.51 Health Care 13.10 9.56 -3.53 -3.61 Industrials 9.97 11.58 11.42 5.30 Information Technology 21.12 12.69 14.27 3.56 Materials 7.82 8.08 0.04 5.55 Real Estate 0.00 2.62 0.00 3.62 Utilities 1.46 3.33 4.94 -1.22 Total 100.00 100.00 3.57 3.64 Attribution Sector Stock Interaction Total 0.06 -0.30 -0.15 -0.39 0.02 -1.40 0.15 -1.24 0.06 0.37 -0.04 0.38 -0.05 -0.74 0.13 -0.66 -0.28 -0.32 0.10 -0.50 -0.26 0.01 0.00 -0.25 -0.03 0.71 -0.10 0.58 -0.01 1.36 0.90 2.26 0.00 -0.45 0.01 -0.44 0.00 0.00 0.00 0.00 0.09 0.21 -0.12 0.18 -0.39 -0.57 0.90 -0.06 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 45 Consulting' City of Sebastian Police Officers' Retirement Plan Renaissance - International Growth - Portfolio Characteristics as of March 31, 2021 Portfolio Characteristics Top Ten Equity Holdings Portfolio Benchmark Portfolio Benchmark Active Quarterly Wtd. Avg. Mkt. Cap ($000) 84,747,079.36 99,846,192.63 Weight Weight Weight Return Median Mkt. Cap ($000) 32,372,443.14 9,648,719.34 (%) (%) (%) (%) Price/Earnings ratio 20.84 21.14 AerCap Holdings NV 2.56 0.00 2.56 28.87 Price/Book ratio 3.08 2.67 Lenovo Group Ltd 2.55 0.04 2.51 50.69 5 Yr. EPS Growth Rate (%) 8.48 6.26 Tokyo Electron Ltd 2.38 0.24 2.14 13.85 Beta (3 Years, Monthly) 1.14 1.00 KB Financial Group Inc 2.33 0.08 2.25 24.82 Number of Stocks 56 2,357 Fabrinet 2.19 0.00 2.19 16.50 Debt to Equity (/) 87.90 105.83 Stellantis NV 2.16 0.14 2.02 -31.58 Oil Co LUKOIL PJSC 2.12 0.13 1.99 15.97 NXP Semiconductors NV 2.10 0.00 2.10 27.01 United Overseas Bank Ltd 2.07 0.09 1.98 12.47 Icici Bank Ltd 2.05 0.16 1.89 7.87 % of Portfolio 22.51 0.88 21.63 Ten Best Performers Ten Worst Performers Portfolio Benchmark Active Quarterly Portfolio Benchmark Active Quarterly Weight Weight Weight Return Weight Weight Weight Return (%) (%) (%) (%) (%) (%) (%) (%) Lenovo Group Ltd 2.55 0.04 2.51 50.69 Stellantis NV 2.16 0.14 2.02 -31.58 AerCap Holdings NV 2.56 0.00 2.56 28.87 Neste OYJ 1.34 0.09 1.25 -25.86 NXP Semiconductors NV 2.10 0.00 2.10 27.01 Geely Automobile Holdings Ltd 1.35 0.06 1.29 -25.56 KB Financial Group Inc 2.33 0.08 2.25 24.82 TIM S.A. 1.51 0.01 1.50 -18.46 JOYY Inc 1.66 0.02 1.64 17.19 Check Point Software 1.61 0.05 1.56 -15.76 Fabrinet 2.19 0.00 2.19 16.50 Dr Reddy'S Laboratories Ltd 1.52 0.03 1.49 -13.89 Oil Co LUKOIL PJSC 2.12 0.13 1.99 15.97 Nintendo Co Ltd 1.50 0.24 1.26 -12.27 Tokyo Electron Ltd 2.38 0.24 2.14 13.85 Roche Holding AG 1.70 0.87 0.83 -4.41 CRH PLC 1.78 0.14 1.64 12.57 Shin-Etsu Chemical Co Ltd 1.81 0.23 1.58 -3.62 United Overseas Bank Ltd 2.07 0.09 1.98 12.47 WH Group Ltd 1.73 0.03 1.70 -3.33 of Portfolio 21.74 0.74 21.00 % of Portfolio 16.23 1.75 14.48 Graystone Page 46 Consulting' City of Sebastian Police Officers' Retirement Plan Highland - Fixed Income - Executive Summary as of March 31, 2021 Manager Performance Chart Manager Risk & Return 12.0 5.4 8.0 4.8 � 4.0 ■ . ■ � 4.2 ■ a 0.0 � 3.6 - -4.0 3.0 - -8.0 Current Fiscal 1 3 Since Quarter YTD Year Years Inception ° 2.4 Manager Annualized Performance 1.8 Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 1.2 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 0.6 Differences 1.80 2.18 2.88 0.66 0.56 Historic Asset Growth 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 Risk (Standard Deviation % ) Quarter YTD Year Years 08/01/2017 Highland - Fixed Income Highland - 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 Crain/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/O1/2017 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 Consulting' Page 47 City of Sebastian Police Officers' Retirement Plan Highland - Fixed Income - Change in Assets & Distribution of Returns as of March 31, 2021 Historic Change in Assets $24.0 a 0 $16.0 C y $8.0 D $0.0 ro I $4.5 $1.0 ($1.1; ($8.0) 1/11 7/11 1/12 7/12 1/13 7/13 1/14 7/14 1/15 7/15 1/16 7/16 1/17 7/17 1/18 7/18 1/19 7/19 1/20 7/20 3/21 — Highland -Fixed Income Barclays Aggregate — Net Cash Flow Quarterly Change in Assets Market Value Net Return On Market Value As of Transfers Contributions Distributions Fees Expenses Investment As of 01/01/2021 03/31/2021 Highland - Fixed Income 4,548,890.44 4,459,135.58-4,472,842.32 -3,408.30-71,195.28 4,460,580.12 Distribution of Returns 45 32 � 30 u C u C u u. 15 0 0 < -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 Returns (%) 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 48 >5 Graystone Consulting' City of Sebastian Police Officers' Retirement Plan Intercontinental - Private Real Estate - Executive Summary as of March 31, 2021 Manager Performance Chart Manager Risk & Return 12.0 12.0 9.0 10.0 v 6.0 a 8.0 3.0 6.0 0.0 Current Fiscal 1 3 Since Quarter YTD Year Years Inception °� 4.0 Manager Annualized Performance 2.0 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 0.0 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 -20 -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 0 Intercontinental - Private Real Estate © 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 - - - - - Crain/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/O1/2017 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 Consulting' Page 49 City of Sebastian Police Officers' Retirement Plan Intercontinental - Private Real Estate - Change in Assets & Distribution of Returns as of March 31, 2021 Historic Change in Assets $1.2 a $0.9 $0.6 u $0.3 v $0.0 ($0.3) 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 10/19 1/20 — Intercontinental - Private Real Estate — NCREIF Property Idx — Net Cash Flow Quarterly Change in Assets Intercontinental - Private Real Estate Distribution of Returns 45 $0.7 $0.7 $0.6 4/20 7/20 10/20 1/21 3/21 Market Value Net Return On Market Value As of Transfers Contributions Distributions Fees Expenses Investment As of 01/01/2021 03/31/2021 724,155.00-2,635.00-1,763.00 - 18,112.00 737,869.00 31 � 30 u C u C u u. 15 0 0 0 0 0 0 < -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 Returns (%) 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 50 0 0 4To5 >5 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 Jut-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. Graystone Page 51 Consulting' Performance Appendix Performance Data beloir is net of fees. Please see the Morgan Stanley Smith Barney LLC Form AD Part 2 Brochure, for advisory accourvts andlor any applicable brokerage account trade confirmation statements for a fell disclosure of the applicable charges, fees and ecpenses. Your Financial Advisor will provide those documents to you upon request. 1 3 5 10 Since inception Account Name QTD VTD Year Years Years Years inception Date Boston Partners - SMID Value 19.06 19.06 101.41 10.02 9.17 07/14/2017 Fiera Capital - SMID Growth 6.80 6.90 97.50 20.45 20.76 07/20/2017 Highland - Fixed Income -1.64 -1.64 3.29 4.99 5.56 5.62 5.59 01 /31 /2011 Highland - Intl Value 5.32 5.32 56.75 5.92 6.57 07/17/2017 Highland - Large Cap Value 13.88 13.88 57.12 10.28 9.69 07/17/2017 Intercontinental - Private Real Estate 2.27 2.27 3.10 5.98 6.66 10/01 /2017 Lazard - Global Infrastructure 3.55 3.55 3.55 12/31/2020 Polen - Large Cap Growth 04/01/2021 Receipt & Disbursement -22.16 -22.16 -24.57 -13.32 -10.77 09/01/2017 Renaissance - International Growth 4.27 4.27 56.81 2.53 3.42 07/17/2017 iShares - Russell 1000 Growth ETF 1.50 L50 1.50 12/31/2020 All performance above are T hne Weighted(TWR) performance Glossary of Terms performance. Active Contribution Return: The gain or loss percentage of an investment relative to the performance of Core: Refers to an investment strategy mandate that is blend of growth and value styles without a the investment benchmark. pronounced tilt toward either style. Active Exposure: The percentage difference in weight of the portfolio compared to its policy benchmark Active Return: Aritlnnetic 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 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. Tt 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 retum. 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 rerun, 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 TDP 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 (CAPMI) 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. Tt 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 thud's valley (length), and the time from the fund's valley to a new fund high (recovery). Tt 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 pan 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 terns 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." Tt 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 retums-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. Tt is generally used to rank portfolios, funds and benchmarks. A higher ratio is indicative of higher retums 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 fugures shown. Past performance is not a guarantee of future results. Please see the Morgan Stanley Smith Barney LLC Form ADV Part 1 Brochure for advisory accounts and/or any applicable brokerage account trade confirmation statenhents for a fill 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 aceount(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 not guarantee 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 tip 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 tire prospectus carefully. To obtain a prospectus, please contact your Financial Advisor or visit the funds' eompany 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 cagy 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 maybe 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 rating 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. Tf 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 aid 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, U.C. 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 arecalculated 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/return 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 Tnstitutional 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 STPC. 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 hndividual Retirement Account (`IRA"), such positions are held by Morgan Stanley Smith Barney LLC as the custodian of your Morgan Stanley TRA; 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 STPC. 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 altemative-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 for 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 abroad 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 25%), 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 mid 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 S 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 S 1 1 5,762.50 without the fees and S 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://w v.morganstanlev.com/ADV><http!/hvww.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. Tnterests 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 FDTC-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. STPC 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 S 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 Tnsurance Corporation or other government agency.