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For One-On-One Client Use Only Product Details Hypothetical Investment Growth Inception Date 5/31/2000 4,000 Strategy Large Cap Value 3,500 Benchmark Russell 1000 Value 3,000 Investment Strategy Highly disciplined quantitative approach 2,500 Focus is on high quality stocks which possess favorable relative value 2,000 The goal is to produce enhanced return while minimizing risk 1,500 Investment Team 1,000 John Portwood, CFA, Chief Investment Strategist 500 2002 2004 2006 2008 2010 2012 2014 2016 David Lundgren, CFA, Director of Investments HHI Large Cap Value Russell 1000 Value S&P 500 Time Weighted Returns as of June 30, 2016 Last Since YTD 1 year 3 year* 5 year* 7 year* 10 year* 15 year* Quarter Inception* HHI Large Cap Value -1.5 0.5 -5.7 7.0 8.8 12.5 5.7 8.1 8.3 Russell 1000 Value 4.6 6.3 2.9 9.9 11.4 14.5 6.1 6.4 6.3 Year by Year Returns 50.0 45.0 39.9 40.0 35.0 32.5 29.5 30.0 30.0 24.7 25.0 22.2 20.0 19.7 20.0 17.5 16.5 17.0 15.5 15.0 12.7 13.5 13.4 13.5 9.8 10.0 7.1 8.3 6.3 5.0 1.8 0.4 0.5 0.0 -0.2 -5.0 -3.8 -10.0 -5.5 -15.0 -20.0 -25.0 -30.0 -35.0 -34.1 -40.0 -36.8 -45.0 -50.0 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 YTD HHI Large Cap Value Russell 1000 Value *Annualized. Inception date is May 31, 2000 for the Large Cap Value product. The performance data quoted represents past performance. Past performance does not guarantee future results. Investments are not bank deposits or obligations, are not guaranteed by any bank, and are not insured or guaranteed by the FDIC, the Federal Reserve Board, or any other government agency. Investments involve risks, including possible loss of principle. Hancock Horizon Investments is an unincorporated division of Hancock Bank, and includes all fully managed accounts over $1 million in assets. You may contact your marketing or sales representative to obtain a GIPS compliant presentation and/or a list of all firm composites. Returns are gross of fees and calculated in U.S. dollars. This presentation is to report on the investment strategies as reported by Hancock Horizon Investments and is for illustrative purposes only. The information contained herein is obtained from multiple sources and believed to be reliable. Information has not been verified by Morgan Stanley Wealth Management, and may differ from documents created by Morgan Stanley Wealth Management. The client should refer to the Profile. This must be preceded or accompanied by the Morgan Stanley Wealth Management Profile, which you can obtain from your Financial Advisor. For additional information on other programs, please speak to your Financial Advisor. FOR ONE-ON-ONE CLIENT USE ONLY Portfolio Characteristics Risk and Return Profile^ HHI HHI Russell Russell Large Large 1000 1000 Cap Cap Value Value Value Value Std Dev** 14.27 14.91 P/E Ratio 13.32 17.89 Sharpe Ratio 0.52 0.37 P/B Ratio 1.60 1.87 Alpha 2.49 N/A Beta 0.88 1.00 Dividend Yield 2.29% 2.57% R2 0.84 N/A Avg Cap* $33,404.14 $20,902.17 Up Capture Ratio 97.14 N/A Weighted Avg Cap* $34,510.62 $113,926.83 Down Capture Ratio 85.24 N/A ^Since inception *In millions **Annualized Risk-Reward (Since Inception) 10.0 8.0 6.0 Return 4.0 2.0 0.0 0.0 3.0 6.0 9.0 12.0 15.0 18.0 Standard Deviation HHI Large Cap Value Russell 1000 Value S&P 500 Sector Diversification (%) Top 10 Holdings (%) Consumer Discretionary 16.2 Nasdaq Inc 1.5 Consumer Staples 2.4 SunTrust Banks Inc 1.5 Energy 8.0 Cincinnati Financial Corp 1.4 Financials 29.9 Reinsurance Group of America Inc 1.4 Healthcare 5.2 Synovus Financial Corp 1.4 Industrials 13.8 Reliance Steel & Aluminum Co 1.4 Information Technology 12.7 Foot Locker Inc 1.3 Materials 6.3 The Hanover Insurance Group Inc 1.3 Telecom Services 2.2 Raytheon Co 1.3 Utilities 3.3 Convergys Corp 1.3 Holdings are subject to change. Data provided is supplemental information to the compliant GIPS presentation. The top holdings, as well as other data, are as of the period indicated, and should not be considered a recommendation to purchase, hold, or sell any particular security. There is no assurance that any of the securities noted will remain in a portfolio at the time you receive this fact sheet. Actual holdings and percentage allocation in individual client portfolios may vary and are subject to change. It should not be assumed that any of the holdings discussed were, or will prove to be, profitable, or that the investment recommendations or decisions we make in the future will be profitable. A list of all securities held in this strategy in the prior year is available upon request. FOR ONE-ON-ONE CLIENT USE ONLY Equal weight index - gives the same weight, or importance, to each component in the index. Cap weighted index – The individual components are weighted according to their market capitalization, so that larger components carry a larger percentage weighting. Russell 1000 Index - Measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. Russell 1000 Growth - Measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. Russell 1000 Value - Measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values. S&P 500 and S&P 400 Index - unmanaged, market capitalization-weighted indices that measure the performance of 500 widely held stocks of large-cap U.S. companies and the 400 midcap companies in the U.S. S&P 500 & S&P 400 Style Indices – This series divides the complete market capitalization of each parent index approximately equally into growth and value indices. The factors used to determine the growth style are 3-year change in earnings per share over price per share, 3-year sales per share growth rate, and momentum. The factors used to determine the value style are book value to price ratio, earnings to price ratio, and sales to price ratio. Alpha – Alpha is a risk (beta adjusted) measurement. It measures nonsystematic return or the return that cannot be attributed to the market. It can be thought of as how the manager performed if the market has had no gain or loss. A negative alpha means that the manager failed to match performance with risk. Beta – Beta represents the systematic risk of a portfolio and measures its sensitivity to a benchmark. A portfolio with a beta of one is considered as risky as the benchmark and would therefore provide expected returns equal to those of the market during both up and down periods. A portfolio with a beta of two would move approximately twice as much as the benchmark. R-Squared (Correlation Squared) – Indicates the percentage of a portfolio's movement that is explained by the movement in the market portfolio or benchmark index. It is a measure of how well two portfolios track each other. R- squared ranges between zero and 100%. The higher the R-Squared, the closer the correlation of the portfolio’s performance pattern to that of the appropriate market benchmark. Sharpe Ratio – The Sharpe Ratio, developed by Professor William F. Sharpe, is calculated by using standard deviation and excess return to determine reward per unit of risk. The portfolio’s excess return is its geometric mean return minus the geometric mean return of the risk-free instrument (by default, T-bills). The greater the Sharpe ratio, the better the risk-adjusted performance has been. A negative Sharpe ratio indicates that a risk-less asset would perform better than the security being analyzed. Standard Deviation – A measure of a portfolio's return dispersion, standard deviation is a statistical measure of the range of a portfolio's monthly performance. It is a statistical measure of volatility that indicates the ‘risk’ associated with a return series. Up and Down Capture – A measure of how well a manager was able to replicate or improve on phases of positive benchmark returns, and how badly the manager was affected by phases of negative benchmark returns. It is not possible to invest directly in an index There is no assurance that a separately managed account will achieve its investment objective. Accounts are subject to market risk, which is the possibly that the market values of securities owned will decline. Accordingly, you can lose money investing in a separately managed account. Please consider the investment objectives, risks and fees of the Program carefully before investing. Diversification does not insure against market loss. FOR ONE-ON-ONE CLIENT USE ONLY.
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