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US Mid Cap Value Select UMA Goldman Sachs

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US Mid Cap Value Select UMA Goldman Sachs US Mid Cap Value Strategy Status: Closed – Strategy closed to new accounts and open to additional assets Select UMA Goldman Sachs Asset Management, L.P. Style: US Mid Cap Value Year Founded: 1989 Sub-Style: Traditional Value GIMA Status: Approved 200 West Street Firm AUM: $2,093.0 billion Firm Ownership: Goldman Sachs Group, Inc. New York, New York 10282 Firm Strategy AUM: $2.1 billion Professional-Staff: 2043 PRODUCT OVERVIEW TARGET PORTFOLIO CHARACTERISTICS PORTFOLIO STATISTICS The GSAM US Mid Cap Value strategy is a long-only, traditional value Number of stock holdings: 80 to 120 ---------------06/21------ 12/20 style strategy with a quality bias that seeks to invest primarily in ---------- P/E ratio: Similar to the S&P 500 Goldman Index*** Goldman mid-capitalization U.S. equities with initial market capitalization typically Sachs Sachs ranging from $3 billion to $15 billion. The strategy's benchmark is the Cash level over market cycle: 0 to 5% Number of stock holdings 107 695 114 Russell Midcap Value Index.There is no guarantee that these objectives Risk (standard deviation): Above the S&P 500 will be met. Dividend Yield 1.2% 1.6% 1.3% Average turnover rate: 50 to 70% Distribution Rate — — — Use ADRs: 0 to 5% 23.60x 19.10x 26.58x Capitalization: Large and Medium Wtd avg P/E ratio ¹ companies Wtd avg portfolio beta 0.93 — 0.93 Mega capitalization ⁺ 0.0% 0.0% 0.0% Large capitalization ⁺ 0.0% 70.5% 0.0% Medium capitalization ⁺ 0.0% 29.4% 0.0% Small capitalization ⁺ 0.0% 0.1% 0.0% Micro capitalization ⁺ 0.0% 0.0% 0.0% PORTFOLIO'S EQUITY SECTOR WEIGHTINGS ⁺ ---------------06/21--------- 12/20 Sector Goldman------- Index*** Goldman Sachs Sachs PORTFOLIO'S TOP FIVE EQUITY HOLDINGS % Energy 5.20 5.07 2.60 Marvell Technology Group Ltd. 2.2 1.8 Materials 6.40 7.33 7.50 AMETEK, Inc Zimmer Biomet Holdings, Inc. 1.8 Industrials 16.10 16.03 15.50 M&T Bank Corporation 1.7 1.6 Consumer Discretionary 10.90 10.94 11.80 Advance Auto Parts, Inc. Consumer Staples 4.20 4.24 5.10 Health Care 8.20 8.83 8.80 % PROCESS BASED ON Financials 16.50 16.14 16.20 0 Asset allocation - cash vs. stock Information Technology 9.60 9.71 10.40 20 Industry or sector weighting Communication Services 3.70 4.21 4.10 80 Stock Selection MANAGER'S INVESTMENT STRATEGY Top-down / portfolio structures based on economic trends Utilities 8.30 6.97 8.50 Bottom-up / portfolio structure based on individual securities Real Estate/REITs 9.60 10.53 9.10 Cash/Cash Equivalents 1.30 0.00 0.60 ¹The P/E used here is calculated by the harmonic mean. ⁺Total may not equal 100% due to rounding. ***Index : Russell Mid Cap Vl If this profile shows related performance, see the section titled "Related Performance" in the disclosures for important information about the performance shown prior to the inception of the Morgan Stanley Select UMA Program. The subsequent pages contain important disclosures and a glossary of terms. Information as of June 30, 2021, unless otherwise noted and is subject to change. Page 1 of 7 US Mid Cap Value Strategy Status: Closed – Strategy closed to new accounts and open to additional assets Select UMA MANAGER'S INVESTMENT PROCESS RISK CONSIDERATIONS PORTFOLIO'S ALLOCATION HISTORY (%) ⁺ • Step 1: Idea generation: fundamental research and valuation analysis Equity securities prices may fluctuate in response to specific 06/21 03/21 12/20 09/20 narrows universe situations for each company, industry, market conditions and U.S. Stocks 99 99 99 97 general economic environment. Companies paying dividends • There are approximately 500-600 mid cap value stocks with market Non-U.S. Stocks 0 0 0 0 caps ranging from $3 - $15 billion which we evaluate by valuation, can reduce or cut payouts at any time. Strategies that invest a profitability and business characteristics down to 200-300 monitored large percentage of assets in only one industry sector (or in only Cash/Cash Equivalents 1 1 1 3 stocks. a few sectors) are more vulnerable to price fluctuation than portfolios that diversify among a broad range of sectors. • Step 2: Stock discussion: debate and vet investment ideas with team Investing in securities entails risks, including: The stocks of • Sector portfolio managers initiate positions in their best ideas and may medium-sized companies are often associated with higher risk buy an initial position in a stock up to 100 bps without formal team than stocks of larger companies, including higher volatility. review Increasing position sizes to meaningful active weights requires Investing in smaller/mid-cap companies involves greater risks team debate. The team fully vets an investment idea and its impact on not associated with investing in more established companies, the portfolio's structure. Team members challenge the thesis and the such as business risk, significant stock price fluctuations and upside/downside analysis. illiquidity. Value investing involves the risk that the market may • While team feedback is a key input, the sector portfolio manager not recognize that securities are undervalued and they may not makes the final position sizing decision and is ultimately held appreciate as anticipated. When investing in value securities, accountable the market may not necessarily have the same value • Step 3: Portfolio construction: size positions according to conviction assessment as the manager, and, therefore, the performance of within a risk-aware framework the securities may decline. Growth investing does not guarantee • The process helps to identify approximately 80-120 final securities for a profit or eliminate risk. The stocks of these companies can client portfolios. While not hard limits, we have historically targeted no have relatively high valuations. Because of these high more than approximately a 7% sector over/underweight relative to the valuations, an investment in a growth stock can be more risky benchmark, and no more than approximately a 7%, or approximately a than an investment in a company with more modest growth 4% overweight, for an individual holding. expectations. Value investing does not guarantee a profit or eliminate risk. Not all companies whose stocks are considered • Co-Lead Portfolio Managers Tim Ryan and Sung Cho provide to be value stocks are able to turn their business around or oversight of the portfolio to ensure that positions are sized to optimize successfully employ corrective strategies which would result in risk/reward. They do this by guiding the team, investment debate, and stock prices that do not rise as initially expected. Bonds rated can (infrequently) overrule Sector PM decisions. Trade implementation below investment grade may have speculative characteristics and rebalancing is handled by dedicated trading and portfolio and present significant risks beyond those of other securities, construction teams. including greater credit risk and price volatility in the secondary • Step 4: Continuous monitoring through both fundamental and market. Investors should be careful to consider these risks risk-based measures. Guidelines are subject to change and are current alongside their individual circumstances, objectives and risk as of the date of this presentation. Guidelines are objectives and do not tolerance before investing in high-yield bonds. If a strategy provide any assurance as to future results. The portfolio risk expects to hold a concentrated portfolio of a limited number of management process includes an effort to monitor and manage risk, but securities, it should be noted that a decline in the value of these does not imply low risk. investments would cause the portfolio’s overall value to decline to a greater degree than that of a less concentrated portfolio. ¹The P/E used here is calculated by the harmonic mean. ⁺Total may not equal 100% due to rounding. ***Index : Russell Mid Cap Vl If this profile shows related performance, see the section titled "Related Performance" in the disclosures for important information about the performance shown prior to the inception of the Morgan Stanley Select UMA Program. The subsequent pages contain important disclosures and a glossary of terms. Information as of June 30, 2021, unless otherwise noted and is subject to change. Page 2 of 7 US Mid Cap Value Strategy Status: Closed – Strategy closed to new accounts and open to additional assets Select UMA RISK/RETURN ANALYSIS - 5 YEARS ENDING 06/30/21 AVERAGE ANNUAL TOTAL RETURN (%) - PERIODS ENDING 06/30/21 R R a a t t e e o o f f R R e e t t u u r r n n s Standard Deviation s (%) STD ROR INVESTMENT RESULTS Annual Rates of Return (%) 10 Year - Ending 06/30/21 Goldman Sachs (Gross) 21.01 10.93 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Annual Std. Dev. Goldman Sachs (Net) 21.10 13.54 Goldman Sachs (Gross) -8.01 15.26 30.52 10.67 -10.36 9.81 9.45 -11.45 28.48 7.66 10.94 18.25 Russell Mid Cap Vl 22.60 11.79 Goldman Sachs (Net) -5.64 17.99 33.54 13.35 -8.21 12.48 12.05 -9.31 31.46 10.14 8.37 18.17 90-Day T-Bills 0.44 1.14 Russell Mid Cap Vl -1.38 18.49 33.45 14.75 -4.79 20.00 13.35 -12.29 27.06 4.96 11.74 18.91 RISK VOLATALITY (%) PORTFOLIO'S QUARTERLY RETURNS (%) PORTFOLIO'S RISK STATISTICS -€“ PERIODS ENDING 06/30/21 ¹ ² R Quarter1 Quarter2 Quarter3 Quarter4 3 Year 5 Year a Gross Net Gross Net Gross Net Gross Net Standard Deviation 27.28% 21.01% t 2011 4.93 5.64 -0.05 0.67 -20.52 -20.03 10.36 10.94 e 29.36% 22.60% 2012 11.75 12.38 -4.84 -4.27 5.37 5.99 2.87 3.48 Standard Deviation of Primary Benchmark o 2013 12.41 13.03 1.93 2.53 6.28 6.88 7.18 7.80 0.41 0.47 f 2014 3.15 3.78 4.20 4.82 -1.85 -1.25 4.91 5.53 Sharpe Ratio 2015 1.57 2.19 -2.34 -1.76 -10.34 -9.80 0.80 1.37 Sharpe Ratio of Primary 0.36 0.47 R Benchmark e 2016 -1.65 -1.01 3.33 3.93 3.01 3.60 4.90 5.53 t 2017 3.01 3.61 0.32 0.92 1.41 2.00 4.44 5.06 Alpha 0.94% -0.24% u 2018 -1.86 -1.29 1.83 2.44 3.06 3.65 -14.02 -13.47 Beta 0.93 0.93 r 2019 13.87 14.49 4.63 5.23 2.66 3.26 5.04 5.67 Downside Risk 2.17% 2.00% n s 2020 -29.26 -28.83 18.81 19.44 6.96 7.57 19.75 20.45 R-Squared 0.99 0.99 2021 10.05 10.70 5.36 5.96 Tracking Error 2.97% 2.47% Related Select UMA Information Ratio 0.19 -0.35 *07/01/16-12/31/16 **01/01/21-06/30/21 Number Of Up Qtrs.
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