HomeMy WebLinkAbout4th Quarter Summary Ending December 2023City of Sebastian Police Officers' Retirement Plan
Quarterly Performance Summary
As of December 31, 2023
Graystone
Consulting
from Morgan Stanley
Scott Owens, CFAo, CIMAo David Wheeler, CIMAo, 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 December 31, 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 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: September2023 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 Morgan Stanley
City of Sebastian Police Officers' Retirement Plan
Timeline Review
as of December 31, 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 Morgan Stanley
City of Sebastian Police Officers' Retirement Plan
Capital Markets Returns
as of December 31, 2023
S&P 500 Index
Dow Jones Industrial Average
Russell 3000 Index
Russell 3000 Value Index
Russell 3000 Growth Index
Russell 1000 Index
Russell 1000 Value Index
Russell 1000 Growth Index
Russell Midcap Index
Russell Midcap Value Index
Russell Midcap Growth Index
Russell 2000 Index
Russell 2000 Value Index
Russell 2000 Growth Index
Real Estate
Technology
Financials
Industrials
Consumer Discretionary
Communication Services
Materials
Utilities
Health Care
Consumer Staples
Energy
Quarter to
Three Years
Five Years
Seven Years
Ten Years
Year to Date
12 Months
Date
(annualized)
(annualized)
(annualized)
(annualized)
11.69
26.29
26.29
10.00
15.69
13.42
12.03
13.09
16.18
16.18
9.38
12.47
12.11
11.08
12.07
25.96
25.96
8.54
15.16
12.81
11.48
9.83
11.65
11.65
8.80
10.84
8.16
8.28
14.09
41.21
41.21
8.08
18.85
17.03
14.33
11.96
26.53
26.53
8.97
15.52
13.21
11.81
9.50
11.46
11.46
8.86
10.91
8.32
8.40
14.16
42.68
42.68
8.86
19.50
17.68
14.86
12.82
17.23
17.23
5.92
12.68
10.07
9.42
12.11
12.71
12.71
8.36
11.16
7.76
8.26
14.55
25.87
25.87
1.31
13.82
12.49
10.57
14.03
16.93
16.93
2.22
9.97
7.33
7.16
15.26
14.65
14.65
7.94
10.00
6.10
6.76
12.75
18.66
18.66
(3.50)
9.22
8.07
7.16
Quarter to Date
18.83
17.17
14.03
13.05
12.42
10.95
9.69
8.56
6.41
5.54
(6.94)
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 December 31, 2023
Developed' I 1for the
Period EndingDecember
2023
U.S. Dollar
Local Currency
Quarter to
Year to
3
5
Quarter to
Year to
3
5
Date
Date
12 Months
Years
Years
Date
Date
12 Months
Years
Years
Regional and Other Multi-Country Indices
MSCI F_.AFE
10.42
18.24
18.24
4.02
8.16
5.01
16.77
16.77
9.18
10.03
MSCI Europe
11.05
19.89
19.89
5.80
9.09
5.65
15.04
15.04
9.30
9.84
MSCI Far East
7.61
15.87
15.87
0.04
6.03
2.25
22.35
22.35
9.13
10.52
MSCI Pacific ex. Japan
11.39
6.44
6.44
1.58
5.74
6.82
5.86
5.86
4.34
6.15
MSCI The World
11.53
24.42
24.42
7.79
13.37
9.97
26.98
26.98
10.13
N/A
MSCI World ex. U.S.
10.51
17.94
17.94
4.42
8.45
5.39
16.40
16.40
9.28
10.14
National Indices
MSCI Hong Kong
3.42
(14.77)
(14.77)
(7.93)
(1.84)
3.13
(14.73)
(14.73)
(7.73)
(1.89)
MSCI Ireland
6.26
24.84
24.84
0.22
9.93
1.84
20.62
20.62
3.70
10.69
MSCI Japan
8.22
20.77
20.77
1.04
7.31
2.24
29.04
29.04
12.09
12.83
MSCI Singapore
4.48
N/A
N/A
N/A
N/A
1.30
3.72
3.72
(0.30)
0.47
Emerging Markets Equity % Returns for the
Period Ending
December1
U.S. Dollar
Local Currency
Quarter to
Year to
3
5
Quarter to
Year to
3
5
Date
Date
12 Months
Years
Years
Date
Date
12 Months
Years
Years
Regional and Other Multi -Country Indices
MSCI EM
7.93
10.27
10.27
(4.71)
4.07
5.65
10.29
10.29
(2.15)
5.82
National Indices
MSCI China
(4.21)
(11.04)
(11.04)
(18.31)
(2.65)
(4.78)
(10.57)
(10.57)
(17.72)
(2.51)
MSCI Malaysia
4.56
(3.49)
(3.49)
(5.18)
(2.83)
2.33
0.67
0.67
(0.88)
(0.75)
MSCI Taiwan
17.46
31.33
31.33
5.68
18.21
11.67
31.14
31.14
8.84
18.17
MSCI Thailand
3.90
(10.26)
(10.26)
(2.26)
(1.91)
3.90
(10.26)
(10.26)
(2.26)
(1.91)
Past Performance is not a guarantee of future results. Indices are not available for direct investment. Source: PARis Graystone
Page 5 Consulting
City of Sebastian Police Officers' Retirement Plan
Capital Markets Returns
as of December 31, 2023
U.S. Fined Income
90-Day T-Bills
Bloomberg US Aggregate
Barclays Credit
Barclays Govt/Credit
Barclays Government
Barclays High Yield
Barclays Intermediate Govt/Credit
Barclays Long Govt/Credit
Barclays Mortgage Backed
Barclays Municipal
Global Fixed Income
Merrill Lynch Global High Yield
Barclays Global Treasury ex. US
Barclays Capital Majors ex. U.S.
Quarter to
Three Years
Five Years
Seven Years
Ten Years
Date
Year to Date
12 Months
(annualized)
(annualized)
(annualized)
(annualized)
1.40
5.26
5.26
2.25
1.91
1.75
1.26
6.82
5.53
5.53
(3.31)
1.10
1.29
1.81
8.15
8.18
8.18
(3.21)
2.45
2.30
2.83
6.63
5.72
5.72
(3.53)
1.42
1.52
1.97
5.62
4.09
4.09
(3.74)
0.56
0.85
1.27
7.15
1344
13.44
1.98
5.35
4.56
4.59
4.56
5.24
5.24
(1.63)
1.59
1.57
1.72
13.24
7.13
7.13
(8.69)
1.12
1.58
3.22
7.48
5.05
5.05
(2.86)
0.25
0.67
1.38
7.89
6.40
6.40
(0.40)
2.25
2.56
3.03
7.63
13.39
13.39
(0.09)
4.15
3.88
3.67
10.67
6.84
6.84
(8.72)
(2.33)
(0.49)
(1.15)
9.86
3.14
3.14
(9.96)
(3.50)
(1.45)
(1.55)
Past Performance is not a guarantee of future results. Indices are not available for direct investment. Source: PARis Graystone
Page 6 Consulting
City of Sebastian Police Officers' Retirement Plan
Total Fund - Executive Summary
as of December 31, 2023
Manager Performance Chart
24.0
18.0
6.0
0.0
Current Fiscal 1 3 5
7 10 Since
Quarter YTD Year Ycars 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 8.92 8.92 15.45 5.26 9.70
7.59 7.07 7.30
Policy Index 1 9.70 9.70 15.39 4.22 9.34 7.96 7.25 7.87
Differences -0.78 -0.78 0.06 1.04 0.36 -0.37 -0.18 -0.57
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 20,799 20,799 19,420 19,694
14,064 13,162 10,641 7,730
Net Contributions 547 547 826 652
1,446 1,903 2,591 3,493
Fees/Expenses -22 -22 -108 -383
-590 -781 -959 -1,091
Income 115 115 423 1,357
2,073 2,766 3,560 4,188
Gain/Loss 1,740 1,740 2,618 1,857
6,185 6,128 7,345 8,858
Ending Market Value 23,178 23,178 23,178 23,178
23,178 23,178 23,178 23,178
Modern Portfolio Statistics
Standard
Maximum
Return
Beta
Deviation
Drawdown
Total Fund 7.30 10.50
0.98 -19.15
Policy Index 1 7.87 10.58
1.00 -19.88
Manager Risk & Return
12.0
10.0
8.0
0
6.0
a 4.0
2.0
0.0
-2.0
-4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0
Risk (Standard Deviation %)
Total Fund Q Policy Index 1 . 90-Day T-Bills
12.0 14.0 16.0
Up
Down Alpha
Sharpe
R-Squared Inception
Capture
Capture
Ratio
Date
98.28
102.29 -0.33
0.63
0.97 02/01/2011
100.00
100.00 0.00
0.68
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
City of Sebastian Police Officers' Retirement Plan
Historic Returns
els of December 31, 2023
Manager vs Benchmark: Return
As of Dec 2023
16
15
14
13
12
11
10
9
c
v $
K
7
6
5
4
3
2
1
0
1 Quarter
Manager vs Benchmark: Return
As of Dec 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
8.92
15.45
5.26
9.70
7.59
7.07
6.53
8.81
14.86
4.62
9.01
6.91
6.43
5.86
9.70
15.39
4.22
9.13
7.81
7.15
6.95
Theprices, quotes, or statisticsoontaned herein havebeen obtained from sources believed to bereliable, however, its accuracy cannot beguaanteed. Past performanoeisnot a Graystone
guaantee of future results
Page 8 tC011Sulting
City of Sebastian Police Officers' Retirement Plan
Sebastian Police (Gross) - Risk / Return Analysis
as of December 31, 2023
Manager Perfui , , Ian lie
January 2019 - December 2023
16`
160
155
150
145
140
135
130
125
120
115
110 \
105
100
95
12/2018 12/2019 12/2020 12/2021 12/2022
— Sebastian Police (Gross) Sebastian Police Policy Index
Cumulative Excess Return vs. Benchmark
10
0 — — — -
-10
12/2018 12/2019 12/2020 12/2021 12/2022
Risk & Return Measurements
January 2019 - December 2023
RETURN EXCESS STANDARD
RETURN DEVIATION
Sebastian Police (Gross) 9.70 0.57 15.50
Risk / Return
January 2019 - December 2023
11
10
■
9
8
7
E 6
v
5
4
3
12/2023
2
1
0
J 1 2 3 4 5 6 7 8 9 10 11
12 13 14 15 16 17
Standard Deviation (%)
12/2023
■ Sebastian Police (Gross)
Sebastian Police Policy Index ♦ FTSE
3-Month Treasury Bill
MAXIMUM UP
DOWN
SHARPE R-
BETA
ALPHA
DRAWDOWN CAPTURE
CAPTURE
RATIO SQUARED
0.96
(19.15) 101.37
97.10 0.83
0.50 98.80
Sebastian Police Policy
9.13 0.00 15.99 1.00 (19.88) 100.00 100.00 0.00 0.45 100.00
Index
Theprices, quotes, or stetisticsoontaned herein havebeen obtained from sources believed to bereliable, however, its accuracy cannot beguaraiteed. Past performanceisnot a Graystone
guarantee of future results
Page 9 tC011Sulting
City of Sebastian Police Officers' Retirement Plan
Asset Allocation Compliance
as of December 31, 2023
Executive Summary
Global Equity
$14,912.OK (64.30/.)
40.0% - 70.0%
Fixed Income
$4,719.3K (20.4%)
20.0% - 35.0%
Alternatives
$1,913.9K (8.3%)
0.0% - 20.0%
Receipt & Disbursement
$1,632.5K (7.0°/n)
0.00/1) - 10.0%
0.0% 15.0%
25.0%°
30.0% 45.0%u 60.0% 75.0% 90.0%
❑ Policy 0 Target . In Policy . Outside Policy
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a
guarantee of future results.
Page 10
105.0%
Graystone
Consulting
from MorganStantey
City of Sebastian Police Officers' Retirement Plan
Asset Allocation Compliance
as of December 31, 2023
Executive Summary
Highland - Large Cap Value
$3,639.8K (15.7%)
12.5% - 22.5%
Polen - Large Cap Growth
$1,874.2K (8.10/.)
6.2%- 11.2% o
iShares - Russell 1000 Growth ETF
$1,885.8K (8.1%)
6.2%u - 11.2%0
Boston Partners - SMID Value
$2,759.8K (11.9% o)
2.5%- 15.0% o
Fiera Capital - SM1D Growth
$1,890.3K (8.2%)
2.5% - 10.5%
Highland - Intl Value
$1,151.5K (5.0%)
2.5%- 7.5%
ClearBridge - International Growth
$1,710.5K (7.4%)
5.0% - 10.0%
Fixed Income
$4,719.3K (20.4%)
20.0% - 35.0%
Intercontinental - Private Real Estate
$784.9K (3.4°l0)
0.0%- 10.0%0
Lazard - Global Infrastructure
$1,129.OK (4.9%)
0.0% - 10.0%
Receipt & Disbursement
$1,632.5K (7.09/o)
0.0% - 10.0%
116.3%
1 112.0% 1
I8.0%a
15. 0"
7.5%
15.0%
5.0%
0.0%
25.0%
0.0% 6.0% 12.0% 18.0% 24.0% 0 30.0% 0 36.0% 42.0%
❑ 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 11
48.0% o
Graystone
Consulting
from Morgan Stanley
City of Sebastian Police Officers' Retirement Plan
Highland - Large Cap Value - Executive Summary
as of December 31, 2023
Manager Performance Chart
20.0
15.0
10.0
a
5.0
0.0
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
8.83
8.83
11.75
9.74
10.61
8.30
Russell 1000 Value
9.50
9.50
11.46
8.86
10.91
8.11
Differences
-0.67
-0.67
0.29
0.88
-0.30
0.19
Historic Asset Growth
Current
Fiscal
1
3
5
Inception
Quarter
YTD
Year
Years
Years
08/01/2017
Highland - Large Cap Value
Beginning Market Value
3,350
3,350
3,962
3,723
3,050
4,342
Net Contributions
-1
-1
-717
-1,116
-1,229
-2,627
Fees/Expenses
-4
-4
-19
-61
-98
-124
Income
21
21
95
277
466
603
Gain/Loss
274
274
319
815
1,451
1,445
Ending Market Value
3,640
3,640
3,640
3,640
3,640
3,640
Modern Portfolio Statistics
Manager Risk & Return
120
10.5
9.0
7.5
6.0
a 4.5
3.0
1.5
0.0
-1.5
-8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0
Risk (Standard Deviation %)
Highland -Large Cap Value Q Russell 1000 Value
AL 90-Day T-Bills
Return Standard
Beta Magnum
Up
Down Alpha
Sharpe
R-Squared Inception
Deviation
Drawdown
Capture
Capture
Ratio
Date
Highland - Large Cap Value
8.30 18.20
1.03 -28.00
102.87
102.82 0.03
0.43
0.99 08/01/2017
Russell 1000 Value
8.11 17.60
1.00 -26.73
100.00
100.00 0.00
0.43
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 12
City of Sebastian Police Officers' Retirement Plan
Polen - Large Cap Growth - Executive Summary
as of December 31, 2023
Manager Performance Chart
60.0
45.0
30.0
P.'
15.0
0.0
Current Fiscal
1
Since
Quarter YTD
Year
Inception
Manager Annualized Performance
Current Fiscal
1
Since Inception
Quarter YTD
Year
Inception Date
Polen - Large Cap Growth 14.72 14.72
40.92
2.84 04/01 /2021
Russell 1000 Gr 14.16 14.16
42.68
9.34
Differences 0.56 0.56
-1.76
-6.50
Historic Asset Growth
Current
Quarter
Polen - Large Cap Growth
Beginning Market Value
1,637
Net Contributions
-
Fees/Expenses
-3
Income
2
Gain/Loss
239
Ending Market Value
1,874
Modern Portfolio Statistics
Fiscal
1
Since
YTD
Year
Inception
1,637
1,240
1,677
-
124
76
-3
-10
-26
2
6
18
239
514
130
1,874
1,874
1,874
Manager Risk & Return
I'll
10.5
9.0
7.5
6.0
a 4.5
3.0
1.5
0.0
-1.5
-10.0 -5.0 0.0 5.0 10.0 15.0 20.0
Inception Risk (Standard Deviation %)
Date
04/01 /2021 Polen - Large Cap Growth Q Russell 1000 Gr
. 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
Polen - Large Cap Growth
2.84 23.14 1.05
-38.14
94.54
113.88 -6.17
0.13
0.95 04/01 /2021
Russell 1000 Gr
9.33 21.39 1.00
-30.66
100.00
100.00 0.00
0.42
1.00 04/01/2021
The prices, quotes, or statistics contained herein have been obtained from sources believed to be reliable, however, its
guarantee of future results.
accuracy cannot be guaranteed. Past performance is not a
Graystone
Consulting
Page 13
City of Sebastian Police Officers' Retirement Plan
iShares - Russell 1000 Growth ETF - Executive Summary
as of December 31, 2023
Manager Performance Chart
60.0
45.0
E
30.0
P.'
15.0
0.0
Current Fiscal
1
3
Since
Quarter YTD
Year
Years
Inception
Manager Annualized Performance
Current
Fiscal
1
3
Since Inception
Quarter
YTD
Year
Years Inception Date
iShares - Russell 1000 Growth ETF 14.41
14.41
42.23
8.87
8.87 01 /01 /2021
Russell 1000 Gr 14.16
14.16
42.68
8.86
8.88
Differences 0.25
0.25
-0.45
0.01
-0.01
Historic Asset Growth
Current
Fiscal
1
3
Since Inception
Quarter
YTD
Year
Years
Inception Date
iShares - Russell 1000 Growth ETF
01/01/2021
Beginning Market Value
1,648
1,648
1,432
1,582
1,582
Net Contributions
-
-
-136
-140
-140
Fees/Expenses
-
-
-
-
-
Income
7
7
14
37
37
Gain/Loss
230
230
576
407
407
Ending Market Value
1,886
1,886
1,886
1,886
1,886
Modern Portfolio Statistics
Manager Risk & Return
I'll
10.5
9.0
7.5
6.0
a 4.5
3.0
1.5
0.0
-1.5
-8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0
Risk (Standard Deviation %)
iShares - Russell 1000 Growth ETF Q Russell 1000 Gr
. 90-Day T-Bills
Standard
Maximum
Up
Down
Sharpe
Inception
Return Beta
Deviation
Drawdown
Capture
Alpha
Capture
Ratio
R-Squared
Date
iShares - Russell 1000 Growth ETF 8.87 20.52 1.00
-30.80
99.71
99.53 0.01
0.41
1.00 01 /01 /2021
Russell 1000 Gr 8.86 20.51 1.00
-30.66
100.00
100.00 0.00
0.41
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
Page 14 Consulting
City of Sebastian Police Officers' Retirement Plan
Boston Partners - SMID Value - Executive Summary
as of December 31, 2023
Manager Performance Chart
32.0
24.0
8.0
0.0
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
10.74
10.74
17.41
11.22
13.79
8.31
Russell 2500 VL
13.76
13.76
15.98
8.80
10,79
7.30
Differences
-3.02
-3.02
1.43
2.42
3.00
1.01
Historic Asset Growth
Current
Fiscal
1
3
5
Inception
Quarter
YTD
Year
Years
Years
08/01/2017
Boston Partners - SMID Value
Beginning Market Value
2,502
2,502
2,469
2,348
596
672
Net Contributions
-4
-4
-103
-348
1,142
1,163
Fees/Expenses
-6
-6
-23
-71
-85
-96
Income
12
12
45
133
163
180
Gain/Loss
256
256
373
697
944
840
Ending Market Value
2,760
2,760
2,760
2,760
2,760
2,760
Modern Portfolio Statistics
Manager Risk & Return
12.0
10.5
9.0
7.5
6.0
a 4.5
3.0
1.5
0.0
-1.5
-10.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0
Risk (Standard Deviation %)
Boston Partners - SMID Value Q Russell 2500 VL
. 90-Day T-Bills
Return Standard
Beta Maximum
Up
Down Alpha
Sharpe
R-Squared Inception
Deviation
Drawdown
Capture
Capture
Ratio
Date
Boston Partners - SMID Value
8.31 23.22
1.02 -38.80
102.78
99.08 0.98
0.39
0.97 08/01/2017
Russell 2500 VL
7.30 22.32
1.00 -34.64
100.00
100.00 0.00
0.35
1.00 08/01/2017
The prices, quotes, or statistics contained herein
guarantee of future results.
have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a
Graystone
Consulting
Page 15
City of Sebastian Police Officers' Retirement Plan
Fiera Capital SMID Growth - Executive Summary
as of December 31, 2023
Manager Performance Chart
45.0
30.0
a
15.0
v
a
0.0
-15.0
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
Fiera Capital - SMID Growth
14.39
14.39
26.34
5.59
17.63
13.93
Russell 2500 GR
12.59
12.59
18.93
-2.68
11.43
9.25
Differences
1.80
1.80
7.41
8.27
6.20
4.68
Historic Asset Growth
Current
Fiscal
1
3
5
Inception
Quarter
YTD
Year
Years
Years
08/01/2017
Fiera Capital - SMID Growth
Beginning Market Value
1,656
1,656
1,442
1,584
678
669
Net Contributions
-1
-1
73
63
371
368
Fees/Expenses
-3
-3
-12
-38
-50
-57
Income
3
3
11
48
59
65
Gain/Loss
235
235
375
233
832
844
Ending Market Value
1,890
1,890
1,890
1,890
1,890
1,890
Modern Portfolio Statistics
Manager Risk & Return
21.0
18.0
15.0
12.0
a 6.0
3.0
0.0
-3.0
-6.0
-12.0 -8.0 4.0 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0
Risk (Standard Deviation %)
Fiera Capital - SMID Growth Q Russell 2500 GR
. 90-Day T-Bills
Return Standard Beta
Maximum
Up
Down Alpha
Sharpe
R-Squared Inception
Deviation
Drawdown
Capture
Capture
Ratio
Date
Fiera Capital - SMID Growth
13.93 21.21 0.94
-26.32
100.35
83.78 4.85
0.64
0.95 08/01/2017
Russell 2500 GR
9.25 22.03 1.00
-32.84
100.00
100.00 0.00
0.43
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 16
City of Sebastian Police Officers' Retirement Plan
Highland - International Value - Executive Summary
as of December 31, 2023
Manager Performance Chart
32.0
24.0
8.0
0.0
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/O1/2017
Highland - Intl Value
11.12
11.12
22.58
3.89
8.23
4.69
MSCI EAFE Net
10.42
10.42
18.24
4.02
8.16
4.94
Differences
0.70
0.70
4.34
-0.13
0.07
-0.25
Historic Asset Growth
Current
Fiscal
1
3
5
Inception
Quarter
YTD
Year
Years
Years
08/01/2017
Highland - Intl Value
Beginning Market Value
1,038
1,038
963
985
651
701
Net Contributions
-1
-1
-22
63
191
217
Fees/Expenses
-1
-1
-5
-15
-22
-27
Income
7
7
25
78
115
136
Gain/Loss
109
109
190
41
216
124
Ending Market Value
1,152
1,152
1,152
1,152
1,152
1,152
Modern Portfolio Statistics
Standard
Maximum
Return
Beta
Deviation
Drawdown
Highland - Intl Value
4.69
19.31
1.10
-28.71
MSCI EAFE Net
4.94
16.75
1.00
-27.30
Manager Risk & Return
6.4
5.6
4.8
4.0
0
3.2
ai
a
2.4
1.6
0.8
0.0
-8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0
Risk (Standard Deviation %)
Highland - Intl Value Q MSCI EAFE Net . 90-Day T-Bills
Up
Down Alpha
Sharpe
R-Squared Inception
Capture
Capture
Ratio
Date
107.00
107.99 -0.41
0.24
0.92 08/01/2017
100.00
100.00 0.00
0.26
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
City of Sebastian Police Officers' Retirement Plan
C1earBridge - International Growth - Executive Summary
as of December 31, 2023
Manager Performance Chart
20.0
15.0
10.0
a
5.0
0.0
Current Fiscal
Quarter YTD
Manager Annualized Performance
Current
Quarter
C1earBridge - International Growth 11.50
MSCI EAFE Net 10.42
Differences 1.08
Historic Asset Growth
C1earBridge - International Growth
Beginning Market Value
Net Contributions
Fees/Expenses
Income
Gain/Loss
Ending Market Value
Modern Portfolio Statistics
Since
Inception
Fiscal
Inception
YTD
2/1/2023
11.50
7.03
10.42
9.38
1.08
-2.35
Current
Fiscal
Inception
Quarter
YTD
2/1/2023
1,539
1,539
1,548
-2
-2
58
-3
-3
-9
6
6
27
171
171
86
1,711
1,711
1,711
Manager Risk & Return
2.0
11.0
10.0
9.0 -
.'�Q. 8.0
a 7.0
6.0
5.0
4.0 /
3.0
-2.4 -1.6 -0.8 0.0 0.8 1.6 2.4 3.2 4.0 4.8 5.6 6.4 7.2
Risk (Standard Deviation %)
C1earBridge - International Growth Q MSCI EAFE Net
AL 90-Day T-Bills
Return Standard
Beta Maximum
Up
Down Alpha
Sharpe
R-Squared Inception
Deviation
Drawdown
Capture
Capture
Ratio
Date
C1earBridge - International Growth
7.03 4.59
0.99 -11.40
97.88
108.60 -0.19
0.06
0.92 02/01/2023
MSCI EAFE Net
9.38 4.43
1.00 -10.88
100.00
100.00 0.00
0.11
1.00 02/01/2023
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
Consulting
Page 18
City of Sebastian Police Officers' Retirement Plan
Genter - Short -Term Fixed Income - Executive Summary
as of December 31, 2023
Manager Performance Chart
6.0
4.0
a
2.0
0.0
Current Fiscal
Quarter YTD
Manager Annualized Performance
Current
Quarter
Genter - Short -Term Fixed Income
3.37
BB US Agg Gov/Credit 1-5 Y
3.44
Differences
-0.07
Historic Asset Growth
Current
Quarter
Genter - Short -Term Fixed Income
Beginning Market Value
2,679
Net Contributions
-
Fees/Expenses
-1
Income
17
Gain/Loss
73
Ending Market Value
2,768
Modern Portfolio Statistics
Since
Inception
Fiscal
YTD
3.37
3.44
-0.07
Fiscal
YTD
2,679
-1
17
73
2,768
Inception
4/1/2023
2.95
3.01
-0.06
Inception
4/1/2023
2,260
428
-1
39
41
2,768
Manager Risk & Return
4.8
45
4.2
3.9
3.6
3.3
3.0
2.7 -
2.4
-0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0 1.2
Risk (Standard Deviation %)
Genter - Short -Term Fixed Income Q BB US Agg Gov/Credit 1-5 Y
. 90-Day T-Bills
Return Standard
Beta Maximum
Up
Down Alpha
Sharpe
R-Squared Inception
Deviation
Drawdown
Capture
Capture
Ratio
Date
Genter - Short -Term Fixed Income
2.95 0.76
0.91 -0.72
91.12
77.68 0.02
-0.16
0.94 04/01 /2023
BB US Agg Gov/Credit 1-5 Y
3.01 0.81
1.00 -1.11
100.00
100.00 0.00
-0.14
1.00 04/01/2023
The prices, quotes, or statistics contained herein
guarantee of future results.
have been obtained from sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a
Graystone
Consulting
Page 19
City of Sebastian Police Officers'
Retirement Plan
Highland - Fixed Income - Executive Summary
as of December 31, 2023
Manager Performance Chart
15.0
10.0
� 5.0
a 0.0
-5.0
-10.0
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 - Fixed Income 4.17 4.17
5.39 -1.66 2.12
1.81
Bloomberg US Aggregate 6.82 6.82
5.53 -3.31 1.10
0.99
Differences -2.65 -2.65
-0.14 1.65 1.02
0.82
Historic Asset Growth
Current
Fiscal
1
3
5
Inception
Quarter
YTD
Year
Years
Years
08/01/2017
Highland - Fixed Income
Beginning Market Value
1,858
1,858
3,427
4,549
3,609
3,980
Net Contributions
17
17
-1,604
-2,227
-1,867
-2,254
Fees/Expenses
-1
-1
-8
-36
-59
-82
Income
14
14
91
333
575
749
Gain/Loss
64
64
45
-668
-307
-442
Ending Market Value
1,951
1,951
1,951
1,951
1,951
1,951
Modern Portfolio Statistics
Manager Risk & Return
72
2.o
1.8
1.6
1.4
1.2
1.0
0.8 -
0.6
-1.6 -0.8 0.0 0.8 1.6 2.4 3.2 4.0 4.8
Risk (Standard Deviation %)
Highland - Fixed Income Q Bloomberg US Aggregate
. 90-Day T-Bills
5.6 6.4 7.2 8.0
Standard
Return Beta
Maximum
Up
Down
Alpha
Sharpe
R-Squared Inception
Deviation
Drawdown
Capture
Capture
Ratio
Date
Highland - Fixed Income
1.81 5.04 0.74
-12.96
84.59
69.76 1.08
0.02
0.67 08/01/2017
Bloomberg US Aggregate
0.99 5.54 1.00
-17.18
100.00
100.00 0.00
-0.13
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 20
City of Sebastian Police Officers' Retirement Plan
Intercontinental - Private Real Estate - Executive Summary
as of December 31, 2023
Manager Performance Chart
20.0
10.0
■
■
■
0.0
a
-10.0
-20.0
Current Fiscal 1
3
5
Since
Quarter YTD Ycar
Years
Years
Inception
Manager Annualized Performance
Current
Fiscal
1
3
5 Inception
Quarter
YTD
Year
Years
Years 10/01/2017
Intercontinental - Private Real Estate
0.00
0.00
-10.22
6.59
6.14 7.20
NCREIF NFI ODCE Value Weighted
0.00
0.00
-7.56
6.66
5.28 5.90
Differences
0.00
0.00
-2.66
-0.07
0.86 1.30
Historic Asset Growth
Current
Fiscal
1
3
5
Inception
Quarter
YTD
Year
Years
Years
10/01/2017
Intercontinental - Private Real Estate
Beginning Market Value
785
785
891
724
696
112
Net Contributions
-
-
-11
-48
-80
439
Fees/Expenses
-
-
-5
-44
-60
-71
Income
-
-
-
-
-
-
Gain/Loss
-
-
-90
153
229
305
Ending Market Value
785
785
785
785
785
785
Modern Portfolio Statistics
Manager Risk & Return
lo.5
9.0
6.0
4.5
3.0
1.5
0.0
-1.5
-4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0
Risk (Standard Deviation %)
Intercontinental - Private Real Estate Q NCREIF NFI ODCE Value Weighted
. 90-Day T-Bills
Return Standard Beta
Maximum
Up
Down Alpha
Sharpe
R-Squared Inception
Deviation
Drawdown
Capture
Capture
Ratio
Date
Intercontinental - Private Real Estate
7.20 7.65 1.10
-15.62
120.27
115.87 0.74
0.69
0.87 10/01/2017
NCREIF NFI ODCE Value Weighted
5.90 6.51 1.00
-12.15
100.00
100.00 0.00
0.61
1.00 10/01/2017
The prices, quotes, or statistics contained herein
have been obtained from sources believed to be reliable,
however, its accuracy cannot be guaranteed. Past performance is not a
guarantee of future results.
Graystone
Consulting
Page 21
City of Sebastian Police Officers' Retirement Plan
Lazard - Global Infrastructure - Executive Summary
as of December 31, 2023
Manager Performance Chart
20.0
15.0
10.0
a
5.0
0.0
Current Fiscal 1 3 Since
Quarter YTD Year Years Inception
Manager Annualized Performance
Current Fiscal 1 3 Since Inception
Quarter YTD Year Years Inception Date
Lazard -Global Infrastructure 10.41 10.41 11.30 9.61 9.61 01/01/2021
DJ Brookfield Gbl Infra Comp TR 11.19 11.19 6.23 6.69 6.71
Differences -0.78 -0.78 5.07 2.92 2.90
Manager Risk & Return
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
Historic Asset Growth
-2.0
-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
3
Since
Inception
Risk (Standard Deviation %)
Quarter
YTD
Year
Years Inception
Date
Lazard - Global Infrastructure
01/01/2021
Lazard
- Global Infrastructure Q
DJ Brookfield
Gb1 Infra Comp TR
Beginning Market Value 1,023
1,023
1,151
973
973
Net Contributions -
-
-140
-140
-140
. 90-Day
T-Bills
Fees/Expenses -
-
-
-
-
Income 16
16
35
257
257
Gain/Loss 90
90
83
39
39
Ending Market Value 1,129
1,129
1,129
1,129
1,129
Modern Portfolio Statistics
Standard
Maximum
Up
Down
Sharpe
Inception
Return
Beta
Alpha
R-Squared
Deviation
Drawdown
Capture
Capture
Ratio
Date
Lazard - Global Infrastructure
9.61
13.33
0.74
-12.82
82.93
64.93
4.33
0.59
0.85 01/01/2021
DJ Brookfield Gbl Infra Comp TR
6.69
16.59
1.00
-17.19
100.00
100.00
0.00
0.34
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
City of Sebastian Police Officers' Retirement System
Compliance Checklist
as of December 31, 2023
In Compliance
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 Morganstanley
City of Sebastian Police Officers' Retirement Plan
Asset Allocation & Time Weighted Performance
as of December 31, 2023
Allocation
Market Quarter
Value % To
($000) Date
Performance(%)
YTD Fiscal 1 3 5 7 10 Since Inception
YTD Year Years Years Years Years Inception Date
Total Fund (net)
8.81 (N/A)
14.86 (N/A)
8.81 (N/A)
14.86 (N/A)
4.62 (N/A)
9.01 (N/A)
6.91 (N/A)
6.43 (N/A)
6.68 (N/A)
Policy Index 1
9.70 (N/A)
15.39 (N/A)
9.70 (N/A)
15.39 (N/A)
4.22 (N/A)
9.34 (N/A)
7.96 (N/A)
7.25 (N/A)
7.87 (N/A)
All Public Plans < $113-Total Fund Median
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
All Public Plans -Total Fund Median
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
Domestic Equity
Highland - Large Cap Value
3,640
15.70 8.83 (74)
11.75 (53)
8.83 (63)
11.75 (53)
9.74 (71)
10.61 (89)
N/A
N/A
8.30 (N/A) 08/01/2017
Highland - Large Cap Value (net)
8.69 (76)
11.19 (60)
8.69 (67)
11.19 (55)
920 (73)
10.04 (92)
N/A
N/A
7.74 (N/A)
Russell 1000 Value
9.50 (57)
11.46 (55)
9.50 (50)
11.46 (54)
8.86 (74)
10.91 (86)
N/A
N/A
8.11 (N/A)
IM U.S. Large Cap Value Equity (SA+CF) Median
9.81
12.08
9.37
12.20
10.29
12.66
N/A
N/A
N/A
Polen - Large Cap Growth
1,874
8.09 14.72 (21)
40.92 (37)
14.72 (10)
40.92 (25)
N/A
N/A
N/A
N/A
2.84 (N/A) 04/01/2021
Polen - Large Cap Growth (net)
14.54 (25)
40.07 (39)
14.54 (12)
40.07 (29)
N/A
N/A
N/A
N/A
2.24 (N/A)
Russell 1000 Gr
14.16 (33)
42.68 (28)
14.16 (19)
42.68 (19)
N/A
N/A
N/A
N/A
9.34 (N/A)
IM U.S. Large Cap Growth Equity (SA+CF) Median
13.58
35.49
13.12
33.48
N/A
N/A
N/A
N/A
N/A
iShares - Russell 1000 Growth ETF
1,886
8.14 14.41 (47)
42.23 (50)
14.41 (47)
42.23 (50)
8.87 (20)
N/A
N/A
N/A
8.87 (20) O1/01/2021
iShares - Russell 1000 Growth ETF (net)
14.41 (47)
42.23 (50)
14.41 (47)
42.23 (50)
8.87 (20)
N/A
N/A
N/A
8.87 (20)
Russell 1000 Gr
14.16 (58)
42.68 (48)
14.16 (58)
42.68 (48)
8.86 (21)
N/A
N/A
N/A
8.88 (20)
IM U.S. Large Cap Growth Equity (MF) Median
14.28
42.22
14.28
42.22
6.71
N/A
N/A
N/A
6.71
Boston Partners - SMID Value
2,760
11.91 10.74 (72)
17.41 (52)
10.74 (72)
17.41 (52)
11.22 (34)
13.79 (40)
N/A
N/A
8.31 (N/A) 08/O1/2017
Boston Partners - SMID Value (net)
10.47 (81)
16.35 (63)
10.47 (81)
16.35 (63)
10.23 (46)
12.74 (58)
N/A
N/A
7.28 (N/A)
Russell 2500 VL
13.76 (29)
15.98 (69)
13.76 (29)
15.98 (69)
8.80 (75)
10.79 (92)
N/A
N/A
7.30 (N/A)
IM U.S. SMID Cap Value Equity (SA+CF) Median
12.62
17.52
12.62
17.52
9.62
13.03
N/A
N/A
N/A
Fiera Capital - SMID Growth
1,890
8.16 14.39 (14)
26.34 (1)
14.39 (14)
26.34 (1)
5.59 (2)
17.63. (5)
N/A
N/A
13.93 (N/A) 08/01/2017
Fiera Capital - SMID Growth (net)
14.17 (15)
25.41 (1)
14.17 (15)
25.41 (1)
4.79 (3)
16.75 (11)
N/A
N/A
13.11 (N/A)
Russell 2500 GR
12.59 (40)
18.93 (49)
12.59 (40)
18.93 (49)
-2.68 (66)
11.43 (80)
N/A
N/A
9.25 (N/A)
IM U.S. SMID Cap Growth Equity (SA+CF) Median
12.40
18.91
12.40
18.91
-0.43
13.69
N/A
N/A
N/A
Highland - Intl Value 1,152
4.97 11.12 (6)
22.58 (17)
11.12 (6)
22.58 (17)
3.89 (89)
8.23 (71)
N/A
N/A
4.69 (N/A) 08/01/2017
Highland - Intl Value (net)
10.98 (7)
21.98 (18)
10.98 (7)
21.98 (18)
3.38 (94)
7.72 (83)
N/A
N/A
4.20 (N/A)
MSCI EAFE Net
10.42 (7)
18.24 (74)
10.42 (7)
18.24 (74)
4.02 (87)
8.16 (72)
N/A
N/A
4.94 (N/A)
MSCI EAFE VL Net
8.22 (82)
18.95 (70)
8.22 (82)
18.95 (70)
7.59 (51)
7.08 (89)
N/A
N/A
3.78 (N/A)
IM International Large Cap Value Equity (SA+CF) Median
8.81
20.13
8.81
20.13
7.66
9.22
N/A
N/A
N/A
The prices, quotes, or statistics contained herein have been obtained from
guarantee of future results.
sources believed to be reliable, however, its accuracy cannot be guaranteed. Past performance is not a
Graystone
Consulting
Page 24
City of Sebastian Police Officers' Retirement Plan
Asset Allocation & Time Weighted Performance
as of December 31, 2023
Allocation
Performance(°/u)
Market
Value %
Quarter
To
YTD
Fiscal
1
3
5
7
10
Since Inception
($000)
Date
YTD
Year
Years
Years
Years
Years
Inception Date
C1earBridge - International Growth
1,711 7.38
11.50 (61)
N/A
11.50 (61)
N/A
N/A
N/A
N/A
N/A
7.03 (N/A) 02/01/2023
ClearBridge - International Growth (net)
11.29 (63)
N/A
11.29 (63)
N/A
N/A
N/A
N/A
N/A
6.43 (N/A)
MSCI SAFE Net
10.42 (74)
N/A
10.42 (74)
N/A
N/A
N/A
N/A
N/A
9.38 (N/A)
IM International Large Cap Growth Equity (SA+CF) Median
12.57
N/A
12.57
N/A
N/A
N/A
N/A
N/A
N/A
Fixed Income
Genter - Short -Term Fixed Income
2,768 11.94
3.37 (34)
N/A
3.37 (34)
N/A
N/A
N/A
N/A
N/A
2.95 (N/A) 04/01/2023
Genter - Short -Term Fixed Income (net)
3.35 (36)
N/A
3.35 (36)
N/A
N/A
N/A
N/A
N/A
2.93 (N/A)
BB US Agg Gov/Credit 1-5 Y
3.44 (25)
N/A
3.44 (25)
N/A
N/A
N/A
N/A
N/A
3.01 (N/A)
IM U.S. Short Duration Fixed Income (SA+CF) Median
3.18
N/A
3.18
N/A
N/A
N/A
N/A
N/A
N/A
Highland - Faced Income
1,951 8.42
4.17 (65)
5.39 (65)
4.17 (65)
5.39 (65)
-1.66 (67)
2.12 (47)
N/A
N/A
1.81 (N/A) 08/01/2017
Highland - Fixed Income (net)
4.10 (65)
5.00 (74)
4.10 (65)
5.00 (74)
-1.98 (69)
1.80 (67)
N/A
N/A
1.46 (N/A)
Bloomberg US Aggregate
6.82 (30)
5.53 (62)
6.82 (30)
5.53 (62)
-3.31 (88)
1.10 (94)
N/A
N/A
0.99 (N/A)
IM U.S. Fixed Income (SA+CF) Median
5.36
5.80
5.36
5.80
-0.62
2.00
N/A
N/A
N/A
Alternative Investments
Intercontinental - Private Real Estate
785 3.39
0.00
-10.22
0.00
-10.22
6.59
6.14
N/A
N/A
7.20 10/01 /2017
Intercontinental - Private Real Estate (net)
0.00
-10.80
0.00
-10.80
4.70
4.56
N/A
N/A
5.61
NCREIF NFI ODCE Value Weighted
0.00
-7.56
0.00
-7.56
6.66
5.28
N/A
N/A
5.90
NCREIF NFI ODCE (Net)
0.00
-8.15
0.00
-8.15
5.81
4.42
N/A
N/A
5.01
Bloomberg US Aggregate
6.82
5.53
6.82
5.53
-3.31
1.10
N/A
N/A
0.95
Lazard - Global Infrastructure
1,129 4.87
10.41 (89)
11.30(9)
10.41 (89)
11.30(9)
9.61 (3)
N/A
N/A
N/A
9.61 (3) 01/01/2021
Lazard - Global Infrastructure (net)
10.41 (89)
11.30(9)
10.41 (89)
11.30(9)
9.61 (3)
N/A
N/A
N/A
9.61 (3)
DJ Brookfield Gbl Infra Comp TR
11.19 (77)
6.23 (42)
11.19 (77)
6.23 (42)
6.69 (8)
N/A
N/A
N/A
6.71 (8)
IM Global Infrastructure (MF) Median
11.87
5.74
11.87
5.74
5.03
N/A
N/A
N/A
5.03
Receipt & Disbursement 1,632 7.04 0.94 4.81 0.94 4.81 1.74 1.43 N/A N/A 1.47 08/01/2017
90-DayT-Bills 1.40 5.26 1.40 5.26 2.25 1.91 N/A N/A 1.85
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 December 31, 2023
o/
Current
Fiscal
1
3
5
7
10
Since
Inception
Quarter
YTD
Year
Years
Years
Years
Years
Inception
Date
Total Fund
1 1''NEW
01/31/2011
Domestic Equity
-qmmw-
Highland - Large Cap Value
15.70
8.69
8.69
10.50
9.23
10.37
N/A
N/A
8.22
07/31/2017
Polen - Large Cap Growth
8.09
14.54
14.54
40.14
N/A
N/A
N/A
N/A
2.61
03/15/2021
iShares - Russell 1000 Growth ETF
8.14
14.41
14.41
42.20
8.67
N/A
N/A
N/A
8.67
12/31 /2020
Boston Partners - SMID Value
11.91
10.47
10.47
16.19
10.54
11.98
N/A
N/A
9.02
07/31/2017
Ficra Capital - SMID Growth
8.16
14.17
14.17
25.63
4.92
15.08
N/A
N/A
12.24
07/31/2017
International Equity
Highland, Intl Value
4.97
10.98
10.98
21.92
3.21
7.13
N/A
N/A
4.07
07/31/2017
ClearBridge - International Growth
7.38
11.28
11.28
N/A
N/A
N/A
N/A
N/A
6.67
01 /31 /2023
Genter - Short -Term Fixed Income
11.94
3.35
3.35
N/A
N/A
N/A
N/A
N/A
3.28
03/31/2023
Highland - Fixed Income
Alternative Investments
8.42
4.10
4.10
5.45
-3.16
1.16
N/A
N/A
0.96
07/31/2017
Intercontinental - Private Real Estate
3.39
0.00
0.00
-10.82
4.93
4.70
N/A
N/A
5.66
10/15/2017
Lazard - Global Infrastructure
4.87
10.41
10.41
10.59
9.36
N/A
N/A
N/A
9.36
12/31/2020
Receipt & Disbursement
7.04
0.92
0.92
1.99
-2.29
-3.13
N/A
N/A
-3.05
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 26from
City of Sebastian Police Officers' Retirement Plan
Policy Index History
As of December 31, 2023
Feb-2011
Feb-2023
S&P 500 Total Return
48.00
Russell 1000 Value
16.25
Bloomberg US Government/Credit
49.00
Russell 1000 Gr
16.25
90-Day T-Bills
3.00
Russell 2500 VL
12.00
Russell 2500 GR
8.00
Jul-2011
MSCI EAFE Net
5.00
S&P 500 Total Return
50.00
MSCI EAFE Net
7.50
Bloomberg US Aggregate
40.00
Bloomberg US Aggregate
25.00
MSCI EAFE Net
10.00
DJ Brookfield Gbl Infra Comp TR
5.00
Jan-2016
NCREIF NFI ODCE Value Weighted
5.00
S&P 500 Total Return
50.00
Sep-2023
Bloomberg US Aggregate
40.00
Russell 1000 Value
16.25
MSCI EAFE Net
10.00
Russell 1000 Gr
16.25
Jul-2017
Russell 2500 VL
12.00
Russell 1000 Value
21.25
Russell 2500 GR
8.00
Bloomberg US Aggregate
25.00
MSCI EAFE Net
5.00
MSCI EAFE Net
5.00
MSCI EAFE Net
7.50
Russell 1000 Gr
2125
BB US Agg Gov/Credit 1-5 Y
12.50
Russell 2500 VL
5.00
Bloomberg US Aggregate
12.50
Russell 2500 GR
5.00
DJ Brookfield Gbl Infra Comp TR
5.00
MSCI AC World ex US Net
7.50
NCREIF NFI ODCE Value Weighted
5.00
Alerian MLP Index
5.00
NCREIF NFI ODCE Value Weighted 5.00
Jan-2021
Russell 1000 Value
16.25
Russell 1000 Gr
16.25
Russell 2500 VL
12.00
Russell 2500 GR
8.00
MSCI EAFE Net
5.00
MSCI AC World ex US Net
7.50
Bloomberg US Aggregate
25.00
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
g from MorganSianley
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:
nitp:iiwww.rr,iorgaristariiev.coifiiweaitniinves[I'fi@riLsoluilG is/i)uis/acAv/so[resooiise.ou
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
g from MorganSianley
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 so Consulting
g from MorganSianley
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
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g from MorganSianley
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
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g from MorganSianley
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.
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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.
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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 (MI -Ps) 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.
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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.
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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
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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.
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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.
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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.
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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.
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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.
1
3
5
10 Since
Inception
Account Name
QTD
YM
Year
Years
Years
Years Inception
Date
Boston Partners - SMID Value
10.47
16.35
16.35
10.23
12.74
-- 7.11
07/14/2017
C1earBridge - International Growth
11.29
14.06
14.06
--
--
-- 14.06
01/04/2023
Fiera Capital - SMID Growth
14.17
25.41
25.41
4.79
16.75
-- 12.78
07/20/2017
Genter - Short -Term Fixed Income
3.35
--
--
--
--
-- 2.93
03/27/2023
Highland - Fixed Income
4.10
5.00
5.00
-1.98
1.80
3.12 4.04
01/31/2011
Highland - Intl Value
10.98
21.98
21.98
3.38
7.72
-- 4.50
07/17/2017
Highland - Large Cap Value
8.69
11.19
11.19
9.20
10.04
-- 7.68
07/17/2017
Intercontinental - Private Real Estate
0.00
-10.80
-10.80
4.70
4.56
-- 5.61
10/01/2017
Lazard - Global Infrastructure
10.41
11.30
11.30
9.61
--
-- 9.34
12/31/2020
Polen - Large Cap Growth
14.54
40.07
40.07
--
--
-- 2.24
04/01/2021
Receipt & Disbursement
0.94
2.43
2.43
-15.00
-11.56
-- -9.70
08/01/2017
iShares - Russell 1000 Growth ETF
14.41
42.23
42.23
8.87
--
-- 8.62
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 historical performance. As a result of recent market activity,
current performance may vary from the figures shown. Past performance is not a guarantee of future results.
Please see the Morgan Stanley Smith Barney LLC Form ADV Part 2 Brochure for advisory accounts and/or
any applicable brokerage account trade confirmation statements for a full disclosure of the applicable
charges, fees and expenses. Your Financial Advisor will provide those documents to you upon request.
Benchmark indices and blends included in this material are for informational purposes only, are provided
solely as a comparison tool and may not reflect the underlying composition and/or investment objective(s)
associated with the account(s). Indices are unmanaged and not available for direct investment. Index returns
do not take into account fees or other charges. Such fees and charges would reduce performance.
The performance data shown reflects past performance, which does 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.
The information and data contained therein are from sources considered reliable, but their accuracy and
completeness is not guaranteed; that the report has been prepared for illustrative purposes only and is not
intended to be used as a substitute for account statements provided on a regular basis from Morgan Stanley
Smith Barney LLC; that data in this report should be compared carefully with account statements to verify
its accuracy; and that the Firm strongly encourages clients to consult with their own accountants or other
advisors with respect to any tax questions. This report is being provided as a courtesy. By providing this
report, we do not represent or agree that we will monitor the investments in your account(s) or deliver
future reports.
If Morgan Stanley Smith Barney LLC, its affiliates and Morgan Stanley Financial Advisors and Private
Wealth Advisors (collectively, "Morgan Stanley") provide "investment advice" as defined under the
Employee Retirement Income Security Act of 1974, as amended ("ERISA"),and/or the Internal Revenue
Code of 1986 (the "Code"), as applicable, regarding a retirement or welfare benefit plan account, an
individual retirement account or a Coverdell education savings account (collectively, "Retirement
Account"), Morgan Stanley is a "fiduciary" under ERISA and/or the Code. When Morgan Stanley provides
investment education (including historical performance and asset allocation models), takes orders on an
unsolicited basis or otherwise does not provide "investment advice", Morgan Stanley will not be considered
a "fiduciary" under ERISA and/or the Code. For more information regarding Morgan Stanley's role with
respect to a Retirement Account, please visit www.morganstanley.com/disclosuresIdol. Tax laws are
complex and subject to change. Morgan Stanley does not provide tax or legal advice. Individuals are
encouraged to consult their tax and legal advisors (a) before establishing a Retirement Account, and (b)
regarding any potential tax, ERISA and related consequences of any investments or other transactions made
with respect to a Retirement Account.
Composites are the aggregate of multiple portfolios within an asset pool.
Investing involves market risk, including possible loss of principal. Growth investing does not guarantee a
profit or eliminate risk. The stocks of these companies can have relatively high valuations. Because of these
high valuations, an investment in a growth stock can be more risky than an investment in a company with
more modest growth expectations. Value investing involves the risk that the market may not recognize that
securities are undervalued, and they may not appreciate as anticipated. Small and mid -capitalization
companies may lack the financial resources, product diversification and competitive strengths of larger
companies. The securities of small capitalization companies may not trade as readily as, and be subject to
higher volatility than those of larger, more established companies. Bond funds and bond holdings have the
same interest rate, inflation and credit risks that are associated with the underlying bonds owned by the
funds. The return of principal in bond funds, and in funds with significant bond holdings, is not guaranteed.
International securities' prices may carry additional risks, including foreign economic, political, monetary
and/or legal factors, changing currency exchange rates, foreign taxes and differences in financial and
accounting standards. International investing may not be for everyone. These risks may be magnified in
emerging markets. Alternative investments, including private equity funds, real estate funds, hedge funds,
managed futures funds, and funds of hedge funds, private equity, and managed futures funds, are
speculative and entail significant risks that can include losses due to leveraging or\other speculative
investment practices, lack of liquidity, volatility of returns, restrictions on transferring interests in a fund,
potential lack of diversification, absence and/or delay of information regarding valuations and pricing,
complex tax structures and delays in tax reporting, less regulation and higher fees than mutual funds and
risks associated with the operations, personnel and processes of the advisor. Master Limited Partnerships
(MLPs) are limited partnerships or limited liability companies that are taxed as partnerships and whose
interests (limited partnership units or limited liability company units) are traded on securities exchanges like
shares of common stock. Currently, most MLPs operate in the energy, natural resources or real estate
sectors. Investments in MLP interests are subject to the risks generally applicable to companies in the
energy and natural resources sectors, including commodity pricing risk, supply and demand risk, depletion
risk and exploration risk; and MLP interests in the real estate sector are subject to special risks, including
interest rate and property value fluctuations, as well as risks related to general and economic conditions.
Because of their narrow focus, MLPs maintain exposure to price volatility of commodities and/or
underlying assets and tend to be more volatile than investments that diversify across many sectors and
companies. MLPs are also subject to additional risks including investors having limited control and rights to
vote on matters affecting the MLP, limited access to capital, cash flow risk, lack of liquidity, dilution risk,
conflict of interests, and limited call rights related to acquisitions.
Mortgage backed securities also involve prepayment risk, in that faster or slower prepayments than
expected on underlying mortgage loans can dramatically alter the yield -to -maturity of a mortgage -backed
security and prepayment risk includes the possibility that a fund may invest the proceeds at generally lower
interest rates.
Tax managed funds may not meet their objective of being tax -efficient.
Real estate investments are subject to special risks, including interest rate and property value fluctuations,
as well as risks related to general and economic conditions.
High yield fixed income securities, also known as "junk bonds", are considered speculative, involve
greater risk of default and tend to be more volatile than investment grade fixed income securities.
Credit quality is a measure of a bond issuer's creditworthiness, or ability to repay interest and principal to
bondholders in a timely manner. The credit ratings shown are based on security rating as provided by
Standard & Poor's, Moody's and/or Fitch, as applicable. Credit ratings are issued by the rating agencies for
the underlying securities in the fund and not the fund itself, and the credit quality of the securities in the
fund does not represent the stability or safety of the fund. Credit ratings shown range from AAA, being the
highest, to D, being the lowest based on S&P and Fitch's classification (the equivalent of Aaa and C,
respectively, by Moody(s). Ratings of BBB or higher by S&P and Fitch (Baa or higher by Moody's) are
considered to be investment grade -quality securities. If two or more of the agencies have assigned different
ratings to a security, the highest rating is applied. Securities that are not rated by all three agencies are listed
as "NR".
Money Market Funds
You could lose money in Money Market Funds. Although MMFs classified as government funds (i.e.,
MMFs that invest 99.5% of total assets in cash and/or securities backed by the U.S government) and retail
funds (i.e., MMFs open to natural person investors only) seek to preserve value at $1.00 per share, they
cannot guarantee they will do so. The price of other MMFs will fluctuate and when you sell shares they may
be worth more or less than originally paid. MMFs may impose a fee upon sale or temporarily suspend sales
if liquidity falls below required minimums. During suspensions, shares would not be available for
purchases, withdrawals, check writing or ATM debits. A MMF investment is not insured or guaranteed by
the Federal Deposit Insurance Corporation or other government agency.
"Alpha tilt strategies comprise a core holding of stocks that mimic a benchmark type index such as the
S&P 500 to which additional securities are added to help tilt the fund toward potentially outperforming the
market in an effort to enhance overall investment returns. Tilt strategies are subject to significant timing risk
and could potentially expose investors to extended periods of underperformance."
Custom Account Index: The Custom Account Index is an investment benchmark based on your historical
target allocations and/or manager selection that you may use to evaluate the performance of your account.
The Custom Account index does take into consideration certain changes that may have occurred in your
portfolio since the inception of your account, i.e., asset class and/or manager changes. However, in some
circumstances, it may not be an appropriate benchmark for use with your specific account composition. For
detailed report of the historical composition of this blend please contact your Financial Advisor.
Peer Groups
Peer Groups are a collection of similar investment strategies that essentially group investment products that
share the same investment approach. Peer Groups are used for comparison purposes to compare and
illustrate a clients investment portfolio versus its peer across various quantitative metrics like performance
and risk. Peer Group comparison is conceptually another form of benchmark comparison whereby the
actual investment can be ranked versus its peer across various quantitative metrics.
All Peer Group data are provided by Investment Metrics, LLC
The URL below provides all the definitions and methodology about the various Peer Groups
https://www.invmetrics.com/style-peer-groups
Peer Group Ranking Methodology
A percentile rank denotes the value of a product in which a certain percent of observations fall within a peer
group. The range of percentile rankings is between 1 and 100, where 1 represents a high statistical value and
100 represents a low statistical value.
The 30th percentile, for example, is the value in which 30% of the highest observations may be found, the
65th percentile is the value in which 65% of the highest observations may be found, and so on.
Percentile rankings are calculated based on a normalized distribution ranging from 1 to 100 for all products
in each peer group, where a ranking of 1 denotes a high statistical value and a ranking of 100 denotes a low
statistical value. It is important to note that the same ranking methodology applies to all statistics, implying
that a ranking of 1 will always mean highest value across all statistics.
For example, consider a risk/retum. assessment using standard deviation as a measure of risk. A percentile
ranking equal to 1 for return denotes highest return, whereas a percentile ranking of 1 for standard deviation
denotes highest risk among peers.
In addition, values may be used to demonstrate quartile rankings. For example, the third quartile is also
known as the 75th percentile, and the median is the 50th percentile.
Your interests in Alternative Investments, which may have been purchased through us, are generally not
held here, and are generally not covered by SIPC. The information provided to you: 1) is included as a
service to you, valuations for certain products may not be available; 2) is derived from you or another
external source for which we are not responsible, and may have been modified to take into consideration
capital calls or distributions to the extent applicable; 3) may not reflect actual shares, share prices or values;
4) may include invested or distributed amounts in addition to a fair value estimate; and 5) should not be
relied upon for tax reporting purposes. Notwithstanding the foregoing,
1) to the extent this report displays Alternative Investment positions within a Morgan Stanley Individual
Retirement Account ("IRA"), such positions are held by Morgan Stanley Smith Barney LLC as the
custodian of your Morgan Stanley IRA; and 2) if your Alternative Investment position(s) is held by us and
is registered pursuant to the Securities Act of 1933, as amended, your Alternative Investment position(s) is
covered by SIPC.
Alternatives may be either traditional alternative investment vehicles or non-traditional alternative strategy
vehicles. Traditional alternative investment vehicles may include, but are not limited to, Hedge Funds, Fund
of Funds (both registered and unregistered), Exchange Funds, Private Equity Funds, Private Credit Funds,
Real Estate Funds, and Managed Futures Funds. Non-traditional alternative strategy vehicles may include,
but are not limited to, Open or Closed End Mutual Funds, Exchange -Traded and Closed -End Funds, Unit
Investment Trusts, exchange listed Real Estate Investment Trusts (REITs), and Master Limited Partnerships
(MLPs). These non-traditional alternative strategy vehicles also seek alternative -like exposure but have
significant differences from traditional alternative investment vehicles. Non-traditional alternative strategy
vehicles may behave like, have characteristics of, or employ various investment strategies and techniques
for both hedging and more speculative purposes such as short -selling, leverage, derivatives, and options,
which can increase volatility and the risk of investment loss. Characteristics such as correlation to
traditional markets, investment strategy, and market sector exposure can play a role in the classification of a
traditional security being classified as alternative.
Traditional alternative investment vehicles are illiquid and usually are not valued daily. The estimated
valuation provided will be as of the most recent date available and will be included in summaries of your
assets. Such valuation may not be the most recent provided by the fund in which you are invested. No
representation is made that the valuation is a market value or that the interest could be liquidated at this
value. We are not required to take any action with respect to your investment unless valid instructions are
received from you in a timely manner. Some positions reflected herein may not represent interests in the
fund, but rather redemption proceeds withheld by the issuer pending final valuations which are not subject
to the investment performance of the fund and may or may not accrue interest for the length of the
withholding. Morgan Stanley does not engage in an independent valuation of your alternative investment
assets. Morgan Stanley provides periodic information to you including the market value of an alternative
investment vehicle based on information received from the management entity of the alternative investment
vehicle or another service provider.
Traditional alternative investment vehicles often are speculative and include a high degree of risk. .
Investors should carefully review and consider potential risks before investing. Certain of these risks may
include but are not limited to:• Loss of all or a substantial portion of the investment due to leveraging, short -
selling, or other speculative practices;• Lack of liquidity in that there may be no secondary market for a
fund;- Volatility of returns;- Restrictions on transferring interests in a fund;- Potential lack of diversification
and resulting higher risk due to concentration of trading authority when a single advisor is utilized; -
Absence of information regarding valuations and pricing;- Complex tax structures and delays in tax
reporting;- Less regulation and higher fees than mutual funds; and- Risks associated with the operations,
personnel, and processes of the manager. As a diversified global financial services firm, Morgan Stanley
Wealth Management engages in a broad spectrum of activities including financial advisory services,
investment management activities, sponsoring and managing private investment funds, engaging in broker -
dealer transactions and principal securities, commodities and foreign exchange transactions, research
publication, and other activities. In the ordinary course of its business, Morgan Stanley Wealth Management
therefore engages in activities where Morgan Stanley Wealth Management's interests may conflict with the
interests of its clients, including the private investment funds it manages. Morgan Stanley Wealth
Management can give no assurance that conflicts of interest will be resolved in favor of its clients or any
such fund.
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.
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 any 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.
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.
C 2024 Morgan Stanley Smith Barney LLC. Member SIPC.