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Q2 / 2017 PARAMETRIC CUSTOM CORE U.S. LARGE CAP TM BENCHMARK: S&P 500® The Strategy Parametric’s Custom CoreTM U.S. Large Cap portfolios with tax management are designed to provide a client with exposure to U.S. large cap equity securities while maximizing after-tax returns through a variety of tax management techniques. The strategy seeks to exceed its benchmark on an after-tax basis. The Approach Portfolios are constructed by purchasing a diversified basket of securities. Tax management techniques including tax loss harvesting and the management of capital gains are used to minimize the impact of taxes, and maximize after-tax return. The Features Custom CoreTM portfolios can be benchmarked to a variety of indexes. Benchmark options vary by program. In addition, portfolios can be tailored to meet client objectives. Clients can choose to apply an industry or social screen. Portfolios can also be funded in kind and transitioned tax-efficiently. Growth of a Dollar (as of 6/30/2017) $2.10 $1.90 $1.70 $1.50 $1.30 $1.10 $0.90 $0.70 $0.50 2008 2009 2010 2011 PT Port 2012 2013 PT Bench 2014 2015 2016 2017 Performance is presented for a representative account. It was selected based on objective criteria and not performance. It is the oldest account invested in the strategy which incepted in cash, has no investment restrictions and has not changed its benchmark. Individual client account performance will vary. Portfolio pre-tax and after-tax returns are net of advisory fees and transaction costs since account’s inception. Benchmark pre-tax and after-tax returns do not reflect the deduction of advisory fees or transaction costs. It is not possible to invest directly in an index; they are unmanaged and do not reflect the deduction of fees and expenses. Past performance is not indicative future returns. All investments are subject to loss. See reverse for additional important information and disclosure. AT Bench (Simulated) AT Port % Average Annual Total Composite Returns (as of 6/30/2017) Q2 YTD 1 Year 3 Years 5 Years 10 Years 15 Years 20 Years Parametric (Net of Fees) % S&P 500® 3.1 3.1 9.1 9.3 17.6 17.9 9.2 9.6 14.1 14.6 6.8 7.2 Excess Return 0.0 -0.2 -0.2 -0.4 -0.5 -0.3 7.9 8.3 -0.4 6.8 7.2 -0.4 % Calendar Year Composite Returns 2006 Pre-Tax % Parametric (Net of Fees) S&P 500® Difference After-Tax % Parametric (Net of Fees) S&P 500® (Simulated) Difference Tax Alpha1 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 15.3 15.8 -0.5 5.5 5.5 0.0 -36.2 -37.0 0.8 24.8 26.5 -1.7 14.5 15.1 -0.5 1.8 2.1 -0.3 15.4 16.0 -0.6 31.9 32.4 -0.5 12.9 13.7 -0.7 1.1 1.4 -0.3 11.6 12.0 -0.4 15.1 15.0 0.1 0.1 5.9 4.8 1.2 0.7 -28.7 -36.1 7.4 6.4 29.3 27.6 1.7 2.8 14.2 14.8 -0.6 -0.6 2.3 1.7 0.6 0.5 14.6 15.3 -0.7 -0.6 30.9 31.0 -0.2 -0.3 12.0 12.0 0.0 0.2 2.1 0.5 1.5 1.4 12.3 11.0 1.3 1.2 Tax-Managed Custom CoreTM strategies are offered by Parametric Custom Tax-Managed & Centralized Portfolio Management. Non Tax-Managed Custom CoreTM strategies are offered by Parametric Investment & Overlay Strategies.* *Parametric is divided into two segments: Parametric Investment & Overlay Strategies and Parametric Custom Tax-Managed & Centralized Portfolio Management. For compliance with the Global Investment Performance Standards (GIPS® ), the Firm is defined and held out to the public as Parametric Investment & Overlay Strategies. 1 Tax Alpha is hypothetical and is defined as the simulated, net after-tax excess return minus any gross pre-tax excess return: Source: Parametric, Bloomberg & FactSet as of 6/30/2017. For illustrative purposes only; not an offer to buy or sell any security. Composite returns are presented net of advisory fees and brokerage commissions. 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. This strategy is offered by the Parametric Custom Tax-Managed & Centralized Portfolio Management segment of Parametric. See Disclosures for additional information. ©2017 Parametric Portfolio Associates® LLC. Not FDIC Insured. Not Bank Guaranteed. May Lose Value. PARAMETRIC CUSTOM CORETM U.S. LARGE CAP BENCHMARK: S&P 500® 25% Parametric Weights vs. Benchmark (as of 6/30/2017) 22.0% 22.3% 20% Parametric portfolios are primarily invested in equities, maintaining under 2% cash. Source: FactSet Research Systems. 14.6% 14.6% 14.1% 14.5% 15% 12.3%12.3% 10% 10.8% 10.3% 9.6% 9.1% 6.0% 5.9% 5% Parametric (%) Benchmark (%) 0% Top 10 Holdings % (as of 6/30/2017) Apple Inc. Microsoft Corporation Amazon.com, Inc. JPMorgan Chase & Co. Johnson & Johnson Facebook, Inc. Class A Wells Fargo & Company Berkshire Hathaway Inc. Class B Exxon Mobil Corporation Alphabet Inc. Class A 3.94 2.63 2.02 1.72 1.66 1.55 1.44 1.42 1.38 1.35 Information Technology Financials Health Care Consumer Discretionary Industrials Consumer Staples Portfolio Statistics (as of 6/30/2017) Parametric S&P 500 ® Capitalization ($ Millions) Wt. Average Mkt. Cap Wt. Median Mkt. Cap 173,252 168,952 91,992 88,127 Other Statistics No. of Securities 300 505 Beta 0.99 Dividend Yield % P/E Ratio Price/Book 1.95 1.00 1.94 17.47 17.56 3.00 2.95 3.0% 3.2% 2.8% 2.9% 2.7% 2.9% Utilities Real Estate Materials Energy 2.1% 2.1% Telecom. Services Source: Parametric & FactSet as of 6/30/2017. 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. Leadership Team - Seattle Investment Center Rey Santodomingo, CFA Managing Director - Investment Strategy Strategist for Custom CoreTM Disclosures Parametric Portfolio Associates® LLC (“Parametric”) is an affiliated investment advisory firm registered with the U.S. Securities and Exchange Commission. Parametric is headquartered in Seattle, WA and has investment centers in Seattle, WA; Minneapolis, MN; and Westport, CT providing investment management services. The Minneapolis investment center was formed following the purchase of the assets of the Clifton Group Investment Management Company in December 2012. The Westport investment center resulted from the consolidation of the operations of Parametric Risk Advisors LLC into Parametric in December 2016. This material may contain confidential and/or proprietary information, composite and/or account specific portfolio holdings, and/ or assumptions based on dissimilar period comparisons, and may only be relied upon for this report. This is not an offer to buy or sell any security and does not include a complete list of all securities purchased or sold in the period or for all clients. Actual holdings will vary and there is no guarantee that any client will hold any mentioned positions. No security or discipline is profitable all of the time and there is always the possibility of loss. Returns presented were generated using Parametric’s proprietary rulesbased investment methodology as described in ADV Part 2A, are unaudited and may not correspond to any other published data. Parametric is not a tax consultant and does not provide tax advice. Clients should seek other professional assistance before investing. Investment risks may include but are not limited to: market, economic, political, interest rate, currency exchange, leverage, liquidity, credit quality, trading, and client specific restrictions. Information is subject to change without notice. Composite Criteria Custom CoreTM – Benchmark: S&P 500®. Benchmark is for reference only. Management seeks exposure to U.S. large cap equity securities. The S&P 500® Index is comprised of the 500 largest ranked U. S. companies. Complete composite data is available upon request. Data reflects performance of tax-managed accounts benchmarked to the S&P 500 that are funded with cash and are free from client-directed investment restrictions. Because Parametric manages each account to reflect client-specific characteristics, accounts funded with securities and/or subject to restrictions will experience varying performance. Performance may be positively or negatively affected for individual returns. Derivatives trading and short selling may materially increase investment risk and potential returns. These risks may include but are not limited to margin/mark-tomarket cash calls, currency exchange, liquidity, unlimited asset exposure, and counter-party risk. Account Criteria Paul Bouchey, CFA Chief Investment Officer Accounts are fully discretionary. No minimum balance required. Accounts are included in a composite in first full month of management and excluded after the last full month of investment. Terminated accounts are retained in composites for the full period of investment. Calculation Methodology Account performance is calculated using the time-weighted, dailylinked total return methodology, and reflects the reinvestment of dividends, interest, gains and other income. Composite returns are market-value weighted using beginning of month valuations. Composite gross returns are inclusive of transaction costs, any foreign withholding taxes and other direct expenses, but exclusive of management fees, custody charges and other indirect expenses. Starting Q4 2016, composite net returns reflect the deduction of a 0.35% annual management fee – the highest paid by any client in this composite. Prior to Q4 2016, composite net returns reflect the deduction of a 0.45% annual management fee. After Tax Performance When calculating after-tax returns, Parametric applies the client’s individual tax rate (which may include federal and state income taxes), if provided by the client. If the individual tax rate is not provided by the client, Parametric applies the highest U.S. federal tax rates. For short-term gains, the highest U.S. federal marginal income tax rate is 39.6% plus the 3.8% net investment income tax, for a combined rate of 43.4%. For long-term gains, the highest U.S. capital gains tax rate is 20% plus the 3.8% net investment income tax, for a combined rate of 23.8%. These assumed tax rates are applied to both net realized gains and losses in the portfolio. Applying the highest rate may cause the after-tax performance shown to be different than an investor’s actual experience. Investors’ actual tax rates, the presence of current or future capital loss carry forwards, and other investor tax circumstances will cause an investor’s actual after-tax performance to be over or under Parametric’s estimates presented here. In periods when net realized losses exceed net realized gains, applying the highest tax rates to our calculations illustrates the highest after-tax return that could be expected of the portfolio, and assumes the maximum potential tax benefit was derived. Actual client after-tax returns will vary. As with all after-tax performance, the after-tax performance reported here is an estimate. In particular, it has been assumed that the investor has, or will have sufficient capital gains from sources outside of this portfolio to fully offset any net capital losses realized, and any resulting tax benefit has been included in Parametric’s computation of after-tax performance. 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 ©2017 Parametric Portfolio Associates® LLC. Not FDIC Insured. Not Bank Guaranteed. May Lose Value. 1918 Eighth Avenue, Suite 3100, Seattle, WA 98101 206.694.5500 www.ParametricPortfolio.com 1924 7.24.17 Thomas Seto Head of Investment Management procedures, reporting dates or valuation methodologies for certain securities. Client performance summaries and any related data produced by Parametric are not audited. Clients are encouraged to carefully review and compare the official custodial records with the various data and performance statistics reported by Parametric. Benchmark after-tax returns are simulated for each benchmark portfolio using a hypothetical, after-tax benchmark portfolio with the same inception date, cash flows, cost basis, and tax rates as the client portfolio. The after-tax benchmark’s capital gain realization rate is based on the average turnover rate of the pre-tax benchmark and ending gain or loss of the after-tax benchmark for each period. Dividend income is estimated using the pre-tax benchmark index’s dividend return during the period. After-tax benchmark returns reflect the deduction of taxes, but do not include any other fees or expenses. After-tax benchmark returns are hypothetical, do not reflect actual trading, and may not be relied upon for investment decisions. The S&P index(es) (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Parametric. Copyright © 2017 by S&P Dow Jones Indices LLC, a subsidiary of the McGraw-Hill Companies, Inc., and/or its affiliates. All rights reserved. Redistribution, reproduction and/ or photocopying in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein. Parametric makes no representation or endorsement concerning the accuracy or propriety of information received from any other third party. Investments are subject to change without notice. All information is believed to be correct but accuracy cannot be guaranteed. For more information regarding Parametric and its investment strategies, the firm’s list of composite descriptions, or to request a copy of Parametric’s Form ADV, please contact us at 206.694.5575 or visit our website, www.parametricportfolio.com.