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HomeMy WebLinkAbout2nd Qtr Summary ending 6-30-2022City of Sebastian Police Officers' Retirement Plan Quarterly Performance Summary As of _June 30, 2022 Graystone Consulting from Morgan Stanley Scott Owens, CFA®, CIMA® David Wheeler, CIMA®, CFP®, CRPS® Andy McIlvaine, CIMA® Managing Director - Wealth Management Managing Director - Wealth Management Associate Vice President Institutional Consulting Director Institutional Consulting Director Institutional Consultant Corporate Retirement Director Alternative Investment Director Financial Advisor - Wealth Management Impact Investing Director Corporate Retirement Director Andy.McIIvaine@msgraystone.com Alternative Investment Director David.A.Wheeler@msgraystone.com (813) 227-2160 Scott.Owens@msgraystone.com (813) 227-2178 (813)227-2027 City of Sebastian Police Officers' Retirement Plan Goal Review as of June 30, 2022 Goals: General Obiectives The primary investment objective of the City of Sebastian Police Officers' Retirement System is the preservation of invested capital. The secondary objective is to achieve moderate long term real growth of the assets while minimizing the volatility of returns. To achieve these objectives, the Board seeks to create a conservative, well diversified and balanced portfolio of equity, fixed income, and money market securities. The Board has determined that one or more outside investment managers shall be retained to assure all investments are managed in a prudent and professional manner and in compliance with the stated investment guidelines. Investment Obiectives Investment Objectives are intended to provide quantifiable benchmarks to measure and evaluate portfolio return and risk. Asset allocation requires a full market cycle to allow a diversified portfolio of investment managers to demonstrate their abilities. As a result, performance results will be measured over a full market cycle. Performance over shorter time periods will be monitored as a means of identifying the trend of results. The specific investment objectives of the City of Sebastian Police Officers' Retirement System are as follows: Primary Objective: To earn a total rate of return over the long term (a full market cycle) which exceeds the return of a Target Index. The Target Index for the City of Sebastian Police Officers' Retirement System is defined as: 16.25% Russell 1000 Value, 16.25% Russell 1000 Growth, 12.00% Russell 2500 Value, 8.00% Russell 2500 Growth, 5% MSCI EAFE (Net), 7.50% MSCI ACWI ex US (Net), 25% Bloomberg Barclays U.S. Aggregate, 5.00% Dow Jones Brookfield Infrastructure Composite, 5.00% NCREIF indexes. In addition, it is expected the total rate of return earned by the Fund and the returns earned by the stock, bond, and cash portfolios will rank above average when compared to a representative universe of other similarly managed portfolios. Secondary Objectives: A further goal of the City of Sebastian Police Officers' Retirement System shall be to achieve a return greater than the assumed actuarial rate of return over the longer term. This absolute return objective will be evaluated in the context of the prevailing investment market conditions. In addition, the Fund should earn a return greater than inflation, as measured by the Consumer Price Index, by 3.0% per year. Volatility: The volatility of the Funds total returns is expected to be similar to the Target Index and will be evaluated accordingly. (source: September2021 IPS) The price, quotes, and statistics contained herein have been obtained from sources believed to be reliable, however, it's accuracy cannot be guaranteed. Past performance is not a Graystone guarantee of future results. Page 2 Consulting g from MorganStantey City of Sebastian Police Officers' Retirement Plan Timeline Review as of June 30, 2022 Timeline: December 2021: Education Workshop September 2021: Investment Policy Statement March 2020: Replaced Large -Cap Growth Manager December 2020: • Removed: MLP • Large -Cap Growth Manager Search September 2020: • Investment Policy Statement • Large -Cap Growth Manager Search • International Growth Manager Search • Infrastructure Fund Search • Infrastructure Education March 2020: • Investment Policy Statement • Asset Allocation Study • Large -Cap Growth Manager Search September 2019: Large -Cap Growth Manager Search May 2019: Large -Cap Growth Manager Search December 2018: Fixed Income Manager Search October 2017: Added: Private Real Estate Fund July 2017: Diversified into the following accounts: • Large -Cap Value Manager • Large -Cap Growth Manager • SMID Value Manager • SMID Growth Manager • International Value Manager • International Growth Manager • MLP • Cash Account December 2016: • Investment Policy Statement • Full Manager Search • Asset Allocation Study • September 2016: • Asset Allocation Study • Investment Policy Statement • June 2016: • Asset Allocation Study • Investment Policy Statement • January 2016: Investment Policy Statement • June 2015: Asset Allocation Study • March 2015: Asset Allocation Study • September 2014: Asset Allocation Study • March 2013: • Investment Policy Statement • Asset Allocation Study • Alts Education • December 2012: Asset Allocation Study • March 2011: Investment Policy Statement • January 2011: • Added: Domestic Equity Account • Added: International Equity Account • Added: Fixed Income Manager The price, quotes, and statistics contained herein have been obtained from sources believed to be reliable, however, it's accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Page 3 Graystone Consulting from MorganStantey G raystone Consulting from Morgan Stanley Graystone Consulting: Market Commentary Q2 2022 Page 4 Graystone Consulting from Morgan Stanley Graystone Consulting Q2 2022 Overview It was a quarter of broken records and shocks across asset classes; not all of them were good and many were difficult to avoid as the Federal Reserve initiated monetary and quantitative tightening to fight accelerating inflation. Even as corporate earnings forecasts remained relatively consistent throughout the quarter, consumers and investors navigated higher inflation, soaring commodity prices, and rising interest rates alongside supply chain rebalancing, geopolitical turmoil, and the continuation of covid pressures. Each of these factors led to expectations for slower growth and eventually lower corporate earnings, as well as inflation -driven recession speculation. Markets, including stocks, bonds, and crypto were roiled, yet the US dollar was firm, as the US dollar index rose to levels last seen in 2002. The US and many other regions across the globe experienced high inflationary levels due to supply chain pressures that resulted from the pandemic as well as the conflict in Ukraine. Headline CPI in the US neared 8.5% year over year, a level last seen 40 years ago. Additionally, eurozone inflation met an all-time high since the creation of the euro in 1999, with many eurozone countries experiencing double-digit increases since 2021. Source: Morgan Stanley GIC. Michael Wilson July 2022 Client Letter. Pag6r4stone Consulting I Market Commentary Q2 2022 In light of the persistently elevated inflation readings in the US, the Fed embarked on a path of interest rate hikes and Federal Reserve balance sheet reductions to try to lower inflation closer to the Federal Open Market Committee (FOMC)'s 2% long-term target. As a result, Treasury yields rose through mid -June and then fell by the end of the month. The US Treasury 10-year started the second quarter at 2.34% and rose to 3.5% by June 14, to decline to 3.0% on June 30. A similar movement was seen for the US Treasury 2-year. The Fed's aggressive rate hikes resulted in significant fixed income losses in the second quarter, compounding the first quarter losses. These year-to-date returns were some of the worst in decades. The Bloomberg US Aggregate Bond Index, a broad measure of the US bond market, fell 4.7% in 2Q22 after a 5.9% decline in the first quarter. With earnings revisions moving lower off the prior peak, investors should focus on risk management through quality factor exposure, defensiveness with regard to interest rate sensitivity, and attention to stock -specific valuations. We are moving to a position of maximum diversification by sector and market cap, While the US recovery matures, we see opportunities outside the US as relatively more attractive, especially given less expensive valuations and exposure to economic cyclicality. In fixed income, the challenge is two -fold: generating sufficient income, while also preserving capital in a rising rate and higher inflation environment. This requires a diversified and active exposure. Graystone _ Consulting from Morgan Stanley 2 G raystone Consulting from Morgan Stanley Second Quarter Rout US Stocks, Global Equities and Bonds all slide in second quarter, breaking records Nov 3-- The Fed announces tapering 10 % March 16 - May 4 - 12 MOS Ended The Fed announces The Fed 0.25 % rate hike announces 0.50 % 6)30)2022 rate hike June 10 - \CIPI hits sin c e hig \�k highest since 198� 0 %`i - - -10.3% -10 % -10.6% -15.4% _ � 1 -17.8% Nov 2e _20% - Omicron emergence sends markets in is tailspin on Black -25.2% Friday Fed 24 -- -25.3% Russia invades Ukraine, the largest conventional military attack in Europe since WWII June15- -30 % ry ti ry The Fed �'-t'announoes0.75% OCt74 aoa Q®tf ,�(� �m� �a PQ � yA rate hike P Total Returns as of Q2 2022 S&P 500 Russell 2000 MSCI EAFE MSCI EM :CWI Barclays Aggregate 4.6% -7.5% -5.9% -7.0% -5.3% -5.9% Q1 2022 0 a -17.2% -14.5% -11.5% -15.5% -4.7 /o -16.1 /o Q2 20 0 -23.5% -19.6% -17.6% -20.0% -10.4% YTD 2022 -20.0 /o 10.6% -25.2% -17.8% -25.3% -15.4% -10.3% 12 Months Graystone Source: Bloomberg. Data as of June 30, 2022 -For index definitions to the indices referenced in this report please visit the following: https://www.morganstanley.com/wealth-investmentsolution _ Consulting from MomanStanley 3 PagArOystone Consulting I Market Commentary Q2 2022 Graystone Consulting from Morgan Stanley A Historically Bad First Half Active management improves, but remains challenged Global Equity Performance YTO as of June 30, 2022 -11.3% MSCI Canada l + -8.6% ®n MSCI UK IMI -20.31u • -20.0% -20.0% MSCI Europe IMI ® -11.2% ClJapanlMl S&P 500 MSCI Ch' IMI -7.7% MSCIMexicolMl ® +2,9% MSCI Brazil IMI tna _ 4. MSCI lhdia Iill . A `� US Fixed Income Indices As of June 30; 2022 R � r -1 0% MSCI Australia IMI EM (Local) -16.0% Global High Yield -16.9% -11.9% US High Yield Corp -14.2% -9.8% Global Aggregrate -13.9% US Aggregate -10.3% 4.7°r° US GovtfCorporate -11.1% 077111111111 ■ 6 months ending June 30. 2022 ■ 2Q 2022 Active Management Performance Rebounds After a difficult Q1; there has been a positive shift in active manager performance across a wide swath of asset classes. Table below shows % of active managers outperforming their respective index per quarter. Large Core 25% 57% Large Growth 23% 46% Large Value 61% 69% Source: Bloomberg, FactSet, Morgan Stanley & Co. Research PagGra7ystone Consulting I Market Commentary Q2 2022 Small Cap Growth 42% 47% Small Cap Value 44% 60% Emerging Mkts Equities International Equities 19% 32% 14% 63% Graystone Consulting_ from Morgan Stanley 4 Graystone Consulting from Morgan Stanley Road Ahead: Looming Recession or Stagflation? Difficult balancing act for the Fed THE FED'S WATCH LIST Macro factors influencing the Fed's Playbook CAN THE FED PULL OFF A SOFT LANDING Recent history suggests a soft landing may be difficult. Effective Federal Funds Rate NBER Recession Periods 2O% Sift Landing 16a/a — - — 1 Zola 8% 4% — - f 0% 1955 1966 1977 1988 1999 Source: Bloomberq, Morqan Stanley & Co Research PagerEystone Consulting I Market Commentary Q2 2022 2010 2021 Unemployment Rate Nonfarm payrolls (Thousands) Labor Force Participation Rate GDP Real Growth Rate Case-Shiller Home Price Index Core PCE Nominal CPI Data As of r Y31 3.6% May -2.2% 390 62.3% May 0.8% -1.5% Mar -7.9% 306 Mar 21.2% June 5.9% 9.1 % Graystone _ Consulting from Morgan Stanley 5 Graystone Consulting from Morgan Stanley Inflation Surges to Highest Levels in Decades The cost of necessities continues to rise dramatically HEADLINE LESS CORE CPI AT 50-YEAR HIGH Headline CPI Less Core CPI 5.0% 3.5% 2.0% 0.5% -1.0% -2,5% -4.0% 1962 1972 1982 1992 2002 2012 2022 PRICES AT THE PUMP PEAKED IN MID-JUNE $5.50 Daily National Average Gasoline Prices -- -- $5.00 $4.50 $4.00 $3.50 $3.00 Aug'21 Oct'21 Dec'21 Feb'22 Apr'22 Jun'22 GOODS AND ENERGY ARE UP DRAMATICALLY IN THE CPI 10% U5 Headline CPI Services Goods Energy 8% 6% 4% 2% D% 2017 2018 2019 2020 2021 2022 TRANSPORTATION IS DRIVING HEADLINE CPI Change in Contribution to Headline CPI, Year Over Year, 0.175% May 2022 to June 2022 0.150% 0.125% 0.100% 0.075% 0.050% J� 0.025% 0.000% — 451e, Z/ v 0 -** C //HIE le 4 a Source: Bloomberq, Morgan Stanley Wealth Management Global Investment Office, Federal Reserve, European Central Bank, Bank of Japan, Bank of Enqland, HaverGraystone _ Pa 6r stone Consulting Market Commentary Q2 2022 Consuley 6 g a5' 91 ry from Morgan Stanley Graystone Consulting from Morgan Stanley Morgan Stanley Forecasts We are likely nearing the peak of bad news for inflation, Fed policy and earnings guidance, but other risks remain as volatility continues. S&P 500 EARNINGS ESTIMATES/ Morgan Stanley $251 Consensus $231 $236 $225 2022E 2022E 2023E 2023E MS & CO. S&P 500 PRICE TARGET: MID -YEAR 20232 PRICE/EARNINGS PRICE UPSIDE/ LANDSCAPE EARNINGS MULTIPLE TARGET DOWNSIDE Bull Case $249 17.9 4,450 16.3% Base Case $236 16.5 3,900 2.0% Bear Case $212 15.9 3,350 -12.4% Current S&P 500 Price 3,825 MORGAN STANLEY & CO. FORECASTS (AS OF JULY 1, 2022)3 REAL GDP GROWTH (%) 10-YR GOVT. BOND YIELD (%) 2021 2022E 2023E Q3 '22E Q1 '23E Global 6.2 2.5 3.1 US 5.7 2.1 1.7 3.18 3.28 Euro Zone 5.3 2.8 0.2 UK 7.4 3.4 0.5 2.20 2.25 Japan 1.7 1.9 1.6 0.20 0.30 Emerging Markets 7.0 2.5 4.6 China 8.1 3.2 6.2 1. Source: Refinitiv, S&P, MS & Co. Research as of July 1, 2022 2. Note: Price targets are based on estimated 2023 earnings. Source: MS & Co. Research as of July 1, 2022 3. Source: Morgan Stanley & Co. Research Graystone Consulting I Market Commentary Q2 2022 HEADLINE INFLATION (%) 2021 2022E 2023E 3.6 7.9 4.6 4.7 7.9 2.8 A 2.6 8.0 4.4 2.6 8.3 -0.2 2.0 1.5 3.8 0.9 1.8 2.0 Gra stone Consult-ing from Morgan Stanley 7 G raystone Consulting from Morgan Stanley Disclosures Graystone Consulting from Morgan Stanley Disclosures Please let us know if you would like a copy of any of the referenced Morgan Stanley reports. The views expressed herein are those of the author and do not necessarily reflect the views of Morgan Stanley Wealth Management or its affiliates. All opinions are subject to change without notice. Neither the information provided nor any opinion expressed constitutes a solicitation for the purchase or sale of any security. Past performance is no guarantee of future results. 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 up-to-date month -end performance information, please contact your Financial Advisor or visit the funds' company website. Investors should carefully consider the fund's investment objectives, risks, charges and expenses before investing. The prospectus and, if available the summary prospectus, contains this and other information that should be read carefully before investing. Investors should review the information in the prospectus carefully. To obtain a prospectus, please contact your Financial Advisor or visit the funds' company website. Past performance is no guarantee of future results. Investing involves market risk, including possible loss of principal. Growth investing does not guarantee a profit or eliminate risk. The stocks of these companies can have relatively high valuations. Because of these high valuations, an investment in a growth stock can be more risky than an investment in a company with more modest growth expectations. Value investing involves the risk that the market may not recognize that securities are undervalued and they may not appreciate as anticipated. Small and mid -capitalization companies may lack the financial resources, product diversification and competitive strengths of larger companies. The securities of small capitalization companies may not trade as readily as, and be subject to higher volatility than those of larger, more established companies. Bond funds and bond holdings have the same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the funds. The return of principal in bond funds, and in funds with significant bond holdings, is not guaranteed. International securities' prices may carry additional risks, including foreign economic, political, monetary and/or legal factors, changing currency exchange rates, foreign taxes and differences in financial and accounting standards. International investing may not be for everyone. These risks may be magnified in emerging markets. Alternative investments, including private equity funds, real estate funds, hedge funds, managed futures funds, and funds of hedge funds, private equity, and managed futures funds, are speculative and entail significant risks that can include losses due to leveraging or\other speculative investment practices, lack of liquidity, volatility of returns, restrictions on transferring interests in a fund, potential lack of diversification, absence and/or delay of information regarding valuations and pricing, complex tax structures and delays in tax reporting, less regulation and higher fees than mutual funds and risks associated with the operations, personnel and processes of the advisor. Master Limited Partnerships (MLPs) are limited partnerships or limited liability companies that are taxed as partnerships and whose interests (limited partnership units or limited liability company units) are traded on securities exchanges like shares of common stock. Currently, most MLPs operate in the energy, natural resources or real estate sectors. Investments in MLP interests are subject to the risks generally applicable to companies in the energy and natural resources sectors, including commodity pricing risk, supply and demand risk, depletion risk and exploration risk; and MLP interests in the real estate sector are subject to special risks, including interest rate and property value fluctuations, as well as risks related to general and economic conditions. Because of their narrow focus, MLPs maintain exposure to price volatility of commodities and/or underlying assets and tend to be more volatile than investments that diversify across many sectors and companies. MLPs are also subject to additional risks including: investors having limited control and rights to vote on matters affecting the MLP, limited access to capital, cash flow risk, lack of liquidity, dilution risk, conflict of interests, and limited call rights related to acquisitions. Mortgage backed securities also involve prepayment risk, in that faster or slower prepayments than expected on underlying mortgage loans can dramatically alter the yield -to -maturity of a mortgage -backed security and prepayment risk includes the possibility that a fund may invest the proceeds at generally lower interest rates. "raystone _ PaprUone Consulting I Market Commentary Q2 2022 Consuley 9 Graystone Consulting from Morgan Stanley Disclosures 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. If two or more of the agencies have assigned different ratings to a security, the highest rating is applied. Securities that are not rated by all three agencies are listed as "NR". "Alpha tilt strategies comprise a core holding of stocks that mimic a benchmark type index such as the S&P 500 to which additional securities are added to help tilt the fund toward potentially outperforming the market in an effort to enhance overall investment returns. Tilt strategies are subject to significant timing risk and could potentially expose investors to extended periods of underperformance." Custom Account Index: The Custom Account Index is an investment benchmark based on your historical target allocations and/or manager selection that you may use to evaluate the performance of your account. The Custom Account index does take into consideration certain changes that may have occurred in your portfolio since the inception of your account, i.e., asset class and/or manager changes. However, in some circumstances, it may not be an appropriate benchmark for use with your specific account composition. For detailed report of the historical composition of this blend please contact your Financial Advisor. Peer Groups: Peer Groups are a collection of similar investment strategies that essentially group investment products that share the same investment approach. Peer Groups are used for comparison purposes to compare and illustrate a clients investment portfolio versus its peer across various quantitative metrics like performance and risk. Peer Group comparison is conceptually another form of benchmark comparison whereby the actual investment can be ranked versus its peer across various quantitative metrics. All Peer Group data are provided by Investment Metrics, LLC. The URL below provides all the definitions and methodology about the various Peer Groups htti)s://www.invmetrics.com/stvie-r)eer-arour)s 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. Pagl3r4y3tone Consulting i Market Commentary Q2 2022 Graystone Consulting from Morgan Stanley Graystone Consulting from Morgan Stanley Disclosures Percentile rankings are calculated based on a normalized distribution ranging from 1 to 100 for all products in each peer group, where a ranking of 1 denotes a high statistical value and a ranking of 100 denotes a low statistical value. It is important to note that the same ranking methodology applies to all statistics, implying that a ranking of 1 will always mean highest value across all statistics. For example, consider a risk/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 Institutional Consultant and does not supersede or replace your Morgan Stanley customer statement. The information is as of the date(s) noted and subject to daily market fluctuation. Your interests in Alternative Investments, which may have been purchased through us, may not be held here, and are not covered by SIPC. The information provided to you: 1) is included solely as a service to you, and certain transactions may not be reported; 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. Alternative Investments are illiquid and may not be 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 Paproone Consulting I Market Commentary Q2 2022 Graystone Consulting from Morgan Stanley 1 Graystone Consulting from Morgan Stanley Disclosures of the fund and may or may not accrue interest for the length of the withholding. 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 suitable only for eligible, long-term investors who are willing to forgo liquidity and put capital at risk for an indefinite period of time. They may be highly illiquid and can engage in leverage and other speculative 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 may be no secondary market for a fund; -Volatility of returns;- Restrictions on transferring interests in a fund;- Potential lack of diversification and resulting higher risk due to concentration of trading authority when a single advisor is utilized;- Absence of information regarding valuations and pricing;- Complex tax structures and delays in tax reporting;- Less regulation and higher fees than mutual funds; and- Risks associated with the operations, personnel, and processes of the manager. As a diversified global financial services firm, Morgan Stanley Wealth Management engages in a broad spectrum of activities including financial advisory services, investment management activities, sponsoring and managing private investment funds, engaging in broker -dealer transactions and principal securities, commodities and foreign exchange transactions, research publication, and other activities. In the ordinary course of its business, Morgan Stanley Wealth Management therefore engages in activities where Morgan Stanley Wealth Management's interests may conflict with the interests of its clients, including the private investment funds it manages. Morgan Stanley Wealth Management can give no assurance that conflicts of interest will be resolved in favor of its clients or any such fund. Indices are unmanaged and investors cannot directly invest in them. Composite index results are shown for illustrative purposes and do not represent the performance of a specific investment. Past performance is no guarantee of future results. Actual results may vary. Diversification does not assure a profit or protect against loss in a declining market. Any performance or related information presented has not been adjusted to reflect the impact of the additional fees paid to a placement agent by an investor (for Morgan Stanley placement clients, a one-time upfront Placement Fee of up to 3%, and for Morgan Stanley investment advisory clients, an annual advisory fee of up to 2.5%), which would result in a substantial reduction in the returns if such fees were incorporated. For most investment advisory clients, the program account will be charged an asset -based wrap fee every quarter ("the Fee"). In general, the Fee covers investment advisory services and reporting. In addition to the Fee, clients will pay the fees and expenses of any funds in which their account is invested. Fund fees and expenses are charged directly to the pool of assets the fund invests in and impact the valuations. Clients must understand that these fees and expenses are an additional cost and will not be included in the Fee amount in the account statements. As fees are deducted quarterly, the compounding effect will be to increase the impact of the fees by an amount directly related to the gross account performance. For example, for an account with an initial value of $100,000 and a 2.5% annual fee, if the gross performance is 5% per year over a three year period, the compounding effect of the fees will result in a net annual compound rate of return of approximately 2.40% per year over a three year period, and the total value of the client's portfolio at the end of the three year period would be approximately $115,762.50 without the fees and $107,372.63 with the fees. Papr4ybtone Consulting I Market Commentary Q2 2022 Graystone Consulting from MorganStantey 2 Graystone Consulting from Morgan Stanley Disclosures 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.morganstanley.com/ADV<http://www.morganstanley.com/ADV> or from your Financial Advisor/Private Wealth Advisor. Alternative investments involve complex tax structures, tax inefficient investing, and delays in distributing important tax information. Individual funds have specific risks related to their investment programs that will vary from fund to fund. Clients should consult their own tax and legal advisors as Morgan Stanley does not provide tax or legal advice. Interests in alternative investment products are offered pursuant to the terms of the applicable offering memorandum, are distributed by Morgan Stanley Smith Barney LLC and certain of its affiliates, and (1) are not FDIC -insured, (2) are not deposits or other obligations of Morgan Stanley or any of its affiliates, (3) are not guaranteed by Morgan Stanley and its affiliates, and (4) involve investment risks, including possible loss of principal. Morgan Stanley Smith Barney LLC is a registered broker -dealer, not a bank. SIPC insurance does not apply to precious metals, other commodities, or traditional alternative investments. Pager.-yQone Consulting I Market Commentary Q2 2022 Graystone _ Consulting from Morgan Stanley 3 Graystone Consulting from Morgan Stanley Disclosures 2022 Capital Market Assumptions We represented ultrashort fixed income represented by 90-day T-bills, fixed income & preferreds by Bloomberg Barclays US Aggregate Index, short-term fixed income by Bloomberg Barclays Aggregate 1-3 Year Index, US taxable fixed income by Bloomberg Barclays US Aggregate Index, international fixed income by Barclays Global Aggregate Non-USD (Hedged) Index, inflation -linked securities by Bloomberg Barclays Global Inflation -Linked Index, high yield fixed income by Barclays Global High Yield Corporate Index and emerging market fixed income by JP Morgan EMBI Global Index. All other are based on proprietary models. Strategic annualized return and volatility estimates are based on a seven-year time horizon. Secular annualized return and volatility estimates are based on a 20- year time horizon. Annualized volatility estimates are based on data with longest available historythrough Feb. 26, 2021. Estimates are for illustrative purposes only, are based on proprietary models and are not indicative of the future performance of any specific investment, index or asset class. Actual performance may be more or less than the estimates shown in this table. Estimates of future performance are based on assumptions that may not be realized. Investor appropriateness: Morgan Stanley Wealth Management recommends that investors independently evaluate each asset class, investment style, issuer, security, instrument or strategy discussed. Legal, accounting and tax restrictions, transaction costs and changes to any assumptions may significantly affect the economics and results of any investment. Investors should consult their own tax, legal or other advisors to determine appropriateness for their specific circumstances. Investments in private funds (including hedge funds, managed futures funds and private equity funds) are speculative and include a high degree of risk. PapAyZtone Consulting I Market Commentary Q2 2022 Graystone Consulting from Morgan Stanley 4 Graystone Consulting from Morgan Stanley Glossary of Terms Active Contribution Return: The gain or loss percentage of an investment relative to the performance of the investment benchmark. Active Exposure: The percentage difference in weight of the portfolio compared to its policy benchmark. Active Return: Arithmetic difference between the manager's return and the benchmark's return over a specified time period. Actual Correlation: A measure of the correlation (linear dependence) between two variables X and Y, with a value between +1 and -1 inclusive. This is also referred to as coefficient of correlation. Alpha: A measure of a portfolio's time weighted return in excess of the market's return, both adjusted for risk. A positive alpha indicates that the portfolio outperformed the market on a risk -adjusted basis, and a negative alpha indicates the portfolio did worse than the market. Best Quarter: The highest quarterly return for a certain time period. Beta: A measure of the sensitivity of a portfolio's time weighted return (net of fees) against that of the market. A beta greater than 1.00 indicates volatility greater than the market. Consistency: The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. The higher the consistency figure, the more value a manager has contributed to the product's performance. Core: Refers to an investment strategy mandate that is blend of growth and value styles without a pronounced tilt toward either style. Cumulative Selection Return (Cumulative Return): Cumulative investment performance over a specified period of time. Distribution Rate: The most recent distribution paid, annualized, and then divided by the current market price. Distribution rate may consist of investment income, short-term capital gains, long-term capital gains, and/or return of capital. Down Market Capture: The ratio of average portfolio returns over the benchmark during periods of negative benchmark return. Lower values indicate better product performance. Downside Risk: A measure similar to standard deviation, but focuses only on the negative movements of the return series. It is calculated by taking the standard deviation of the negative quarterly set of returns. The higher the value, the more risk the product has. Papr,4Aone Consulting I Market Commentary Q2 2022 Downside Semi Deviation: A statistical calculation that measures the volatility of returns below a minimum acceptable return. This return measure isolates the negative portion of volatility: the larger the number, the greater the volatility. Drawdown: A drawdown is the peak -to -trough decline during a specific period of an investment, fund or commodity. Excess over Benchmark: The percentage gain or loss of an investment relative to the investment's benchmark. Excess Return: Arithmetic difference between the manager's return and the risk -free return over a specified time period. Growth: A diversified investment strategy which includes investment selections that have capital appreciation as the primary goal, with little or no dividend payouts. These strategies can include reinvestment in expansion, acquisitions, and/or research and development opportunities. Growth of Dollar: The aggregate amount an investment has gained or lost over a certain time period, also referred to as Cumulative Return, stated in terms of the amount to which an initial dollar investment would have grown over the given time period. Investment Decision Process (IDP): A model for structuring the investment process and implementing the correct attribution methodologies. The IDP includes every decision made concerning the division of the assets under management over the various asset categories. To analyze each decision's contribution to the total return, a modeling approach must measure the marginal value of every individual decision. In this respect, the hierarchy of the decisions becomes very important. We therefore use the IDP model, which serves as a proper foundation for registering the decisions and relating them to each other. Information Ratio: Measured by dividing the active rate of return by the tracking error. The higher the Information Ratio, the more value-added contribution by the manager. Jensen's Alpha: The Jensen's alpha measure is a risk -adjusted performance measure that represents the average return on a portfolio or investment above or below that predicted by the capital asset pricing model (CAPM) given the portfolio's or investment's beta and the average market return. This metric is also commonly referred to as alpha.. Kurtosis: A statistical measure that is used to describe the distribution, or skewness, of observed data around the mean, sometimes referred to as the volatility of volatility. Maximum Drawdown: The drawdown is defined as the percent retrenchment from a fund's peak to the fund's trough value. It is in effect from the time the fund's retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund's peak to the fund's valley (length), and the time from the fund's valley to a new fund high (recovery). al--- tha 1.-0 percentage drawdown that has occurred in any fund's data record. raystone Consulting from Morgan Stanley 5 Graystone Consulting from Morgan Stanley Glossary of Terms Modern Portfolio Theory (MPT): An investment analysis theory on how risk -averse investors can construct portfolios to optimize or maximize expected return based on a given level of market risk, emphasizing that risk is an inherent part of higher reward. Mutual Fund (MF): An investment program funded by shareholders that trade in diversified holdings and is professionally managed. Peer Group: A combination of funds that share the same investment style combined as a group for comparison purposes. Peer/ Plan Sponsor Universe: A combination of asset pools of total plan investments by specific sponsor and plan types for comparison purposes. Performance Ineligible Assets: Performance returns are not calculated for certain assets because accurate valuations and transaction data for these assets are not processed or maintained by us. Common examples of these include life insurance, some annuities and some assets held externally. Performance Statistics: A generic term for various measures of investment performance measurement terms. Portfolio Characteristics: A generic term for various measures of investment portfolio characteristics. Preferred Return: A term used in the private equity (PE) world, and also referred to as a "Hurdle Rate." It refers to the threshold return that the limited partners of a private equity fund must receive, prior to the PE firm receiving its carried interest or "carry." Ratio of Cumulative Wealth: A defined ratio of the Cumulative Return of the portfolio divided by the Cumulative Return of the benchmark for a certain time period. Regression Based Analysis: A statistical process for estimating the relationships among variables. It includes many techniques for modeling and analyzing several variables, when the focus is on the relationship between a dependent variable and one or more independent variables Residual Correlation: Within returns -based style analysis, residual correlation refers to the portion of a strategy's return pattern that cannot be explained by its correlation to the asset -class benchmarks to which it is being compared. Return: A rate of investment performance for the specified period. Rolling Percentile Ranking: A measure of an investment portfolio's ranking versus a peer group for a specific rolling time period (i.e. Last 3 Years, Last 5 years, etc.). © 2022 Morgan Stanley Smith Barney LLC. Member SIPC. CRC4871595 07/2022 Papr4y9tone Consulting I Market Commentary Q2 2022 R-Squared: The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark. High R-Squared means a higher correlation of the portfolio's performance to the appropriate benchmark. SA/CF (Separate Account/Comingled Fund): Represents an acronym for Separate Account and Commingled Fund investment vehicles. Sector Benchmark: A market index that serves as a proxy for a sector within an asset class. Sharpe Ratio: Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk -adjusted performance results in. Standard Deviation: A statistical measure of the range of a portfolio's performance; the variability of a return around its average return over a specified time period. Total Fund Benchmark: The policy benchmark for a complete asset pool that could consist of multiple investment mandates. Total Fund Composite: The aggregate of multiple portfolios within an asset pool or household. Tracking Error: A measure of standard deviation for a portfolio's investment performance, relative to the performance of an appropriate market benchmark. Treynor Ratio: A ratio that divides the excess return (above the risk free rate) by the portfolio's beta to arrive at a unified measure of risk adjusted return. It is generally used to rank portfolios, funds and benchmarks. A higher ratio is indicative of higher returns per unit of market risk. This measurement can help determine if the portfolio is reaching its goal of increasing returns while managing market risk. Up Market Capture: The ratio of average portfolio returns over the benchmark during periods of positive benchmark return. Higher values indicate better product performance. Upside Semi Deviation: A statistical calculation that measures the volatility of returns above an acceptable return. This return measure isolates the positive portion of volatility: the larger the number, the greater the volatility. Value: A diversified investment strategy that includes investment selections which tend to trade at a lower price relative to its dividends, earnings, and sales. Common attributes are stocks that include high dividend, low price -to -book ratio, and/or low price -to -earnings ratio. Worst Quarter: The lowest rolling quarterly return for a certain time period. Graystone Consulting from Morgan Stanley 6 City of Sebastian Police Officers' Retirement Plan Capital Markets Returns as of June 30, 2022 Quarter to Year to Date 12 Months Three Years Five Years Seven Years Date - (annualized) (annualized) (annualized) S&P 500 Index (16.10) (19.96) (10.62) 10.60 11.31 11.14 Dow Jones Industrial Average (10.78) (14.44) (9.05) 7.24 9.98 10.83 Russell 3000 Index (16.70) (21.10) (13.87) 9.77 10.60 10.43 Russell 3000 Value Index (12.41) (13.15) (7.46) 6.82 7.01 7.60 Russell 3000 Growth Index (20.83) (28.15) (19.77) 11.84 13.64 12.85 Russell 1000 Index (16.67) (20.94) (13.03) 10.17 11.00 10.78 Russell 1000 Value Index (12.21) (12.86) (6.82) 6.87 7.17 7.69 Russell 1000 Growth Index (20.92) (28.07) (18.77) 12.58 14.29 13.45 Russell Midcap Index (16.85) (21.57) (17.30) 6.59 7.96 8.04 Russell Midcap Value Index (14.68) (16.23) (10.00) 6.70 6.27 7.15 Russell Midcap Growth Index (21.07) (31.00) (29.57) 4.26 8.88 8.35 Russell 2000 Index (17.20) (23.43) (25.20) 4.21 5.17 5.91 Russell 2000 Value Index (15.28) (17.31) (16.28) 6.18 4.89 6.40 Russell 2000 Growth Index (19.25) (29.45) (33.43) 1.40 4.80 4.96 to Date Consumer Staples (4.62) Utilities (5.09) Energy (5.17) Health Care (5.91) Real Estate (14.72) Industrials (14.78) Materials (15.90) Financials (17.50) Technology (20.24) Communication Services (20.71) Consumer Discretionary (26.16) Past Performance is not a guarantee of future results. Indices are not available for direct investment. Source: PARis Page 20 Graystone Consulting from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Capital Markets Returns as of June 30, 2022 ReLyional and Other Multi -Country Indices MSCI EAFE MSCI Europe MSCI Far East MSCI Pacific ex. Japan MSCI The World MSCI World ex. U.S. National Indices MSCI Hong Kong MSCI Ireland MSCI Japan MSCI Singapore ReLyional and Other Multi -Country Indices MSCI EM National Indices MSCI China MSCI Malaysia MSCI Taiwan MSCI Thailand U.S. Dollar Local Currency Quarter to Year to 12 Months 3 5 Quarter to Year to 12 Months 3 5 Date Date Years Years Date Date Years Years (14.51) (19.57) (17.77) 1.07 2.20 (7.60) (10.93) (6.09) 4.85 4.77 (14.49) (20.79) (17.61) 1.24 2.16 (8.34) (13.12) (6.83) 3.97 4.36 (13.26) (18.24) (19.17) 0.51 2.02 (4.60) (5.97) (4.03) 7.30 5.35 (14.09) (10.85) (14.85) (0.10) 3.21 (8.65) (7.05) (9.27) 0.63 4.73 (16.05) (20.29) (13.94) 7.52 8.22 (14.20) (18.08) (10.74) 7.07 N/A (14.66) (18.76) (16.76) 1.70 2.66 (8.22) (10.84) (5.86) 5.10 5.02 (1.12) (2.92) (15.17) (2.29) 2.38 (0.93) (2.32) (14.33) (2.14) 2.48 (19.46) (35.53) (35.11) (1.49) (1.63) (14.29) (29.87) (26.39) 1.36 1.67 (14.60) (20.10) (19.64) 1.38 2.13 (4.41) (5.74) (1.63) 9.52 6.08 N/A N/A N/A N/A N/A (14.75) (15.86) (18.41) (5.98) (0.91) U.S. Dollar Quarter to Date Year to Date 12 Months 3 Year 5 Years Quarter to Date Year to Date 12 Months 3 Years (11.34) (17.47) (25.00) 0.92 2.55 (7.95) (13.53) (19.88) 3.62 4.75 3.50 (11.19) (31.69) (0.44) 2.29 4.60 (9.95) (30.71) (0.37) 2.36 (12.78) (11.08) (9.26) (5.85) (2.65) (8.57) (5.92) (3.66) (3.80) (2.14) (19.60) (24.84) (19.84) 19.14 12.54 (16.56) (19.23) (14.46) 17.42 12.03 (10.55) (6.75) (7.25) (8.65) 0.57 (10.55) (6.75) (7.25) (8.65) 0.57 Past Performance is not a guarantee of future results. Indices are not available for direct investment. Source: PARis Graystone Page 21 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Capital Markets Returns as of June 30, 2022 Quarter to Year to Date 12 Month Three Years Five Years Ten Years Date = (annualized) (annualized) (annualized) U.S. Fixed Income 90-Day T-Bills 0.14 0.17 0.19 0.61 1.09 0.62 Barclays Aggregate (4.69) (10.35) (10.29) (0.93) 0.88 1.54 Barclays Credit (6.90) (13.81) (13.64) (1.00) 1.24 2.45 Barclays Govt/Credit (5.03) (11.05) (10.85) (0.77) 1.05 1.67 Barclays Government (3.71) (9.04) (8.82) (0.85) 0.76 1.03 Barclays High Yield (9.84) (14.19) (12.82) 0.18 2.09 4.47 Barclays Intermediate Govt/Credit (2.37) (6.77) (7.28) (0.16) 1.13 1.45 Barclays Long Govt/Credit (12.27) (21.88) (20.14) (2.32) 1.03 2.63 Barclays Mortgage Backed (4.00) (8.78) (9.03) (1.44) 0.36 1.18 Barclays Municipal (2.94) (8.98) (8.57) (0.18) 1.51 2.38 Global Fixed Income Merrill Lynch Global High Yield (11.39) (16.72) (17.63) (1.80) 0.77 3.78 Barclays Global Treasury ex. US (12.24) (18.35) (21.80) (6.48) (2.57) (1.19) Barclays Capital Majors ex. U.S. (12.55) (18.82) (21.81) (7.11) (2.89) (1.99) Past Performance is not a guarantee of future results. Indices are not available for direct investment. Source: PARis Page 22 Graystone Consulting from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Total Fund - Executive Summary as of June 30, 2022 Manager Performance Chart 20.0 10.0 0.0 ■ . ■ _ p4 -10.0 -20.0 -30.0 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 -11.43 -10.31 -10.56 6.48 6.37 6.40 7.73 6.86 Policy Index 1 -12.03 -11.85 -12.27 5.23 6.36 6.54 7.71 7.42 Differences 0.60 1.54 1.71 1.25 0.01 -0.14 0.02 -0.56 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 22,215 21,543 21,600 15,565 13,571 11,924 8,344 7,730 Net Contributions -202 291 331 1,004 1,421 1,639 2,253 2,808 Fees/Expenses -33 -116 -152 -356 -542 -712 -865 -920 Income 114 359 470 1,153 1,869 2,470 3,152 3,454 Gain/Loss -2,640 -2,623 -2,795 2,088 3,134 4,133 6,569 6,381 Ending Market Value 19,453 19,453 19,453 19,453 19,453 19,453 19,453 19,453 Modern Portfolio Statistics Manager Risk & Return 10.11 8.0 6.0 4.0 P4 2.0 0.0 2.0 -4.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Risk (Standard Deviation %) Total Fund Q Policy Index 1 . 90-Day T-Bills Standard Maximum Up Down Sharpe Inception Return Beta Deviation Drawdown Capture Alpha Capture Ratio R-Squared Date Total Fund 6.86 9.81 0.98 -17.43 99.04 104.19 -0.35 0.67 0.96 02/01/2011 Policy Index 1 7.42 9.83 1.00 -17.24 100.00 100.00 0.00 0.72 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 23 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Trailing Returns as of June 30, 2022 10 5 0 � L N -5 10 -13 1 quarter Sebastian Police (Gross) Sebastian Police (Net) Manager vs Benchmark: Return through June 2022 (not annualized if less than 1 year) 1 year 3 years 5 years 10 years 19 years 2 quarters Manager vs Benchmark: Return through June 2022 (not annualized if less than 1 year) quarter -11.43%-10.56% 6.49% 6.37% -11.58%-11.18% 5.82% Sebastian Police Policy Index-12.03%-12.27% 5.23% Source: Zephyr 5.71% 6.36% ■ Sebastian Police (Gross) ■ Sebastian Police (Net) ■ Sebastian Police Policy Index 7.73% 6.21 % 7.08% 5.54% 7.71% 6.67% 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 24 Consulting City of Sebastian Police Officers' Retirement Plan Risk / Return - 5 Year Analysis as of June 30, 2022 Manager Performance 20-Quarter Moving Windows, Computed Quarterly July 2017 - June 2022 7° 6% - 5% - 4%- — Sebastian Police (Gross) � — Se bastian Police Policylndex 3% - 2%- 1% -0 0°U% A. 4�/° 64% A. `16% 18° Standard Deviation Return & Risk Measurements July 2017 -June 2022: Summary Statistics 160 150 140 130 120 110 100 Q2 2017 Q4 2018 Q4 2019 Q4 2020 Q2 2022 Sebastian Police (Gross) Manager Risk/Return Single Computation July 2017 - June 2022 • Sebastian Police (Gross) Market Benchmark: Sebastian Police Policy Index 0 Cash Equivalent: Citigroup 3-month T-bill 6.37% 0.01 % 15.66% , 0.97-17.43% 98.82% 98.47% 0.16% 0.34 99.00% Sebastian Police Policy Index 6.36% 0.00% 16.01% 1 1.00-17.24% 100.00% 100.00% 0.00% 0.33 100.00% Source: Zephyr The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Gray stone Page 25 Consulting from MorganStanley City of Sebastian Police Officers' Retirement Plan Risk / Return - Since January 2003 as of June 30, 2022 Manager Performance 20-Quarter Moving Windows, Computed Quarterly January 2003 - June 2022 450 400 350 300 250 zoo u 150 - 100 a4 2002 u4 2005 042007 a4 2o0s a4 2011 042013 a4 2DI 5 a4 2017 042019 a2 2022 Manager Risk/Return Single Computation January 2003 - June 2022 7% - 6% - 5% - E 4%- Sebastian Police (Gross) —Sebastian Police Pollcylndex 3% 2%- 1%- O o//� 06. 2% 49% 69% 8% 10% Standard Deviation Return & Risk Measurements January 2003 - June 2022: Summary Statistics Sebastian Police (Gross) 6.21 % -0.46% 10.14% I 0.99 Sebastian Police Policy Index 6.67% 0.00% 10.08% 1 1.00 Source: Zephyr • Sebastian Police (Gross) Market Benchmark: Sebastian Police Policy Index 0 Cash Equivalent: Citigroup 3-month T-bill -22.97% 98.21 % 104.68% -0.37% 0.50 97.25% -21.59% 100.00% 100.00% 0.00% 0.54 100.00% 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 26 Consulting City of Sebastian Police Officers' Retirement Plan Asset Allocation Compliance as of June 30, 2022 Executive Summary Global Equity $12,759.9K (65.6%) - 40.0% - 70.0% Fixed Income $4,502.5K (23.1%) - 20.0% - 35.0% Alternatives $2,108.8K (10.8%) - 0.0% - 20.0% Receipt & Disbursement $82.1K (0.4%) 0.0% - 5.0% 10.0% 0.0% 25.0% 65.0% 0.0% 15.0% 30.0% 45.0% 60.0% 75.0% 90.0% Policy 0 Target . In Policy . Outside Policy The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Page 27 105.0% Graystone Consulting from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Asset Allocation Compliance as of June 30, 2022 Executive Summary Highland - Large Cap Value $3,868.5K (19.9%) 12.5% - 22.5% Polen - Large Cap Growth $1,315.5K (6.8%) 6.2% - 11.2% iShares - Russell 1000 Growth ETF $1,453.7K (7.5%) 6.2% - 11.2% Boston Partners - SMID Value $2,447.5K (12.6%) 2.5% - 15.0% Fiera Capital - SMID Growth $1,360.3K (7.0%) 2.5% - 10.5% Highland - Intl Value $921.9K (4.7%) 2.5% - 7.5% Renaissance - International Growth $1,392.6K (7.2%) 5.0% - 10.0% Highland - Fixed Income $4,502.5K (23.1%) 20.0% - 35.0% Intercontinental - Private Real Estate $947.2K (4.90/.) 0.0% - 10.0% Lazard - Global Infrastructure $1,161.6K (6.0%) 0.0% - 10.0% Receipt & Disbursement $82.1K (0.4%) 0.0% - 5.0% 16.3% I1V20% I 0.0% 6.0% 12.0% 18.0% Policy 0 Target 25.0% 24.0% 30.0% 36.0% 42.0% In Policy . Outside Policy The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Page 28 48.0% Graystone Consulting from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Highland - Large Cap Value - Executive Summary as of June 30, 2022 Manager Performance Chart 20.0 10.0 0.0 94 -10.0 -20.0 -30.0 Manager Risk & Return 10.11 8.0 6.0 0 40 Current Fiscal 1 3 Since Quarter YTD Year Years Inception p� Manager Annualized Performance 2.0 Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 Highland - Large Cap Value -12.15 -4.67 -5.91 7.17 7.45 0.0 Russell 1000 Value -12.21 -6.09 -6.82 6.87 7.00 Differences 0.06 1.42 0.91 0.30 0.45 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 o Risk (Standard Deviation /o) Quarter YTD Year Years 08/01/2017 Highland - Large Cap Value Highland - Large Cap Value Q Russell 1000 Value Beginning Market Value 4,578 4,230 4,302 3,491 4,342 Net Contributions -160 -161 -172 -432 -1,826 . 90-Day T-Bills Fees/Expenses -6 -17 -22 -57 -96 Income 26 71 93 276 460 Gain/Loss -570 -255 -332 591 987 Ending Market Value 3,869 3,869 3,869 3,869 3,869 Modern Portfolio Statistics Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Highland - Large Cap Value 7.45 17.69 1.01 -28.00 101.66 99.87 0.38 0.44 0.98 08/01/2017 Russell 1000 Value 7.00 17.35 1.00 -26.73 100.00 100.00 0.00 0.42 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Page 29 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Polen - Large Cap Growth - Executive Summary as of June 30, 2022 Manager Performance Chart nn -15.0 v -30.0 ■ -45.0 Current Fiscal 1 Since Quarter YTD Year Inception Manager Annualized Performance Current Fiscal 1 Since Quarter YTD Year Inception Polen - Large Cap Growth -23.76 -30.51 -28.52 -15.51 Russell 1000 Gr -20.92 -19.70 -18.77 -7.34 Differences -2.84 -10.81 -9.75 -8.17 Historic Asset Growth Current Fiscal 1 Since Quarter YTD Year Inception Polen - Large Cap Growth Beginning Market Value 1,729 1,905 1,875 1,677 Net Contributions -1 -1 -22 -47 Fees/Expenses -3 -9 -12 -13 Income 1 5 6 8 Gain/Loss -412 -583 -531 -310 Ending Market Value 1,315 1,315 1,315 1,315 Modern Portfolio Statistics Standard Return Beta Deviation Polen - Large Cap Growth -15.51 22.23 1.04 Russell 1000 Gr -7.33 20.82 1.00 Inception Date 04/01/2021 Inception Date 04/01/2021 Manager Risk & Return 8.0 4.0 0.0 -4.0 0 -8.0- -12.0 -16.0 ■ -20.0 -24.0 i -12.0 -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 %) Polen - Large Cap Growth O Russell 1000 Gr . 90-Day T-Bills Maximum Up Down Alpha Sharpe R-Squared Inception Drawdown Capture Capture Ratio Date -34.62 84.43 113.05 -8.27 -0.64 0.95 04/01/2021 -28.07 100.00 100.00 0.00 -0.27 1.00 04/01/2021 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 so Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan iShares - Russell 1000 Growth ETF - Executive Summary as of June 30, 2022 Manager Performance Chart 0.0 - -8.0 v -16.0 -24.0 -32.0 Current Fiscal 1 Since Quarter YTD Year Inception Manager Annualized Performance Current Fiscal 1 Since Inception Quarter YTD Year Inception Date iShares - Russell 1000 Growth ETF -20.99 -19.72 -18.83 -5.33 01/01/2021 Russell 1000 Gr -20.92 -19.70 -18.77 -5.57 Differences -0.07 -0.02 -0.06 0.24 Historic Asset Growth iShares - Russell 1000 Growth ETF Beginning Market Value Net Contributions Fees/Expenses Income Gain/Loss Ending Market Value Modern Portfolio Statistics Current Fiscal 1 Since Inception Quarter YTD Year Inception Date 01/01/2021 1,840 1,811 1,795 1,582 -4 -4 3 8 11 15 -389 -365 -348 -139 1,454 1,454 1,454 1,454 Manager Risk & Return 4.0 ?0 0.0 0 -2.0 4.0 6.0 -8.0 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 Risk (Standard Deviation %) iShares - Russell 1000 Growth ETF p Russell 1000 Gr 90-Day T-Bills 20.0 24.0 28.0 Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date iShares - Russell 1000 Growth ETF -5.33 19.13 1.00 -28.09 99.90 99.04 0.26 -0.20 1.00 01/01/2021 Russell 1000 Gr -5.56 19.08 1.00 -28.07 100.00 100.00 0.00 -0.21 1.00 01/01/2021 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 31 g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Boston Partners - SMID Value - Executive Summary as of June 30, 2022 Manager Performance Chart 30.0 15.0 ■ 0.0 v -15.0 -30.0 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 -11.71 -7.91 -9.74 9.99 6.70 Russell 2500 VL -15.39 -11.36 -13.19 6.19 5.47 Differences 3.68 3.45 3.45 3.80 1.23 Historic Asset Growth Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 Boston Partners - SMID Value Beginning Market Value 2,826 2,726 2,808 695 672 Net Contributions -45 -50 -66 1,302 1,318 Fees/Expenses -6 -19 -29 -47 -61 Income 12 32 44 86 110 Gain/Loss -338 -242 -309 413 409 Ending Market Value 2,447 2,447 2,447 2,447 2,447 Modern Portfolio Statistics Manager Risk & Return 10.0 8.0 6.0 0 4.0 We 0.0 -2.0 -10.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 Risk (Standard Deviation %) Boston Partners - SMID Value O Russell 2500 VL . 90-Day T-Bills 30.0 35.0 Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Boston Partners - SMID Value 6.70 23.44 1.06 -38.80 107.49 103.09 1.12 0.35 0.97 08/01/2017 Russell 2500 VL 5.47 21.72 1.00 -34.64 100.00 100.00 0.00 0.31 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Page 32 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Fiera Capital SMID Growth - Executive Summary as of June 30, 2022 Manager Performance Chart 40.0 20.0 0.0 - 94 -20.0 ■ ■ -40.0 -60.0 Manager Risk & Return 18.0 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 -21.14 -21.18 -22.47 10.50 11.63 Russell 2500 GR -19.55 -29.31 -31.81 3.68 7.37 Differences -1.59 8.13 9.34 6.82 4.26 Historic Asset Growth Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 Fiera Capital - SMID Growth Beginning Market Value 1,729 1,708 1,740 837 669 Net Contributions -1 29 29 300 296 Fees/Expenses -3 -10 -14 -30 -40 Income 3 10 27 39 48 Gain/Loss -368 -376 -422 215 388 Ending Market Value 1,360 1,360 1,360 1,360 1,360 Modern Portfolio Statistics Standard Maximum Return Beta Deviation Drawdown Fiera Capital - SMID Growth 11.63 20.80 0.92 -26.32 Russell 2500 GR 7.37 21.83 1.00 -32.76 15.0 12.0 0 0 9.0 a 6.0 3.0 0.0 - -3.0 1 -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 Up Down Alpha Sharpe R-Squared Inception Capture Capture Ratio Date 99.62 83.99 4.47 0.58 0.94 08/01/2017 100.00 100.00 0.00 0.39 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Page 33 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Highland - International Value - Executive Summary as of June 30, 2022 Manager Performance Chart 10.0 0.0 - v -10.0 -20.0 -30.0 Current Fiscal 1 Quarter YTD Year Manager Annualized Performance Current Fiscal Quarter YTD Highland - Intl Value -15.29 -17.68 MSCI EAFE Net -14.51 -17.40 Differences -0.78 -0.28 Historic Asset Growth Current Fiscal Quarter YTD Highland - Intl Value Beginning Market Value 1,090 1,042 Net Contributions - 85 Fees/Expenses -1 -4 Income 9 32 Gain/Loss -176 -233 Ending Market Value 922 922 Modern Portfolio Statistics 3 Since Years Inception 1 3 Inception Year Years 08/01/2017 -18.86 0.46 0.92 -17.77 1.07 1.65 -1.09 -0.61 -0.73 1 3 Inception Year Years 08/01/2017 1,058 741 701 84 213 238 -6 -13 -19 36 69 102 -251 -89 -100 922 922 922 Manager Risk & Return z.0 1.8 1.6 1.4 P 1.2 1.0 0.8 0.6 1 1 1 -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 EAFE Net . 90-Day T-Bills Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Highland - Intl Value 0.92 18.55 1.11 -28.37 108.93 111.42 -0.55 0.09 0.90 08/01/2017 MSCI EAFE Net 1.65 15.85 1.00 -22.83 100.00 100.00 0.00 0.11 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Page 34 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Renaissance - International Growth - Executive Summary as of June 30, 2022 Manager Performance Chart 10.0 0.0 -10.0 v -20.0 -30.0 Current Fiscal 1 3 Since Quarter YTD Year Years Inception Manager Annualized Performance Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 Renaissance - International Growth -13.98 -17.62 -19.85 0.12 -1.00 MSCI AC World ex US Net -13.73 -16.94 -19.42 1.35 1.79 Differences -0.25 -0.68 -0.43 -1.23 -2.79 Historic Asset Growth Manager Risk & Return 3.5 2.8 2.1 1.4 0 0.7 � a 0.0 -0.7 ■ -1.4 - -2.1 - -2.8 -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 u Risk (Standard Deviation /o) Quarter YTD Year Years 08/01/2017 Renaissance - International Growth Renaissance - International Growth Q MSCI AC World ex US Net Beginning Market Value 1,622 1,536 1,582 1,074 1,016 Net Contributions - 166 163 393 522 . 90-Day T-Bills Fees/Expenses -3 -8 -9 -24 -35 Income 18 41 45 91 134 Gain/Loss -245 -342 -389 -141 -244 Ending Market Value 1,393 1,393 1,393 1,393 1,393 Modern Portfolio Statistics Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Renaissance - International Growth -1.00 18.27 1.14 -33.88 104.99 117.62 -2.67 -0.02 0.94 08/01/2017 MSCI AC World ex US Net 1.79 15.62 1.00 -24.30 100.00 100.00 0.00 0.12 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed guarantee of future results. to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a Graystone Consulting Page 35 g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Highland - Fixed Income - Executive Summary as of June 30, 2022 Manager Performance Chart 12.0 6.0 0.0 94 -6.0 . . -12.0 -18.0 Current Fiscal 1 3 Since Quarter YTD Year Years Inception Manager Annualized Performance Current Fiscal 1 3 Inception Quarter YTD Year Years 08/01/2017 Highland - Fixed Income -3.04 -7.39 -7.12 0.87 1.95 Barclays Aggregate -4.69 -10.34 -10.29 -0.93 0.80 Differences 1.65 2.95 3.17 1.80 1.15 Historic Asset Growth Current Quarter Highland - Fixed Income Beginning Market Value 4,647 Net Contributions - Fees/Expenses -3 Income 30 Gain/Loss -172 Ending Market Value 4,502 Modern Portfolio Statistics Return Highland - Fixed Income 1.95 Barclays Aggregate 0.80 Fiscal 1 3 Inception YTD Year Years 08/01/2017 4,553 4,544 3,821 3,980 317 317 662 275 -10 -14 -39 -67 87 118 356 590 -444 -462 -298 -276 4,502 4,502 4,502 4,502 Manager Risk & Return 2.7 2.4 2.1 1.8 0 1.5 1.2 0.9 0.6 0.3 1 1 1 -1.4 -0.7 0.0 0.7 1.4 2.1 2.8 3.5 4.2 4.9 5.6 6.3 Risk (Standard Deviation %) Highland - Fixed Income O Barclays Aggregate . 90-Day T-Bills Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date 4.59 0.81 -7.97 95.49 70.83 1.32 0.21 0.51 08/01/2017 4.04 1.00 -11.91 100.00 100.00 0.00 -0.05 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Page 36 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Intercontinental - Private Real Estate - Executive Summary as of June 30, 2022 Manager Performance Chart 45.0 30.0 v 15.0 0.0 Current Fiscal 1 3 Since Quarter YTD Year Years Inception Manager Annualized Performance Current Fiscal 1 3 Inception Quarter YTD Year Years 10/01/2017 Intercontinental - Private Real Estate 7.26 24.65 31.98 14.95 13.18 NCREIF Property Idx 3.22 15.41 21.44 10.22 8.96 Differences 4.04 9.24 10.54 4.73 4.22 Historic Asset Growth Current Fiscal 1 3 Inception Quarter YTD Year Years 10/01/2017 Intercontinental - Private Real Estate Beginning Market Value 890 800 763 708 112 Net Contributions -5 -15 -20 -52 458 Fees/Expenses -2 -29 -30 -46 -60 Income - - - - - Gain/Loss 64 190 235 337 437 Ending Market Value 947 947 947 947 947 Modern Portfolio Statistics Manager Risk & Return 21.0 18.0 15.0 12.0 - 0 9.0 - a 6.0 - 3.0 - 0.0 - -3.0 - -6.0 -4 .0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 Risk (Standard Deviation %) Intercontinental - Private Real Estate Q NCREIF Property Idx . 90-Day T-Bills Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Intercontinental - Private Real Estate 13.18 7.10 1.32 -0.02 141.93 2.02 1.13 1.62 0.86 10/01/2017 NCREIF Property 1dx 8.96 4.96 1.00 -0.99 100.00 100.00 0.00 1.53 1.00 10/01/2017 The prices, quotes, or statistics contained herein have guarantee of future results. been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a Graystone Consulting Page 37 g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Lazard - Global Infrastructure - Executive Summary as of June 30, 2022 Manager Performance Chart Manager Risk & Return 30.0 18.0 20.0 15.0 10.0 y low 12.0 9 0.0 -10.0 9.0 0 -20.0 6.0 - Current Fiscal 1 Since Quarter YTD Year Inception p4 Manager Annualized Performance 3.0 Current Fiscal 1 Since Inception 0.0- Quarter YTD Year Inception Date Lazard - Global Infrastructure -2.00 9.40 9.96 12.53 01/01/2021 -3.0 DJ Brookfield Gbl Infra Comp TR -7.21 3.32 1.82 10.70 Differences 5.21 6.08 8.14 1.83 Historic Asset Growth -G 0 -6.0 -3.0 0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 Current Fiscal 1 Since Inception Risk (Standard Deviation %) Quarter YTD Year Inception Date Lazard - Global Infrastructure 01 /01 /2021 ■ Lazard - Global Infrastructure O DJ Brookfield Gbl Infra Comp TR Beginning Market Value 1,185 1,062 1,056 973 Net Contributions - - - - . 90-Day T-Bills Fees/Expenses - - - - Income 11 72 90 93 Gain/Loss -35 27 15 96 Ending Market Value 1,162 1,162 1,162 1,162 Modern Portfolio Statistics Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Lazard - Global Infrastructure 12.53 10.43 0.65 -3.41 80.27 54.85 5.25 1.17 0.74 01 /01 /2021 DJ Brookfield Gbl Infra Comp TR 10.67 13.74 1.00 -7.75 100.00 100.00 0.00 0.80 1.00 01 /01 /2021 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 38 g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Asset Allocation & Time Weighted Performance as of June 30, 2022 Allocation Performance(%) Market Quarter Fiscal 1 3 5 7 10 Since Inception n /o Value To YTD YTD Year Years Years Years Years Inception Date ($000) Date Total Fund Total Fund (net) 19,453 II II -11.58 (79) -15.09 (59) I -10.79 (54) I -11.18 (57) I 5.82 (37) 5.71 (68) 1 I 5.71 (72) 7.08 (66) 02/01/2011 6.24 (80) Policy Index 1 -12.03 (90) -15.94 (75) -11.85 (69) -12.27 (72) 5.23 (55) 6.36 (45) 6.54 (34) 7.71 (40) 7.42 (26) All Public Plans < $1B-Total Fund Median -10.41 -14.56 -10.39 -10.71 5.41 6.27 6.22 7.53 6.98 All Public Plans -Total Fund Median -10.11 -14.04 -9.89 -10.08 5.64 6.39 6.34 7.68 7.11 Domestic Equity Highland - Large Cap Value 3,869 19.89 -12.15 (57) -11.67 (48) -4.67 (50) -5.91 (55) 7.17 (86) N/A N/A N/A 7.45 (73) 08/01/2017 Highland - Large Cap Value (net) -12.26 (57) -11.90 (51) -5.03 (54) -6.38 (59) 6.65 (91) N/A N/A N/A 6.89 (82) Russell 1000 Value -12.21 (57) -12.86 (60) -6.09 (63) -6.82 (65) 6.87 (88) N/A N/A N/A 7.00 (80) IM U.S. Large Cap Value Equity (SA+CF) Median -11.76 -11.82 -4.75 -5.54 9.04 N/A N/A N/A 8.71 Polen - Large Cap Growth ' 1,315 6.76 -23.76 (84) -33.96 (87) -30.51 (88) -28.52 (81) N/A N/A N/A N/A -15.51 (78) 04/01/2021 Polen - Large Cap Growth (net) -23.90 (86) -34.20 (89) -30.88 (89) -29.01 (85) N/A N/A N/A N/A -15.99 (80) Russell 1000 Gr -20.92 (58) -28.07 (47) -19.70 (41) -18.77 (42) N/A N/A N/A N/A -7.34 (40) IM U.S. Large Cap Growth Equity (SA+CF) Median -20.20 -28.41 -21.78 -20.97 N/A N/A N/A N/A -9.88 iShares - Russell 1000 Growth ETF 1,454 7.47 -20.99 (44) -28.09 (35) -19.72 (25) -18.83 (25)= N/A N� N/A -5.33 (24) 01/01/2021 iShares - Russell 1000 Growth ETF (net) -20.99 (44) -28.09 (35) -19.72 (25) -18.83 (25) N/A N/A N/A N/A -5.33 (24) Russell 1000 Gr -20.92 (43) -28.07 (34) -19.70 (24) -18.77 (24) N/A N/A N/A N/A -5.57 (25) IM U.S. Large Cap Growth Equity (MF) Median -21.79 -29.48 -23.75 -23.36 N/A N/A N/A N/A -9.34 Boston Partners - SMID Value 2,447 12.58 -11.71 (35) -12.12 (19) -7.91 (40) -&4 (47) 9.99 (28) �& N/A N/A 6.70 (60) 08/O1/2017 Boston Partners - SMID Value (net) -11.92 (35) -12.52 (24) -8.53 (46) -10.68 (55) 8.96 (38) N/A N/A N/A 5.67 (81) Russell 2500 VL -15.39 (85) -16.66 (67) -11.36 (66) -13.19 (69) 6.19 (78) N/A N/A N/A 5.47 (83) IM U.S. SMID Cap Value Equity (SA+CF) Median -13.45 -15.30 -9.07 -10.47 7.92 N/A N/A N/A 7.12 Fiera Capital - SMID Growth 1,360 6.99 -21.14 (69) -26.21 (36) -21.18 (30) -22.47 (32) 10.50 (21) N/A N/A N/A 11.63 (30) 08/01/2017 Fiera Capital - SMID Growth (net) -21.30 (71) -26.52 (38) -21.65 (31) -23.09 (36) 9.65 (25) N/A N/A N/A 10.82 (43) Russell 2500 GR -19.55 (49) -29.45 (55) -29.31 (70) -31.81 (75) 3.68 (85) N/A N/A N/A 7.37 (84) IM U.S. SMID Cap Growth Equity (SA+CF) Median -19.66 -28.28 -25.93 -24.78 6.64 N/A N/A N/A 10.09 Highland - Intl Value IF 922 4.74 -15.29 (91) -20.43 (83) -17.68 (74) -18.86 (71) 0.46 (82) N/A N/A N/A 0.92 (74) 08/01/2017 Highland - Intl Value (net) -15.40 (92) -20.63 (83) -17.99 (75) -19.28 (74) 0.00 (84) N/A N/A N/A 0.44 (79) MSCI EAFE Net -14.51 (85) -19.57 (78) -17.40 (73) -17.77 (63) 1.07 (77) N/A N/A N/A 1.65 (62) MSCI EAFE VL Net -12.41 (58) -12.12 (22) -11.09 (23) -11.95 (18) 0.18 (83) N/A N/A N/A -0.15 (84) IM International Large Cap Value Equity (SA+CF) Median -12.02 -15.85 -14.45 -15.94 2.40 N/A N/A N/A 2.03 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 39 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Asset Allocation & Time Weighted Performance as of June 30, 2022 Allocation Performance(%) Market Quarter Fiscal 1 3 5 7 10 Since Inception Value % To YTD YTD Year Years Years Years Years Inception Date ($000) Date Renaissance - International Growth ad= 1,393 7.16 -13.98 (26) -20.11 (20) -17.62 (23) -19.85 (32) 0.12 (90) N/A N/A N/A -1.00 (100) 08/01/2017 Renaissance - International Growth (net) -14.13 (27) -20.37 (23) -18.03 (24) -20.31 (36) -0.49 (94) N/A N/A N/A -1.59 (100) MSCI AC World ex US Net -13.73 (25) -18.42 (13) -16.94 (19) -19.42 (30) 1.35 (77) N/A N/A N/A 1.79 (90) IM International Large Cap Growth Equity (SA+CF) Median -15.53 -24.59 -21.89 -22.20 3.16 N/A N/A N/A 3.79 Highland -Fixed Income 41502 23.15 -3.04 (36) -7.34 (42) -7.39 (41) -7.12 (40) 0.87 (27) N/A N/A N/A 1.95 (31) 08/01/2017 Highland - Fixed Income (net) -3.11 (37) -7.48 (42) -7.60 (44) -7.39 (42) 0.57 (38) N/A N/A N/A 1.60 (46) Barclays Aggregate -4.69 (52) -10.35 (62) -10.34 (64) -10.29 (65) -0.93 (89) N/A N/A N/A 0.80 (95) IM U.S. Fixed Income (SA+CF) Median -4.63 -8.80 -8.85 -8.64 0.26 N/A N/A N/A 1.53 Intercontinental - Private Real Estate 947 4.87 7.26 13.43 24.65 =14.95 N/A N/A N/A 13.18 10/01/2017 Intercontinental - Private Real Estate (net) 7.05 12.98 20.42 27.20 12.75 N/A N/A N/A 11.26 NCREIF Property Idx 3.22 8.72 15.41 21.44 10.22 N/A N/A N/A 8.96 Barclays Aggregate -4.69 -10.35 -10.34 -10.29 -0.93 N/A N/A N/A 0.74 Lazard -Global Infrastructure 1,162 5.97 -2.00 (2) -0.41 (5) _ 9.40 (2) 9.96 (5) N/A N/A N/A N/A 12.53 (2) 01/01/2021 Lazard - Global Infrastructure (net) -2.00 (2) -0.41 (5) 9.40 (2) 9.96 (5) N/A N/A N/A N/A 12.53 (2) DJ Brookfield Gbl Infra Comp TR -7.21 (38) -3.17 (16) 3.32 (28) 1.82 (55) N/A N/A N/A N/A 10.70 (5) IM Global Infrastructure (MF) Median -7.45 -4.78 2.30 2.77 N/A N/A N/A N/A 6.75 Receipt & Disbursement 82 0.42 0.03 0.03 0.04 0.04 0.33 N/A N/A N/A 0.86 08/01/2017 90-Day T-Bills 0.14 0.17 0.18 0.19 0.61 N/A N/A N/A 1.09 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 40 Graystone Consulting from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Asset Allocation & Net Dollar Weighted Performance (IRR) as of June 30, 2022 Current Fiscal 1 3 5 7 10 Since Inception Quarter YTD Year Years Years Years Years Inception Date 1 Total Fund 11 f. I :: I 01/31/2011 Domestic Equity Highland - Large Cap Value 19.89 -12.20 -4.77 -6.12 7.32 N/A N/A N/A 7.74 07/31/2017 Polen - Large Cap Growth 6.76 -23.90 -30.87 -28.97 N/A N/A N/A N/A -15.12 03/15/2021 iShares - Russell 1000 Growth ETF 7.47 -20.99 -19.73 -18.83 N/A N/A N/A N/A -5.32 12/31/2020 Boston Partners - SMID Value 12.58 -11.90 -8.42 -10.58 9.61 N/A N/A N/A 7.31 07/31/2017 Fiera Capital - SMID Growth 11-mingtinnal 6.99 -21.30 -21.79 -23.27 7.19 N/A N/A N/A 9.12 07/31/2017 Equity Highland - Intl Value 4.74 -15.40 -18.65 -20.10 -1.30 N/A N/A N/A -0.45 07/31/2017 Renaissance - International Growth 7.16 -14.13 -18.83 -21.25 -2.07 N/A N/A N/A -2.56 07/31/2017 IncomeFixed Highland -Fixed Income 23.15 -3.11 -7.75 -7.63 0.16 N/A N/A N/A 1.30 07/31/2017 w. Intercontinental - Private Real Estate 4.87 7.04 20.39 27.15 12.56 N/A N/A N/A 11.26 10/15/2017 Lazard - Global Infrastructure 5.97 -2.00 9.40 9.96 N/A N/A N/A N/A 12.57 12/31/2020 Receipt & Disbursement 0.42 -7.27 -5.83 -9.20 -6.68 N/A N/A N/A -5.84 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 41 from Morgan Stanley City of Sebastian Police Officers' Retirement Plan IPS Checklist as of June 30, 2022 Equitv Portfolio Listed on recognized exchange Yes Single issue shall does not exceed 5% of total plan market value Yes Fixed Income Portfolio U.S. Government / Agency or U.S. Corporations Yes Bonds rated "BBB" or better Yes Single corporate issuer not exceed 10% of bond portfolio Yes (except U.S. Government/Agency) 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 42 Graystone Consulting from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Policy Index History As of June 30, 2022 Policy Feb-2011 S&P 500 Total Return 48.00 Barclays Govt/Credit Bond 49.00 90-Day T-Bills 3.00 Jul-2011 S&P 500 Total Return 50.00 Barclays Aggregate 40.00 MSCI EAFE Net 10.00 Jan-2016 S&P 500 Total Return 50.00 Barclays Aggregate 40.00 MSCI EAFE Net 10.00 Jul-2017 Russell 1000 Value 21.25 Barclays Aggregate 25.00 MSCI EAFE Net 5.00 Russell 1000 Gr 21.25 Russell 2500 VL 5.00 Russell 2500 GR 5.00 MSCI AC World ex US Net 7.50 Alerian MLP Index 5.00 NCREIF Property Idx 5.00 Jan-2021 Russell 1000 Value 16.25 Barclays Aggregate 25.00 MSCI EAFE Net 5.00 Russell 1000 Gr 16.25 Russell 2500 VL 12.00 Russell 2500 GR 8.00 MSCI AC World ex US Net 7.50 DJ Brookfield Gbl Infra Comp TR 5.00 NCREIF Property Idx 5.00 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Page 43 Graystone Consulting from Morgan Stanley Important Notes About This Report PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. ACTUAL INDIVIDUAL ACCOUNT RESULTS WILL DIFFER FROM THE PERFORMANCE SHOWN IN THIS REPORT. INVESTMENT DECISIONS: Do not use this report as the sole basis for investment decisions_ Do not select an allocatiGn, investment disciplines or investment managers/funds based on performance alone_ Consider, in addition to performance results, other relevant information about each investment manager or fund, as well as matters such as }your investment objectives, risk tolerance and investment time horizon_ SOURCE OF PERFORMANCE INFORMATION FOR INVESTMENT MANAGERS AVAILA13LE IN CONSULTING AND EVALUATION SERVICES OR SELECT UMA: Each investment manager included in this report that participates in one or more of the Consulting and Evaluation Services or Select UMA programs ("Programs") has a track record of investing assets in the relevant investment discipline_ The investment manager's gross performance track record shown in this report consists of its gross performance in either the Morgan Stanley or the Smith Barney form of the Select UMA program (if that investment manager was in the Select UMA program ) for periods for which sufficient data is available_ If the strategy or similar strategies are available in both the Morgan Stanley and Smith 6arney forms of the program, this profile presents the composite for the strategy that is closest to the strategy c u rrently offered in the Select UMA program_ If both strategies are equally close, the profile shows the longer of the two composites_ For other periods, the gross performancetrack record is provided by the investment manager and consists of accounts managed by the investment manager in the same or a similar investment discipline, whether at PdGrgan Stanley or elsewhere (and may include institutional accounts, retail accounts and/or pooled investment vehicles such as mutual funds)_ Page 44 Graystone Consulting from Morgan Stanley Page 45 Important Notes About This Report (Cont'd) There may be differences between the performance in the different forms of the Select UNIA program, in different Programs, and between the performance in Programs and performance outside the Programs, due to among other things, investment and operational differences For example: • Institutional accounts included in related performance may hold more securities than the Program accounts, participate in initial public offerings (IPOs) and invest directly in foreign securities (rather than in ADRs)- • Mutual funds included in related performance may hold more securitiesthan the Program accounts, may participate in IPOs- may engage in options and futures transactions, and are subject to certain regulatory limitations. • Performance results in Select UMA accounts could differ from that in Consulting and Evaluation Services accounts because Select UMA accounts may hold fewer securities, and have automatic rebalancing }gash sale loss and tax harvesting features - You should read the investment manager profile accompanying this report foreach investment manager- The investment manager profile gives further details on the sources of performance information for a particular investment manager, as well as other calculations of the manager's performance returns (such as performance net of fees and eKpenses)- SOURCE OF PERFORMANCE INFORMATION FOR GLOBAL INVESTMENT SOLUTION STRATEGIES: In the Global Investment Solutions program, dedicated portfolio managers employed by Morgan Stanley orthird party subadvisors make day-to-day investment decisions for clients' accounts invested in various investment strategies- Thetrack record shown in this reportfor Global Investment Solutions strategies consists of the portfolio management team's gross performance in that strategy in the Global Investment Solutions program (or a predecessor proggram)- SOURCE OF PERFORMANCE INFORMATION FOR OTHER INVESTMENT PJANAGER : For any investment managers shown in this report that are not available in the Consulting and Evaluation Services or Select UPJA programs, the performance data is obtained from databases maintained by parties outside Morgan Stanley. This data has been included for your information, and has not been verified by Morgan Stanley in any way- See "Sources of Information" below- The gross performance shown in this report for these managers could differ materially from their gross performance in investment advisory programs offered by firms other than Morgan Stanley- If you have invested with any such manager through anotherfirm, we recommend that you seek information from that firm on the manager's gross and net performance in its programs- Graystone Consulting from Morgan Stanley Important Notes About This Report (Cont'd) SOURCE OF PERFORMANCE INFOP IATIO N FOR FUNDS_ For any fund shol,xin in this report the performance data is obtained from databases maintained by parties outside Morgan Stanley_ This data has been included foryour information, and has not been verified by Morgan Stanley in any way. See "Sources of Information': beloix BENCHMARK{ INDICES: Depending on the composition of your account and your investment objectives, the indices shown in this report may not be appropriate measures for comparison purposes and are therefore presented for illustration only. The indices used in this report may not be the same indices used for comparative purposes in the profile for each investment manager, mutual fund andlor ETF that accompanies this report_ Indices are unmanaged_ They do not reflect any management, custody, transaction or other expenses, and generally assume reinvestment of dividends, accrued income and capital gains_ Performance of selected indices may be more or less volatile than that of any investment manager/fund shoixn in this report Past performance of indices does not guaranteefuture results_ You cannot invest directly in an index_ MANAGERS AND FUNDS APPROVED IN MORGAN STANLEY WEALTH MANAGEMENT PROGRAMS: Morgan StanleyWealth Management approves certain managers and funds offered in its investment advisory programs: Morgan Stanley Wealth Management's Global Investment Manager Analysis ("GIMA") team approves managers and funds offered in Consulting and Evaluation Services and Select UMA_ . Managers and funds offered in Institutional Consulting Group and Graystone Consulting programs may be approved by GINIA approved by Morgan Stanley Wealth Management using another process, or not approved by Morgan Stanley'0lealth Management_ • Morgan Stanley Wealth Management does not approve managers in the Investment Management Services consulting program_ • Managers in the Global Investment Solutions (GIS) program are not evaluated by LIMA. Page 46 Graystone Consulting from Morgan Stanley Important Notes About This Report (Cont'd) If you invest in a manager or fund that is not approved by Morgan Stanley Wealth Management, you are responsible for selecting and. or retaining that manager orfund. and Morgan Stanley Wealth Management does not recommend or monitor that manager or fund For more information on the approval process in any program, seethe applicable ADV brochure, available at }rr}rr}rx I'd organ StanIey.comfADV or from your Financial advisor or Private 1 ealth Advisor. If you have any questions about }rxrhether or hoix Morgan Stanley Wealth Management has approved a manager or fund shown in this report. please ask our Financial Advisor or Private Wealth Advisor_ SHARE CLASSES OF FUNDS SHOWN IN THIS REPORT: The share class of a fund sholxn in this report may differ from the share class available in any Morgan Stanley Wealth Management investment advisory program in 1xhich you invest_ The performance of the share class in which you invest may differ from that of the share class sho7,vn in this report_ REINVESTMENT: The performance results shown in this report assume that all dividends, accrued income and capital gains were reinvested_ SOURCES OF INFORMATION: Although the statements of fact in this report have been obtained from_ and are based on, sources that Morgan Stanley believes to be reliable, Morgan Stanley makes no representation asto the accuracy or completeness of the information from sources outside Morgan Stanley_ Any such information may be incomplete and you should not use it as the sole basis for investment decisions - It is important to consider a fund's investment objectives. risks, charges and expenses carefully before investing. The prospectus contains this and other information about the fund. A copy of the prospectus may be obtained from your Financial Advisor or Private Wealth Advisor. Please read the prospectus carefully before investing In the fund. Page 47 Graystone Consulting from Morgan Stanley Performance Appendix Performance Data below is net of fees. Please seethe Morgan Stanley Smith Barney LLC Form ADV Part 2 Brochure for advisory accounts and/or any applicable brokerage account trade confirmation statements for a full disclosure of the applicable charges, fees and expenses. Your Financial Advisor will provide those documents to you upon request. or 3 5 10 Since Inception Account Name QTD YTDJ= Years Years Years Inception 1 Date Boston Partners - SMID Value -11.92 -12.52 -10.68 8.96 5.48 -- 5.48 07/14/2017 Fiera Capital - SMID Growth -21.30 -26.52 -23.09 9.65 10.44 -- 10.44 07/20/2017 Highland - Fixed Income -3.11 -7.48 -7.39 0.57 1.83 5.10 4.44 01/31/2011 Highland - Intl Value -15.40 -20.63 -19.28 0.00 0.89 -- 0.89 07/17/2017 Highland - Large Cap Value -12.26 -11.90 -6.38 6.65 6.82 -- 6.82 07/17/2017 Intercontinental - Private Real Estate 7.05 12.98 27.20 12.75 -- -- 11.26 10/01/2017 Lazard - Global Infrastructure -2.00 -0.41 9.96 -- -- -- 11.84 12/31/2020 Polen - Large Cap Growth -23.90 -34.20 -29.01 -- -- -- -15.99 04/01/2021 Receipt & Disbursement -7.45 -8.81 -13.70 -15.99 -- -- -11.56 08/01/2017 Renaissance - International Growth -14.13 -20.37 -20.31 -0.49 -1.50 -- -1.50 07/17/2017 iShares - Russell 1000 Growth ETF -20.99 -28.09 -18.83 -- -- -- -5.06 12/31/2020 All performance above are Time Weighted(TWR) performance Glossary of Terms Active Contribution Return: The gain or loss percentage of an investment relative to the performance of the investment benchmark. Active Exposure: The percentage difference in weight of the portfolio compared to its policy benchmark. Active Return: Arithmetic difference between the manager's return and the benchmark's return over a specified time period. Actual Correlation: A measure of the correlation (linear dependence) between two variables X and Y, with a value between +1 and -1 inclusive. This is also referred to as coefficient of correlation. Alpha: A measure of a portfolio's time weighted return in excess of the market's return, both adjusted for risk. A positive alpha indicates that the portfolio outperformed the market on a risk -adjusted basis, and a negative alpha indicates the portfolio did worse than the market. Best Quarter: The highest quarterly return for a certain time period. Beta: A measure of the sensitivity of a portfolio's time weighted return (net of fees) against that of the market. A beta greater than 1.00 indicates volatility greater than the market. Consistency: The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. The higher the consistency figure, the more value a manager has contributed to the product's performance Core: Refers to an investment strategy mandate that is blend of growth and value styles without a pronounced tilt toward either style. Cumulative Selection Return (Cumulative Return): Cumulative investment performance over a specified period of time. Distribution Rate: The most recent distribution paid, annualized, and then divided by the current market price. Distribution rate may consist of investment income, short-term capital gains, long-term capital gains, and/or return of capital. Down Market Capture: The ratio of average portfolio returns over the benchmark during periods of negative benchmark return. Lower values indicate better product performance. Downside Risk: A measure similar to standard deviation, but focuses only on the negative movements of the return series. It is calculated by taking the standard deviation of the negative quarterly set of returns. The higher the value, the more risk the product has. Downside Semi Deviation: A statistical calculation that measures the volatility of returns below a minimum acceptable return. This return measure isolates the negative portion of volatility: the larger the number, the greater the volatility. Drawdown: A drawdown is the peak -to -trough decline during a specific period of an investment, fund or commodity. Excess over Benchmark: The percentage gain or loss of an investment relative to the investment's benchmark. Excess Return: Arithmetic difference between the manager's return and the risk -free return over a specified time period. Growth: A diversified investment strategy which includes investment selections that have capital appreciation as the primary goal, with little or no dividend payouts. These strategies can include reinvestment in expansion, acquisitions, and/or research and development opportunities. Growth of Dollar: The aggregate amount an investment has gained or lost over a certain time period, also referred to as Cumulative Return, stated in terms of the amount to which an initial dollar investment would have grown over the given time period. Investment Decision Process (IDP): A model for structuring the investment process and implementing the correct attribution methodologies. The IDP includes every decision made concerning the division of the assets under management over the various asset categories. To analyze each decisions contribution to the total return, a modeling approach must measure the marginal value of every individual decision. In this respect, the hierarchy of the decisions becomes very important. We therefore use the IDP model, which serves as a proper foundation for registering the decisions and relating them to each other. Information Ratio: Measured by dividing the active rate of return by the tracking error. The higher the Information Ratio, the more value-added contribution by the manager. Jensen's Alpha: The Jensen's alpha measure is a risk -adjusted performance measure that represents the average return on a portfolio or investment above or below that predicted by the capital asset pricing model (CAPM) given the portfolio's or investment's beta and the average market return. This metric is also commonly referred to as alpha.. Kurtosis: A statistical measure that is used to describe the distribution, or skewness, of observed data around the mean, sometimes referred to as the volatility of volatility. Maximum Drawdown: The drawdown is defined as the percent retrenchment from a fund's peak to the fund's trough value. It is in effect from the time the fund's retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund's peak to the fund's valley (length), and the time from the fund's valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund's data record. Modern Portfolio Theory (MPT): An investment analysis theory on how risk -averse investors can construct portfolios to optimize or maximize expected return based on a given level of market risk, emphasizing that risk is an inherent part of higher reward. Mutual Fund (MF): An investment program funded by shareholders that trade in diversified holdings and is professionally managed. Peer Group: A combination of funds that share the same investment style combined as a group for comparison purposes. Peer/ Plan Sponsor Universe: A combination of asset pools of total plan investments by specific sponsor and plan types for comparison purposes. Performance Ineligible Assets: Performance returns are not calculated for certain assets because accurate valuations and transaction data for these assets are not processed or maintained by us. Common examples of these include life insurance, some annuities and some assets held externally. Performance Statistics: A generic term for various measures of investment performance measurement terms. Portfolio Characteristics: A generic term for various measures of investment portfolio characteristics. Preferred Return: A term used in the private equity (PE) world, and also referred to as a "Hurdle Rate." It refers to the threshold return that the limited partners of a private equity fund must receive, prior to the PE firm receiving its carried interest or "carry." Ratio of Cumulative Wealth: A defined ratio of the Cumulative Return of the portfolio divided by the Cumulative Return of the benchmark for a certain time period. Regression Based Analysis: A statistical process for estimating the relationships among variables. It includes many techniques for modeling and analyzing several variables, when the focus is on the relationship between a dependent variable and one or more independent variables Residual Correlation: Within returns -based style analysis, residual correlation refers to the portion of a strategy's return pattern that cannot be explained by its correlation to the asset -class benchmarks to which it is being compared. Return: A rate of investment performance for the specified period. Rolling Percentile Ranking: A measure of an investment portfolio's ranking versus a peer group for a specific rolling time period (i.e. Last 3 Years, Last 5 years, etc.). R-Squared: The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark. High R-Squared means a higher correlation of the portfolio's performance to the appropriate benchmark. SA/CF (Separate Account/Comingled Fund): Represents an acronym for Separate Account and Commingled Fund investment vehicles. Sector Benchmark: A market index that serves as a proxy for a sector within an asset class. Sharpe Ratio: Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk -adjusted performance results in. Standard Deviation: A statistical measure of the range of a portfolio's performance; the variability of a return around its average return over a specified time period. Total Fund Benchmark: The policy benchmark for a complete asset pool that could consist of multiple investment mandates. Total Fund Composite: The aggregate of multiple portfolios within an asset pool or household. Tracking Error: A measure of standard deviation for a portfolio's investment performance, relative to the performance of an appropriate market benchmark. Treynor Ratio: A ratio that divides the excess return (above the risk free rate) by the portfolio's beta to arrive at a unified measure of risk adjusted return. It is generally used to rank portfolios, funds and benchmarks. A higher ratio is indicative of higher returns per unit of market risk. This measurement can help determine if the portfolio is reaching its goal of increasing returns while managing market risk. Up Market Capture: The ratio of average portfolio returns over the benchmark during periods of positive benchmark return. Higher values indicate better product performance. Upside Semi Deviation: A statistical calculation that measures the volatility of returns above an acceptable return. This return measure isolates the positive portion of volatility: the larger the number, the greater the volatility. Value: A diversified investment strategy that includes investment selections which tend to trade at a lower price relative to its dividends, earnings, and sales. Common attributes are stocks that include high dividend, low price -to -book ratio, and/or low price -to -earnings ratio. Worst Quarter: The lowest rolling quarterly return for a certain time period. Information Disclosures Performance results are annualized for time periods greater than one year and include all cash and cash equivalents, realized and unrealized capital gains and losses, and dividends, interest and income. The investment results depicted herein represent historical performance. As a result of recent market activity, current performance may vary from the figures shown. Past performance is not a guarantee of future results. Please see the Morgan Stanley Smith Barney LLC Form ADV Part 2 Brochure for advisory accounts and/or any applicable brokerage account trade confirmation statements for a full disclosure of the applicable charges, fees and expenses. Your Financial Advisor will provide those documents to you upon request. Benchmark indices and blends included in this material are for informational purposes only, are provided solely as a comparison tool and may not reflect the underlying composition andlor investment objective(s) associated with the account(s). Indices are unmanaged and not available for direct investment. Index returns do not take into account fees or other charges. Such fees and charges would reduce performance. The performance data shown reflects past performance, which does 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 up to date month -end performance information, please contact your Financial Advisor or visit the funds' company website. Investors should carefully consider the fund's investment objectives, risks, charges and expenses before investing. The prospectus and, if available the summary prospectus, contains this and other information that should be read carefully before investing. Investors should review the information in the prospectus carefully. To obtain a prospectus, please contact your Financial Advisor or visit the funds' company website. Past performance is no guarantee of future results. Investing involves market risk, including possible loss of principal. Growth investing does not guarantee a profit or eliminate risk. The stocks of these companies can have relatively high valuations. Because of these high valuations, an investment in a growth stock can be more risky than an investment in a company with more modest growth expectations. Value investing involves the risk that the market may not recognize that securities are undervalued and they may not appreciate as anticipated. Small and mid -capitalization companies may lack the financial resources, product diversification and competitive strengths of larger companies. The securities of small capitalization companies may not trade as readily as, and be subject to higher volatility than those of larger, more established companies. Bond funds and bond holdings have the same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the funds. The return of principal in bond funds, and in funds with significant bond holdings, is not guaranteed. International securities' prices may carry additional risks, including foreign economic, political, monetary and/or legal factors, changing currency exchange rates, foreign taxes and differences in financial and accounting standards. International investing may not be for everyone. These risks may be magnified in emerging markets. Alternative investments, including private equity funds, real estate funds, hedge funds, managed futures funds, and funds of hedge funds, private equity, and managed futures funds, are speculative and entail significant risks that can include losses due to leveraging or\other speculative investment practices, lack of liquidity, volatility of returns, restrictions on transferring interests in a fund, potential lack of diversification, absence and/or delay of information regarding valuations and pricing, complex tax structures and delays in tax reporting, less regulation and higher fees than mutual funds and risks associated with the operations, personnel and processes of the advisor. Master Limited Partnerships (MLPs) are limited partnerships or limited liability companies that are taxed as partnerships and whose interests (limited partnership units or limited liability company units) are traded on securities exchanges like shares of common stock. Currently, most MLPs operate in the energy, natural resources or real estate sectors. Investments in MLP interests are subject to the risks generally applicable to companies in the energy and natural resources sectors, including commodity pricing risk, supply and demand risk, depletion risk and exploration risk; and MLP interests in the real estate sector are subject to special risks, including interest rate and property value fluctuations, as well as risks related to general and economic conditions. Because of their narrow focus, MLPs maintain exposure to price volatility of commodities and/or underlying assets and tend to be more volatile than investments that diversify across many sectors and companies. MLPs are also subject to additional risks including: investors having limited control and rights to vote on matters affecting the MLP, limited access to capital, cash flow risk, lack of liquidity, dilution risk, conflict of interests, and limited call rights related to acquisitions. Mortgage backed securities also involve prepayment risk, in that faster or slower prepayments than expected on underlying mortgage loans can dramatically alter the yield -to -maturity of a mortgage -backed security and prepayment risk includes the possibility that a fund may invest the proceeds at generally lower interest rates. Tax managed funds may not meet their objective of being tax -efficient. Real estate investments are subject to special risks, including interest rate and property value fluctuations, as well as risks related to general and economic conditions. High yield fixed income securities, also known as "junk bonds", are considered speculative, involve greater risk of default and tend to be more volatile than investment grade fixed income securities. Credit quality is a measure of a bond issuer's creditworthiness, or ability to repay interest and principal to bondholders in a timely manner. The credit ratings shown are based on security 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. If two or more of the agencies have assigned different ratings to a security, the highest rating is applied. Securities that are not rated by all three agencies are listed as "NR". "Alpha tilt strategies comprise a core holding of stocks that mimic a benchmark type index such as the S&P 500 to which additional securities are added to help tilt the fund toward potentially outperforming the market in an effort to enhance overall investment returns. Tilt strategies are subject to significant timing risk and could potentially expose investors to extended periods of underperformance." Custom Account Index: The Custom Account Index is an investment benchmark based on your historical target allocations and/or manager selection that you may use to evaluate the performance of your account. The Custom Account index does take into consideration certain changes that may have occurred in your portfolio since the inception of your account, i.e., asset class and/or manager changes. However, in some circumstances, it may not be an appropriate benchmark for use with your specific account composition. For detailed report of the historical composition of this blend please contact your Financial Advisor. Peer Groups Peer Groups are a collection of similar investment strategies that essentially group investment products that share the same investment approach. Peer Groups are used for comparison purposes to compare and illustrate a clients investment portfolio versus its peer across various quantitative metrics like performance and risk. Peer Group comparison is conceptually another form of benchmark comparison whereby the actual investment can be ranked versus its peer across various quantitative metrics. All Peer Group data are provided by Investment Metrics, LLC. The URL below provides all the definitions and methodology about the various Peer Groups https://www.invmetrics.com/style-peer-groups Peer Group Ranking Methodology A percentile rank denotes the value of a product in which a certain percent of observations fall within a peer group. The range of percentile rankings is between 1 and 100, where 1 represents a high statistical value and 100 represents a low statistical value. The 30th percentile, for example, is the value in which 30% of the highest observations may be found, the 65th percentile is the value in which 65% of the highest observations may be found, and so on. Percentile rankings are calculated based on a normalized distribution ranging from 1 to 100 for all products in each peer group, where a ranking of 1 denotes a high statistical value and a ranking of 100 denotes a low statistical value. It is important to note that the same ranking methodology applies to all statistics, implying that a ranking of 1 will always mean highest value across all statistics. For example, consider a risk/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 Institutional Consultant and does not supersede or replace your Morgan Stanley customer statement. The information is as of the date(s) noted and subject to daily market fluctuation. Your interests in Alternative Investments, which may have been purchased through us, are generally not held here, and are generally not covered by SIPC. The information provided to you: 1) is included as a service to you, valuations for certain products may not be available; 2) is derived from you or another external source for which we are not responsible, and may have been modified to take into consideration capital calls or distributions to the extent applicable; 3) may not reflect actual shares, share prices or values; 4) may include invested or distributed amounts in addition to a fair value estimate; and 5) should not be relied upon for tax reporting purposes. Notwithstanding the foregoing, 1) to the extent this report displays Alternative Investment positions within a Morgan Stanley Individual Retirement Account ("IRA"), such positions are held by Morgan Stanley Smith Barney LLC as the custodian of your Morgan Stanley IRA; and 2) if your Alternative Investment positon(s) is held by us and is registered pursuant to the Securities Act of 1933, as amended, your Alternative Investment position(s) is covered by SIPC. Alternatives may be either traditional alternative investment vehicles or non-traditional alternative strategy vehicles. Traditional alternative investment vehicles may include, but are not limited to, Hedge Funds, Fund of Funds (both registered and unregistered), Exchange Funds, Private Equity Funds, Private Credit Funds, Real Estate Funds, and Managed Futures Funds. Non-traditional alternative strategy vehicles may include, but are not limited to, Open or Closed End Mutual Funds, Exchange -Traded and Closed -End Funds, Unit Investment Trusts, exchange listed Real Estate Investment Trusts (REITs), and Master Limited Partnerships (MLPs). These non-traditional alternative strategy vehicles also seek 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 to:• Loss of all or a substantial portion of the investment due to leveraging, short - selling, or other speculative practices;- Lack of liquidity in that there may be no secondary market for a fund;- Volatility of returns;- Restrictions on transferring interests in a fund;- Potential lack of diversification and resulting higher risk due to concentration of trading authority when a single advisor is utilized; - Absence of information regarding valuations and pricing;- Complex tax structures and delays in tax reporting;- Less regulation and higher fees than mutual funds; and- Risks associated with the operations, personnel, and processes of the manager. As a diversified global financial services firm, Morgan Stanley Wealth Management engages in a broad spectrum of activities including financial advisory services, investment management activities, sponsoring and managing private investment funds, engaging in broker - dealer transactions and principal securities, commodities and foreign exchange transactions, research publication, and other activities. In the ordinary course of its business, Morgan Stanley Wealth Management therefore engages in activities where Morgan Stanley Wealth Management's interests may conflict with the interests of its clients, including the private investment funds it manages. Morgan Stanley Wealth Management can give no assurance that conflicts of interest will be resolved in favor of its clients or any such fund. Indices are unmanaged and investors cannot directly invest in them. Composite index results are shown for illustrative purposes and do not represent the performance of a specific investment. Past performance is no guarantee of future results. Actual results may vary. Diversification does not assure a profit or protect against loss in a declining market. Any performance or related information presented has not been adjusted to reflect the impact of the additional fees paid to a placement agent by an investor (for Morgan Stanley placement clients, a one-time upfront Placement Fee of up to 3%, and for Morgan Stanley investment advisory clients, an annual advisory fee of up to 2.5%), which would result in a substantial reduction in the returns if such fees were incorporated. For most investment advisory clients, the program account will be charged an asset -based wrap fee every quarter ("the Fee"). In general, the Fee covers investment advisory services and reporting. In addition to the Fee, clients will pay the fees and expenses of any funds in which their account is invested. Fund fees and expenses are charged directly to the pool of assets the fund invests in and impact the valuations. Clients must understand that these fees and expenses are an additional cost and will not be included in the Fee amount in the account statements. As fees are deducted quarterly, the compounding effect will be to increase the impact of the fees by an amount directly related to the gross account performance. For example, for an account with an initial value of $100,000 and a 2.5% annual fee, if the gross performance is 5% per year over a three year period, the compounding effect of the fees will result in a net annual compound rate of return of approximately 2.40% per year over a three year period, and the total value of the client's portfolio at the end of the three year period would be approximately $115,762.50 without the fees and $107,372.63 with the fees. Please see the applicable Morgan Stanley Smith Barney LLC Form ADV Part 2A for more information including a description of the fee schedule. It is available at www.moreanstanlev.com/ADV <httn://www.mor2anstanlev.com/ADV> <http://www.morganstanley.com/ADV> or from your Financial Advisor/Private Wealth Advisor. Alternative investments involve complex tax structures, tax inefficient investing, and delays in distributing important tax information. Individual funds have specific risks related to their investment programs that will vary from fund to fund. Clients should consult their own tax and legal advisors as Morgan Stanley does not provide tax or legal advice. Interests in alternative investment products are offered pursuant to the terms of the applicable offering memorandum, are distributed by Morgan Stanley Smith Barney LLC and certain of its affiliates, and (1) are not FDIC -insured, (2) are not deposits or other obligations of Morgan Stanley or any of its affiliates, (3) are not guaranteed by Morgan Stanley and its affiliates, and (4) involve investment risks, including possible loss of principal. Morgan Stanley Smith Barney LLC is a registered broker -dealer, not a bank. SIPC insurance does not apply to precious metals, other commodities, or traditional alternative investments. © 2018 Morgan Stanley Smith Barney LLC. Member SIPC. Money Market Funds You could lose money in Money Market Funds. Although MMFs classified as government funds (i.e., MMFs that invest 99.5% of total assets in cash and/or securities backed by the U.S government) and retail funds (i.e., MMFs open to natural person investors only) seek to preserve value at $1.00 per share, they cannot guarantee they will do so. The price of other MMFs will fluctuate and when you sell shares they may be worth more or less than originally paid. MMFs may impose a fee upon sale or temporarily suspend sales if liquidity falls below required minimums. During suspensions, shares would not be available for purchases, withdrawals, check writing or ATM debits. A MMF investment is not insured or guaranteed by the Federal Deposit Insurance Corporation or other government agency.