Mid Cap Value Equity SMA Select UMA
Boston Partners MC Val Eqty (RBE-3)
Style: US Mid Cap Value, GIMA Status: Focus, Program Inception: 01/23/2020, Strategy Minimum: $25,000
EXECUTIVE SUMMARY
To help you better understand the performance results of third-party investment manager strategies within our Select UMA Program, we are including additional information within manager profiles that may inform your decision to invest in this strategy:
? The performance results displayed in this profile may include a composite of Morgan Stanley accounts enrolled in the strategy. These are unshaded in the
Investment Results and Portfolio Quarterly Returns sections of the profile with the Select UMA label.
? The results also display the performance of the manager's own composite of accounts invested in its version of the investment strategy, prior to the strategy's
inception in the Select UMA program. These are shaded in grey and labeled Manager. While this performance is relevant, it does not reflect the role that Morgan Stanley plays in delivering this strategy, which is reflected in the unshaded portion of the Investment Results and Portfolio Quarterly Returns sections of the profile. Morgan Stanley works in tandem, with the manager, to deliver this strategy to its clients. For this reason, Morgan Stanley does not display the manager's own composite of accounts invested in its version of the investment strategy beyond the transition month. As a result, the manager's results and the strategy's results may differ, as discussed in further detail below.
? If the transition month between the manager's results and the strategy's results occurs in the middle of a quarter, that quarter or year will be shaded blue in the
Investment Results and Portfolio Quarterly Returns sections of the profile and labeled Transition.
The manager exercises discretion in selecting securities for your account, but differences between the manager's prior gross results and the strategy's ongoing gross results may arise from variations in who executes the strategy or how it is implemented:
? Some managers may deliver a model portfolio to Morgan Stanley, which may ultimately be responsible for executing those investment decisions. ? In some cases, the manager may act as an "executing manager," which means it implements its investment decisions and transactions directly instead of
delivering instructions to Morgan Stanley.
? The manager's prior performance results are based on accounts that do not participate in the Select UMA program, with investment and operational differences
such as account size and/or level of customization.
? There may be other reasons why the performance results differ from those of individual Select UMA accounts managed in the same or a substantially similar
investment strategy. For example, Morgan Stanley may deviate from strategy models when applying client-requested restrictions.
If you have any questions about any of the information included in this profile, please contact your Morgan Stanley team. Past performance is not a guarantee of future results. Actual individual account results may differ from the performance shown in this profile. There is no guarantee that any investment strategy will achieve its intended results under all market conditions. Do not rely upon this profile as the sole basis for your investment decisions.
For MAPS Third Party Model Portfolios, `Manager' illustrated performance is that of the Model Portfolio Provider.
The subsequent pages contain important disclosures and a glossary of terms. Information as of December 31, 2023, unless otherwise noted and is subject to change.
Boston Partners MC Val Eqty (RBE-3)
Style: US Mid Cap Value, GIMA Status: Focus, Program Inception: 01/23/2020, Strategy Minimum: $25,000
Strategy Overview
The Boston Partners midcap value strategy is a value-oriented portfolio that utilizes security selection as its source of potential return. The strategy is managed by Steven Pollack, CFA who has been portfolio manager since 2001. Steve is supported by a deep team of fundamental and quantitative analysts that conduct fundamental research that guides and supports security selection decisions made by the portfolio manager. Quantitative tools are integrated into the process on the front end to help originate new investment ideas and on the back end to quantify portfolio characteristics and manage risk.The process seeks companies that possess attractive valuation, strong business fundamental, and positive business momentum. Also embedded in the process is portfolio construction tools including diversification, position sizing, and a well-defined sell discipline to help manage risk.The strategy is benchmarked to the Russell Midcap? Value Index and the investable universe includes all companies that trade on US exchanges within the capitalization parameters set by the Russell Midcap? Value Index. Product Inception Date 01/23/2020
Target Portfolio Characteristics
Portfolio Manager Details 1
Description Number of security holdings: P/E ratio:
Value 100 to 165 Similar to the S&P 500
Manager Name Steve Pollack Tim Collard
Cash level over market cycle:
0 to 5%
Risk (standard deviation):
Similar to/Above the S&P 500
Average turnover rate:
35 to 45%
Use ADRs:
0 to 15%
Capitalization:
Large and Medium companies
Eligible Investments:
Individual Stocks
Term May 2000 - Present January 2023 - Present
Manager's Investment Process
? The Boston Partners investment process is grounded in bottom-up fundamental analysis. Efficient and repeatable, it is designed to identify "characteristics that work": attractive valuation, sound business fundamentals and improving business momentum. The process is executed within a team-oriented culture that upholds individual accountability and provides the clarity of having final decision makers at the portfolio manager level.
? Our investment process begins with quantitative scoring and screening to cull a target-rich subset universe based on the Three Circle characteristics for our fundamental research. We cast our net wide, scoring thousands of stocks worldwide every week based on fundamental, valuation and momentum criteria. ? We validate each candidate's screening score by using customized reporting tools to help us evaluate the company's financial history. This enables us to efficiently identify bona fide candidates within our Three Circle stock selection framework and provides a roadmap for our fundamental research. ? Our fundamental work incorporates the full menu of public filings, industry information and management discussion, which in conjunction with our professional judgment and experience, formulate our assessment of each company's intrinsic value and, where applicable, its prospects for achieving it. Research findings are formally discussed and debated during our scheduled twice-weekly meetings. Portfolio managers are the final decision makers. ? The Boston Partners investment philosophy and process is rooted in a sensible set of principles and has not changed, but rather been affirmed, over various market cycles by the long-term performance of our products.
1 For more information on Portfolio Managers, please refer to this manager's Form ADV wealth-investmentsolutions/advbrochures. The subsequent pages contain important disclosures and a glossary of terms. Information as of December 31, 2023, unless otherwise noted and is subject to change.
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Boston Partners MC Val Eqty (RBE-3)
Style: US Mid Cap Value, GIMA Status: Focus, Program Inception: 01/23/2020, Strategy Minimum: $25,000
Portfolio Statistics
Portfolio's Equity Sector Weightings +
Number of security holdings Dividend Yield Distribution Rate Wtd avg P/E ratio ? Wtd avg portfolio beta Mega capitalization Large capitalization Medium capitalization Small capitalization Micro capitalization
12/23
Boston Prtnr Index***
146
702
1.7%
1.9%
--
--
16.50x 16.10x
--
--
0.0%
0.0%
71.6% 27.9%
71.1% 28.4%
0.5%
0.5%
0.0%
0.0%
06/23 Boston Prtnr
146 1.8%
-- 15.40x
-- 0.0% 73.0% 27.0% 0.0% 0.0%
Sector breakdown by style (%)
Portfolio's Allocation History (%) +
U.S. Stocks
12/23 97
09/23 97
Cash/Cash Equivalents
3
3
Portfolio's Top Five Security Holdings
Product Name AMERIPRISE FINANCIAL, INC. PARKER-HANNIFIN CORPORATION AMETEK, INC. HOWMET AEROSPACE INC. AUTOZONE, INC.
Weight (%) 2.1 1.7 1.5 1.4 1.3
?The P/E used here is calculated by the harmonic mean. Total may not equal 100% due to rounding. ***Index : Russell Mid Cap Vl
Sector Breakdown
Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Communication Services Utilities Real Estate/REITs Cash/Cash Equivalents
12/23
Boston Prtnr Index***
4.79 7.59 24.37 12.62 2.15 6.73 14.78 10.29 1.24 4.96 7.86 2.62
5.24 7.59 19.14 9.41 3.74 6.81 17.60 9.49 3.22 7.16 10.60 0.00
06/23
Boston Prtnr
4.90 5.33 25.50 13.96 2.53 8.39 14.20 9.12 1.81 4.77 7.09 2.40
06/23 98 2
03/23 97 3
The subsequent pages contain important disclosures and a glossary of terms. Information as of December 31, 2023, unless otherwise noted and is subject to change.
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Boston Partners MC Val Eqty (RBE-3)
Style: US Mid Cap Value, GIMA Status: Focus, Program Inception: 01/23/2020, Strategy Minimum: $25,000 Strategy Inception Date: 05/1995 ?, Morgan Stanley Composite Date: 09/2021 ?
Average Annual Total Return (%) - Periods Ending 12/31/23
Boston Prtnr (Gross) Boston Prtnr (Net) Primary Benchmark
1yr 17.85 15.21 12.71
3yr 12.76 10.25
8.36
5yr 14.95 12.40 11.16
7/10yr 10.99
8.49 8.26
Inception 9.38 6.93
11.22
Calendar-Year Performance (%) 2
Portfolio's Quarterly Returns (%)
Boston Prtnr (Gross) Boston Prtnr (Net) Primary Benchmark
2023 2022 17.85 -5.81 15.21 -7.90 12.71 -12.03
2021 29.19 26.30 28.34
2020 6.55 4.21 4.96
2019 2018 31.36 -13.09 28.49 -15.09 27.06 -12.29
2017 17.08 14.44 13.35
2016 16.85 14.14 20.00
2015 3.42 1.10 -4.79
2014 14.93 12.30 14.75
0.
Manager
Transition
Select UMA
1. Statistics are calculated using gross of fee performance only.
2. Russell Mid Cap Vl was used as the Primary Benchmark, the 90-Day T-Bills Index as the Risk-free
Benchmark
3. For more information on these dates please see the Glossary of Terms section
Quarter 1 Gross Net Quarter 2 Gross Net Quarter 3 Gross Net Quarter 4 Gross Net
2023
1.74 1.20
6.32 5.72
-2.77 -3.31
12.04 11.37
2022
0.02 -0.56
-13.52 -14.05
-4.10 -4.61
13.54 12.95
2021 2020
13.84 -30.05 13.18 -30.46
5.74 18.04 5.16 17.44
-0.38 5.73 -0.96 5.15
7.73 22.05 7.14 21.35
2019 2018
13.75 -0.01 13.16 -0.56
5.64 -0.37 5.07 -0.95
2.48 4.00 1.90 3.42
6.67 -16.12 6.06 -16.65
2017
4.49 3.90
2.37 1.77
3.79 3.20
5.46 4.87
2016
0.31 -0.32
3.97 3.38
6.14 5.55
5.56 4.94
2015
4.89 4.28
-1.22 -1.79
-5.24 -5.78
5.34 4.77
2014
4.11 3.50
3.57 2.97
-1.62 -2.19
8.34 7.74
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.
The subsequent pages contain important disclosures and a glossary of terms. Information as of December 31, 2023, unless otherwise noted and is subject to change.
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Boston Partners MC Val Eqty (RBE-3)
Style: US Mid Cap Value, GIMA Status: Focus, Program Inception: 01/23/2020, Strategy Minimum: $25,000
Risk Considerations
Risk/Return Analysis 2
- 5 Years Ending 12/31/23
Equity securities prices may fluctuate in response to specific situations for each company, industry, market conditions and general economic environment. Companies paying dividends can 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. Investing in securities entails risks, including: The stocks of medium-sized companies are often associated with higher risk than stocks of larger companies, including higher volatility. Investing in smaller/mid-cap companies involves greater risks not associated with investing in more established companies, such as business risk, significant stock price fluctuations and illiquidity. When investing in value securities, the market may not necessarily have the same value assessment as the manager, and, therefore, the performance of the securities may decline. Value investing involves the risk that the market may not recognize that securities are undervalued and they may not appreciate as anticipated. Value investing does not guarantee a profit or eliminate risk. 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. 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. To the extent that this manager employs ESG practices, ESG investments in a portfolio may experience performance that is lower or higher than a portfolio not employing such practices. Please refer to the Disclosure section for additional ESG considerations. To the extent this manager invests in international securities, investors should consider that investing in foreign markets entails greater risks than those normally associated with domestic markets such as foreign political, currency, economic and market risks. These risks are magnified in countries with emerging markets, since these countries may have relatively unstable governments and less established markets and economics.
Risk Volatility (%)2
Boston Prtnr (Gross) Boston Prtnr (Net) Primary Benchmark Risk-free Benchmark
STD 23.05 22.95 23.84
0.98
Portfolio's Risk Statistics - Periods Ending 12/31/23 1 2
Standard Deviation
3 Year 16.27%
Standard Deviation of Primary Benchmark
16.47%
Sharpe Ratio
0.65
Sharpe Ratio of Primary Benchmark
0.37
Alpha
4.28%
Beta
0.98
Downside Risk
0.49%
R-Squared
0.98
Tracking Error
2.22%
Information Ratio
1.99
1. Statistics are calculated using gross of fee performance only. 2. Russell Mid Cap Vl was used as the Primary Benchmark, the 90-Day T-Bills Index as the Risk-free Benchmark 3. For more information on these dates please see the Glossary of Terms section The subsequent pages contain important disclosures and a glossary of terms. Information as of December 31, 2023, unless otherwise noted and is subject to change.
ROR 14.95 12.40 11.16
1.91
5 Year 23.05% 23.84%
0.57 0.39 3.75% 0.96 1.04% 0.99 2.52% 1.51
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