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. It should not be assumed that any of the securities listed were or will be profitable. Investments are subject to change without notice and may no longer be applicable. Forward Price to Earnings (P/E) Ratio is obtained from FactSet. Forward P/E is defined as the current market price divided by the expected earnings over the next 12 months. Forward Price to Earnings (P/E) Ratio is obtained from FactSet. Forward P/E is defined as the current market price divided by the expected earnings over the next 12 months.

Leadership Team

Jennifer Sireklove Jeremy Milleson Thomas Lee, CFA Paul Bouchey, CFA Thomas Seto Managing Director, Director, Investment Chief Investment Officer Global Head of Research Head of Investment Management Investment Strategy Strategy

Disclosures Account Criteria Benchmark after-tax returns are simulated for each Parametric Portfolio Associates® LLC Accounts are fully discretionary. Accounts are benchmark portfolio using a hypothetical, after-tax (“Parametric”), headquartered in Seattle, is included in a composite in first full month of benchmark portfolio with the same inception date, registered as an investment advisor with the management and excluded after the last full month cash flows, cost basis, and tax rates as the client Securities and Exchange Commission under the of investment. Terminated accounts are retained in portfolio. The after-tax benchmark’s capital gain Investment Advisors Act of 1940. Parametric is a composites for the full period of investment. realization rate is based on the average turnover leading global asset management firm, providing Calculation Methodology rate of the pre-tax benchmark and ending gain or investment strategies and customized exposure When calculating after-tax returns, Parametric loss of the after-tax benchmark for each period. management directly to institutional investors and applies the client’s individual tax rate (which may Dividend income is estimated using the pre-tax indirectly to individual investors through financial include federal and state income taxes), if provided benchmark index’s dividend return during the period. intermediaries. Parametric offers a variety of rules- by the client. If the individual tax rate is not provided After-tax benchmark returns reflect the deduction of based investment strategies, including alpha-seeking by the client, Parametric applies the highest U.S. taxes, but do not include any other fees or expenses. equity, fixed-income, alternative and options federal tax rates. For short-term gains, the highest After-tax benchmark returns are hypothetical, do not strategies. Parametric also offers implementation U.S. federal marginal income tax rate is 37% plus reflect actual trading, and may not be relied upon services, including customized equity, traditional the 3.8% net investment income tax, for a combined for investment decisions. overlay and centralized portfolio management. rate of 40.8%. For long-term gains, the highest U.S. “MSCI” and MSCI Index names are service marks of Parametric is a part of Morgan Stanley Investment capital gains tax rate is 20% plus the 3.8% net MSCI Inc. (“MSCI”). Neither MSCI nor any other Management, the asset management division of investment income tax, for a combined rate of party involved in or related to compiling, computing Morgan Stanley and offers these capabilities through 23.8%. These assumed tax rates are applied to both or creating the MSCI data makes any express or offices located in Seattle, Boston, Minneapolis, New net realized gains and losses in the portfolio. implied warranties or representations with respect York City, and Westport, Connecticut. This material Applying the highest rate may cause the after-tax to such data (or results to be obtained by the use may not be forwarded or reproduced, in whole or in performance shown to be different than an thereof), and all such parties hereby expressly part, without the written consent of Parametric. investor’s actual experience. Investors’ actual disclaim all warranties of originality, accuracy, Parametric and its affiliates are not responsible for tax rates, the presence of current or future capital completeness, merchantability or fitness for a its use by other parties. loss carry forwards, and other investor tax particular purpose with respect to any of such data. This material may contain confidential and/or circumstances will cause an investor’s actual after- Without limiting any of the foregoing, in no event proprietary information, composite and/or account tax performance to be over or under Parametric’s shall MSCI, any of its affiliates or any third party specific portfolio holdings, and/or assumptions based estimates presented here. In periods when net involved in or related to compiling, computing or on dissimilar period comparisons, and may only be realized losses exceed net realized gains, applying creating the data have any liability for any direct, relied upon for this report. This is not an offer to the highest tax rates to our calculations illustrates indirect, special, punitive, consequential or any other buy or sell any security and does not include a the highest after-tax return that could be expected of damages (including lost profits) even if notified of complete list of all securities purchased or sold in the portfolio, and assumes the maximum potential the possibility of such damages. No further the period or for all clients. Actual holdings will vary tax benefit was derived. Actual client after-tax distribution or dissemination of the MSCI data is and there is no guarantee that any client will hold returns will vary. As with all after-tax performance, permitted without MSCI’s express written consent. any mentioned positions. No security or discipline is the after-tax performance reported here is an Parametric makes no representation or endorsement profitable all of the time and there is always the estimate. In particular, it has been assumed that the concerning the accuracy or propriety of information possibility of loss. Returns presented were investor has, or will have sufficient capital gains received from any other third party. generated using Parametric’s proprietary rules- from sources outside of this portfolio to fully offset Investments are subject to change without notice. All based investment methodology as described in ADV any net capital losses realized, and any resulting tax information is believed Investments are subject to Part 2A, are unaudited and may not correspond to benefit has been included in Parametric’s change without notice. All information is believed to any other published data. Parametric is not a tax computation of after-tax performance. be correct but accuracy cannot be guaranteed. consultant and does not provide tax advice. Clients Performance, cost basis, unrealized gain/losses, and All contents ©2021 Parametric Portfolio Associates® should seek other professional assistance before realized gains/losses calculated and reported by LLC. All rights reserved. Parametric Portfolio investing. Investment risks may include but are not Parametric may vary from official custodial Associates®, Parametric with the triangle logo, limited to: market, economic, political, interest rate, statements based on different accounting DeltaShift®, PIOS®, Custom Core®, Custom to the currency exchange, leverage, liquidity, credit quality, procedures, reporting dates or valuation Core®, and Make passive investing personal® are trading, and client specific restrictions. Information methodologies for certain securities. Client trademarks registered in the US Patent and is subject to change without notice. performance summaries and any related data Trademark Office produced by Parametric are not audited. Clients are For more information regarding Parametric and its encouraged to carefully review and compare the investment strategies, the firm’s list of composite official custodial records with the various data and descriptions, or to request a copy of Parametric’s performance statistics reported by Parametric. Form ADV, please contact us at 206.694.5575 or visit our website, www.parametricportfolio.com.

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