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HomeMy WebLinkAbout09-08-2022 Minutes w/AttachmentsCITY OF SEBASTIAN POLICE PENSION BOARD MINUTES OF SPECIAL MEETING SEPTEMBER 8, 2022 Call to Order — Chairman Tim Wood called the meeting to order at 5:00 p.m. II. Roll Call Present: Board Members: Ms. Ring Detective McDonough Captain Wood Mr. Reeves Mr. Puscher Also Present: Bonni Jensen, Klausner, Kaufman, Jensen & Levinson, Attorney for the Board of Trustees Ken Kilgore, Plan Administrator Scott Owens, Graystone Consulting John Forelli, Boston Partners Elizabeth Sheerin, Boston Partners John Gunther, Pollen Capital Barbara Brooke -Reese, MIS Manager Janet Graham, Recording Secretary III. Vote to Excuse Absent Board Members Chairman Wood announced that there are no absent Board members. IV. Aooroval of Minutes: A. June 9, 2022, Regular Quarterly Meeting There being no corrections or additions, a motion approving the Minutes of June 9, 2022 was made by Mr. Puscher, seconded by Captain Wood, and approved unanimously via voice vote. V. Old Business POLICE PENSION BOARD PAGE 2 MINUTES OF SPECIAL MEETING OF SEPTEMBER 8, 2022 1. Approval of Payments a. Highland Capital — April to June — Value, ADR - $ 5,983.04 b. Highland Capital -- April to June — Fixed Income 3,378.18 C. Boston Partners — April to June 5,848.57 d. Here Capital -- April to June 2,550.57 e. Renaissance -- April to June 2,258.36 f. Polen Capital -- April to June 2,131.77 g. Graystone Consulting -- April to June 3,375.00 h. Foster & Foster — Meeting Cost, 112,664 Compliance, etc. 3,924.50 I. Klausner, Kaufmann, Jensen & Levinson, May, June, and July 11,662.50 j. City of Sebastian — Administrative Services April to September 12,000.00 k. City of Sebastian — Janet Graham 03/24/2022 and 06/09/2022 Meetings 198.00 I. FPPTA 2022 Membership 750.00 M. Registration, Meals and Mileage for Annual Conference 4,105.70 n. Salem Trust -- January to March 5,895.01 Chairman Wood called for a motion to approve the above payments. A motion approving the payment of the above amounts was made by Mr. Puscher, seconded by Chairman Wood, and approved unanimously via voice vote. 2. Presentation by Boston Partners Ms. Sheerin introduced herself and John Forelli. She stated that Mr. Forelli is head of Boston Partners' Portfolio Research, and she gave a short synopsis of his experience. She stated that she is the Relationship Manager for the Pension Board's account. She made a PowerPoint presentation (SEE ATTACHED) which describes what activities Boston Partners performs for the Police Pension Board. She then called on Mr. Forelli for his presentation. John Forelli reviewed slides (SEE ATTACHED), which covered Boston Partners' performance for the time period April to June 2022. Mr. Puscher asked questions regarding the number of transactions by Boston Partners over the subject time period which Mr. Forelli addressed. 3. Presentation by Polen Capital POLICE PENSION BOARD PAGE 3 MINUTES OF SPECIAL MEETING OF SEPTEMBER 8, 2022 John Gunther (via Zoom) introduced himself and reviewed his position with Polen Capital. He added that Steve Atkins, who is a senior member of Polar's investment team, is attending this meeting via Zoom also. Mr. Atkins reviewed the portfolio via a PowerPoint presentation (SEE ATTACHED). There were questions/comments by the Board members and Mr. Owens which Mr. Gunther addressed. VI. New Business Report from Investment Monitor Scott Owens provided Board members with an in-depth report (SEE ATTACHED), including a review of the history of the market and how it affects the Pension Board assets. The report also sets forth the managers' performances. He asked the Board members for their thoughts/comments/questions. There were several questions and comments by the Board members. Mr. Owens explained that his staff are looking at Renaissance and have been doing a search regarding Renaissance. After more discussion regarding choosing a manager, he asked if there is a motion on what direction he should proceed. A motion approving ClearBridge as a new manager was made by Mr. Puscher, seconded by Captain Wood, and approved unanimously via voice vote. After more discussion, Mr. Owens recommended taking Renaissance down to 5%, so it would be an underweight of 2.5%, and the Pension would still be within the bounds of the IPS. He also recommended adding it to the global infrastructure or fixed income, depending on how more defensive the Board would want to be. Mr. Puscher favored infrastructure. Mr. Owens agreed. A motion in favor of implementing Mr. Owens' recommendation was made by Mr. Puscher, seconded by Captain Wood, and approved unanimously via voice vote. Mr. Owens stated he will contact Ms. Jensen and get the contract for the manager. He added that typically his staff attempts to move everything in kind for the new manager so that you are not really out of the market, and they will start building a portfolio. It will take 30 days or so, and his staff will start working on that immediately. He stated that, if anyone wants to contact him directly, Mr. Killgore knows how to reach him. 2. Consideration of Fees Proposed by the Actuary, Foster & Foster Doug Lozen identified himself and stated that he would be speaking about fee increases this evening. He reviewed what Foster & Foster does for the Pension Fund (SEE ATTACHED). He stated that Foster & Foster has been this Pension's actuary for over 30 POLICE PENSION BOARD PAGE 4 MINUTES OF SPECIAL MEETING OF SEPTEMBER 8, 2022 years. He reviewed some of the activities that were achieved during that time. The fee that is in place has been in place for approximately 10 years. He added that his company would normally have come to the Pension Board with fee increases sooner than this, but with pension reforms, etc., you had fees passed along to you because of that. So they did not feel that they should come and ask for a fee change. The proposal that the Board members were provided was summarized by Mr. Lozen. If the Board approves the increase —and it would go into effect next fiscal year —his best guess is that it would be $2,500.00 more than under the current fee structure. The other request beginning fiscal year 2023 and later is that the Board would apply an automatic increase. The proposal is based on the consumer price index of June 30' , whether It is up or down. If CPI is 5%, they will get a 5% increase. If it is zero, they would get no raise the next year. He emphasized that they are going to all of their clients with this proposal. There are alternatives to CPI. One: a CPI with a maximum of 5% and the minimum would be 2%. The other option is a 4% flat rate. This is annually. The contract is with 30 days' notice. He then asked for questions/comments from the Board members. There were questions/comments from the Board members, which Mr. Lozen addressed. A motion to use the CPI as the basis for fee adjustments was made by Ms. Ring, seconded by Mr. Reeves, and approved unanimously via voice vote. 3. Approve 2023 Meeting Dates: March 9, June 8, September 14 and December 14 Mr. Killgore stated that the proposed meeting dates for 2023 would be March 9, June 8, September 14, and December 14. A motion accepting the proposed meeting dates for 2023 was made by Captain Wood, seconded by Mr. Puscher, and approved unanimously via voice vote. 4. Approve 2022/2023 Proposed Budget Mr. Killgore called everyone's attention to the schedule in the agenda packet (SEE ATTACHED). This proposal Is based on the current year costs. He stated the budget was increased mostly for the administrative costs. Investment expenses are also increased based on the historical costs for each of the managers. A motion approving the proposed budget was made by Mr. Puscher, seconded by Captain Wood, and approved unanimously via voice vote. VII. Leaal Updates: Klausner, Kaufman, Jensen & Levinson Updates on Grimmich Forfeiture Process POLICE PENSION BOARD PAGE 5 MINUTES OF SPECIAL MEETING OF SEPTEMBER 8, 2022 Ms. Jensen stated that the attorney is in place. The notices have been served. She said she has had a difficult time getting Ireland served. Eventually, they had it delivered to the local Walgreens, which is a local pick-up for Fed Ex. However, Ireland was not able to get it there. Her staff are still working on this, and she will notify Mr. Killgore when service has been made on Ireland. 2. $227,003.04 Received from State Premium Tax/Schedule of Payments to Other Cities Ms. Jensen reported that the 185 money has been determined. Mr. Killgore stated the City has received the funds. 3. Increase in IRS Mileage Rate Ms. Jensen reported that the IRS mileage rate has increased effective July 15t to $0.62.5. 4. Other Legal Matters Regarding conferences, Ms. Jensen said the State is putting on its conference, which is going to be held in Orlando, beginning on the 261h of September. Vill. Plan Administrator Reports 1. Florida Department of Management Services Pension Conference Mr. Killgore asked Board members to coordinate with him if they intend to attend that conference. He has enclosed the materials relating to the conference in the agenda packet. 2. Budget vs. Actuals Report/Calendar of Board Activities/Other Administrative Matters Mr. Killgore stated he has provided the Budget and Actual Report that is in the agenda packet. He stated the Pension Fund is within budget on almost every category. As to the Calendar of Board Activities, he is on schedule to accomplish all those items as well. IX. Next Scheduled Quarterly Meetina: December 8, 2022 X. Adjourn POLICE PENSION BOARD PAGE 6 MINUTES OF SPECIAL MEETING OF SEPTEMBER 8, 2022 There being no further business, Captain Wood adjourned the meeting at 7:42 p.m. Bv„ ! 6✓s,Date: 3 /3 23 jg City of Sebastian Police Officers' Retirement Plan Internatlonal Growth Manager Search Summary Information as of June 30, 2022 Sub,9 la NOMIrM1OrWM amMFGdmw ONIra1MNXM a10M1MQYMXM GIMA Status Apyread focue rswa Appr Forecasted PIE (1 Year) 9.0 17.8 13.2 19.0 11.4 vs. Index Lower Higher Higher Higher Market Gap ISM) $57.9 Billion SB5.6 Billion $88.9 Billion $154.2 Biilich $62.5 Billion vs. Index Lower Higher Higher Higher Decision Making Bonom-up Bottom -up Boeom-up Bosom -up p of Securities 55 52 54 41 2,20 Emerging Markets Maximum 33% 15% 30% 30 % Maximum Cash 2% 10% 10% 10% I BRISK (a veer) t (Standard Deviation I 18.23 16.02 15.94 17.04 1570 IPERFORMANCE Equity S,mss Ner Semcs Not: Gmaa NC OLM NSL' 1 Quarter (14.56) (14.69) (13.82) (14.48) (15.52) (15.64) (16.50) (17.16) (13.73) 1 year (21.08) (21.56) (23.38) (25.67) (22.20) (22,69) (32.99) (3502) (19.42) 3 year (0.36) gm) 3.01 0.01 2.88 2.23 0.45 (2.46) 1.35 5 year (0.30) (0.85) 6.89 3.79 4.31 3.65 1.60 (1,37) 2.50 10 year 4.48 3.88 9.14 5.97 7.32 6.67 6.65 3.55 4.83 Since Inception 5.40 4.78 8.54 5.39 7.86 7.07 6.77 3.66 Inception Date Jamm Jan-o3 Jim go May -ID OTHERIMPORTANT CONSIDERATIONS Year Firm Established 1978 1995 1989 1982 Who Est. Performance Joe Shunning Team Team Team Commitment Well Paid Well Paid Well Paid OwnersANell Paid Total Assets $2.58 Firm/ $190.7B Finn' $5878 Firm/ $40.18 Firm/ $481M Strategy SUB Strategy $11.SB Strategy $36.3M Strategy Total PM's & Analysts 4 38 31 43 Pooled vs. Separate Separate Separate Separate Separate -Net.: The netpedormarme shown is net of the manmum porari of management 6 ad.., lee thatanuldbe charged. Sources: Morgan Stanley Global Investment Manager Analysis team, Informs PSN, and Zephyr StyleADVISOR This summary contains select data for each investment manager and index listed and should not be considered Inclusive of all material information available for each investment. Please refer to additional information provided in the complete manager search analysis for each manager. The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. I I I I t I I I I I l f l l 1 I I 1 t Graystone Consulting - A business of Margin Stanley City of Sebastian Police Officers' Retirement Plan Investment Manager Search Analysis September 2022 Scott Owens, CFA®, CIMA® David Wheeler, LIMA®, CFA®, CRPS® Andy Mcllvaine Managing Director —Wealth Management Managing Director —Wealth Management Associate Vice President Institutional consultant Institutional Consulting Director Institutional Consulting Director Financial Advisor Alternative Investment Director Alternative Investment Director Andy.Mcilvalne@msgmystone.com Scot.OWers@magraystone.cem David.A.Wheeler@msgraystone.com (8131227-2160 (813)227-2027 (813)227-2178 Graystone Consulting„. A business of Morgan Stanley Quantitative Analysis (Gross of Fees Performance) Trailingraystone Periods Return Analysis Consultin Y Consulting •- Zephyr SiyleADVISOR: rASSS Tam", FL Manager vsBenchmark Return JJYalO]-JueaY2lm��Nliz�ll �I� 1)Al') to, 5- I I I ■ 6aassa� Iro F4Nana Iramsl C -to- ■r, elry lM GrwT Pna(Oros) Had ■ H ,ea,g mgm tla�Gnmh rg (Cams) -15' tiSc M A.0 Ytl emM H ( (Cans%1 . Sc PCw1 m.lISAGRONfH fN¢J -20- ■ MSCI PLINa US11N5p _25 -30L -35 ---- . r r- 1 quarter i year 3 years 5 years 7 years 10 years 15 years Manager vs Benchmark: Return July 2007 - June 2022 (not annualized if less than 1 year) l quarter (year 3yews 5years 7yews 10 years 15 years Since Inception Renaissance: h0 Egly ADR(Gross) -14.56%-21.0816 -036 % -0.309/6 0.99'/ 4.48% 202% 5.40% Gear&idge Inv: Intl Growth ADR(Gross)-13.82%-23.389/6 3.01% 6.89% 6.769/6 9.14% 4.941/6 8.54% Harding Loevner: International FA (Gross) -15.52% -2220% 288% 4.31% 5.449% 7.321/6 5.16% 7.86% Thornburg Nlgm.: Intl Grw th ADR(Gross)-16.50% -3299% 0.450% 1.60% 3.50% 6.659/6 WA 6.77% MSG AGWI ex USA GROWTH (Nat) -15,71%-25.80% 1.62% 3.43% 3.86°i 5.71% 2.40% 4.105/6 MSG AGWI ex USA(Net)-13.73%-19.42°7, 1.359/6 250% 2929% 4.83% 1.58% WA The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 3 performance is not a guarantee of future results. Grastone Calendar Year Return Analysis Consultin g Calendar Year Return As of June 2022 YTD 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 Renaissance: Intl Rlty ADR(Gross)-20.97% 7.02% 10.32% 19.68%-18.839/ 27.67% -1.37% 0."% -4.38 % 3281% 11.32% -9.28% 9.04% 34.75%-45.85% QearBrttge hv: hit Growth ADR(Gross)-24.57% 5.169/ 25.47% 34.3391 -9.01% 37.14% -1.76% 5.94% -2.14% 19.64% 23.21%-10.67% 9.31% 30.169/6-36.56% Harding Loevner: International Eq (Gross)-24.16% 9.43% 21.63% 26.27%-13.249% 30.85% 6.19% -0,47 % -0.139/6 16.00% 20,00% 8.3D% 18.38°k 44.11% -38.91 % Thornburg Nbrrt.: Intl Gnvth ADR (Gross)-28,69% -3,53% 36AN 26.40%-17.889% 34,70% -3.31% 4.69%-11.72% 41.86% 23.099/ -6.68 % WA WA WA Iv6G AGWI ex USA GRDWIH(Wt)-24.79% 5,09% 22.20%27.34%-14.439/e 32.01% 0.12% -1.259/6 -2.659/6 15.49% 16.679%-14.21%14.45%38.675/6-45.61% NGCIACWlex IISA(Nel) -18.42/ 7.829/ 10.659/6 21.51%-14.20%. 27.19% 4.50% -5.66% -3.87% 15.29% 16.839/6-13.71% 11.159/6 41.45%-45.539/6 The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 4 performance is not a guarantee of future results. 1 1 I 1 1 1 l I L l l raystone 5-Year Rollin Periods Returns Consultin g Consulting Ntanager vs BenchneA: Return July 2007- June 2022(36 bbmh Noving Win . Computed Wnlhlyl 30. 25- 20- j 1 411 15- r j j 10'Y•flea � ge nd Ci RIGrssl �Cleae Yx I,E GP'MP➢alCfmsl r"'>• 1pr„'.. 1� h •Ha T Imaa:4b'." Eg ICxasl 5- ..hyL ♦ ♦ },11 I' 1 ` o TkvrWg Mgm. N CrMh MR(Cane) �- 1 �. HI� �M• •MSCIACVWevuS% WwrH(W0 0_ N 1 -1/ r M y 1 MSCIACwexuSA1Neg Ili .� -5 Jun 2010 Dec2011 Dec 2013 Dec 2015 Dec2017 Dec2019 Jun 2022 Manager vs Benchmark: Return July 2007 - June 2022 (36-Month Moving Windows, Computed Monthly) Jun 2022 Jun 2021 Jun 2020 Jun 2019 Jun 2018 Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013 Jun 2012 Jun 2011 Jun 2010 Renaissance: MI Eqty ADR (Gross) -0.36% 6.14% -3.26% 6.33% 4.32% 1.929/6 4.91 % 13.109/6 9.959/6 10.179/6 8.809/6 -4.52% -9.75% GearBridge hv: Intl Growth ADR(Gross) 3.01% 14.87% 11.64% 16.27% 10.829/6 5.53% 5.289/6 14.91% 8.90% 11.12% 8.41M 205% -9.17% Harding Loevner. hlernationai Eq(Gross) 2.88% 12.43% 5.49°! 10.90% 9.43% 5.81% 5.73% 11.84% 7.779% 11.31% 13.21% 5.55% -4.23% Thornburg Nglnl: Intl Grw th AOR(Gross) 0.459/6 12.169/6 7.799/6 10.499% 10.38u/ 176% 2.85% 14.39% 13.229/6 17.10% NA WA NA NSG9 AGWI ex USA GROWTH(Nct) 1.62% 13.23% 6.079/6 9.81% 6.56% 2.55% 3.11% 10.169% 5.480/6 8.72% 7.85% -1.12% -9.98-/ N9G AGWI ex LSA(*1) 1.35% 9.38°/ 1.130% 9.39% 5.07% 0.80% 1.16% 9,44% 5.73% 7.999% 6.97e/ -0.359% -10.70% IThe prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 5 performance is not a guarantee of future results. Graystone 5-Year Rolling Periods Alphas Consulting I✓enager vs 0enchneric Alpha July 2007-June 202E(3 Wnlh Mvirg Window, Computed Mont myI 14' 12- 0- g- � Icy+� • �' 4 •Revame'M6aryPDRIGoss1 no r� 4 %�� t '� •CIS&dJeWlnp GwWrPDR.lGos) n ^^ V • Hard, nttnn' M' IrbrAael D (a Q - 4 Tnrdra et,n kid ADS IGass) 2- • _ ! •MSCIP. .uStl(Il4u HINW n �'y i ♦MSCIAGweR11541MN p_Y........s««.«.«««««.««.»».««tyR««i�«�Illw 11N �i a- ;�� A• -6- • Jun 2010 Dec2011 Dec2013 Dec 2015 Dec2017 Dec 2019 Jun 2022 Manager vs Benchmark: Alpha July 2007 - June 2022 (36-Month Moving Windows, Computed Monthly) Jun 2022 Jun 2021 Jun 2020 Jun 2019 Jun 2018 Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013 Jun 2012 Jun 2011 Jun 2010 Renaissance: kill Egty ADR(Gross) -1.44% -3.67% -3.929% -3.92% -0.40% 1.19% 3.85% 4.58% 4.179/6 2.60%. 2.129% -3.889% 2.191/ C1ear0ridge Inv: kill Grow th ADR(Gross) 1.76% 51M 10.329% 6.50% 5.95% 4.81% 4.231/6 6.11% 3.04% 3.01% 1.489/6 1.989/ -0.93% Harding Loevner. International Eq (Gross) 1.5&/6 3.13% 4.240/6 1.205Y. 4.24 % 5.039/6 4.589/6 2.789% 2.32% 3.76% 6.34 % 5.809% 6.225/6 Thornburg Migat.: Intl Grwth ADR(Gross) -0.557. 3.81% 6.78% 0.13% 5.80% 3.179/6 2.00% 5.47% 8.01% 9.58% WA WA WA GSSCI AGWI ex USA GROW01(Wt) 0.32% 4.32% 4.78% 0.191% 1.66% 1.76% 1.96% 1.41% -0.15% 0.84% 0.95% -0.85% 0.41% kra ACWlez LSA(Wt) 0.00% 0.001/6 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%. 0.00% 0.00% 0.00% 0.00% 0.00% The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 6 performance is not a guarantee of future results. I I I I 1 I I I 1 I I I I I I I I I I Graystone Risk/Return Analysis - 3 Years Consulting Rsk/ Return July 2019 -June 2022 (Single computation) 3.5% 3%- 25%- • Redssvvb'.4tl EglyA➢R (Cr.) 2% • CI®r&bgaM 411 G�AOP 1Gms1 C • j 1.5%. ♦ •Haai9lnarn:IRaNivd EV lGmsl N Q 1% 611xrrEu9 M9rtl WGxT ADR (Gres) • MSCIACwaU54GRIXRH IN91 p.5% • M21ACW nak MSCIACraeh Nei 0% Cmn E9Wday. • CAgrpp3nvm Tdll o 5% 0% 5a 10% 15% 20% Standard Deviation Return & Risk Analysis July 2019 - June 2022: Summary Statistics Excess Return Standard Beta Maximum Up Capture awn Capture Alpha R-Squared Sharpe Return Mvs Deviation Mail DravMovn vs M Madet Ratio Ma Net Monet Ma"t Raassate.ld�FglyP➢PIGott) -0.36% -1.71% 19.97% 1.11 -27.40% 109.13% 111.21% -1.51% -0.05 94.75% clauwd9e W um G, V AUR(a.) 3.01% 1.66% 17.55% 0.94 -25.74% 101,07% 95.13% 1.80% 0.14 88.12% Nv3m erg. imaiwnd Eq (Gas) 2.88% 1.52 % 17.62% 0.97 -24.47% 104.21 % 97.69 % 1.60% 0.13 92.12 % TtMmura Mam.. imG MR(G ) 0.45% -0.90% 17.91% 0.88 -34.06% 85.85% 93.32% -0.48% -0.01 73.28% MEc1AGW.0 AGRONrNIN9) 1.62% 0.27% 16.55% 0.90 -26.32% 92.04% 93.66% 0.38% 0.06 90.97% MMACW.USA(Na) 1.35% 0.00% 17.47% 1.00 -23.36% 100.00% 100.00% 0.00% 0.04 100,00% The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable,however, the accuracy cannot be guaranteed. Past 7 performance is not a guarantee of future results. Graystone Risk/Return Analysis - 5 Years Consulting Fisk / Return July 2017 -June 2022 (Single Compu tali on) 6,0". ]9e. 6%- • nea. I'm 60A m IGms) 5%- . 1 •C�ax¢elmWGowh AORIGms) C 4%- j • •Halm Lsva'Ids� Cy (Gu;s) 1°- ♦ 1 Thal,, MpM'WGWhAGfl (Gast' - •MSCI AWA«USA GROARH (W) 4 vixen Anax 1%-. .0 MSCIACVA«USOIµx) Cash Egli m._ • Cllgiug1mN�T.yll •-' 6 0'/° 2% 4% 6 % e% 10% 1T/6 14%4% 169e 18% Standard Deviation Return & Risk Analysis July 2017 - June 2022: Summary Statistics Excess Return Standard Beta Maximum W capture Down capture Alpha Sharpe R-Squared Return `S. Mallet Deviation vs Market Drawee. vs vs ve Ratio va Market Market Mallet Mallet Ravi. In EglyADH (ams) -0.30% -2.79% 18.23% 1.13 -33.60% 104.09% 113.04% -2.75% -0.08 94.72% cl�iyeov lm GawhAOR to-m's1 6.89% 4.40% 16.02% 0.95 -25.74% 108.87% 89.70% 4.52% 0.36 87.46% Halm taa.B.IgaNlatl EGlGass! 4.31% 1.81% 15.94% 0.98 -24.47% 103.41% 95.60% 1.88% 0.20 92.68% TM1xdarg Mym.: MtGWM1MR(Goss) 1.60% -0.90% 17.04% 0.94 -34.06% 90.01% 96.04% -0.47% 0.03 75.61% mSCIACIM«usAGRonnHled) 3.43% 0.93% 15.21% 0.93 -26.32% 96.24% 93.62% 1.09% 0.15 92.40% nnscl Acwl«usA1He) 2.50% 0.00% 15.70% 1.00 -24.30% 100.00% 100.00% 0.00% 0.09 100.00% The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 8 performance is not a guarantee of future results. I I 1 I t I I t I 1 I I 1 I I 1 t 1 I Graystone Risk/Return Analysis - 7 Years Consulting Rsk / Return July 2015 -June 2022 (Singla Computation) 7% • 6 •Reussa ru Fitt, PDR(Gas) 5% 0 GBx9R9e lm W Ck WMR(n.) C j I% •Hxangtrera lha,HlvW rA (Gas) O TlvmG, MBm. Ba GVAh MR IGas) 3% O MScI AG4N«USA GRavrH (N9) ♦ Maly W-US MSCIPLIN «IISAINH) Cash Eati�erl' 1% • Ci00e043nvN L611 0% 2% a% 6% 6% tU> 12% 14% ibw 18% Standard Deviation Return & Risk Analysis July 2015 - June 2022: Summary Statistics E%ce%Retum SlandaN Beta Maximum Lip Capture Down Capture Alpha R-Squared Sharpe Retum ad Mallet Deviation vs. Mallet Drawdovm vs va Ratio m Mallet Madet Mallet Mallet R� m E,I MR hk�) 0.99% -1.93% 16.87% 1.09 -33,60% 100.92% 108.45% -1.90% 0.01 93.00% Cl�eiCpeMldlGwlh PDR IGma7 6.76% 3.84% 15.37% 0.96 -25.74% 106.43% 89.08% 3.97% 0,38 87.06% H,vJ, cq nx.) 5.44% 2.52% 15.47% 0.99 -24.47% 105.67% 93.99% 2.55% 0.30 92.58% Twroxa Malt: vrl r>`vnnnglGas) 3.50% 0.58% 16.03% 0.92 -34.06% 93.03% 92.08% 1.03% 0.16 74.63% M�Incw «usnoRONrHINen 3.86% 0.94% 14.59% 0.94 -26.32% 96.82% 93.63% 1.10% 0.21 92.95% Msclocw «usnwe) 2.92 % 0.00 % 14.99% 1.00 -24.30% 100.00 % 100.00 % 0.00% 0.14 100.00% The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot he guaranteed. Past 9 performance is not a guarantee of future results. I Risk/Return Analysis - 10 Years R sk / Return July 2012 -June 2022 (Single Computation) 10'b 8h- Graystone Consulting II • • Saassasa IAA E VA➢R (Gress) • CIev9'15Je Iry W a? A➢R(Gans) ' •Hatlrg laerw:ImanoIaW Eq )Gws) 6 TUr gAgM -IraC ADR (Grva) • MSCI AGW1.USAGRGWTH (Na) Malete mauk MKIAGWI"UBA)Nel) CmhEgdw. cl or"p T'hll U% 2% 4% 6% 8% 1n > 12% 14% 1C„ Standard Deviation Return & Risk Analysis July 2012 - June 2022: Summary Statistics Excess Return Standard Beta Maximum DP capture Down capture Alpha Sharpe R-Squared Return MMonistMaret on Deviation vs Drawdown va vs vs Mahe[ Ratio vs Market Man et Market Rer ,,. lim SgbADR (Ur.) 4.48% -0.35% 15.23 % 1.05 -33,60% 101.25% 102.77 % -0 41 % 0.25 90.23% cl�aagelov Mu cmonri AnR (r»si 9.14% 4.31% 13.96% 0-95 -25.74% 107.34% 85.78% 4.47% 0.61 86.65% Haary� Imaratlad Eq 7.32%a 2.48% 14.07% 0.98 -24.47% 104.41% 92.00% 2.51% 0.48 92.37% nxxmae Men., koG hA➢A lGrms) 6.65% 1.82% 14.95% 0.93 -34.06% 95.75% 87.21% 2.34% 0.40 72.61 % MSCI AGW m USA GRGWIR(Net 5.71% 0.88°! 13.27% 0.93 -26.32% 96.21% 92.33% 1.15% 0.38 93.68% MMACW.U!EA)Na) 4.83% 0.00% 13.74% 1.00 -24.30% 100.00% 100.00% 0.00% 0.31 100.00% The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 10 performance is not a guarantee of future results. I I t I i 1 I l I 1 f 1 1 1 1 1 1 1 1 l StStyle Analysis Graystone Y Y Consulting Zephyr .- Manager Style July 2007 - June 2022 (36-Month Moving Windows, Computed Monthly) Large MSCI EAFE LARGE VALUE 1— MSCI EAFE MD VALUE 01-1 - _i- I] MSCI EAFE SMALL VALUE Small Va us -1 MSCI EAFE LARGE GROWTH nenalssance: Intl Egly ADn (Gross) July tM7 - June 2022 ClearBndge Im: Intl GmMh ADR (Gmss) GROWTH July 2007-June 2022 Harding Loeyner. Intematl Eq (Grass) July 2007-June 2022 Th tug Mgn1.: Intl Gmth ADR (Gmss) • May 2010 - June 2022 hSCI ACWI ex USA GROW (Net) July 2007-June 2022 1 MSCI ACWI ex USA(Nat) ❑ NBC$ Inlematbnal Equity Style Basis MSCI EAFE SMALL GROWTH I I 0 1 Growl i The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 11 performance is not a guarantee of future results. Graystone Consulting A business of Morgan Stanley Quantitative Analysis (Net of Fees Performance) Consultin Trailingraystone Periods Return Analysis Y Consulting Zephyr .- Manager vs Benchmark Return All Jue M(naaYulizel it Me, tlar I tr) 10 0- -To- ■ ftnaletAoa I ■ CNal Iry Intl Gmae SIR (Net) ■ Handling Loevner International Eq Nat) 20- ThornugMgmrtIGhA (Nel � MSCI ACWI ox USA GROWTH (NBn MSGI AOWI ex USA (Net) -30- -40- 1 quarter 1 year 3 years 5 years 7 years 10 years 15 )rears Manager vs Benchmark: Return July 2007 - June 2022 (not annualized if less than 1 year) 1 quarter 1 year 3 years 5 years 7 years 10 years 15 years Snce hiception Renaissance: hill Egty ADR(Neq-14.69'/-21.56% -0.901% -0.851/6 0.42'/ 3.88% 1.45% 4.789% DearBridge Inv: Intl Grow th ADR(Net)-14.48%-25.67% 0-01% 3.79% 3.661. 5.970% 1:88% 5.39% Flardng Loevner: International Eq (Net) -15.64% -2269% 2.239k 3.655/6 4.77% 6.67% 4.509/6 7.070/6 Thornburg Mgnt.: Intl Grw th ADR(Nat)-17.16%-3&02"% -2.489/6 -1.37% 0.48% 3.551/6 WA 3.66% MSCI ACM ex USA GR0IMH(Net)-15.71%-25.80% 1.62% 3.43% 3.86% 5.71% 2.40% 4.109/6 MSG ACWI ex USA(Ne0-13.73%-19.42°% 1.355/6 2.50% 2.92°% 4.83"/ 1.58% WA The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 13 performance is not a guarantee of future results. Net returns are net of maximum advisory & management fees that could potentially be charged. Calendar Year Return Analysis Co scone Calendar Year Return As of June 2022 YTD 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 Renaissance: Intl Egty AM (Nat) -21.22% 6.42% 9.77% 19.04% -19.31% 26.95% -1.96% -0.15% -4.96 % 32.02% 10.85% -9.83% 8.399/ 34.09%-46.09% ClearBridge Inv: Ind Grow in ADR (Ns0 -25.73 % 2.10% 21.86% 30.50%-11.69% 33.24 0 -4.649/6 2869/6 -5.01 % 1621 % 19.679% -13.30% 6.13% 26.439/6.-38.49% Harding Loevner: International Eq (Net) -24.39% 8.74% 20.86% 25.48o/-13.81% 30.07% 5.48% -1.051/6 -0.68% 15.38% 19.34% -8.939/6 17.59% 43.09%-39.34% Thornburg lAgm.htl Grw th ADR (Nai)-29.80% -6.35% 3257% 22.76%-20.32% 30.87% -6.15% 1.659/6 -14.33% 37.83% 19.55% -9.430/. NA NA NA KEGI AOVVI ex USA GROWIH(Nel) .24.79% 5.099/6 2220% 27.34% -14.43% 32.01% 0.12% -1.251/6 -265% 15.499/6 16.679/6-14.21%14.451% 3B.67%-45.61% NBG ACWl ex LISA(Net)-18.42% 7.829% MISS% 21.51%-14.203 27.199/6 4.50% -5.669/6 -3.87% 15.29% 16.839/6-13,71%11.15% 41.45%-45.53% The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 14 performance is not a guarantee of future results. Net returns are net of maximum advisory & management fees that could potentially be charged. I I I I I I I I I I 1 I I I I I I I I I i l t t 1 t III, a l l 1 l_ a l 1 1 Graystone 5-Year Rolling Periods Returns Consulting Manager vs Benchmark: Return July 2007-June 2W (36.Abnlh Awing Windows, Computed Wnlhly) 30 • 25- f 20-Al is- ` ♦ • Pennell Intl I ly ADS (Nen to- 7 *Cleareriti lm. Inll GrmNM1AUR(Nen *Hal2 ner lnlelnall (Net) 5- f ♦� . Lij `"4 h A R 0 Th...rg M IA Grwlh A • DArg • l et) • MSCI ACW I ex USA GROW iR INen IASG I ex • g- •'. MSC I ACWI ex USA (Net) -5_ • -10- Jun 2010 Dec 2011 Dec 2013 Dec 2015 Dec 2017 Dec 2019 Jun 2022 Manager vs Benchmark: Return July 2007 - June 2022 (36-Month Moving Windows, Computed Monthly) Jun 2022 Jun 2021 Jun 2020 Jun 2019 Jun 2018 Jun 2017 Jun 2016 Jun 2015 Jun 2014. Jun 2013 Jun 2012 Jun 2011 Jun.2010 Renaissance: Intl Eqty ADR (Net) -0.90% 5.58% -3.78 % 5.72% 3.71 % 1.31% 4.29°/ 12.43% 9299/6 9.51 % 8.169% -5.02%-10.20% aearBridge Inv: Intl Growth ADR(Net) 0.01% 11.551% 8.41% 1291% 7.61% 2.46% 2.21% 11.59% 5.74% 7.90% 5.27%-0.93ea-11.85% hHrding Loevner: Mernational Eq (Ne0 2.23% 11.729/6 4.835/6 10.20% 8.739/ 5.169/6 5.12% 11.22% 7.16% 10.63% 1247% 4.82% -4.909% Thornburg Mgm.: hit Grwth ADR(Nei) -2489/ 8.93% 4.66% 7.29% 7.19% 0.74% -0.15% 11.09% 9,94% 13.72% WA WA WA MSCI ACNI ex LSA GRGWTH(Il 1.62"/ 13.239/6 6.07% 9.81% 6.56% 2.55% 3.11% 10.16% 5.48% 8.72"/ 7.85%-1.12^/ -9.989% IvSCIAGYVIex LISA(Neq 1.35% 9.38% 1.139/ 9.39% 5.07% 0.80% 1.16% 9.44% 5.73% 7.99% 6.979/6 -0.359% -10.70% The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 15 performance is not a guarantee of future results. Net returns are net of maximum advisory & management fees that could potentially be charged. 5-Year Rolling Periods Alphas Manager vs Benchmark Alpha Jdy 2007 - J. 20M (3&IvIi Nov,ng Windows. Computed NbntMyl Graystone Consulting 12 10- 8- .. -0 • Renmssawe. Intl Eqty AM (Net) m L AIIII • ClearBndge Inv: Intl Grpw1M1 Ai (Nell 2- • Harding Leav ner. International Eq (Net) _a Ai 0- x1r1r • A5CI ACWIbexIUSA GROWTHh RN(ell) 2_ • � * � /tASCI ACWI ex USA (Net) d -6- -8_ - Jun2010 Dec 2011 Dec 2013 Dec 2015 Dec2017 Dec2079 Jun 2022 Manager vs Benchmark: Alpha July 2007 - June 2022 (36-Month Moving Windows, Computed Monthly) Jun 2022 Jun 2021 Jun 2020 Jun 2019 Jun 2018 Jun 2017 Jun 2016 Jun 2015 Jun 2014 Jun 2013 Jun 2012 Jun 2011 Jun 2010 Renaissance: ha Egty ADR(Net) -1.98% -4.18% -4.44% -4.47% -0.99% 1 3.23% 3.95% 3.54% 1.989/6 1.50% -4,39% 1.68% Gear8idge hv: nil Growth ADR(Neq -1.20% 2.63% 7.12% 3.419% 2.87°h 1.75% 1,19% 3.03% 0.04% 0.01% -1 A81/6 -1 -3,83% l-arding Loevner: International Eq (Net) 0.95% 2.489% 3.59 % 0.57 % 3.58 % 4.399/ 3.98% 2.22% 1.759% 3.14 % 5.65% 5.08% 5.489% Thornburg kym.: Intl Grw th ADR(Nat) -3.46% 0.789/6 3.68% -2.79% 2.73% 1 -0.979h 2.40% 4.879/6 6.40% WA WA WA (u1SG ACWI ex LISA GRDWIH(Nlei 0.32% 4.32% 4,78% 0.19% 1.61 1.71 1,9691. 1.41% -0.15% 1 0.95% -0.859/6 0.41% MSG ACWI ex USA (Nat) 0.00% OAO^/ 0.00% 0.00% 0.00% 0.009/6 1 0.0U% 0.00% 0.00°! 0.00% 0.00% 0.1 The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 16 performance is not a guarantee of future results. Net returns are net of maximum advisory & management fees that could potentially be charged. I I I 1 I i 1 I I I l I I I 1 I i I i l t l 1 i l I L l l Graystone Risk/Return Analysis - 3 Years Consulting Rsk / Return July 2019 -June 2022 (Single Computation) ♦ • Remneence[ Intl Egty ADR (Net) M-. • Cleararidge Inv. Intl Green ADR (Net) C ® 0Herdmg Loevner. International Eq (Net) Q Internee, rnburg Mgmt. Intl Gwen ADR (Net) u%- O MSCI ACWI er USA GROWTH (Net) ' A1gMet Benchmark'. MSCI ACWI ex USA (Net) Casty Equwalenl. • Clltgroup 3-month Tbill V pp, 5% 10% tYh 2J'e Standard Deviation Return & Risk Analysis July 2019 - June 2022: Summary Statistics Excess Return Standard Beta Maximum Up Capture Daum Capture Alpha RSquared Sharpe Return Market Deviation Ya Market Drandovm vs VS.Ratio vs Market Maret Market varlet Renerseance Intl Emy ADR tNen -0.90% -2.25% 19.97% 1.11 -27.50% 107.52% 111.96% -2.04% -0.08 94.76% Cleareldge Im: Intl Groedh Bob (Net) 0.01 % -1.35% 17,55% 0.94 -27.61 % 92.57% 99.57 % -1.17 % -0.03 88.11 % Harding Wevnec International Eq (Net) 2.23 % 0.88 % 17.61 % 0.97 -24.87% 102.34% 98.61 % 0.96% 0.09 92.11 % Thornburg Ni Intl GWh ADR (Net) -2.48 % -3.84% 17.91 % 0.88 -35.74 % 77.75% 97.81 % -3.39% -0.17 73.28% MSCI ACWI ex USA GROWTR (Net) 1.62 % 0.27 % 16.55% 0.90 -26.32 % 92.04% 93.66% 0.38% 0.06 90.97 % MSCI ACWI ex USA (Not) 1.35%g 0.00%g 17.47% 1.00 -23.36%g 100.00% 100.00% 0.00 % 0.04 100.00 % The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 17 performance is not a guarantee of future results. Net returns are net of maximum advisory & management fees that could potentially be charged. I Risk/Return Analysis — 5 Years Rsk / Return July 2017-June 2022 (Single C rnputalmn) 46� Graystone Consulting Renalssenge- Intl Egty ADR (NO) ♦ Cleararldge InvIntl GN,Mh ADR (Nep Harris, Loev tierIntematlwal Eq (Nep Thg111bu19Mgmt InVG1Aih ADP(Nep MSCI ACWI air USA GROWTH (Not) Merkel aenahm8k • MSCI ACWI ex USA Nall Cash Equal alert Cltlgraup 3 month Tbtil 0% 2% 4% S% a% IM 12% 14"6 ta1'a 18% Standard Deviation Return & Risk Analysis July 2017 - June 2022: Summary Statistics Excess Return Standard Beta Maximum 1M Capture Do. Capture Alpha Sharpe R-Squared Return vs Mader Deviation vs Malet Dhaansdom vs vs vs Mallet Ratio vs Martel Martial Mahel Renaissance: Imt Egty ADR (NO) -0.85% -3.34 % 18.23% 1.13 -34.39 % 102.30 % 113.83% -3.29 % -0.11 94-74% Clearonge lm: Intl Caovrh ADA(Nat 3.79% 1.29% 16.02% 0.95 -27.61% 99.26% 94.52% 1.47% 0.17 87.46% Harding Loevner Intamehonal Eq (Net) 3.65% 1.16% 15.93% 0.98 -24.87% 101.35 % 96.58 % 1.25 % 0.16 92.670% Thomtairg Mgmh. Intl GrWh ADR (Not) -1.37% -3.87% 17.04 % 0.94 -35.74 % 80.89% 100.68% -3.37% -0.14 75.61 % MSCI ACWI ex USA GROWTH (Nell 3.43% 0.93% 15.21 % 0.93 -26.32 % 96.24 % 93.62 % 1.09% 0.15 92.40 % MSCI ACWI ex USA (Net) 2.50% 0.00% 15.70% 1.00 -24.30% 100.00% 100.00% 0.00% 0.09 100.00% The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 18 performance is not a guarantee of future results. Net returns are net of maximum advisory& management fees that could potentially be charged. I I I 1 1 I I I I I I 1 1 1 I I 1 I a a a a i<< I Risk/Return Analysis — 7 Years Fal Return July 2015 -June 2022 (Single Gompulati on) 5%- Graystone Consulting 4 . • RenaissanceIntl Eery ADS (Not) 0 ClearerMga Inv, Intl GrOwln PDfl (Net) ` 3/. 0 Handing Laevner'. International Eq (Nall _ N � Thornburg Mgmt. Intl Grwlh ADS (Net) � MSGI ACW I as USA GROWTH (Nell Markel Benchmark. 1% MSCI AGWI as USA (Net) Gash Equivalent - . Cagrou03 month T oil O:L ty 2� 4%18°/ Standard Deviation Return & Risk Analysis July 2015 - June 2022: Summary Statistics Excess Return Standard Beta Maximum � Capture Down Capture Alpha R-Squared Ig Sharpe Return vs Monet Deviation vs Mattel Dmwdown vs vs vs Monet Ratio Motel Marlel Merles Renach ance' Inn Bay, MR (Net) 0.42 % -2.50% 16.87°% 1.09 -34.39 % 99.12 % 109-42% -2.45 % -0.03 93.02 % Clamedga Inv' Intl GrgMa ADR (Neq 3.66% 0.74 % 15.37 % 0.96 -27.61 % 96.93 % 94.56% 0.95% 0.18 87.06% Harding tcevner Intemational Eq (Net) 4.77% 1.85% 15.46% 0.99 -24.87% 103.56 % 95.11 % 1.90% 0.25 92.57 % Thombum Mgmt. Intl GWh AOR (Net) 0.48% -2.44 % 16.03% 0.92 -35.74 % 83.88 % 97.48% -1.92"/ -0.02 74.63 % MSCI ACWI ex USA GROWTH (Net) 3.86% 0.94% 14.59% 0.94 -26.32% 96.82% 93.63°! 1.10% 0.21 92.95% MSC1 ACWI ex USA (Net) 2.92% 0.00% 14,99% 1.00 -24.30% 100.00% 100.00% 0.00% 0.14 100.00% The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 19 Performances not a guarantee of future results. Net returns are net of maximum advisory & management fees that could potentially be charged. Graystone Risk/Return Analysis — 10 Years Consulting Risk / Return July 2012 -June 2022 (Single Computation) TS- 0 RenaissanceIntl Eply Age then 5%- IlIClearBMOelnv Intl GIOe4M1 ADR (hen 47,_ 011mcingLoin,ner. Imernalional Eq (Nen to N Ir • O T➢ornburg Mpmm Intl Grvn11 ADR (hen 3%_ 0 MSCI ACWI ex USA GROWTH (Not) 2% Markel 0.romAark'. MSCI ACWI ex USA (Nei) t q_ Calm Equivalent Colemu0 3 rm nth T bill Z% 4% 6 % 8% IP/o 12% 14% 16°h Standard Deviaton Return & Risk Analysis July 2012 - June 2022: Summary Statistics Faces Relum StandardMaximum Beta tk Capture Dow Capture Alpha RSquared Sharpe Return v& Deviation Market vs Mallet Drawdown vs vs vs Ratio vs Madet Mallet Madat Maltet Renaissance: Intl Doty ADR (Net) 3.88% -0.95 % 15.23% 1.05 -34.39% 99.30 % 103.91 % -0.98% 0.21 90.25% ClearMcge Inv: Intl Growth ADR Mat) 5.97% 1.14% 13.96 % 0.95 -27.61 % 97.37% 92.09% 1.43% 0.38 86.65% Harting Loevner: international Eq (Net) 6.67% 1.83% 14.06% 0.98 -24.87 % 102.29 % 93.23% 1.89% 0.43 92.35% ThornWrg Worm.: Intl GWh ADR (Net) 3.55% -1.28 % 14.95% 0.93 -35.74% 86.09 % 93.48 % -0.65% 0.20 72.61 % MSCI ACWI ex USA GROWTH (Net) 5.71% 0.88% 13.27% 0.93 -26.32% 96.21% 92.33% 1.15% 0.38 93.68% MSCI ACWI ex USA (Net) 4.83 % 0.00% 13.74 % 1.00 -24.30% 100.00% 100,00 % 0.00% 0.31 100.00 % The prices, quotes or statistics contained herein have been obtained from sources believed to be reliable, however, the accuracy cannot be guaranteed. Past 20 performance is not a guarantee of future results. Net returns are net of maximum advisory & management fees that could potentially be charged. Important Disclosures Graystone Consulting This report must be accompanied by a separate profile document or other report for each mutual fund and exchange - traded fund (ETF), referred to herein as "fund" or "funds", shown in this report, and for each investment manager shown in this report and approved by Morgan Stanley to be offered to investors in any investment advisory program in which you may invest. These separate documents show, for each manager and fund, various information which may include both gross and net performance (which maybe more up-to-date than the gross performance shown in this report). Morgan Stanley has prepared this report for your personal use, at your request, to help you evaluate the investment disciplines and investment managers/funds shown in this report. It is for informational purposes only. It is not a recommendation of a particular portfolio, investment manager or fund. It is not tax or legal advice. The report is based on information you gave Morgan Stanley about your financial situation, investment objectives, risk tolerance and investment time honzon. IT IS TO BE PRESENTED TO YOU IN A ONE-ON-ONE PRESENTATION WITH YOUR MORGAN STANLEY FINANCIAL ADVISOR OR PRIVATE WEALTH ADVISOR SO THAT YOU HAVE AN OPPORTUNITY TO ASK QUESTIONS. If you asked us to do so, we have included one or more investment managers/funds that have not been approved by Morgan Stanley to be offered to investors in any investment advisory program in which you may invest- Morgan Stanley does not and will not recommend any such managerlfund for investment in these programs, and has included the manager/fund in the report solely at your request and for your information. The performance shown in this report for any such managers or funds could differ materially from their performance in investment advisory programs offered by firms other than Morgan Stanley. If you have invested with any such manager/fund through another firm, we recommend that you seek information from that firm on the managers or fund's gross and net performance in Its programs Thisreport is not complete unless It contains all pages (as indicated in the page numbering below). Please see "Important Notes About Performance" and "Important Notes About this Report" for other important information (including the effect of fees and a summary of the risks associated with particular investment disciplines). ® 2019 Morningstar, Inc. All Rights Reserved. The data contained in this report relating to funds: (1) is proprietary to Morningstar and/or Its content providers; (2) may not be copied or distributed. and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this data. Past performance is no guarantee of future results. Graystone Important Notes About Performance Consulting The performance data in this report is historical. Past performance does not guarantee future results. GROSS PERFORMANCE The past performance and statistics for investment managers in this reportare calculated based on gross performance and do not reflect the deduction of investment management fees and expenses (including Morgan Stanley program fees) that would apply if you invest with any of these managers. The past performance forfunds in this report is, and statistics calculated use, gross performance. Returns reflect the funds' intemal fees and expenses (such as the funds' management fees and 12b-1 fees), but do not reflect any Morgan Stanley program fees (nor any sales charge or brokerage commission that might apply if you purchased fund shares outside of our investment advisory programs). If you engaged any investment manager or invested in any fund, fees and other expenses would reduce your returns. NET PERFORMANCE Seethe accompanying investment manager profiles for each investment manager in this report for net performance information on the manager. Seethe accompanying Momingstar profiles for each fund in the report for standardized fund performance (i.e. returns net of any maximum sales charges that apply if you purchase the fund outside of our investment advisory programs) and also returns net of the maximum annual investment advisory fees that apply if you purchase the fund in one of our investment advisory programs. You should carefully read the manager/fund profiles, which may contain more up-to-date performance information than in this report. NOTE ABOUT ETF PERFORMANCE For ETFs, performance shown may be based on net asset value (NAV), market price (MKT) or both. The Morningstar profile that must accompany this report shows performance based on both NAV and market price. COMPOUNDING EFFECT OF FEES AND EXPENSES The impact of fees and expenses can be material. In most Morgan Stanley investment advisory accounts, fees are deducted quarterly and have a compounding effect on performance. For example, on an account with a 1 % annual fee, if the gross annual performance is 6%, the compounding effect of the fees will result in a net performance of approximately 4.94% after one year, 4.81 % after three years and 4.66% after five years. Graystone Important Notes About Performance (Cont'd) Consulting GENERAL DISCLOSURE The investment return and principal value of an investment will fluctuate so that an investor's shares in afund, when redeemed, maybe worth more or less than their original cost, and investments in separately managed accounts maybe worth more or less than the original amount. Current performance maybe lower or higherthan the performance quoted. For performance data for a fund current to the most recent month end, please either contactthe fund (at the toll -free number orwebsite address specified in thatfund's profile given to you with this report) or call your Financial Advisor or Private Wealth Advisorat the toll -free number on the cover page of this report You would not necessarily have obtained the performance results shown in this report if you had invested with these managers orfunds for the periods indicated. Actual performance results of accounts vary due to factors such as the timing of contributions and withdrawals, client restrictions, rebalancing schedules, and fees and costs. THE SELECTION OF MANAGERSIFU NOS IN THIS REPORT MAY REFLECT THE BENEFIT OF HINDSIGHT BASED ON HISTORICAL RATES OF RETURN. In this report, all performance returns for periods of more than one year are annualized returns and for periods of less than one year are not annualized. See the applicable Morgan Stanley ADV brochure for an explanation of the fees and charges that would apply if you invest with an investment manager or in a fund through a Morgan Stanley investment advisory program_ See "Important Notes About This Report" for information on the sources of performance information in this report. Manager and Fund Designations Graystone Consulting Managers shown in this report may be approved managers offered in some or all of Morgan Stanley's Consulting and Evaluation Services program or Select UMA program. Please ask your Financial Advisor or Private Wealth Advisor about availability in particular programs. See "Important Notes About This Report" for more information on how Morgan Stanley approves managers for these programs_ Any strategies designated with "GIS" in this report are managed in the Global Investment Solutions program by a team of portfolio managers employed by Morgan Stanley or third party subadvisors- For managers in Morgan Stanley's investment advisory programs, the following terms have the following meanings: (S) Manager participates in the Select UMA program, performance is Gross of advisory fees (n) Manager participates in the Select UMA program, performance is Net of advisory fees (C) Manager participates in the Consulting and Evaluation Services program, performance is Gross of advisory fees (Cr) Manager participates in the Consulting and Evaluation Services program, performance is Net of advisory fees The "Inception Date" is, for separately managed accounts, the date when the investment manager began managing the applicable investment discipline and, forfunds, the date the fund was established. In either case, this date may be before the investment discipline orfund became available in any applicable Morgan Stanley investment advisory program. Important Notes About This Report Graystone Consulting PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. ACTUAL INDIVIDUAL ACCOUNT RESULTS WILL DIFFER FROM THE PERFORMANCE SHOWN IN THIS REPORT. INVESTMENT DECISIONS: Do not use this report as the sole basis for investment decisions. Do not select an allocation, investment disciplines or investment managerslfunds based on performance alone. Consider, in addition to performance results. olherrelevant information abouleach 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 AVAILABLE 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 orthe Smith Barney form of the Select UMA program (if that investment managerwas in the Select UMA program) for periods forwhich sufficient data is available. If the strategy or similar strategies are available in both the Morgan Stanley and Smith Barney forms of the program, this profile presents the composite forthe strategy that is closest to the strategy currently offered in the Select LIMA program. If both strategies are equally close, the profile shows the longer of the two composites. For other periods, the gross performance track record is provided by the investment manager and consists of accounts managed by the investment manager in the same or a similar investment discipline, whether at Morgan Stanley or elsewhere (and may include institutional accounts, retail accounts and/or pooled investment vehicles such as mutual funds). Graystone Important Notes About This Report (Cont'd) Consulting There may be differences between the performance in the different forms of the Select UMA program, in different Programs, and between the performance in Programs and performance outside the Programs, due to, among other things, investment and operational differences. Forexample: • Institutional accounts included in related performance may hold more securities than the Program accounts, participate in initial public offerings (IPOs) and invest directty in foreign securities (rather than in ADRs). • Mutual funds included in related performance may hold more securities than the Program accounts, may participate in IPOs, may engage in options and futures transactions, and are subject to certain regulatory limitations. • Performance results in Select UMA accounts could differ from that in Consulting and Evaluation Services accounts because Select UMA accounts may hold fewer securities, and have automatic rebalancing, wash sale loss and tax harvesting features. You should read the investment manager profile accompanying this report foreach investment manager. The investment manager profile gives furtherdetails 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 expenses). SOURCE OF PERFORMANCE INFORMATION FOR GLOBAL INVESTMENT SOLUTION STRATEGIES: In the Global Investment Solutions program, dedicated portfolio managers employed by Morgan Stanley orthird parry subadvisors make day -today investment decisions for clients' accounts invested in various investment strategies. The track record shown In this report for Global Investment Solutions strategies consists of the portfolio management team's gross performance in that strategy in the Global Investment Solutions program (ora predecessor program). SOURCE OF PERFORMANCE INFORMATION FOR OTHER INVESTMENT MANAGERS: For any investment managers shown in this reportthat are not available in the Consulting and Evaluation Services or Select UMA 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 another firm, we recommend that you seek information from that firm on the manager's gross and net performance in its programs. Graystone Important Notes About This Report (Cont'd) Consulting SOURCE OF PERFORMANCE INFORMATION FOR FUNDS: For any fund shown in this report, the performance data is obtained from databases maintained by parties outside Morgan Stanley. This data has been included for your information, and has not been verified by Morgan Stanley in any way. See "Sources of Information" below. 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 and/or ETF that accompanies this report. Indices are unmanaged. They do not reflect any management, custody, transaction or other expenses, and generally assume reinvestment of dividends, accrued income and capital gains. Performance of selected indices may be more or less volatile than that of any investment manager/fund shown in this report. Past performance of indices does not guarantee future results. You cannot invest directly in an index. MANAGERS AND FUNDS APPROVED IN MORGAN STANLEY WEALTH MANAGEMENT PROGRAMS: Morgan Stanley Wealth Management approves certain managers and funds offered in its investment advisory programs: • Morgan Stanley Wealth Management's Global Investment Manager Analysts ("GIMA") team approves managers and funds offered in Consulting and Evaluation Services and Select UMA. • Managers and funds offered in Institutional Consulting Group and Graystone Consulting programs may be approved by GIMA, approved by Morgan Stanley Wealth Management using another process, or not approved by Morgan Stanley Wealth Management. • Morgan Stanley Wealth Management does not approve managers in the Investment Management Services consuhing program. • Managers in the Global Investment Solutions (GIS) program are not evaluated by GIMA. Graystone Important Notes About This Report (Cont'd) Consulting 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, see the applicable ADV brochure, available at www.MorganStanley.corVADV or from your Financial Advisor or Private Wealth Advisor. If you have any questions about whether or how Morgan Stanley Wealth Management has approved a manager or fund shown in this report, please ask our Financial Advisor or Private Wealth Advisor. SHARE CLASSES OF FUNDS SHOWN IN THIS REPORT: The share class of a fund shown in this report may differ from the share class available in any Morgan Stanley Wealth Management Investment advisory program in which you invest. The performance of the share class in which you invest may differ from that of the share class shown in this report. REINVESTMENT: The performance results shown in this report assume that all dividends, accrued Income and capital gains were reinvested. SOURCES OF 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 as to the accuracy or completeness of the information from sources outside Morgan Stanley. Any such information may be incomplete and you should not use it as the sole basis for investment decisions. It is important to consider a fund's investment objectives, risks, charges and expenses carefully before investing. The prospectus contains this and otherinformation aboutthe fund. A copy of the prospectus may be obtained from your Financial Advisor or Private Wealth Advisor. Please read the prospectus carefully before investing in the fund. Graystone Important Notes About This Report (Cont'd) Consulting KEY ASSET CLASS RISK CONSIDERATIONS: Investing in securities entails risk including the risk of losing principal. There is no assurance that the investment disciplines and investment managerstfunds selected will meet their intended objectives. Commodities — Diversified: The commodities markets may fluctuate widely based on a variety of factors including changes in supply and demand relationships. governmental programs and policies: national and international political and economic events. war and terrorist events; changes in interest and exchange rates, trading activities in commodities and related contracts; pestilence; weather, technological change: and the price volatility of a commodity. In addition to commodity risk, commodity -linked notes may be subject to special risks, such as risk of loss of interest and principal, lack of a secondary market and risk of greater volatility that do not affect traditional equity and debt securities. Commodities - Precious Metals: The prices of Commodities - Precious Metals tend to fluctuate widely and in an unpredictable manner, and have historically experienced extended periods of flat or declining prices. The prices of Commodities - Precious Metals are affected by several factors, including global supply and demand, investors' expectations with respect to the rate of inflation, currency exchange rates, interest rates, investment and trading activities of hedge funds and commodity funds, and global or regional political, economic or financial events and situations. Fixed Income: Fixed income securities are subject to certain Inherent risks such as credit risk, reinvestment risk, call risk, and interest rate risk. Fixed income securities are sensitive to changes in prevailing interest rates. When interest rates rise, the value of fixed income securities generally declines- Accordingly, managers or funds that Invest in fixed Income securities are subject to Interest rate risk and portfolio values can decline in value as interest rates rise and an investor can lose principal. High Yield Fixed Income: As well as being subject to risks relating to fixed income generally (see"Fixed Income"), high yield or 'junk" bonds are considered speculative, have significantly higher credit and default risks (including loss of principal), and may be less liquid and more volatile than investment grade bonds. Clients should only Invest in high yield strategies if this Is consistent with their risk tolerance, and high yield investments should comprise only a limited part of a balanced portfolio. Graystone Important Notes About This Report (Cont'd) Consulting International/Emerging Market: International investing (including investing in particular countries or groups of countries) should be considered only one component of a complete and diversified investment program. Investing in foreign markets may entail greater risks than those normally associated with domestic markets, such as foreign political, currency, economic and market risks. In addition, the securities markets of many emerging markets are substantially smaller, less developed, less liquid and more volatile than the securities markets of the U.S. and other more developed countries. Further, a portfollo that focuses on a single country may be subject to higher volatility than one that is more diversified. Preferred Securities: Preferred securities are generally subject to the same risks as apply to fixed income securities. (See "Fixed Income.") However, preferred securities (especially equity preferred securities) may rank below traditional forms of debt for the purposes of repayment in the event of bankruptcy. Many preferred securities are "callable" meaning that the issuer may retire the securities at speck prices and dates prior to maturity. If a preferred security Is called, the investor bears the risk of reinvesting proceeds at a potentially lower return. Investors may not receive regular distributions on preferred securities. For example, dividends on equity preferred securities may only be declarable in the discretion of the Issuer's board and may not be cumulative. Similarly, interest payments on certain debt preferred securities may be deferred by the issuer for periods of up to 10 years or more, in which case the investor would still have income tax liability even though payments would not have been received. Real Estate: Real estate investments are subject to special risks, including interest rate and property value fluctuations as well as risks related to general and local conditions. Small and Mid Cap: Investments in small -to medium-sized corporations are generally more vulnerable to financial risks and other risks than larger corporations and may involve a higher degree of price volatility than investments in the broad equity market. Hedged and Alternatives Strategies: In most Consulting Group investment advisory program, alternative investments are limited to US registered open-end mutual funds, separate account strategies, and ETFs that seek to pursue alternative Investment strategies or returns utilizing publicly traded securities. Investment products in this category may employ various Investment strategies and techniques for both hedging and more speculative purposes such as short selling, leverage, derivatives, and options, which can increase volatility and the risk of investment loss. Alternative Investments are not suitable forall Investors. Graystone Important Notes About This Report (Cont'd) Consulting Managed Futures: Involve a high degree of risk, often involve leveraging and other speculative investment practices that may increase the risk of investment loss, can be highly Illiquid, are not required to provide periodic pricing or valuation information to investors, may involve complex tax structures and delays in distributing important tax information, are not subject to the same regulatory requirements as mutual funds, often charge high fees which may offset any trading profits, and in many cases the underlying investments are not transparent and are known only tothe investment manager. Master Limited Partnerships (MLPs) are limited partnerships or limited liability companies whose interests (limited partnership or limited liability company units) are generally traded on securities exchanges like shares of common stock Investment in MI -Ps entails different risks, including tax risks, than is the case for other types of investments. Currently, most MI -Ps operate in the energy, natural resources or real estate sectors and are subject to the risks generally applicable to companies in those sectors, including commodity pricing risk, supply and demand risk, depletion risk and exploration risk- Depending on the ownership vehicle, MLP interests are subject to varying tax treatment. Glossary Graystone Consulting ALPHA: Synonym of'value added', linearly similar to the way beta is computed. alpha is the incremental return on a portfolio when the market is stationary- In other words, it is the extra expected return due to non -market factors. This risk -adjusted measurement takes into account both the performance of the market as a whole and the volatility of the portfolio. A positive alpha indicates that a portfolio has produced returns above the expected level at that level of risk, and vice versa for a negative alpha. ANNUALIZED RETURN: The constant rate of return that, compounded annually, would yield the same overall return for a period of more than one year as the actual return observed for that period. ANNUALIZED EXCESS RETURN: Excess return represents the difference between the managers return and the relum of a benchmark for that manager. Annualized excess return is calculated by taking the annualized return of the original series and forming the difference between the two. A positive annualized excess retum implies that the manager outperformed the benchmark over the time period shown. BEST AND WORST PERIOD RETURNS: The best period return for a time window is simply the maximum of the returns for that period inside this window_ Similarly, the worst period return for a time window is the minimum of the returns forthat period inside this window. To calculate the best one-year return fora return series, the program moves a one-year time window along the series and calculates the compound return for each of these windows. The best one-year return is the maximum of the returns thus found. Similarly, the worst one-year return is the minimum of the returns thus found. Therefore, best and worst one-year returns do not refer to calendar years. BETA The measure of a portfolio's risk in relation to the market (for example, the S&P 500) or to an alternative benchmark or factors. Roughly speaking, a portfolio with a beta of 1.5 will have moved, on average, 1.5 times the market return. According to asset pricing theory, beta represents the type of risk, systematic risk, which cannot be diversified away. When using beta, there are a number of issues that you need to be aware of. (1) betas may change through time: (2) betas may be different depending on the direction ofthe market (i.e. betas may be greater for down moves in the market rather than up moves); (3)the estimated beta will be biased if the portfolio does not frequently trade, and (4) the beta is not necessarily a complete measure of risk (you may need multiple betas). Also, note that the beta Is a measure of co movement, not volatility. It Is possible for a security to have a Zero beta and higher volatility than the market. Graystone Glossary (Cont'd) Consulting CORRELATION: Statistical method to measure how closely related the variances of two series are. Assets that are highly correlated would be expected to react in similar ways to changing market conditions. CUMULATIVE RETURN: The total return on an investment over specified time period. CUMULATIVE EXCESS RETURN: Excess return represents the difference between the manager's return and the return of benchmark for that manager. Cumulative excess return is calculated by taking the cumulative return of the original series and forming the difference between the two. A positive cumulative excess return implies that the manager outperformed the benchmark over the time period shown. DOWNSIDE CAPTURE RATIO: Foreach portfolio, this is calculated by (1) identifying the calendar quarters in which the portfolio's benchmark index had negative returns and then (2) for those quarters, dividing the portfolio's annualized net performance by the benchmark index's performance. For investors, the lower the downside capture ratio, the better. For example, a downside capture ratio of 90% means that the portfolio's losses were only 90% of the market's losses (as represented by the benchmark Index). DOWNSIDE DEVIATION: Similar to Standard Deviation, but Downside Deviation captures the range of expected returns only on the down side [when the returns fall below the minimum acceptable return (MAR)]. DRAWDOWN (MAXIMUM DRAWDOWN): The Maximum loss (compounded, not annualized) that the manager incurred during any sub -period of the time period shown. DRAWDOWN BEGIN DATE: the first date of the sub -period used to calculate the maximum drawdown DRAWDOWN END DATE: The last date of the sub period used to calculate the maximum drawdown DRAWDOWN LENGTH: The number of periods (months or quarters depending on the periodicity of the data) the sub -period used to calculate the maximum drawdown DRAWDOWN RECOVERY DATE: Date at which the compounded returns regain the peak level thatwas reached before the drawdown began DRAWDOWN RECOVERY LENGTH: Number of periods it takesto reach the recovery level from maximum drawdown end date Graystone Glossary (Cont'd) Consulting EXCESS RETURN: The difference between the returns of two portfolios. Usually excess return is the difference between a portfolio's return and the return of a benchmark for that portfolio. GAIN TO LOSS RATIO: Divides the average gain in an up period by the average loss in a down period. A higher Gain to Loss Ratio is more favorable. HIGH WATER MARK: The High Water Mark represents the peak level of the managers return, as represented by the peak of the cumulative return series. HIGH WATER MARK DATE: The date which the High Water Mark was reached. UNDER WATER LOSS: Loss Incurred between the high water mark date and the end of the period analyzed UNDER WATER LENGTH: Length of the time interval that begins with the high water mark and ends with the analysis period TO HIGH WATER MARK: The percentage of gain that the managertfund needs to regain the peak level of the cumulative return series INFORMATION RATIO: Measures the active return of the manager divided by the manager's active risk. Active return is the annualized differences of the manager and the benchmark index, while active risk is measured by tracking error. The higherthe information ratio, the better. An information ratio of 0 implies that a managedfund (or benchmark index, If applicable) has provided a return that is equivalent to the risk of the benchmark return MAR: Stands for"Minimum Acceptable Return." This representsthe lowest return possible that could be considered a successful result of the investment. In most cases, the MAR will either be defined as 0 (meaning no negative return) or as the return of a cash benchmark (meaning the investment had a higher return that simply keeping the investment amount in the relatively safe investment of money market funds). Please refer to the specific chart/statistic to see the specific MAR used in the Illustration. Glossary (Cont'd) Graystone Consulting MANAGER STYLE (RETURNS BASED STYLE ANALYSIS): A measure for analyzing the style of portfolio's returns when compared with the quarterly returns on a number of selected style indices (the "Style Basis")- These style indices represent distinct investment styles or asset classes such as large cap value, large cap growth, small cap growth, small cap value, government bonds, or cash equivalents asset classes. Style analysis uses a calculation procedure that finds the combination of selected indices that best tracks (i.e. that has the highest correlation to) a given manager's return series. This allows the advisor to capture an accurate picture of the investment style of the manager without viewing the underlying holdings. OMEGA: A measure of volatility designed to capture the entire return distribution (useful for Investments that do not have normal return distributions), the Omega is tied to a MAR (see above) and shows the ratio of the entire upside performance to the entire downside, with the MAR representing the dividing line between upside and downside_ (e.g. If MAR = 0.00%, any positive return is captured in the upside and any negative return is captured in the downside). PAIN INDEX: Represents the frequency, the depth, and the width of the manager/fund's drawdowns_ The Pain Index captures the information for every period in which the manager/fund is negative- A higher Pain Index indicates that the managertfund had a more negative result when considering not just the depth (lowest return) but also the frequency of negative returns (frequency) and the amount of time that the return remained negative (width). PAIN RATIO: A rislUretum ratio which uses the Pain Index as the measure of risk. The higher the Pain Ratio, the better the risk - adjusted return of the portfolio. ROLLING WINDOW: Indicates that the chart or statistic was evaluated using periodic smaller windows of data on a rolling basis. As an example, a 20 Quarter Rolling Window (Annual Roll) over a 10 year period indicates that 5 year (20 quarter) periods of time were evaluated from the start date, moving forward one year at a time, for the duration of the 10 year period, resulting in 5 'windows". Evaluating data this way allows us to remove end point bias and determine a measure of consistency in performance. R-SQUARED: Used to show how much of a portfolio's variability can be accounted for by the market. For example, if a portfolio's R-Squared is 0.79, then 79% of the portfolio's variability is clue to market conditions. As R-Squared approaches 100%, the portfolio is more closely correlated with the market. Glossary (Cont'd) Graystone Consulting SHARPE RATIO: Developed by William F. Sharpe, this calculation measures a ratio of return to volatility. It is useful in comparing two portfolios or stocks in terms of risk -adjusted return. The higher the Sharpe Ratio, the better the risk -adjusted return of the portfolio. It is calculated by first subtracting the risk free rate (Citigroup 3-month T-bill) from the return of the portfolio, then dividing by the standard deviation of the portfolio. Using Sharpe ratios to compare and select among investment alternatives can be difficult because the measure of risk (standard deviation) penalizes portfolios for positive upside returns as much as the undesirable downside returns. SINGLE COMPUTATION: Fora single computation chart, StyleADVISOR calculates the information overthe entire time period shown as a single data point. AS an example, in a chartshowing 10 years of performance, a "Single Computation" would represent the statistic shown over the entire 10 year window. STANDARD DEVIATION: A statistical measure of the degree to which the performance of a portfolio varies from Its average performance during a specified period. The higher the standard deviation, the greater the volatility of the portfolio's performance returns relative to its average return. A portfolio's returns can be expected to fall within plus or minus one standard deviation, relative to its average return, two-thirds of the time, and fall within plus or minus two standard deviations relative to its average return, 95% of the time. For example, if portfolio had a return of 5% and a standard deviation of 13% then, if future volatility of returns is similar to historical volatility (which may not be the case): • About two-thirds of the time, the future returns could be expected to fall between -8% and 18% (being 5%+/- 13%) • About 95% of the time, the future returns could be expected to fall between -21% and 31% (being 5% +1- 26%). In performance measurement, his generally assumed that a larger standard deviation means that great risk was taken to achieve the return. Glossary (Cont'd) Graystone Consulting STYLE BASIS: A set of indices that represent the broad asset category being utilized. The Style Basis is used in the equation that calculates the Manager Style (see definition). The "Manager Style" chart shows the specific benchmarks utilized in the Style Basis. The following Style Bases would be appropriate for the asset classes shown below: - Domestic Equity: Russell Generic Comers; Russell 6 Way Style basis; S&P Pure Style Basis - International Equity: MSCI Regional Style Basis; MSCI World Ex USA Style Basis, MSCI International Equity Style Basis, S&P Regional International Indexes. S&P International 4 Way Style Basis - Global Equity: MSCI World Style Basis; MSCI World Regional Indexes; MSCI Global Equity Style Basis - Fixed income: Ct igroup Corporate Bond Indexes, BofA Merrill Lynch Fixed Income Indexes; Citigroup Govt Fixed Income Indexes; Global Bond Indexes STYLE BENCHMARK: A unique benchmark calculated for each manager/fund based on the Returns Based Style Analysis described above. The "Asset Allocation" chart in Zephyr shows the specific weightings used for the Style Benchmark for each manager or fund. TRACKING ERROR: A measurement that indicates the standard deviation of the difference between a selected market index and a portfolio's returns. The portfolio's returns are then compared to the index's returns to determine the amount of excess return, which produces a tracking error. A low tracking error indicates that the portfolio is tracking the selected index closely or has roughly the same returns as the index. UPSIDE CAPTURE RATIO: For each portfolio, this is calculated by (1) identifying the calendar quarters in which the portfolio's benchmark index had positive returns and then (2) for those quarters, dividing the portfolio's annualized net performance by the benchmark index's performance. A percentage less than 100% indicates that the portfolio "captured" less performance than the benchmark intlex, while a percentage greater than 100% indicates the portfolio captured more performance than the benchmark index. For investors, the higher the upside capture ratio, the better. For example, if the annualized performance of an benchmark index during "up" markets (when its returns were zero orposltive) is 20.8% and the portfolio's annualized performance during the same period is 16.8%, then the portfolio's upside capture ratio is 16.8%/20.8% = 80.7%, meaning the portfolio "captured" 80.7% of the upside performance of the index. Stated another way, the portfolio in this example performed almost 20% worse than the market during up periods. VARIANCE: A measure of how spread out a distribution is. It is computed as the average squared deviation of each number from its mean.