Clearbridge Dividend Strategy (MA) Select UMA Clearbridge Investments, LLC
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ClearBridge Dividend Strategy (MA) Select UMA ClearBridge Investments, LLC. Style: US Large Cap Year Founded: 2005 Sub-Style: Blend GIMA Status: Approved 100 International Drive Firm AUM: $146.4 billion^ Firm Ownership: Legg Mason, Inc. Baltimore, Maryland 21202 Firm Strategy AUM: $23.3 billion^^ Professional-Staff: 70^^ PRODUCT OVERVIEW TARGET PORTFOLIO CHARACTERISTICS PORTFOLIO STATISTICS ClearBridge-FranklinTempleton RETAIL ("ClearBridge") ClearBridge Number of stock holdings: 40 to 60 ---------------06/21------ 12/20 Dividend Strategy (MA) portfolio invests primarily in stocks that either pay ---------- P/E ratio: Below the S&P 500 ClearBridg Index*** ClearBridg an existing dividend or that the managers expect will pay a dividend in e e the near future. Limited investments may also be made in Cash level over market cycle: 5 to 10% Number of stock holdings 53 505 49 non-dividend-paying stocks that are not expected to pay a dividend in the Risk (standard deviation): Below the S&P 500 future. Dividend Yield 2.1% 1.4% 2.3% Average turnover rate: 8.00 Distribution Rate — — — Use ADRs: 0 to 25% 23.38x 25.40x 26.15x Capitalization: Mega, Large and Medium Wtd avg P/E ratio ¹ companies Wtd avg portfolio beta 0.89 — 0.83 Mega capitalization ⁺ 0.0% 64.8% 0.0% Large capitalization ⁺ 0.0% 34.0% 0.0% Medium capitalization ⁺ 0.0% 1.3% 0.0% Small capitalization ⁺ 0.0% 0.0% 0.0% Micro capitalization ⁺ 0.0% 0.0% 0.0% PORTFOLIO'S EQUITY SECTOR WEIGHTINGS ⁺ ---------------06/21--------- 12/20 Sector ClearBridg-------Index*** ClearBridg e e PORTFOLIO'S TOP FIVE EQUITY HOLDINGS % Energy 5.15 2.85 2.92 Microsoft Corp 5.5 4.6 Materials 9.38 2.60 9.53 Apple Inc Raytheon Technologies Corp 3.4 Industrials 11.70 8.54 11.49 PPG Industries Inc 2.9 2.8 Consumer Discretionary 2.18 12.28 2.06 Bank of America Corp Consumer Staples 8.08 5.86 8.66 Health Care 10.06 12.99 10.88 % PROCESS BASED ON Financials 16.34 11.28 14.08 5 Asset allocation - cash vs. stock Information Technology 20.48 27.42 18.73 20 Industry or sector weighting Communication Services 5.92 11.14 7.03 75 Stock Selection MANAGER'S INVESTMENT STRATEGY Top-down / portfolio structures based on economic trends Utilities 5.70 2.45 6.54 Bottom-up / portfolio structure based on individual securities Cash/Cash Equivalents 2.47 0.00 0.00 Real Estate/REITs 2.54 2.58 2.39 ^As of 06/30/2019. Information as of 06/30/2021 is not yet available. ¹The P/E used here is calculated by the harmonic mean. ^^As of 12/31/2019. Information as of 06/30/2021 is not yet ⁺Total may not equal 100% due to rounding. available. ***Index : S and P 500 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 ClearBridge Dividend Strategy (MA) Select UMA MANAGER'S INVESTMENT PROCESS RISK CONSIDERATIONS PORTFOLIO'S ALLOCATION HISTORY (%) ⁺ • Define the investment universe Investing in securities entails risks, including: Equity portfolios 06/21 03/21 12/20 09/20 • Evaluate stocks using proprietary discipline are subject to the basic stock market risk that a particular U.S. Stocks 91 90 94 88 security, or securities in general, may decrease in value. Equity • Select securities and construct portfolio Non-U.S. Stocks 5 6 0 6 securities' prices may fluctuate in response to specific situations • Review process for each company, industry, market conditions and general ADRs/Non-U.S. Stocks 2 0 0 0 economic environment. Companies paying dividends can Cash/Cash Equivalents 2 4 6 6 reduce or cut payouts at any time. Strategies that invest a large percentage of assets in only one industry sector (or in only a few sectors) are more vulnerable to price fluctuation than portfolios that diversify among a broad range of sectors. Growth investing does not guarantee a profit or eliminate risk. The stocks of these companies can have relatively high valuations. Because of these high valuations, an investment in a growth stock can be more risky than an investment in a company with more modest growth expectations. Value investing does not guarantee a profit or eliminate risk. Not all companies whose stocks are considered to be value stocks are able to turn their business around or successfully employ corrective strategies which would result in stock prices that do not rise as initially expected. Bonds rated below investment grade may have speculative characteristics and present significant risks beyond those of other securities, including greater credit risk and price volatility in the secondary market. Investors should be careful to consider these risks alongside their individual circumstances, objectives and risk tolerance before investing in high-yield bonds. If a strategy expects to hold a concentrated portfolio of a limited number of securities, it should be noted that a decline in the value of these investments would cause the portfolio’s overall value to decline to a greater degree than that of a less concentrated portfolio. See important notes and disclosures pages for a discussion of the sources of the performance data used to calculate the performance results and related analyses shown above. 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 ClearBridge Dividend Strategy (MA) 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 ClearBridge (Gross) 15.75 13.39 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Annual Std. Dev. ClearBridge (Net) 15.67 10.77 ClearBridge (Gross) 10.55 13.88 28.97 12.78 -2.99 14.83 18.58 -4.14 29.70 7.03 12.94 13.10 S&P 500 17.30 17.65 ClearBridge (Net) 8.01 11.23 26.05 10.13 -5.23 12.12 15.83 -6.37 26.76 4.57 10.33 13.04 90-Day T-Bills 0.44 1.14 S&P 500 2.11 16.00 32.41 13.69 1.41 11.96 21.83 -4.38 31.49 18.40 14.84 15.04 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 20.22% 15.75% t 2011 5.38 4.76 2.52 1.94 -8.52 -9.08 11.86 11.24 e 22.40% 17.30% 2012 6.92 6.29 1.49 0.89 4.80 4.19 0.15 -0.45 Standard Deviation of Primary Benchmark o 2013 10.72 10.10 2.74 2.15 4.13 3.54 8.87 8.26 0.66 0.78 f 2014 1.57 0.95 5.20 4.59 0.27 -0.33 5.25 4.65 Sharpe Ratio 2015 -1.44 -2.04 -1.99 -2.57 -5.70 -6.25 6.49 5.91 Sharpe Ratio of Primary 0.78 0.95 R Benchmark e 2016 5.19 4.56 4.13 3.51 1.82 1.23 2.96 2.34 t 2017 4.17 3.55 3.36 2.76 4.21 3.60 5.68 5.06 Alpha -1.76% -2.13% u 2018 -2.91 -3.46 3.00 2.39 5.11 4.51 -8.81 -9.37 Beta 0.88 0.89 r 2019 12.93 12.31 5.18 4.58 2.78 2.18 6.24 5.62 Downside Risk 4.44% 3.79% n s 2020 -21.93 -22.40 15.32 14.70 7.34 6.73 10.76 10.08 R-Squared 0.96 0.95 2021 5.30 4.66 7.61 7.01 Tracking Error 4.92% 3.90% Related Select UMA Information Ratio -0.81 -1.09 *07/01/16-12/31/16 **01/01/21-06/30/21 Number Of Up Qtrs. Down Qtrs. PORTFOLIO DIVERSIFICATION - R ² (INCEPTION THROUGH 12/14)+ 1. Statistics are calculated using gross of fee performance only. ClearBridge (Gross) 17 3 R² 2. S&P 500 was used as the primary benchmark and ClearBridge (Net) 17 3 0.92 ClearBridge vs. S&P 500 the 90-Day T-Bills Index as the risk-free benchmark. S&P 500 17 3 +Statistics are calculated using gross of fee performance only. 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 3 of 7 ClearBridge Dividend Strategy (MA) Select UMA COMPOSITE DISCLOSURES ClearBridge-FranklinTempleton RETAIL ("ClearBridge") ClearBridge Dividend Strategy (MA) performance represents all fully discretionary separately managed wrap-fee accounts managed by The disclosures provided below apply to performance information in this profile, if any.