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Parametric Custom Core® Developed International ADR Benchmark: MSCI EAFESM

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Parametric Custom Core® Developed International ADR Benchmark: MSCI EAFESM Q2/2021 Parametric Custom Core® Developed International ADR Benchmark: MSCI EAFESM The Strategy The Approach The Features Parametric’s Custom Core® Developed Portfolio holdings are selected from a broad Custom Core® portfolios can be International portfolios with tax management universe of eligible securities reflecting benchmarked to a variety of exposures are designed to provide a client with the desired overall exposure. Weightings and benchmark options differ by program. exposure to developed equity markets of securities in the portfolio will not match In addition, portfolios can be tailored to excluding the U.S. and Canada while nor replicate those of the benchmark and meet client objectives. Clients can choose maximizing after-tax returns through a the portfolio may include securities not to apply an industry or social screen. variety of tax management techniques. The held in the benchmark. Tax management Portfolios can also be funded in kind and strategy seeks to exceed its benchmark on techniques including tax loss harvesting and transitioned tax-efficiently. an after-tax basis. the management of capital gains are used to minimize the impact of taxes, and maximize after-tax return. Growth of a Dollar (as of 6/30/2021) MSCI EAFESM Benchmark Characteristics SM $2.40 The MSCI EAFE Index (Europe, $2.20 Australasia, Far East) is a free float-adjusted $2.00 market capitalization index that is designed $1.80 $1.60 to measure the equity market performance $1.40 of developed markets, excluding the US & $1.20 SM $1.00 Canada. The MSCI EAFE Index consists of $0.80 the following 21 developed market $0.60 country indices: Australia, Austria, Belgium, $0.40 Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, PT Port PT Bench AT Port AT Bench Portugal, Singapore, Spain, Sweden, Performance presented is for a vintage composite and is supplemental to the GIPS® compliant presentation provided hereto. Switzerland, and the United Kingdom. More Composite returns are presented net of advisory fees and brokerage commissions. Performance reflects the reinvestment of dividends and other earnings. Performance, cost basis, unrealized gain/losses, and realized gains/losses calculated and information on this index can be found at reported by Parametric may vary from official custodial statements based on different accounting procedures, reporting dates www.mscibarra.com. It is not possible to or valuation methodologies for certain securities. For illustrative purposes only; not an offer to buy or sell any security; invest directly in an index. individual client account performance will vary. Past performance is not indicative of future results. It is not possible to invest directly in an index; they are unmanaged and do not reflect the deduction of fees, taxes and expenses. All investments are subject to loss. See disclosures for additional important information. Wrap Composite Returns (as of 6/30/2021) QTD YTD 1 Year 3 Years 5 Years 7 Years 10 Years ITD Pre-Tax % Parametric (Gross of Fees) % 5.12 9.07 32.74 8.25 10.11 5.14 6.01 3.02 Parametric (Net of Fees) %* 4.34 7.47 28.87 5.10 6.91 2.08 2.92 0.02 MSCI EAFESM 5.17 8.83 32.35 8.27 10.28 4.96 5.89 3.03 After-Tax % Parametric (Gross of Fees) % 4.94 8.73 32.43 10.87 11.96 7.33 7.83 6.28 Parametric (Net of Fees) %* 4.17 7.14 28.57 7.64 8.70 4.21 4.69 3.19 MSCI EAFESM 4.87 8.30 31.32 7.60 9.58 4.28 5.18 2.68 Tax Alpha1 (Gross) 0.12 0.19 0.72 3.28 2.54 2.87 2.53 3.61 Tax Alpha1 (Net) -0.65 -1.40 -3.14 0.05 -0.72 -0.26 -0.61 0.51 The Composite was incepted on January 1, 2008. *Gross of fee returns are presented gross of transaction costs. Net of Fee returns reflect the deduction of a 3.00% annual fee to serve as the highest wrap fee charged. Please see the Composite’s GIPS Compliant presentation for important additional information. 1 Tax Alpha is hypothetical and is defined as the simulated, net after-tax excess return minus any gross pre-tax excess return: αtax =(RATport,net –RATBench)–(RPTport –RPTBench) Source: Parametric, Bloomberg & FactSet as of 6/30/2021. The above information is supplemental to the Composite’s Global Investment Performance Standards (GIPS®) presentation contained herein as an integral part of this material. For illustrative purposes only; not an offer to buy or sell any security. Composite data is based on the total assets of all fee-paying and non-fee-paying discretionary accounts eligible for inclusion in the Composite for the periods shown. Performance reflects the reinvestment of dividends and other earnings. Performance for periods of less than one year has not been annualized. Performance, cost basis, unrealized gain/losses, and realized gains/losses calculated and reported by Parametric may vary from official custodial statements based on different accounting procedures, reporting dates or valuation methodologies for certain securities. Past performance is not indicative of future results. It is not possible to invest directly in an index; they are unmanaged and do not reflect the deduction of fees, taxes and expenses ©2021 Parametric Portfolio Associates® LLC. Parametric Custom Core® Developed International ADR Benchmark: MSCI EAFESM % Calendar Year Wrap Composite Returns 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Pre-Tax % Parametric (Gross of Fees) % 8.35 -12.68 19.61 22.47 -5.13 -0.21 1.16 24.99 -13.80 21.40 8.25 Parametric (Net of Fees) %* 5.19 -15.22 16.13 18.90 -7.89 -3.12 -1.78 21.34 -16.31 17.87 5.09 MSCI EAFESM 7.75 -12.14 17.32 22.78 -4.90 -0.81 1.00 25.03 -13.79 22.01 7.82 After-Tax % Parametric (Gross of Fees) % 9.62 -10.63 20.64 21.77 -4.31 2.77 4.38 24.75 -11.25 22.46 12.84 Parametric (Net of Fees) %* 6.42 -13.23 17.12 18.23 -7.10 -0.22 1.34 21.12 -13.84 18.89 9.56 MSCI EAFESM 7.70 -12.57 16.80 21.54 -5.75 -1.49 0.44 24.22 -14.36 21.07 7.39 Tax Alpha1 (Gross) 1.32 2.48 1.54 0.54 1.67 3.66 3.78 0.59 3.11 2.00 5.03 Tax Alpha1 (Net) -1.88 -0.13 -1.97 -3.01 -1.12 0.66 0.74 -3.05 0.53 -1.56 1.74 *Gross of fee returns are presented gross of transaction costs. Net of Fee returns reflect the deduction of a 3.00% annual fee to serve as the highest wrap fee charged. Please see the Composite’s GIPS Compliant presentation for important additional information. 1 Tax Alpha is hypothetical and is defined as the simulated, net after-tax excess return minus any gross pre-tax excess return: αtax =(RATport,net–RATBench)–(RPTport –RPTBench ) Source: Parametric, Bloomberg & FactSet as of 6/30/2021. Parametric Weights vs. Benchmark Financials 17.0% (as of 6/30/2021) 16.5% Industrials 15.5% 15.8% Parametric portfolios are primarily invested 13.0% Cons. Disc. 12.9% in equities, maintaining under 2% cash. 12.4% Health Care 12.2% 10.5% Source: FactSet Research Systems. Cons. Staples 10.0% 9.1% IT 8.6% 7.9% Parametric (%) Materials 7.9% SM MSCI EAFE (%) Comm. Svcs. 4.9% 4.8% Utilities 3.4% 3.7% Energy 3.2% 3.3% Real Estate 3.0% 2.8% 0.0% Cash 1.4% 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00% 18.00% % Top 10 Country Weights (as of 6/30/2021) Top 10 Holdings % (as of 6/30/2021) Parametric MSCI EAFESM Japan 23.51 23.19 Nestle S.A. Sponsored ADR 2.37 United Kingdom 14.90 14.38 ASML Holding NV ADR 1.71 France 11.73 11.52 Roche Holding Ltd Sponsored ADR 1.43 LVMH Moet Hennessy Louis Vuitton SE Unsponsored Switzerland 9.72 9.80 1.17 ADR Germany 9.27 9.41 Novartis AG Sponsored ADR 1.05 Australia 6.98 7.20 Astrazeneca PLC Sponsored ADR 1.04 Netherlands 4.56 4.35 BHP Group Limited Sponsored ADR 1.02 Sweden 3.44 3.76 Toyota Motor Corp. Sponsored ADR 0.94 Hong Kong 3.23 3.26 L'Oreal SA Unsponsored ADR 0.88 2.88 2.59 Denmark AIA Group Limited Sponsored ADR 0.88 Portfolio Statistics (as of 6/30/2021) Parametric MSCI EAFESM Capitalization ($ Millions) Wt. Average Mkt. Cap 79,045 79,744 Wt. Median Mkt. Cap 46,307 46,391 Other Statistics No. of Securities 328 845 Beta 0.98 1.00 Dividend Yield % 2.25 2.30 P/E Ratio 19.62 19.83 Price/Book 1.81 1.85 Source: Parametric & FactSet as of 6/30/2021. The above information is supplemental to the Composite’s Global Investment Performance Standards (GIPS®) presentation contained herein as an integral part of this material. For illustrative purposes only. Top ten holdings are provided for a representative account based on weightings, not performance, and are not indicative of the entire composite. Individual client portfolio holdings will vary and there is no guarantee that a particular client’s account will hold any, or all, of the securities identified. This is not an offer or recommendation to buy or sell securities.
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