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HomeMy WebLinkAbout3rd Quarter Summary Ending September 2023City of Sebastian Police Officers' Retirement Plan Quarterly Performance Summary As of September 30, 2023 Graystone Consulting from Morgan Stanley Scott Owens, CFAe, CIMAo David Wheeler, CIMM, CFPo, CRPSo Theodore J. (TJ) Loew, CFAo Managing Director - Wealth Management Managing Director - Wealth Management Institutional Consultant Institutional Consulting Director Institutional Consulting Director Theodore.Loew@msgraystone.com Corporate Retirement Director Alternative Investment Director (813) 227-2088 Impact Investing Director Corporate Retirement Director Alternative Investment Director David.A.Wheeler@msgraystone.com Scott.Owens@msgraystone.com (813) 227-2178 (813)227-2027 City of Sebastian Police Officers' Retirement Plan Goal Review as of September 30, 2023 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 September 30, 2023 Timeline: September 2023: Investment Policy Statement March 2023: Added: Short -Term Fixed Income Manager January 2023: Replaced: International Growth Manager December 2022: ST Fixed Income Manager Search September 2022: International Growth Manager Search 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 City of Sebastian Police Officers' Retirement Plan Capital Markets Returns as of September 30, 2023 Quarter to Three Years Five Years Seven Years Ten Years Date Year to Date 12 Months (annualized) (annualized) (annualized) (annualized) S&P 500 Index (3.27) 13.07 21.62 10.15 9.92 12.24 11.91 Dow Jones Industrial Average (2.10) 2.73 19.18 8.62 7.14 11.47 10.79 Russell 3000 Index (3.25) 12.39 20.46 9.38 9.14 11.64 11.28 Russell 3000 Value Index (3.15) 1.66 14.05 11.19 5.98 7.79 8.29 Russell 3000 Growth Index (3.34) 23.77 26.64 7.54 11.70 15.05 13.94 Russell 1000 Index (3.15) 13.01 21.19 9.53 9.63 12.00 11.63 Russell 1000 Value Index (3.17) 1.79 14.44 11.05 6.23 7.91 8.45 Russell 1000 Growth Index (3.13) 24.98 27.72 7.97 12.42 15.64 14.48 Russell Midcap Index (4.68) 3.91 13.45 8.09 6.38 8.68 8.99 Russell Midcap Value Index (4.46) 0.54 11.05 10.98 5.18 6.83 7.91 Russell Midcap Growth Index (5.22) 9.88 17.47 2.61 6.97 10.40 9.95 Russell 2000 Index (5.13) 2.54 8.93 7.16 2.40 6.62 6.65 Russell 2000 Value Index (2.96) (0.53) 7.84 13.32 2.59 5.94 6.19 Russell 2000 Growth Index (7.32) 5.24 9.59 1.09 1.55 6.77 6.72 to Date Energy 12.22 Communication Services 3.07 Financials (1.13) Health Care (2.65) Materials (4.76) Consumer Discretionary (4.80) Industrials (5.16) Technology (5.64) Consumer Staples (5.97) Real Estate (8.90) Utilities (9.25) Past Performance is not a guarantee of future results. Indices are not available for direct investment. Source: PARis Page 4 Graystone Consulting from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Capital Markets Returns as of September 30, 2023 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 the 3 Date Date Years Years Date Date Years Ye (4.11) 7.08 25.65 5.75 3.24 (1.20) 11.20 20.96 11.36 6.17 (4.96) 7.96 28.84 7.23 3.96 (2.03) 8.88 20.27 10.88 6.08 (2.29) 7.68 22.36 2.41 1.68 0.46 19.66 25.32 12.89 6.47 (4.75) (4.44) 10.58 4.15 1.78 (2.70) (0.90) 9.70 6.73 3.36 (3.36) 11.55 22.58 8.60 7.80 (2.52) 15.48 24.22 11.25 N/A (4.10) 6.73 24.00 6.07 3.44 (1.26) 10.45 19.81 11.24 6.24 (11.08) (17.59) (2.58) (4.49) (3.40) (11.13) (17.31) (2.79) (4.17) (3.38) (7.52) 17.49 42.74 2.30 4.45 (4.70) 18.44 32.08 5.85 6.40 (1.45) 11.60 26.40 3.19 2.44 1.75 26.21 30.31 15.82 8.19 N/A N/A N/A N/A N/A 0.47 2.39 6.50 4.04 (1.22) U.S. Dollar Local Currency Quarter to Year to 12 Months 3 5 Quarter to Year to 12 Months 3 Date Date YearsWr Years Date Date (2.79) 2.16 12.17 (1.34) 0.93 (1.29) 4.39 11.35 0.98 3.08 (1.83) (7.12) 5.44 (14.14) (4.02) (1.86) (6.08) 5.66 (13.50) (3.75) 4.49 (7.70) 5.25 (3.54) (4.84) 5.11 (1.62) 6.57 0.47 (2.41) (7.10) 11.81 22.65 7.38 11.15 (3.71) 17.43 24.70 11.33 12.39 (4.42) (13.63) 0.29 4.09 (4.73) (4.42) (13.63) 0.29 4.09 (4.73) Past Performance is not a guarantee of future results. Indices are not available for direct investment. Source: PARis Graystone Page 5 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Capital Markets Returns as of September 30, 2023 Quarter to Year to Date 12 Months Three Years Five Years Seven Years Ten Years Date (annualized) (annualized) (annualized) (annualized) Fixed Income 90-Day T-Bills 1.38 3.80 4.71 1.78 1.74 1.56 1.12 Bloomberg US Aggregate (3.23) (1.21) 0.64 (5.21) 0.10 (0.09) 1.13 Barclays Credit (3.01) 0.03 3.47 (4.83) 0.86 0.73 2.12 Barclays Govt/Credit (2.99) (0.85) 0.93 (5.32) 0.41 0.09 1.31 Barclays Government (2.99) (1.45) (0.74) (5.73) (0.03) (0.47) 0.65 Barclays High Yield 0.46 5.87 10.28 1.75 2.95 3.79 4.24 Barclays Intermediate Govt/Credit (0.83) 0.66 2.20 (2.93) 1.02 0.62 1.27 Barclays Long Govt/Credit (9.37) (5.40) (2.93) (11.90) (1.21) (1.37) 1.94 Barclays Mortgage Backed (4.05) (2.27) (0.17) (5.09) (0.78) (0.64) 0.61 Barclays Municipal (3.95) (1.38) 2.66 (2.30) 1.05 0.92 2.29 Global Fixed Income Merrill Lynch Global High Yield 0.07 5.36 12.71 (0.12) 1.84 2.86 3.30 Barclays Global Treasury ex. US (5.41) (3.46) 3.42 (10.29) (4.10) (3.38) (2.17) Barclays Capital Majors ex. U.S. (5.61) (6.12) 0.57 (11.53) (4.90) (4.46) (2.65) Past Performance is not a guarantee of future results. Indices are not available for direct investment. Source: PARis Page 6 Graystone Consulting from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Total Fund - Executive Summary as of September 30, 2023 Manager Performance Chart 24.0 16.0 8.0 LL v 94 0.0 Mr" -8.0 -16.0 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 -2.93 12.45 12.45 6.06 5.51 6.76 6.75 6.72 Policy Index 1 -3.72 11.59 11.59 4.92 5.08 6.58 6.81 7.21 Differences 0.79 0.86 0.86 1.14 0.43 0.18 -0.06 -0.49 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 21,560 18,483 18,483 17,178 15,167 12,489 10,073 7,730 Net Contributions -132 93 93 651 1,388 1,620 2,037 2,946 Fees/Expenses -33 -121 -121 -385 -587 -766 -951 -1,068 Income 90 514 514 1,323 2,055 2,728 3,504 4,073 Gain/Loss -719 1,798 1,798 1,999 2,743 4,695 6,104 7,085 Ending Market Value 20,766 20,766 20,766 20,766 20,766 20,766 20,766 20,766 Modern Portfolio Statistics Manager Risk & Return 10.11 8.0 6.0 4.0 2.0 0.0 -2.0 1 1 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 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 6.72 10.38 0.98 -19.15 98.81 102.61 -0.31 0.59 0.97 02/01/2011 Policy Index 1 7.21 10.41 1.00 -19.88 100.00 100.00 0.00 0.64 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 7 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Historic Returns as of September 30, 2023 Manager vs Benchmark: Return As of Sep 2023 13 12 11 10 9 8 7 6 c 5 4 3 2 1 0 -1 -2 -3 -4 1 Quarter Manager vs Benchmark: Return As of Sep 2023 Sebastian Police (Gross) Sebastian Police (Net) Sebastian Police Policy Index 1 Year 3 Years 5 Years 7 Years 10 Years Since Dec 31 2002 ■ Sebastian Police (Gross) Sebastian Police (Net) Sebastian Police Policy Index 1 QUARTER 1 YEAR 3 YEARS 5 YEARS 7 YEARS 10 YEARS SINCE DEC 31 2002 (2.93) 12.46 6.06 5.51 6.76 6.75 6.16 (3.09) 11.80 5.41 4.85 6.09 6.11 5.49 (3.72) 11.59 4.92 4.88 6.43 6.71 6.54 The prices, quotes, or statistics contained heren have been obtained from sources believed to be reliable, however, itswouracy cannot beguaranteed. Past performanceisnot a Graystone guarantee of future results Consulting Page 8 City of Sebastian Police Officers' Retirement Plan Sebastian Police (Gross) - Risk / Return Analysis as of September 30, 2023 Manager Performance October 2018 - September 2023 150 145 140 13/130 125 120 115 110 105 / 100 \� 95 90 / 85 9/2018 9/2019 3/2020 9/2020 3/2021 9/2021 3/2022 9/2022 — Sebastian Police (Gross) Sebastian Police Policy Index Cumulative Excess Return vs. Benchmark 10 0 9/2018 9/2019 3/2020 9/2020 3/2021 9/2021 3/2022 9/2022 Risk & Return Measurements October 2018 - September 2023 RETURN EXCESS STANDARD RETURN DEVIATION Sebastian Police (Gross) 5.51 0.63 16.22 9/2023 9/2023 Risk / Return October 2018 - September 2023 6.5 6.0 5.5 5.0 4.5 c 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 Standard Deviation (%) ■ Sebastian Police (Gross) Sebastian Police Policy Index ♦ FTSE 3-Month Treasury Bill BETA MAXIMUM UP DRAWDOWN CAPTURE 0.98 (19.15) 102.76 DOWN ALPHA SHARPE CAPTURE RATIO 98.38 0.71 0.23 R- SQUARED 98.87 Sebastian Police Policy 4.88 0.00 16.51 1.00 (19.88) 100.00 100.00 0.00 0.19 100.00 Index Theprices, quotes, or statistics contained herein havebeen obtained from sources believed to be reliable, however, itswouracy cannot beguaranteed. Past performanceisnot a Graystone guarantee of future results Consulting Page 9 City of Sebastian Police Officers' Retirement Plan Asset Allocation Compliance as of September 30, 2023 Executive Summary Global Equity $13,337.6K (64.2%) - 40.0% - 70.0% Fixed Income $4,537.3K (21.8%) - 20.0% - 35.0% Alternatives $1,807.4K (8.70/.) - 0.0% - 20.0% Receipt & Disbursement $1,083.7K (5.20/.) 0.0% - 10.0% 0.0% 25.0% 65.0% 0.0% 15.0% 30.0% 45.0% 60.0% 75.0% 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 10 90.0% 105.0% Graystone Consulting from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Asset Allocation Compliance as of September 30, 2023 Executive Summary Highland - Large Cap Value $3,349.7K (16.1 %) 12.5% - 22.5% Polen - Large Cap Growth $1,636.7K (7.9%) 6.2% - 11.2% iShares - Russell 1000 Growth ETF $1,648.3K (7.9%) 6.2% - 11.2% Boston Partners - SMID Value $2,502.1K (12.0%) 2.5% - 15.0% Fiera Capital - SMID Growth $1,656.4K (8.00/6) 2.5% - 10.5% Highland - Intl Value $1,038.3K (5.0%) 2.5% - 7.5% C1earBridge - International Growth $1,506.1K (7.3%) 5.0% - 10.0% Fixed Income $4,537.3K (21.8%) 20.0% - 35.0% Intercontinental - Private Real Estate $784.9K (3.80/.) 0.0% - 10.0% Lazard - Global Infrastructure $1,022.6K (4.9%) 0.0% - 10.0% Receipt & Disbursement $1,083.7K (5.2%) 0.0% - 10.0% 1 112.0% 1 0.0% 16.3% 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 11 48.0% Graystone Consulting from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Highland - Large Cap Value - Executive Summary as of September 30, 2023 Manager Performance Chart 30.0 20.0 10.0 v 9 0.0 -10.0 -20.0 Current Fiscal 1 3 5 Since Quarter YTD Year Years Years Inception Manager Annualized Performance Current Fiscal 1 3 5 Inception Quarter YTD Year Years Years 08/01/2017 Highland - Large Cap Value -2.92 15.20 15.20 11.98 6.04 7.17 Russell 1000 Value -3.17 14.44 14.44 11.05 6.23 6.87 Differences 0.25 0.76 0.76 0.93 -0.19 0.30 Historic Asset Growth Current Fiscal 1 3 5 Inception Quarter YTD Year Years Years 08/01/2017 Highland - Large Cap Value Beginning Market Value 4,180 3,536 3,536 3,667 3,481 4,342 Net Contributions -715 -716 -716 -1,615 -1,249 -2,626 Fees/Expenses -5 -20 -20 -61 -94 -120 Income 25 98 98 277 479 582 Gain/Loss -135 452 452 1,082 733 1,171 Ending Market Value 3,350 3,350 3,350 3,350 3,350 3,350 Modern Portfolio Statistics Manager Risk & Return 10.5 9.0 7.5 6.0 0 4.5 3.0 1.5 0.0 -1.5 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 Risk (Standard Deviation %) Highland -Large Cap Value Q Russell 1000 Value . 90-Day T-Bills 20.0 24.0 28.0 Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Highland - Large Cap Value 7.17 18.10 1.02 -28.00 102.78 102.03 0.18 0.38 0.99 08/01/2017 Russell 1000 Value 6.87 17.55 1.00 -26.73 100.00 100.00 0.00 0.37 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guarantee of future results. guaranteed. Past performance is not a Graystone Consulting Page 12 g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Polen - Large Cap Growth - Executive Summary as of September 30, 2023 Manager Performance Chart 45.0 30.0 15.0 9 0.0 -15.0 -30.0 Current Fiscal 1 Since Quarter YTD Year Inception Manager Annualized Performance Current Fiscal 1 Since Quarter YTD Year Inception Polen - Large Cap Growth -3.05 22.61 22.61 -2.38 Russell 1000 Gr -3.13 27.72 27.72 4.62 Differences 0.08 -5.11 -5.11 -7.00 Historic Asset Growth Current Fiscal 1 Since Quarter YTD Year Inception Polen - Large Cap Growth Beginning Market Value 1,566 1,245 1,245 1,677 Net Contributions 125 124 124 76 Fees/Expenses -3 -9 -9 -24 Income 2 6 6 16 Gain/Loss -53 271 271 -109 Ending Market Value 1,637 1,637 1,637 1,637 Modern Portfolio Statistics Standard Return Beta Deviation Polen - Large Cap Growth -2.38 23.06 1.05 Russell 1000 Gr 4.62 21.32 1.00 Inception Date 04/01/2021 Manager Risk & Return 8.0 6.0 4.0 0 0 2.0 - a 0.0 -2.0 -4.0 ■ -6.0 10.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 Inception Risk (Standard Deviation %) Date 04/01/2021 Polen - Large Cap Growth Q Russell 1000 Gr . 90-Day T-Bills Maximum Up Down Alpha Sharpe R-Squared Inception Drawdown Capture Capture Ratio Date -38.14 93.90 115.26 -6.67 -0.08 0.94 04/01/2021 -30.66 100.00 100.00 0.00 0.22 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 13 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan iShares - Russell 1000 Growth ETF - Executive Summary as of September 30, 2023 Manager Performance Chart 45.0 30.0 15.0 9 0.0 -15.0 -30.0 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 -3.27 27.26 27.26 4.48 01/01/2021 Russell 1000 Gr -3.13 27.72 27.72 4.55 Differences -0.14 -0.46 -0.46 -0.07 Historic Asset Growth Current Fiscal 1 Since Inception Quarter YTD Year Inception Date iShares - Russell 1000 Growth ETF 01/01/2021 Beginning Market Value 1,840 1,399 1,399 1,582 Net Contributions -136 -136 -136 -140 Fees/Expenses - - - - Income - 14 14 30 Gain/Loss -57 371 371 177 Ending Market Value 1,648 1,648 1,648 1,648 Modern Portfolio Statistics Manager Risk & Return 6.0 -5.4 4.8 4.2 - 0 " 3.6 - a 3.0 - 2.4 - 1.8 1.2 0.6 1 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 Risk (Standard Deviation %) iShares - Russell 1000 Growth ETF Q Russell 1000 Gr . 90-Day T-Bills 24.0 28.0 32.0 Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date iShares - Russell 1000 Growth ETF 4.48 20.37 1.00 -30.80 99.61 99.75 -0.06 0.22 1.00 01/01/2021 Russell 1000 Gr 4.55 20.36 1.00 -30.66 100.00 100.00 0.00 0.23 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 14 g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Boston Partners - SMID Value - Executive Summary as of September 30, 2023 Manager Performance Chart 30.0 20.0 10.0 v 9 0.0 - - - -10.0 -20.0 Current Fiscal 1 3 5 Since Quarter YTD Year Years Years Inception Manager Annualized Performance Current Fiscal 1 3 5 Inception Quarter YTD Year Years Years 08/01/2017 Boston Partners - SMID Value -0.58 16.56 16.56 17.41 6.74 6.88 Russell 2500 VL -3.66 11.34 11.34 13.32 3.99 5.38 Differences 3.08 5.22 5.22 4.09 2.75 1.50 Historic Asset Growth Current Quarter Boston Partners - SMID Value Beginning Market Value 2,615 Net Contributions -94 Fees/Expenses -6 Income 11 Gain/Loss -24 Ending Market Value 2,502 Modern Portfolio Statistics Fiscal 1 3 5 Inception YTD Year Years Years 08/01/2017 2,254 2,254 836 743 672 -103 -103 922 1,145 1,167 -23 -23 -67 -81 -90 47 47 126 155 169 327 327 685 540 584 2,502 2,502 2,502 2,502 2,502 Manager Risk & Return 9.0 7s 6.0 0 0 4.5 a 3.0 1.5 0.0- 10.0 -5.0 0.0 5.0 10.0 15.0 20.0 Risk (Standard Deviation %) Boston Partners - SMID Value Q Russell 2500 VL . 90-Day T-Bills 25.0 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 6.88 23.28 1.04 -38.80 105.24 99.91 1.44 0.34 0.97 08/01/2017 Russell 2500 VL 5.38 22.03 1.00 -34.64 100.00 100.00 0.00 0.28 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Consulting Page 15 g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Fiera Capital SMID Growth - Executive Summary as of September 30, 2023 Manager Performance Chart 30.0 Manager Risk & Return 18.0 15.0 15.0 0.0 v - 9 12.0 -15.0 0 0 9.0 -30.0 Current Fiscal 1 3 5 Since Quarter YTD Year Years Years Inception p4 6.0 Manager Annualized Performance 3.0 Current Fiscal 1 3 5 Inception Quarter YTD Year Years Years 08/01/2017 Fiera Capital - SMID Growth -5.60 16.07 16.07 7.89 9.79 12.07 0.0- Russell 2500 GR -6.84 10.61 10.61 1.01 4.05 7.56 Differences 1.24 5.46 5.46 6.88 5.74 4.51 Historic Asset Growth -3.0 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0 Current Fiscal 1 3 5 Inception u Risk (Standard Deviation /o) Quarter YTD Year Years Years 08/01/2017 Fiera Capital - SMID Growth Fiera Capital - SMID Growth Q Russell 2500 GR Beginning Market Value 1,681 1,375 1,375 1,018 839 669 Net Contributions 75 74 74 397 371 369 . 90-Day T-Bills Fees/Expenses -3 -11 -11 -36 -48 -54 Income 2 11 11 48 58 63 Gain/Loss -98 207 207 231 438 609 Ending Market Value 1,656 1,656 1,656 1,656 1,656 1,656 Modern Portfolio Statistics Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Fiera Capital - SMID Growth 12.07 20.88 0.94 -26.32 100.41 84.05 4.65 0.57 0.94 08/01/2017 Russell 2500 GR 7.56 21.63 1.00 -32.84 100.00 100.00 0.00 0.37 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to guarantee of future results. be reliable, however, its accuracy cannot be guaranteed. Past performance is not a Graystone Consulting Page 16 g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Highland - International Value - Executive Summary as of September 30, 2023 Manager Performance Chart 45.0 30.0 15.0 v 9 0.0 � -15.0 -30.0 Current Fiscal 1 3 5 Since Quarter YTD Year Years Years Inception Manager Annualized Performance Current Fiscal 1 3 5 Inception Quarter YTD Year Years Years 08/01/2017 Highland - Intl Value -4.27 28.37 28.37 6.08 2.70 3.11 MSCI EAFE Net -4.11 25.65 25.65 5.75 3.24 3.47 Differences -0.16 2.72 2.72 0.33 -0.54 -0.36 Historic Asset Growth Current Fiscal 1 3 5 Inception Quarter YTD Year Years Years 08/01/2017 Highland - Intl Value Beginning Market Value 1,107 Net Contributions -20 Fees/Expenses -1 Income 5 Gain/Loss -52 Ending Market Value 1,038 Modern Portfolio Statistics Return Highland - Intl Value 3.11 MSCI EAFE Net 3.47 829 829 722 761 701 -21 -21 194 192 218 -5 -5 -15 -20 -25 24 24 78 112 130 212 212 60 -6 15 1,038 1,038 1,038 1,038 1,038 Manager Risk & Return 4.4 4.0 3.6 3.2 - 2.8 - 2.4 2.0 1.6 1.2 - 0.8 I 1 1 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 Risk (Standard Deviation %) Highland - Intl Value Q MSCI EAFE Net . 90-Day T-Bills 24.0 28.0 Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date 19.18 1.11 -28.71 107.31 108.34 -0.39 0.17 0.91 08/01/2017 16.49 1.00 -27.30 100.00 100.00 0.00 0.19 1.00 08/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a guarantee of future results. Graystone Page 17 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan C1earBridge - International Growth - Executive Summary as of September 30, 2023 Manager Performance Chart 0.0 -4.0 v -8.0 -12.0 -16.0 Current Since Quarter Inception Manager Annualized Performance Current Inception Quarter 2/1/2023 C1earBridge - International Growth -9.66 -6.07 MSCI AC World ex US Net -3.77 -2.56 Differences -5.89 -3.51 Historic Asset Growth Current Inception Quarter 2/1/2023 ClearBridge - International Growth Beginning Market Value 1,607 1,548 Net Contributions 59 59 Fees/Expenses -3 -6 Income 4 21 Gain/Loss -161 -117 Ending Market Value 1,506 1,506 Modern Portfolio Statistics Manager Risk & Return 9.0 6.0 3.0 0 0 0.0 a -3.0 -6.0 -9.0 - -12.0 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 %) C1earBridge - International Growth Q MSCI AC World ex US Net . 90-Day T-Bills Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date C1earBridge - International Growth -6.07 4.30 1.08 -11.27 105.06 127.34 -0.40 -0.26 0.80 02/01 /2023 MSCI AC World ex US Net -2.56 3.55 1.00 -7.53 100.00 100.00 0.00 -0.19 1.00 02/01/2023 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 18 g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Genter - Short -Term Fixed Income - Executive Summary as of September 30, 2023 Manager Performance Chart Manager Risk & Return 0.6 4.2 0.3 3.5 0.0 2.8 G4 -0.3 2.1 - -0.6 0 1.4 - -0.9 Current Since Quarter Inception p4 0.7 Manager Annualized Performance 0.0 Current Inception Quarter 4/1/2023 0.7 Genter - Short -Term Fixed Income 0.20 -0.40 BB US Agg Gov/Credit 1-5 Y 0.21 -0.41 -1.4 Differences -0.01 0.01 Historic Asset Growth -0.2 -0.1 0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 Current Inception Risk (Standard Deviation %) Quarter 4/1/2023 Genter - Short -Term Fixed Income Genter - Short -Term Fixed Income O BB US Agg Gov/Credit 1-5 Y Beginning Market Value 2,246 2,260 Net Contributions 429 429 . 90-Day T-Bills Fees/Expenses - - Income 14 22 Gain/Loss -11 -32 Ending Market Value 2,679 2,679 Modern Portfolio Statistics Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Genter - Short -Term Fixed Income -0.40 0.38 0.73 -0.72 70.49 77.68 -0.02 -1.33 0.75 04/01 /2023 BB US Agg Gov/Credit 1-5 Y -0.41 0.45 1.00 -1.11 100.00 100.00 0.00 -1.12 1.00 04/01/2023 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 19 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Highland - Fixed Income - Executive Summary as of September 30, 2023 Manager Performance Chart 8.0 4.0 4 0.0 - ■ v x -4.0 -8.0 Manager Risk & Return 2.4 Current Fiscal 1 3 5 Since Quarter YTD Year Years Years Inception Manager Annualized Performance Current Fiscal 1 3 5 Inception Quarter YTD Year Years Years 08/01/2017 Highland - Fixed Income -1.62 1.93 1.93 -2.66 1.63 1.21 Bloomberg US Aggregate -3.23 0.64 0.64 -5.21 0.10 -0.05 Differences 1.61 1.29 1.29 2.55 1.53 1.26 Historic Asset Growth Current Fiscal 1 3 5 Inception Quarter YTD Year Years Years 08/01/2017 Highland - Fixed Income Beginning Market Value 2,317 4,323 4,323 4,147 3,549 3,980 Net Contributions -420 -2,546 -2,546 -1,882 -1,884 -2,271 Fees/Expenses -4 -10 -10 -37 -58 -81 Income 23 116 116 346 591 735 Gain/Loss -57 -25 -25 -715 -340 -506 Ending Market Value 1,858 1,858 1,858 1,858 1,858 1,858 Modern Portfolio Statistics Return Standard Beta Maximum Deviation Drawdown Highland - Fixed Income 1.21 4.94 0.78 -12.96 Bloomberg US Aggregate -0.05 5.09 1.00 -17.18 2.0 1.6 1.2 0 0.8 0.4 0.0 0.4 -0.8 -1.6 -0.8 0.0 0.8 1.6 2.4 3.2 4.0 4.8 5.6 6.4 Risk (Standard Deviation %) Highland - Fixed Income O Bloomberg US Aggregate . 90-Day T-Bills 7.2 Up Down Alpha Sharpe R-Squared Inception Capture Capture Ratio Date 89.51 70.21 1.27 -0.07 0.65 08/01/2017 100.00 100.00 0.00 -0.32 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 20 Consulting g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Intercontinental - Private Real Estate - Executive Summary as of September 30, 2023 Manager Performance Chart 30.0 15.0 0.0 -15.0 -30.0 Current Fiscal 1 3 5 Since Quarter YTD Year Years Years Inception Manager Annualized Performance Current Fiscal 1 3 5 Inception Quarter YTD Year Years Years 10/01/2017 Intercontinental - Private Real Estate -0.81 -15.62 -15.62 6.76 6.60 7.51 NCREIF NFI ODCE Value Weighted -1.90 -12.15 -12.15 7.13 5.65 6.15 Differences 1.09 -3.47 -3.47 -0.37 0.95 1.36 Historic Asset Growth Current Fiscal 1 3 5 Inception Quarter YTD Year Years Years 10/01/2017 Intercontinental - Private Real Estate Beginning Market Value 797 956 956 725 691 112 Net Contributions -4 -15 -15 -51 -85 439 Fees/Expenses -2 -9 -9 -45 -65 -71 Income - - - - - - Gain/Loss -6 -147 -147 156 243 305 Ending Market Value 785 785 785 785 785 785 Modern Portfolio Statistics Manager Risk & Return 10.5 9.0 7.5 6.0 0 4.5 3.0 1.5 0.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 Risk (Standard Deviation %) Intercontinental - Private Real Estate O NCREIF NFI ODCE Value Weighted . 90-Day T-Bills 12.0 Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Intercontinental - Private Real Estate 7.51 7.79 1.09 -15.62 120.27 115.87 0.78 0.73 0.87 10/01/2017 NCREIF NFI ODCE Value Weighted 6.15 6.63 1.00 -12.15 100.00 100.00 0.00 0.66 1.00 10/01/2017 The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, guarantee of future results. however, its accuracy cannot be guaranteed. Past performance is not a Graystone Consulting Page 21 g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Lazard - Global Infrastructure - Executive Summary as of September 30, 2023 Manager Performance Chart Manager Risk & Return 24.0 9.0 16.0 .0 � 8.0 � 94 0.0 6.0 -8.0 0 -16.0 4.5 Current Fiscal 1 Since Quarter YTD Year Inception p4 Manager Annualized Performance 3.0 Current Fiscal 1 Since Inception Quarter YTD Year Inception Date Lazard - Global Infrastructure -5.42 10.55 10.55 6.62 01/01/2021 1.5 DJ Brookfield Gbl Infra Comp TR -6.93 4.50 4.50 3.27 Differences 1.51 6.05 6.05 3.35 Historic Asset Growth 0.0 -9.0 -6.0 -3.0 0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 24.0 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 1,227 1,050 1,050 973 Net Contributions -140 -140 -140 -140 . 90-Day T-Bills Fees/Expenses - - - - Income 1 125 125 241 Gain/Loss -65 -13 -13 -52 Ending Market Value 1,023 1,023 1,023 1,023 Modern Portfolio Statistics Return Standard Beta Maximum Up Down Alpha Sharpe R-Squared Inception Deviation Drawdown Capture Capture Ratio Date Lazard - Global Infrastructure 6.62 13.39 0.75 -12.82 83.79 67.28 3.95 0.40 0.85 01/01/2021 DJ Brookfield Gbl Infra Comp TR 3.26 16.34 1.00 -17.19 100.00 100.00 0.00 0.16 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 22 g from Morgan Stanley City of Sebastian Police Officers' Retirement System Compliance Checklist as of September 30, 2023 Concentration Foreign Securities Concentration Limit Yes Issuer Concentration in Equity (% of Shares Outstanding) Yes Issuer Concentration in Equity (% of Total Porfolio) Yes Fixed Income Concentration in Any Single Issuer (excl. U.S. Gov't/Agency, Mutual Funds, and ETFs) Yes Issuer Concentration in CMO's (% of Fixed Income) Yes Credit Rating/Maturity & Duration Minimum Commercial Paper ST Rating (P-3/A-3/F3) Yes Minimum Corporate Bonds and ABS LT Rating (BBB-/Baa3/BBB-) Yes Minimum Municipal Bonds LT Rating (A-/A3/A-) Yes Minimum Non -agency CMOs and MBS LT Rating (AAA/Aaa/AAA) Yes Commercial Paper Duration (Years from settle to final maturity) Yes Allocation Total Equity Allocation within specified range Yes Large Cap Value Allocation within specified range Yes Large Cap Growth Allocation within specified range Yes Small/Mid Cap Value Allocation within specified range Yes Small/Mid Cap Growth Allocation within specified range Yes International Value Allocation within specified range Yes International Growth Allocation within specified range Yes Fixed Income Allocation within specified range Yes Core Fixed Income Allocation within specified range Yes Total Alternatives within specified range Yes Infrastructure Allocation within specified range Yes Private Real Estate Allocation within specified range Yes Prohibited Investments Is the portfolio compliant with the list of prohibited investments? Yes Permitted Investments Is the portfolio compliant with the list of permitted investments? Yes The prices, quotes, and statistics contained herein have been obtained from sources believed to be reliable, however, Graystone the accuracy cannot be guaranteed. Consulting Page 23 from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Asset Allocation & Time Weighted Performance as of September 30, 2023 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) 20,766 100.00 -3.09 (61) I 5.40 (29) 11.80 (38) 11.80 (38) I 5.41 (26) 4.85 (62) 6.09 (67) 6.11 (64) 02/01/2011 6.09 (81) Policy Index 1 -3.72 (90) 4.76 (50) 11.59 (41) 11.59 (41) 4.92 (35) 5.08 (54) 6.58 (49) 6.81 (30) 7.21 (27) All Public Plans < $1B-Total Fund Median -2.87 4.76 10.98 10.98 4.38 5.15 6.54 6.41 6.77 All Public Plans -Total Fund Median -2.60 4.73 10.67 10.67 4.83 5.30 6.66 6.52 6.88 Domestic Equity Highland - Large Cap Value 3,350 16.13 -2.92 (70) 2.69 (58) 15.20 (65) 15.20 (65) 11.98 (66) 6.04 (86) N/A N/A 7.17 (82) 08/01/2017 Highland - Large Cap Value (net) -3.05 (75) 2.30 (61) 14.64 (68) 14.64 (68) 11.43 (70) 5.53 (93) N/A N/A 6.62 (91) Russell 1000 Value -3.17 (79) 1.79 (65) 14.44 (69) 14.44 (69) 11.05 (75) 6.23 (82) N/A N/A 6.87 (88) IM U.S. Large Cap Value Equity (SA+CF) Median -2.17 3.49 17.12 17.12 13.13 7.64 N/A N/A 8.63 Polen - Large Cap Growth ' 1,637 7.88 -3.05 (41) 22.84 (44) 22.61 (73) 22.61 (73) N/A N/A N/A N/A -2.38 (90) 04/01/2021 Polen - Large Cap Growth (net) -3.20 (46) 22.29 (48) 21.87 (77) 21.87 (77) N/A N/A N/A N/A -2.95 (93) Russell 1000 Gr -3.13 (43) 24.98 (30) 27.72 (38) 27.72 (38) N/A N/A N/A N/A 4.62 (23) IM U.S. Large Cap Growth Equity (SA+CF) Median -3.33 21.90 25.57 25.57 N/A N/A N/A N/A 2.52 iShares - Russell 1000 Growth ETF 1,648 7.94 -3.27 (49) 24.32 (50) 27.26 (53) 27.26 (53) = N/A N� N/A 4.48 (23) 01/01/2021 iShares - Russell 1000 Growth ETF (net) -3.27 (49) 24.32 (50) 27.26 (53) 27.26 (53) N/A N/A N/A N/A 4.48 (23) Russell 1000 Gr -3.13 (44) 24.98 (43) 27.72 (49) 27.72 (49) N/A N/A N/A N/A 4.55 (22) IM U.S. Large Cap Growth Equity (MF) Median -3.30 24.18 27.62 27.62 N/A N/A N/A N/A 2.16 Boston Partners - SMID Value 2,502 12.05 -0.58 (11) 6.03 (28) 16.56 (38) 16.56 (38) 17.41 (17) 6.74 (44) N/A N/A 6.88 (57) 08/O1/2017 Boston Partners - SMID Value (net) -0.80 (14) 5.32 (37) 15.53 (48) 15.53 (48) 16.38 (26) 5.74 (59) N/A N/A 5.86 (71) Russell 2500 VL -3.66 (55) 1.95 (71) 11.34 (78) 11.34 (78) 13.32 (57) 3.99 (83) N/A N/A 5.38 (81) IM U.S. SMID Cap Value Equity (SA+CF) Median -3.31 4.54 15.10 15.10 14.22 6.38 N/A N/A 7.39 Fiera Capital - SMID Growth 1,656 7.98 -5.60 (37) 10.45 (15) 16.07 (17) 16.07 (17) 7.89 (21) 9.79 (19) N/A N/A 12.07 (25) 08/01/2017 Fiera Capital - SMID Growth (net) -5.78 (43) 9.85 (33) 15.25 (28) 15.25 (28) 7.07 (26) 8.97 (22) N/A N/A 11.26 (33) Russell 2500 GR -6.84 (62) 5.63 (61) 10.61 (64) 10.61 (64) 1.01 (69) 4.05 (78) N/A N/A 7.56 (86) IM U.S. SMID Cap Growth Equity (SA+CF) Median -6.36 6.99 12.34 12.34 3.36 6.55 N/A N/A 10.01 Highland - Intl Value 1,038 5.00 -4.27 (76) 10.31 (44) 28.37 (54) 28.37 (54) 6.08 (74) 2.70 (77) N/A N/A 3.11 (70) 08/01/2017 Highland - Intl Value (net) -4.39 (77) 9.91 (49) 27.76 (57) 27.76 (57) 5.55 (76) 2.25 (87) N/A N/A 2.62 (79) MSCI EAFE Net -4.11 (75) 7.08 (73) 25.65 (69) 25.65 (69) 5.75 (76) 3.24 (66) N/A N/A 3.47 (64) MSCI EAFE VL Net 0.59 (16) 9.92 (49) 31.51 (35) 31.51 (35) 11.11 (33) 2.81 (75) N/A N/A 2.61 (80) IM International Large Cap Value Equity (SA+CF) Median -2.17 9.71 28.95 28.95 9.20 4.03 N/A N/A 3.92 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 g from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Asset Allocation & Time Weighted Performance as of September 30, 2023 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 C1earBridge - International Growth 1,506 7.25 -9.66 (77) N/A N/A N/A N/A N/A N/A -6.07 (78) 02/01/2023 C1earBridge - International Growth (net) -9.84 (79) N/A N/A N/A N/A N/A N/A N/A -6.43 (81) MSCI AC World ex US Net -3.77 (12) N/A N/A N/A N/A N/A N/A N/A -2.56 (36) IM International Large Cap Growth Equity (SA+CF) Median -7.40 N/A N/A N/A N/A N/A N/A N/A -3.61 Fixed Income Genter - Short -Term Fixed Income 2,679 12.90 0.20 (92) N/A N/A N/A.,_ N/A N/A N/A N/A -0.40 (95) 04/01/2023 Genter - Short -Term Fixed Income (net) 0.20 (92) N/A N/A N/A N/A N/A N/A N/A -0.40 (95) BB US Agg Gov/Credit 1-5 Y 0.21 (91) N/A N/A N/A N/A N/A N/A N/A -0.41 (96) IM U.S. Short Duration Fixed Income (SA+CF) Median 0.81 N/A N/A N/A N/A N/A N/A N/A 0.85 Highland - Fixed Income 1,858 8.95 -1.62 (53) 1.17 (45) 1.93 (69) 1.93 (69) -2.66 (58) 1.63 (43) N/A N/A 1.21 (50) 08/01/2017 Highland - Fixed Income (net) -1.83 (54) 0.87 (49) 1.55 (74) 1.55 (74) -2.97 (62) 1.33 (54) N/A N/A 0.86 (66) Bloomberg US Aggregate -3.23 (82) -1.21 (85) 0.64 (88) 0.64 (88) -5.21 (90) 0.10 (92) N/A N/A -0.05 (93) IM U.S. Fixed Income (SA+CF) Median -1.30 0.79 2.74 2.74 -1.97 1.39 N/A N/A 1.20 Intercontinental - Private Real Estate 785 3.78 -0.81 -10.22 -15.62 -15.62 6.76 _ 6.60 N/A N/A 7.51 10/01/2017 Intercontinental - Private Real Estate (net) -1.03 -10.80 -16.46 -16.46 4.85 4.85 N/A N/A 5.85 NCREIF NFI ODCE Value Weighted -1.90 -7.56 -12.15 -12.15 7.13 5.65 N/A N/A 6.15 NCREIF NFI ODCE (Net) -2.16 -8.15 -12.90 -12.90 6.20 4.73 N/A N/A 5.22 Bloomberg US Aggregate -3.23 -1.21 0.64 0.64 -5.21 0.10 N/A N/A -0.12 Lazard -Global Infrastructure 1,023 4.92 -5.42 (5) 0.81 (8) 10.55 (9) 10.55 (9) N/A N/A N/A N/A 6.62 (3) 01/01/2021 Lazard - Global Infrastructure (net) -5.42 (5) 0.81 (8) 10.55 (9) 10.55 (9) N/A N/A N/A N/A 6.62 (3) DJ Brookfield Gbl Infra Comp TR -6.93 (21) -4.46 (47) 4.50 (50) 4.50 (50) N/A N/A N/A N/A 3.27 (5) IM Global Infrastructure (MF) Median -8.75 -5.47 3.61 3.61 N/A N/A N/A N/A 1.23 Receipt & Disbursement 1,084 5.22 1.14 3.84 4.20 4.20 1.43 1.32 N/A N/A 1.37 08/01/2017 90-Day T-Bills 1.38 3.80 4.71 4.71 1.78 1.74 N/A N/A 1.70 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 25 Graystone Consulting from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Asset Allocation & Net Dollar Weighted Performance (IRR) as of September 30, 2023 Current Fiscal 1 3 5 7 10 Since Inception Quarter YTD Year Years Years Years Years Inception Date Total Fund 11 I. 11 6.04 01/31/2011 Domestic Equity Highland - Large Cap Value 16.13 -2.83 15.12 15.12 12.80 6.00 N/A N/A 7.42 07/31/2017 Polen - Large Cap Growth 7.88 -3.39 21.49 21.49 N/A N/A N/A N/A -2.82 03/15/2021 iShares - Russell 1000 Growth ETF 7.94 -3.10 27.62 27.62 N/A N/A N/A N/A 4.58 12/31/2020 Boston Partners - SMID Value 12.05 -0.73 15.66 15.66 11.96 7.26 N/A N/A 7.16 07/31/2017 Fiera Capital - SMID Growth lintpmingtinnal 7.98 -5.85 15.07 15.07 5.81 7.79 N/A N/A 10.00 07/31/2017 Equity Highland - Intl Value 5.00 -4.37 27.84 27.84 4.41 1.90 N/A N/A 2.29 07/31/2017 C1earBridge - International Growth 7.25 -9.91 N/A N/A N/A N/A N/A N/A -6.54 01/31/2023 Fixed Income Genter - Short -Term Fixed Income 12.90 0.15 N/A N/A N/A N/A N/A N/A -0.44 03/31/2023 Highland - Fixed Income Alt-nati-e 8.95 -1.70 2.77 2.77 -3.36 1.06 N/A N/A 0.65 07/31/2017 Investments Intercontinental - Private Real Estate 3.78 -1.03 -16.47 -16.47 5.06 4.97 N/A N/A 5.90 10/15/2017 Lazard - Global Infrastructure 4.92 -5.36 10.80 10.80 N/A N/A N/A N/A 6.70 12/31/2020 Receipt & Disbursement 5.22 -0.83 -0.52 -0.52 -4.18 -4.41 N/A N/A -4.02 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 26 from Morgan Stanley City of Sebastian Police Officers' Retirement Plan Policy Index History As of September 30, 2023 Policy Index 1 Weight Feb-2011 S&P 500 Total Return 48.00 Bloomberg US Government/Credit 49.00 90-Day T-Bills 3.00 Jul-2011 S&P 500 Total Return 50.00 Bloomberg US Aggregate 40.00 MSCI EAFE Net 10.00 Jan-2016 S&P 500 Total Return 50.00 Bloomberg US Aggregate 40.00 MSCI EAFE Net 10.00 Jul-2017 Russell 1000 Value 21.25 Bloomberg US 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 NFI ODCE Value Weighted 5.00 Jan-2021 Russell 1000 Value 16.25 Bloomberg US 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 NFI ODCE Value Weighted 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 27 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 allocation, investment disciplines or investment managers/funds based on performance alone. Consider, in addition to performance results, other relevant information about each investment manager or fund, as 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 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 Barney forms of the program, this profile presents the composite for the strategy that is closest to the strategy currently 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 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). Morgan Stanley Smith Barney LLC offers investment program services through a variety of investment programs, which are opened pursuant to written client agreements. Each program offers investment managers, funds and features that are not available in other programs; conversely, some investment managers, funds or investment strategies may be available in more than one program. Morgan Stanley's investment advisory programs may require a minimum asset level and, depending on a client's specific investment objectives and financial position, may not be appropriate for the client. Please see the applicable program disclosure document for more information, available at www.morganstanley.com/ADV or from your Financial Advisor. The investment management services of Morgan Stanley Smith Barney LLC and investment vehicles managed by Morgan Stanley Smith Barney LLC or its affiliates are not guaranteed and could result in the loss of value to your account. You should note that investing in financial instruments carries with it the possibility of losses and that a focus on above -market returns exposes the portfolio to above -average risk. Performance aspirations are not guaranteed and are subject to market conditions. CRC 5082012 11/4/2022 Graystone Page 28 Consulting Page Important Notes About This Report (Cont'd) Generally, investment advisory accounts are subject to an annual asset -based fee (the "Fee") which is payable monthly in advance (some account types may be billed differently). In general, the Fee covers Morgan Stanley investment advisory services, custody of securities with Morgan Stanley, trade execution with or through Morgan Stanley or its affiliates, as well as compensation to any Morgan Stanley Financial Advisor. In addition, each account that is invested in a program that is eligible to purchase certain investment products, such as mutual funds, will also pay a Platform Fee (which is subject to a Platform Fee offset) as described in the applicable ADV brochure. Accounts invested in the Select UMA program may also pay a separate Sub -Manager fee, if applicable. If your account is invested in mutual funds or exchange traded funds (collectively "funds"), you will pay the fees and expenses of any funds in which your account is invested. Fees and expenses are charged directly to the pool of assets the fund invests in and are reflected in each fund's share price. These fees and expenses are an additional cost to you and would not be included in the Fee amount in your account statements. The advisory program you choose is described in the applicable Morgan Stanley Smith Barney LLC ADV Brochure, available at www.morganstanley.com/ADV. Morgan Stanley or Executing Sub -Managers, as applicable, in some of Morgan Stanley's Separately Managed Account ("SMA") programs may effect transactions through broker -dealers other than Morgan Stanley or our affiliates. In such instance, you may be assessed additional costs by the other firm in addition to the Morgan Stanley and Sub -Manager fees. Those costs will be included in the net price of the security, not separately reported on trade confirmations or account statements. Certain Sub -Managers have historically directed most, if not all, of their trades to outside firms. Information provided by Sub -Managers concerning trade execution away from Morgan Stanley is summarized at: nttp://www.morganstaniev.coi i uvveaiiniinvestmentsoiutions/pats/aav/soiresuuI iac.uui www.morganstanley.com/wealth/investmentsolutions/pdfs/adv/sotresponse.pdf. For more information on trading and costs, please refer to the ADV Brochure for your program(s), available at www.morganstanley.com/ADV, or contact your Financial Advisor / Private Wealth Advisor. CRC 5082012 11/4/2022 Graystone Page 29 Consulting Page Important Notes About This Report (Cont'd) 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. 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 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 for each 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 expenses). SOURCE OF PERFORMANCE INFORMATION FOR OTHER INVESTMENT MANAGERS: For any investment managers shown in this report that 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. CRC 5082012 11/4/2022 Graystone Page 30 Consulting Page Important Notes About This Report (Cont'd) 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 Analysis ("GIMA") team approves managers and funds offered in Consulting and Evaluation Services and Select UMA. Managers and funds offered in Institutional Consulting Group and Graystone Consulting programs may be approved by GIMA, approved by 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 consulting program. CRC 5082012 11/4/2022 Graystone Page 31 Consulting Page 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 or fund, 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.com/ADV 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 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. CRC 5082012 11/4/2022 Graystone Page 32 Consulting Page Important Notes About This Report (Cont'd) 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 managers/funds 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. CRC 5082012 11/4/2022 Graystone Consulting Page 33 from MorganStantey Important Notes About This Report (Cont'd) 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 portfolio that focuses on a single country may be subject to higher volatility than one that is more diversified. Preferred Securities: Preferred securities are generally subject to the same risks as apply to fixed income securities. (See "Fixed Income.") However, preferred securities (especially equity preferred securities) may rank below traditional forms of 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 specific 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 for all investors. CRC 5082012 11/4/2022 Graystone Consulting Page 34 from MorganStantey Important Notes About This Report (Cont'd) 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 to the 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. CRC 5082012 11/4/2022 Graystone Consulting Page 35 from MorganStantey Glossary 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 manager's return and the return of a benchmark for that manager. Annualized excess return is calculated by taking the annualized return of the original series and forming the difference between the two. A positive annualized excess return 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 for that period inside this window. To calculate the best one-year return for a return series, the program moves a one-year time window along the series and calculates the compound return for each of these 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 of the 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. CRC 5082012 11/4/2022 Graystone Page 36 Consulting Page Glossary (Cont'd) 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 a specified time period. CUMULATIVE EXCESS RETURN: Excess return represents the difference between the manager's return and the return of a benchmark for that manager. Cumulative excess return is calculated by taking the cumulative return of the original series and forming the difference between the two. A positive cumulative excess return implies that the manager outperformed the benchmark over the time period shown. DOWNSIDE CAPTURE RATIO: For each portfolio, this is calculated by (1) identifying the calendar quarters in which the portfolio's benchmark index had negative returns and then (2) for those quarters, dividing the portfolio's annualized net performance by the benchmark index's performance. For investors, the lower the downside capture ratio, the better. For example, a downside capture ratio of 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 that was reached before the drawdown began DRAWDOWN RECOVERY LENGTH: Number of periods it takes to reach the recovery level from maximum drawdown end date CRC 5082012 11/4/2022 Graystone Page 37 Consulting Page Glossary (Cont'd) 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 manager's 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 manager/fund needs to regain the peak level of the cumulative return series INFORMATION RATIO: Measures the active return of the manager divided by the manager's active risk. Active return is the annualized differences of the manager and the benchmark index, while active risk is measured by tracking error. The higher the information ratio, the better. An information ratio of 0 implies that a manager/fund (or benchmark index, if applicable) has provided a return that is equivalent to the risk of the benchmark return. MAR: Stands for "Minimum Acceptable Return." This represents the 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. CRC 5082012 11/4/2022 Graystone Page 38 Consulting Page Page 39 Glossary (Cont'd) MANAGER STYLE (RETURNS BASED STYLE ANALYSIS): A measure for analyzing the style of a portfolio's returns when compared with the quarterly returns on a number of selected style indices (the "Style Basis"). These style indices represent distinct investment styles or asset classes such as large cap value, large cap 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 manager/fund 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 risk/return ratio which uses the Pain Index as the measure of risk. The higher the Pain Ratio, the better the risk - adjusted return of the portfolio. ROLLING WINDOW: Indicates that the chart or statistic 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 due to market conditions. As R-Squared approaches 100%, the portfolio is more closely correlated with the market. CRC 5082012 11/4/2022 Graystone Consulting from Morgan Stanley Glossary (Cont'd) 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: For a single computation chart, StyleADVISOR calculates the information over the entire time period shown as a single data point. AS an example, in a chart showing 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 a portfolio had a return of 5% and a standard deviation of 13% then, if future volatility of returns is similar to historical volatility (which may not be the case): About 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% +/- 26%). In performance measurement, it is generally assumed that a larger standard deviation means that great risk was taken to achieve the return. CRC 5082012 11/4/2022 Graystone Page 40 Consulting Page Glossary (Cont'd) STYLE BASIS: A set of indices that represent the broad asset category being utilized. The Style Basis is used in the equation that calculates the Manager Style (see definition). The "Manager Style" chart 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 Corners; 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: Citigroup 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 index, 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 or positive) 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. CRC 5082012 11/4/2022 Graystone Page 41 Consulting Page 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. 3 W WEIYears 5 10 Since Inception Account Name QTD Years Years Inception Date Boston Partners - SMID Value -0.80 5.32 15.53 16.38 5.74 -- 5.71 07/14/2017 C1earBridge - International Growth -9.84 0.29 -- -- -- -- 0.29 01/04/2023 Fiera Capital - SMID Growth -5.78 9.85 15.25 7.07 8.97 -- 10.95 07/20/2017 Genter - Short -Term Fixed Income 0.20 -- -- -- -- -- -0.40 03/27/2023 Highland - Fixed Income -1.83 0.87 1.55 -2.97 1.33 3.28 3.79 01/31/2011 Highland - Intl Value -4.39 9.91 27.76 5.55 2.25 -- 2.95 07/17/2017 Highland - Large Cap Value -3.05 2.30 14.64 11.43 5.53 -- 6.57 07/17/2017 Intercontinental - Private Real Estate -1.03 -10.80 -16.46 4.85 4.85 -- 5.85 10/01/2017 Lazard - Global Infrastructure -5.42 0.81 10.55 -- -- -- 6.42 12/31/2020 Polen - Large Cap Growth -3.20 22.29 21.87 -- -- -- -2.95 04/01/2021 Receipt & Disbursement 0.25 1.48 -4.27 -15.83 -12.09 -- -10.21 08/01/2017 iShares - Russell 1000 Growth ETF -3.27 24.32 27.26 -- -- -- 4.34 12/31/2020 All performance above are Time Weighted(TWR) performance 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 historicalperformance. As a result of recent market activity, current performance may vary from the figures shown. Past performance is not a guarantee of future results. Please see the Morgan Stanley Smith Barney LLC Form ADV Part 2 Brochure for advisory accounts and/or any applicable brokerage account trade confirmation statements for a full disclosure of the applicable charges, fees and expenses. Your Financial Advisor will provide those documents to you upon request. Benchmark indices and blends included in this material are for informational purposes only, are provided solely as a comparison tool and may not reflect the underlying composition and/or investment objective(s) associated with the account(s). Indices are unmanaged and not available for direct investment. Index returns do not take into account fees or other charges. Such fees and charges would reduce performance. Composites are the aggregate of multiple portfolios within as asset pool. Theperformance 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 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. 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. Money Market Funds You could lose money in Money Market Funds. Although MMF's classified as government funds (i.e. MMFs that invest 99.5% of total assets in cash and or securities backed by the US 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. MFFs may impose a fee upon sale or temporarily suspend sales if liquidity falls below required minimums. During suspensions, shares would not be available for purchase, withdrawals, check writing or ATM debits. A MMF investment is not insured or guaranteed by the Federal Deposit Insurance Corporation or other government agency. Alternatives 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. Alternatives may be either traditional alternative investment vehicles or non-traditional alternative strategy vehicles. Traditional alternative investment vehicles may include, but are not limited to, Hedge Funds, Fund of Funds (both registered and unregistered), Exchange Funds, Private Equity Funds, Private Credit Funds, Real Estate Funds, and Managed Futures Funds. Non-traditional alternative strategy vehicles may include, but are not limited to, Open or Closed End Mutual Funds, Exchange -Traded and Closed -End Funds, Unit Investment Trusts, exchange listed Real Estate Investment Trusts (REITs), and Master Limited Partnerships (MLPs). These non-traditional alternative strategy vehicles also seek alternative -like exposure but have significant differences from traditional alternative investment vehicles. Non-traditional alternative strategy vehicles may behave like, have characteristics of, or employ various investment strategies and techniques for both hedging and more speculative purposes such as short -selling, leverage, derivatives, and options, which can increase volatility and the risk of investment loss. Characteristics such as correlation to traditional markets, investment strategy, and market sector exposure can play a role in the classification of a traditional security being classified as alternative. Traditional alternative investment vehicles are illiquid and usually are not valued daily. The estimated valuation provided will be as of the most recent date available and will be included in summaries of your assets. Such valuation may not be the most recent provided by the fund in which you are invested. No representation is made that the valuation is a market value or that the interest could be liquidated at this value. We are not required to take any action with respect to your investment unless valid instructions are received from you in a timely manner. Some positions reflected herein may not represent interests in the fund, but rather redemption proceeds withheld by the issuer pending final valuations which are not subject to the investment performance of the fund and may or may not accrue interest for the length of the withholding. Morgan Stanley does not engage in an independent valuation of your alternative investment assets. Morgan Stanley provides periodic information to you including the market value of an alternative investment vehicle based on information received from the management entity of the alternative investment vehicle or another service provider. Traditional alternative investment vehicles often are speculative and include a high degree of risk. . Investors should carefully review and consider potential risks before investing. Certain of these risks may include but are not limited to:- Loss of all or a substantial portion of the investment due to leveraging, short - selling, or other speculative practices;• Lack of liquidity in that there may be no secondary market for a fund;- Volatility of returns;- Restrictions on transferring interests in a fund;- Potential lack of diversification and resulting higher risk due to concentration of trading authority when a single advisor is utilized; - Absence of information regarding valuations and pricing;- Complex tax structures and delays in tax reporting;- Less regulation and higher fees than mutual funds; and- Risks associated with the operations, personnel, and processes of the manager. As a diversified global financial services firm, Morgan Stanley Wealth Management engages in a broad spectrum of activities including financial advisory services, investment management activities, sponsoring and managing private investment funds, engaging in broker - dealer transactions and principal securities, commodities and foreign exchange transactions, research publication, and other activities. In the ordinary course of its business, Morgan Stanley Wealth Management therefore engages in activities where Morgan Stanley Wealth Management's interests may conflict with the interests of its clients, including the private investment funds it manages. Morgan Stanley Wealth Management can give no assurance that conflicts of interest will be resolved in favor of its clients or any such fund. Indices are unmanaged and investors cannot directly invest in them. Composite index results are shown for illustrative purposes and do not represent the performance of a specific investment. 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.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. © 2023 Morgan Stanley Smith Barney LLC. Member SIPC. 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. This information is as of the date(s) noted and subject to daily fluctuation.