Paramric Tax Managd U 3000 Paramric Porfolio Associas 1918 8h Avnu, Sui 3100 Sal, Washingon 98101 Syl: Sub-Syl: Firm AUM: Firm Sragy AUM: US Larg Cap Blnd $159.3 billion $6.1 billion Yar Foundd: GIMA Saus: Firm Ownrship: Profssional-Saff: 1987 Focus Eaon Vanc Corporaion 301^ PODUCT OVEVIEW Paramric Porfolio Associas ("Paramric") Paramric Tax Managd U 3000 porfolios ar dsignd o provid a pr-ax rurn similar o ha of hir rspciv bnchmarks and nhanc afr-ax rurns hrough a variy of ax managmn chniqus. Porfolios ar consrucd by purchasing scuriis from h consiuns of h ussll 3000 Indx ha, as a divrsifid group, will sk o rack h prformanc of h unmanagd indx. Tax managmn chniqus including ax-lo accouning and h managmn of capial gains ar hn applid o rduc h impac of axs, nhancing afr-ax rurn. Th managmn of capial gains includs h maching of gains agains losss and aggrssivly "harvsing" ax losss whn availabl. TAGET POTFOLIO CHAACTEISTICS Numbr of sock holdings: 350 o 425 Avrag dividnd yild: Similar o/blow h S&P 500 P/E raio: Similar o/blow h S&P 500 Cash lvl ovr mark cycl: 1 o 2% isk (sandard dviaion): Similar o/abov h S&P 500 Avrag urnovr ra: 25 o 30% Us ADs: Capializaion: No Mga, Larg, Mdium, Small and Micro companis POTFOLIO STATISTICS * ---------------03/16------ 09/15 Paramric Indx*** Paramric Numbr of sock holdings 404 2,979 406 Wd avg dividnd yild 2.0% 2.1% 2.0% Wd avg P/E raio ¹ 18.70x 16.02x Wd avg porfolio ba 0.99 Mga capializaion + 0.0% 37.0% 0.0% Larg capializaion + 0.0% 40.4% 0.0% Mdium capializaion + 0.0% 16.5% 0.0% Small capializaion + 0.0% 5.2% 0.0% Micro capializaion + 0.0% 0.7% 0.0% MANAGE'S INVESTMENT STATEGY Top-down / porfolio srucurs basd on conomic rnds Boom-up / porfolio srucur basd on individual scuriis POTFOLIO'S EQUITY SECTO WEIGHTINGS + * ---------------03/16--------- 09/15 Scor Paramric Indx*** Paramric Enrgy 6.32 6.13 6.65 Marials 2.80 3.23 3.16 Indusrials 11.65 10.91 11.27 Consumr Discrionary 13.12 13.63 12.80 Consumr Sapls 9.51 9.18 9.30 Halh Car 13.30 13.69 14.07 Financials 17.57 17.24 18.88 Informaion Tchnology 19.10 20.04 18.10 Tlcomm Srvics 2.61 2.48 2.16 Uiliis 3.10 3.49 2.91 Cash/Cash Equivalns 0.92 0.00 0.72 POTFOLIO'S TOP FIVE EQUITY HOLDINGS * Appl Inc. 3.2 Exxon Mobil Corporaion 1.9 Microsof Corporaion 1.8 Procr & Gambl Company 1.4 Johnson & Johnson 1.3 % POCESS BASED ON 0 Ass allocaion - cash vs. sock 100 Indusry or scor wighing 0 Sock Slcion % ^As of 03/31/2015. Informaion as of 03/31/2016 is no y availabl. ¹Th P/E usd hr is calculad by h harmonic man. +Toal may no qual 100% du o rounding. *As rprsnd by Paramric Porfolio Associas. ***Indx : ussll 3000 rms. Informaion shown is as of March 31, 2016, unlss ohrwis nod. All daa ar subjc o chang. Pag 1 of 6
MANAGE'S INVESTMENT POCESS Paramric uss risk modls and quaniaiv chniqus o build a porfolio ha is a rprsnaiv sampl or subs of h arg bnchmark. Socks ar slcd and combind ino a porfolio basd upon hir conribuion o h ovrall porfolio s risk profil rlaiv o h assignd indx. Spcial car is akn o nsur h porfolio mirrors h indx wih rgard o imporan facors - scor, syl, yild, growh and capializaion ar jus a fw. Socks ar bough and sold wihin h porfolio as h undrlying bnchmark volvs and as opporuniis for aciv ax managmn aris. As cash is addd or wihdrawn, h porfolio is rbalancd and h ffc on axs xplicily considrd. ISK CONSIDEATIONS Invsing in scuriis nails risks, including: Equiy porfolios ar subjc o h basic sock mark risk ha a paricular scuriy, or scuriis in gnral, may dcras in valu. Equiy scuriis' prics may flucua in rspons o spcific siuaions for ach company, indusry, mark condiions and gnral conomic nvironmn. Companis paying dividnds can rduc or cu payous a any im. Sragis ha invs a larg prcnag of asss in only on indusry scor (or in only a fw scors) ar mor vulnrabl o pric flucuaion han porfolios ha divrsify among a broad rang of scors. Growh invsing dos no guaran a profi or limina risk. Th socks of hs companis can hav rlaivly high valuaions. Bcaus of hs high valuaions, an invsmn in a growh sock can b mor risky han an invsmn in a company wih mor mods growh xpcaions. Valu invsing dos no guaran a profi or limina risk. No all companis whos socks ar considrd o b valu socks ar abl o urn hir businss around or succssfully mploy corrciv sragis which would rsul in sock prics ha do no ris as iniially xpcd. Paramric Tax Managd U 3000 POTFOLIO'S ALLOCATION HISTOY (%) + * 03/16 12/15 09/15 06/15 U.S. Socks 99 99 99 99 Cash/Cash Equivalns 1 1 1 1 ^As of 03/31/2015. Informaion as of 03/31/2016 is no y availabl. ¹Th P/E usd hr is calculad by h harmonic man. +Toal may no qual 100% du o rounding. *As rprsnd by Paramric Porfolio Associas. ***Indx : ussll 3000 rms. Informaion shown is as of March 31, 2016, unlss ohrwis nod. All daa ar subjc o chang. Pag 2 of 6
Paramric Tax Managd U 3000 ISK/ETUN ANALYSIS - 5 YEAS ENDING 03/31/16 a o f u r n s Sandard Dviaion STD O Paramric (Gross) 13.23 11.12 Paramric (N) 13.17 7.87 ussll 3000 13.41 11.02 90-Day T-Bills 0.02 0.06 AVEAGE ANNUAL TOTAL ETUN (%) - PEIODS ENDING 03/31/16 a o f u r n s INVESTMENT ESULTS Annual as of urn (%) 10 Yar - Ending 03/31/16 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Annual Sd. Dv. Paramric (Gross) 15.54 5.54-35.98 27.62 17.57 1.28 16.18 33.67 12.74 0.58 7.20 16.72 Paramric (N) 12.18 2.44-37.99 23.88 14.16-1.63 12.76 29.86 9.37-2.35 4.04 16.65 ussll 3000 15.72 5.14-37.31 28.34 16.93 1.02 16.43 33.58 12.56 0.47 6.91 17.05 ISK VOLATALITY (%) a o f u r n s POTFOLIO'S QUATELY ETUNS (%) Quarr1 Quarr2 Quarr3 Quarr4 Gross N Gross N Gross N Gross N 2006 5.15 4.39-1.96-2.69 4.78 4.00 6.97 6.19 2007 1.33 0.59 5.85 5.08 1.56 0.78-3.11-3.83 2008-9.40-10.13-1.55-2.25-7.95-8.64-22.03-22.73 2009-10.70-11.43 16.28 15.49 16.28 15.47 5.69 4.88 2010 5.99 5.16-11.02-11.67 11.71 10.93 11.60 10.79 2011 6.17 5.39 0.13-0.60-14.94-15.59 12.00 11.24 2012 12.65 11.84-3.18-3.91 6.11 5.32 0.39-0.37 2013 10.97 10.18 2.83 2.07 6.22 5.47 10.28 9.49 2014 2.06 1.27 4.88 4.10-0.04-0.81 5.36 4.59 2015 1.73 0.95 0.07-0.68-7.04-7.73 6.28 5.55 2016 0.85 0.05 lad POTFOLIO'S ISK STATISTICS - PEIODS ENDING 03/31/16 ¹ ² 3 Yar 5 Yar Sandard Dviaion 8.71% 13.23% Sandard Dviaion of Primary 8.72% 13.41% Bnchmark Sharp aio 1.29 0.84 Sharp aio of Primary 1.27 0.82 Bnchmark Alpha 0.13% 0.23% Ba 1.00 0.99 Downsid isk 0.12% 0.17% -Squard 1.00 1.00 Tracking Error 0.23% 0.29% Informaion aio 0.51 0.35 *04/01/11-12/31/11 **01/01/16-03/31/16 Numbr Of Up Qrs. Paramric (Gross) Paramric (N) ussll 3000 16 13 16 Down Qrs. 4 7 4 POTFOLIO DIVESIFICATION - ²(INCEPTION THOUGH 12/14)+ ² Paramric vs. ussll 3000 1.00 +Saisics ar calculad using gross of f prformanc only. 1. Saisics ar calculad using gross of f prformanc only. 2. ussll 3000 was usd as h primary bnchmark and h 90-Day T-Bills Indx as h risk-fr bnchmark. S imporan nos and disclosurs pags for a discussion of h sourcs of h prformanc daa usd o calcula h prformanc rsuls and rlad analyss shown abov. rms. Informaion shown is as of March 31, 2016, unlss ohrwis nod. All daa ar subjc o chang. Pag 3 of 6
Paramric Tax Managd U 3000 COMPOSITE DISCLOSUES Pas prformanc is no guaran of fuur rsuls. Acual individual accoun rsuls may diffr from h prformanc shown in his profil. Thr is no guaran ha his invsmn sragy will work undr all mark condiions. Do no us his profil as h sol basis for your invsmn dcisions. Prformanc rsuls in his profil ar calculad assuming rinvsmn of dividnds and incom. urns for mor han on yar ar annualizd and basd on quarrly daa. urns for priods of lss han a calndar yar show h oal rurn for h priod and ar no annualizd. lad Prformanc (Managr's Composi): For priods bfor h da on which Morgan Sanly bgins o calculas an applicabl prformanc composi for acual Morgan Sanly program accouns, h prformanc composi and crain ohr informaion for his sragy (including h daa on pag 1 of his profil) ar basd on h invsmn managr's own composi and daa. This composi includs accouns managd by h invsmn managr according o h sam or a subsanially similar invsmn sragy. To provid maximum informaion o you, h invsmn managr's own composi is linkd o h Morgan Sanly composi o cra a simulad coninuous rack rcord of prformanc informaion for h invsmn sragy. Th invsmn managr's composi may includ sparaly managd accouns, insiuional accouns and/or muual funds. Prformanc and ohr daa for h invsmn managrs composi may vary from ha of Morgan Sanly accouns du o diffrncs such as h availabiliy and wighing of scuriis, rading implmnaion or clin objcivs. Morgan Sanly dos no vrify composi and ohr daa providd by h invsmn managr and hrfor dos no guaran is accuracy. Som of h accouns in h invsmn managrs composi may hav invsd in h iniial public offring ("IPO") mark, whras accouns hld in Morgan Sanly programs do no do so. Sinc invsmn managrs may us diffrn mhods of slcing accouns o b includd in hir composis and for calculaing prformanc, rurns of diffrn invsmn managrs may no b comparabl. lad Prformanc: Paramric Porfolio Associas ("Paramric") Paramric Tax Managd U 3000 prformanc rprsns all fully discrionary, wrap and non-wrap/insiuional f-paying accouns managd by Paramric. Th composi is im-wighd and consiss of N/A accouns wih a mark valu of N/A as of 03/31/16. Prformanc: In his profil, h prformanc from 4/1/1999 hrough Jun 2012 consiss of accouns in ihr h Morgan Sanly or h Smih Barny form of h program. From July 2012, prformanc consiss of all accouns managd by h invsmn managr in h sragy, subjc o any ohr limiaions sad in his profil. Prformanc composis calculad by Morgan Sanly includ all f-paying porfolios wih no invsmn rsricions. Nw accouns ar includd upon h firs full quarr of prformanc. Trminad accouns ar rmovd in h quarr in which hy rmina. Prformanc is calculad on a oal rurn basis and by ass wighing h individual porfolio rurns using h bginning of priod valus. Equiy Accoun (Gross): Paramric s gross rsuls do no rflc a dducion of h invsmn advisory fs chargd by Paramric, or program fs, if any, bu ar n of commissions chargd on scuriis ransacions. N Prformanc for all Priods: To dmonsra h ffc of Morgan Sanly's fs ha would hav applid if you had invsd in h invsmn managr sragy's hrough h program, h n rsuls for all priods ar calculad by dducing a quarrly f of 0.75% (quivaln o an annual f of 3%). Morgan Sanly program fs ar usually dducd quarrly, and hav a compounding ffc on prformanc. Th Morgan Sanly program f, which diffrs among programs and clins, is dscribd in h applicabl Morgan Sanly ADV brochur, which is availabl a www.morgansanly.com/adv or on rqus from your Financial Advisor or Priva Walh Advisor. is a sparaly managd accoun program sponsord by Morgan Sanly. For priods for which sufficin daa is availabl, h profil shows a composi of clin accouns managd by h invsmn managr in h program. Through Jun 2012, Morgan Sanly offrd h program hrough wo channls - h Morgan Sanly channl and h Smih Barny channl. For priods hrough Jun 2012, any composi basd on accouns consiss of accouns managd by h managr in h sragy in ihr h Morgan Sanly channl or h Smih Barny channl. If h sragy or similar sragis wr availabl in boh h Morgan Sanly and Smih Barny forms of h program, hrough Jun 2012 his profil prsns h composi for h sragy ha is closs o h sragy currnly offrd in h Fiduciary Sris program. If boh sragis wr qually clos, his profil shows hrough Jun 2012 h longr of h wo composis. From July 2012, any composi basd on accouns consiss of all accouns managd by h managr in h sragy, subjc o any ohr limiaions sad in his profil. Prformanc and ohr daa for composis may diffr from composis in ohr Morgan Sanly programs, and prformanc and daa for composis in on channl may diffr from composis in h ohr channl, du o diffrncs such as h availabiliy and wighing of scuriis, rading implmnaion or clin objcivs. Focus Lis, Approvd Lis, and Wach Saus: Global Invsmn Managr Analysis ("GIMA") uss wo mhods o valua invsmn producs in applicabl advisory programs. In gnral, sragis ha hav passd a mor horough valuaion may b placd on h "Focus Lis", whil sragis ha hav passd hrough a diffrn and lss comprhnsiv valuaion procss may b placd on h "Approvd Lis". Somims an invsmn produc may b valuad using h Focus Lis procss bu hn placd on h Approvd Lis insad of h Focus Lis. Invsmn producs may mov from h Focus Lis o h Approvd Lis, or vic vrsa. GIMA may also drmin ha an invsmn produc no longr ms h criria undr ihr valuaion procss and will no longr b rcommndd in invsmn advisory programs (in which cas h invsmn produc is givn a "No Approvd" saus). rms. Informaion shown is as of March 31, 2016, unlss ohrwis nod. All daa ar subjc o chang. Pag 4 of 6
Paramric Tax Managd U 3000 GIMA has a "Wach" policy and may dscrib a Focus Lis or Approvd Lis invsmn produc as bing on "Wach" if GIMA idnifis spcific aras ha (a) mri furhr valuaion by GIMA and (b) may, bu ar no crain o, rsul in h invsmn produc bcoming "No Approvd". Th Wach priod dpnds on h lngh of im ndd for GIMA o conduc is valuaion and for h invsmn managr o addrss any concrns. GIMA may, bu is no obligad o, no h Wach saus in his rpor wih a "W" or "Wach" on h covr pag. For mor informaion on h Focus Lis, Approvd Lis, and Wach procsss, plas s h applicabl Morgan Sanly ADV brochur (www.ms.com/adv). Your Financial Advisor or Priva Walh Advisor can provid on rqus a copy of a papr nild "GIMA: A A Glanc ". ADDITIONAL DISCLOSUES Th informaion abou a rprsnaiv accoun is for illusraiv purposs only. Acual accoun holdings, prformanc and ohr daa will vary dpnding on h siz of an accoun, cash flows wihin an accoun, and rsricions on an accoun. Holdings ar subjc o chang daily. Th informaion in his profil is no a rcommndaion o buy, hold or sll scuriis. Acual porfolio saisics may vary from arg porfolio characrisics. Th invsmn managr may us h sam or subsanially similar invsmn sragis, and may hold similar porfolios of invsmns, in ohr porfolios or producs i manags (including muual funds). Ths may b availabl a Morgan Sanly or lswhr, and may cos an invsor mor or lss han his sragy in h Morgan Sanly program. Th porfolio may, a ims, invs in xchang-radd funds (ETFs), which ar a form of quiy scuriy in sking o mainain coninud full xposur o h broad quiy mark. Morgan Sanly invsmn advisory programs may rquir a minimum ass lvl and, dpnding on your spcific invsmn objcivs and financial posiion, may no b suiabl for you. Invsmn advisory program accouns ar opnd pursuan o a wrin clin agrmn. Th invsmn managr acs indpndnly of, and is no an affilia of, Morgan Sanly Smih Barny LLC. Divrsificaion dos no guaran a profi or proc agains a loss. No obligaion o noify Morgan Sanly has no obligaion o noify you whn informaion in his profil changs. Sourcs of informaion Marial in his profil has bn obaind from sourcs ha w bliv o b rliabl, bu w do no guaran is accuracy, complnss or imlinss. Third pary daa providrs mak no warranis or rprsnaions rlaing o h accuracy, complnss or imlinss of h daa hy provid and ar no liabl for any damags rlaing o his daa. No ax advic Morgan Sanly and is affilias do no rndr advic on lgal, ax and/or ax accouning mars o clins. Each clin should consul his/hr prsonal ax and/or lgal advisor o larn abou any ponial ax or ohr implicaions ha may rsul from acing on a paricular rcommndaion. No an EISA fiduciary Morgan Sanly is no acing as a fiduciary undr ihr h Employ irmn Incom Scuriy Ac of 1974, as amndd, or undr scion 4975 of h Inrnal vnu Cod of 1986, as amndd, in providing h informaion in his profil. 2015 Morgan Sanly Smih Barny LLC Mmbr SIPC. INDEX DESCIPTIONS 90-Day T-Bills Th 90-Day Trasury Bill is a shor-rm obligaion issud by h Unid Sas govrnmn. T-bills ar purchasd a a discoun o h full fac valu, and h invsor rcivs h full valu whn hy maur. Th diffrnc of discoun is h inrsd arnd. T-bills ar issud in dnominaions of $10,000 aucion and $1,000 incrmns hrafr. ussll 3000 Th ussll 3000 Indx masurs h prformanc of h 3,000 largs U.S. companis basd on oal mark capializaion, which rprsns approximaly 98% of h invsabl U.S. quiy mark. S&P 500 Th S&P 500 Toal urn has bn widly rgardd as h bs singl gaug of h larg cap U.S. quiis mark sinc h indx was firs publishd in 1957. Th indx has ovr $5.58 rillion bnchmarkd, wih indx asss comprising approximaly $1.31 rillion of his oal. Th indx includs 500 lading companis in lading indusris of h U.S. conomy, capuring 75% covrag of U.S. quiis. This indx includs dividnd rinvsmn. Indics ar unmanagd and hav no xpnss. You canno invs dircly in an indx. GLOSSAY OF TEMS Alpha is a mahmaical sima of risk-adjusd rurn xpcd from a porfolio abov and byond h bnchmark rurn a any poin in im. Amrican Dposiary cips (ADs) ar rcips for shars of a forign-basd corporaion hld in h vaul of a U.S. bank. Avrag Porfolio Ba is a masur of h snsiiviy of a bnchmark or porfolio's ras of rurn o changs agains a mark rurn. Th mark rurn is h S&P 500 Indx. I is h cofficin masuring a sock or a porfolio's rlaiv volailiy. Ba is a masur of h snsiiviy of a porfolio's ras of rurn o changs in h mark rurn. I is h coffcin masuring a sock or a porfolio's rlaiv volailiy. Boom-Up Sock Slcion Emphasis primarily on individual sock slcion. Considraions of conomic and indusry facors ar of scondary imporanc in h invsmn dcision-making procss. Capializaion is dfind as h following: Mga (Abov $100 billion), Larg ($12 o $100 billion), Mdium ($2.5 - $12 billion), Small ($.50 - $2.5 billion) and Micro (blow $.50 billion). rms. Informaion shown is as of March 31, 2016, unlss ohrwis nod. All daa ar subjc o chang. Pag 5 of 6
Paramric Tax Managd U 3000 Dividnd a porion of a company's profi paid o common and prfrrd sharholdrs. Downsid isk is a masur of h risk associad wih achiving a spcific arg rurn. This saisic sparas porfolio volailiy ino downsid risk and upsid uncrainy. Th downsid considrs all rurns blow h arg rurn, whil h upsid considrs all rurns qual o or abov h arg rurn. Duraion is a masur of pric snsiiviy xprssd in yars. High Grad Corpora Bonds corpora bonds from issurs wih crdi raings of AA or AAA. Informaion aio is a masur of h invsmn managr's skill o add aciv valu agains a givn bnchmark rlaiv o how sabl ha aciv rurn has bn. Essnially, h informaion raio xplains how significan a managr's alpha is. Thrfor, h highr h informaion raio, h mor significan h alpha. Invsmn Grad Bonds ar hos rad by Sandard & Poor's AAA (highs rad), AA, A or BBB (or quivaln raing by ohr raing agncis or, in h cas of scuriis no rad, by h invsmn managr). Pric/Book aio (P/B) wighd avrag of h socks' pric dividd by book valu pr shar. Book valu pr shar is dfind as common quiy, including inangibls, dividd by shars ousanding ims h adjusmn facor. Sandard Dviaion is a saisical masur of hisorical variabiliy or sprad of rurns around a mahmaical avrag rurn ha was producd by h invsmn managr ovr a givn masurmn priod. Th highr h sandard dviaion, h grar h variabiliy in h invsmn managr's rurns rlaiv o is avrag rurn. Top-Down/Economic Analysis Emphasis primarily on macroconomic rnds as opposd o boom-up sock slcion. Tracking Error rprsns h sandard dviaion of h diffrnc bwn h prformanc of h invsmn sragy and h bnchmark. This provids a hisorical masur of h variabiliy of h invsmn sragy's rurns rlaiv o is bnchmark. U.S. Trasury Bonds a markabl, fixd inrs U.S. govrnmn db scuriy wih a mauriy of mor han 10 yars. Trasury bonds mak inrs paymns smi-annually and h incom ha holdrs rciv is only axd a h fdral lvl. Volailiy a masur of risk basd on h sandard dviaion of h ass rurn. Volailiy is a variabl ha appars in opion pricing formulas, whr i dnos h volailiy of h undrlying ass rurn from now o h xpiraion of h opion. Thr ar volailiy indxs. Such as a scal of 1-9; a highr raing mans highr risk. Pric/Cash Flow aio a raio usd o compar a company's mark valu o is cash flow. I is calculad by dividing h company's mark cap by h company' opraing cash flow in h mos rcn fiscal yar (or h mos rcn four fiscal quarrs); or, quivalnly, divid h pr-shar sock pric by h pr-shar opraing cash flow. Pric/Earnings aio (P/E aio) shows h mulipl of arnings a which a sock slls. Drmind by dividing currn sock pric by currn arnings pr shar (adjusd for sock splis). Earnings pr shar for h P/E raio ar drmind by dividing arnings for pas 12 monhs by h numbr of common shars ousanding. Th P/E raio shown hr is calculad by h harmonic man. Pric/Sals aio drmind by dividing currn sock pric by rvnu pr shar (adjusd for sock splis). vnu pr shar for h P/S raio is drmind by dividing rvnu for pas 12 monhs by numbr of shars ousanding. 2 (-Squard)/Porfolio Divrsificaion indicas h proporion of a scuriy's oal varianc ha is bnchmark-rlad or is xplaind by variaions in h bnchmark. Sharp aio masurs h fficincy, or xcss rurn pr uni of volailiy, of a managr's rurns. I valuas managrs' prformanc on a volailiy-adjusd basis. rms. Informaion shown is as of March 31, 2016, unlss ohrwis nod. All daa ar subjc o chang. Pag 6 of 6