INVESTMENT PORTFOLIO REVIEW · Until the debt burden in emerging markets eases, developed markets...
Transcript of INVESTMENT PORTFOLIO REVIEW · Until the debt burden in emerging markets eases, developed markets...
INVESTMENT PORTFOLIO REVIEW
PRESENTED TO
EPISCOPAL DIOCESE OF CT
JOSEPH A MCCOURT CFAMD SENIOR INSTITUTIONAL PORTFOLIO STRATEGIST 6174347944JOSEPHAMCCOURTUSTRUSTCOM
PATRICK J STAFFARONISVP PHILANTHROPIC CLIENT MANAGER 8602444878PATRICKJSTAFFARONIUSTRUSTCOM
APRIL 18 2017
ELIZABETH CAHILLMD PRIVATE CLIENT ADVISOR
2034225206
ELIZABETHACAHILLUSTRUSTCOM
INTRODUCTIONInvestment Strategy Committee Viewpoint
EXECUTIVE SUMMARY
PORTFOLIO REVIEWCurrent Asset AllocationRisk AnalyticsAttribution AnalysisInvestment Performance(Trailing Returns bar chart) Investment Performance (Product View)Largest Equity Positions Portfolio Holdings
APPENDIX
TABLE OF CONTENTS
2
INTRODUCTION
3
ECONOMIC OUTLOOK
Source US Trust Macro Strategy amp Research team as of March 15 2017
Global
Watch List
US The Dollar US real Gross Domestic Product growth accelerated sharply in the second
half of 2016 on solid contributions from consumer spending and housing Weexpect US real GDP growth of 20 ndash 30 for the year 2017
A pickup in wage growth rising home prices low gasoline prices and verypositive labor market dynamics are strong tailwinds for US consumers Wethink real consumer spending growth will continue to trend around 25 ndash30
Housing activity is contributing to growth We believe it is on track asdemographic-driven demand is outpacing supply Homebuilder confidence isback to 2005 levels
Pro-business policies likely at some level Tax cuts tax reform repatriationandor regulatory relief should boost nominal growth The mix between realgrowth and inflation is uncertain
Business sentiment jumped post-election For now we expect a continuationof moderate growth in business spending with technology spending leadingthe way but there is upside This will help extend the cycle
Oil prices remain firm on news that OPEC will cut production and globaldemand remains strong We have a 2017 year-end target of $50 ndash $70
The waning global momentum that developed from Chinarsquos transition and thenegative upfront impact of the stronger dollar and lower oil prices is nowsubsiding thanks to Trump policy stimulus and a steadier currency andcommodity outlook
Global leading indicators and manufacturing data suggest global cyclicalmomentum is picking up We continue to expect 35 plus real global GrossDomestic Product growth for the year
Until the debt burden in emerging markets eases developed markets led bythe US are likely to see relatively better growth compared to potential
Fed Policy Trump Policy US Dollar
Our base case is that the dollar gains 50 ndash 100 for the year 2017 on abroad trade-weighted basis
We would approach hedging Japanese and European equities on a case-by-case basis given our more neutral view
Measures of slack and distress in the labor market continue to fallUnemployment rate on track to fall near or below 45 by the end of thisyear The participation rate is rising
Average hourly earnings confirm wage pressures as economy reaches fullemployment
European Elections Brexit Interest Rates
Labor market report shows a moderate uptrend in wage growth anchoringinflation and keeping the Fed firmly on track to raise rates a few more timesthis year
The profits recovery will help credit markets but margins will remain underpressure from rising unit labor costs
Higher nominal growth and possibly a lower corporate tax rate add to theupside risks to profits We expect 2017 SampP 500 earnings per share of $129 ndash$138 with upside potential
AR9TPBDK
Employment
Inflation and Interest Rates
Profits
4
ECONOMIC AND MARKET FORECASTS
Percent calendar-year average over calendar-year average annualized unless stated E = EstimateLatest 12-month average over previous 12-month average Past performance is no guarantee of future results There can be no assurance that the forecasts will be achievedEconomic or financial forecasts are inherently limited and should not be relied on as indicators of future investment performanceSource GWIM Investment Strategy Committee as of March 29 2017 AR9TPBDK
5
Slightly short duration is warranted balancing highershort-term rates in the US and with overwhelming demand for fixed income globally We continue to prefer credit over Treasuries with an emphasis on investment-grade corporates particularly banks andmunicipals In the currently higher volatility market an allocation to Treasuries for liquidity and relative safety is advised An allocation to Treasury Inflation-Protected Securities (TIPS) should be considered where appropriate We advocate an underweight positioning for corporate high-yield (HY) An allocation to leveraged loans is advised within HY Given US dollar strength we are avoiding non-dollar sovereign bonds We recommend active management to improve potential returns in a risingvolatile rate environment A barbell strategy of owning longer and shorted dated maturity bonds should perform better than a bulleted strategy
We recommend a slight overweight in internationaldeveloped equities with a preference for JapanWe acknowledge that Japanrsquos economy has structural impediments to growth such as high debt levels and demographics However cyclically growth there should accelerate on rising global activity improving domestic demand and a weaker currency The Bank of Japanrsquos recent monetary policy stance of fading negative deposit rates and targeting the yield curve has been well received by investors Along with monetary policy fiscal policy will be supportive of growth European equities can produce positive returns given that they are cheap and earnings could surprise on the upside driven by margin expansion and top-line growth However we maintain a cautious stance given ongoing stress in the banking sector and a full political calendar over the next six months with crucial votes in Germany and France and the triggering of Brexit looming in the first quarter
Equities
US Equities
Emerging Markets
International Developed
Fixed Income
CommoditiesWe continue to expect equities to outperform fixed income Equities should remain on a longer-term uptrend as US and global expansionsgradually continue
Within equities we maintain an overweight to US large cap stocks for theirhigh quality stronger free cash flows and dividend growth We are also overweight US small caps as we believe they will be beneficiaries of stronger US growth We favor a more cyclical and value-oriented portfolio theme
PORTFOLIO STRATEGY AND ASSET ALLOCATION
Underweight
We are neutral commodities Commodity prices are likely range-bound in the near term weighed down by global economic policy uncertainty but held up by stable global cyclical momentum We think oil prices will finish 2017 in the $50 ndash $70 dollar range
We are neutral hedge funds We see the environment for active management and hence hedge funds improving in 2017 and continue to recommend a diversified approach when investing in this heterogeneous asset class We have upgraded our view on global equity from neutral to moderately positive
Overweight
Private Equity
Hedge Funds
Real Estate
We are neutral private equity The combination of high headline multiples increased deal competition and the large capital overhang creates an investment environment that requires a disciplined approach to allocating capital across private equity strategies Currently we see opportunities in special situation and private credit We favor a steady commitment strategy and manager selectivity in diversified PE portfolios
Source GWIM Investment Strategy Committee as of March 15 2017 AR9TPBDK
TACTICAL SHIFTSDecember 2016 We shifted to an overweight in equities Within equities we raised US small caps to overweight
TACTICAL SHIFTSMarch 2017 We shifted to a slight overweight position in international developed equities
TACTICAL SHIFTSDecember 2016 We have moved further underweight fixed income
We remain neutral in real estate as an asset class The US commercial real estate (CRE) markets are in the mature phase of the current real estate cycle with continuing positive signs indicating that supply and demand for space are well balanced for most property types CRE investors should look to current income returns with value growth now mostly driven by increases in rents and cash flow over time
Neutral
We remain overweight emerging market equities While emerging market equities continue to face a range of challenges including low commodity prices gradual normalization of Federal Reserve interest rate policy and the structural downshift in Chinarsquos growth rate we believe they will benefit from improving economic growth and attractive valuations
REITs Reclassification Historically US Trustrsquos strategic asset allocation guidelines (SAAG) included Real Estate Investment Trusts (REITs) within the Real Estate asset category Our Capital Market Assumptions (CMAs) also supported categorizing REIT securities as Real Estate Effective in 2017 US Trust SAAG is moving REIT securities from Real Estate to Equities
6
Equity Market Performance Equity Style Performance
Fixed Income Market Performance Treasury Yield Curve
The performance for above markets are represented by their respective indexes Past performance is no guarantee of future results Performance results are extremely short-term and may not provide an adequate basis for evaluating performance potential over varying market conditions or economic cyclesPlease see end of presentation for asset class disclosures and index definitions
The Citigroup Pension Liability Index provides an investment performance benchmark for assetliability management of a lsquotypicalrsquo pension plan The Barclays Capital Fixed Income Indices were recently acquired by Bloomberg and are now branded Bloomberg Barclays Indices
Source FactSet Data as of 02282017
Source Bloomberg Data as of 02282017Source Bloomberg Data as of 02282017
Source Bloomberg Data as of 02282017
MARKET PERFORMANCEAs of February 28 2017
0
5
10
15
20
25
30
35
40
Dow SampP 500 NasdaqComposite
RussellMidcap
Russell 2000 MSCI EAFE MSCIEmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
0
5
10
15
20
25
30
35
40
45
SampP 500 Russell 1000Growth
Russell 1000Value
RussellMidcapGrowth
RussellMidcapValue
Russell 2000Growth
Russell 2000Value
Tota
l Ret
urn
()
February Last three months Last 12 months
-10
-5
0
5
10
15
20
25
BarclaysCapital
High Yield
BarclaysCapital
Mortgage-Backed
Securities
BarclaysCapital
Aggregate
BarclaysCapital
Corporate
BarclaysCapital Ten-
yearTreasury
Bellwether
CitigroupPensionLiabilityIndex
BarclaysGlobal
AggregateSovereign
BarclaysGlobal
EmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
00
05
10
15
20
25
30
35
3M 6M 2Y 5Y 10Y 30Y
022817 123016 093016 022916
7
INSTITUTIONAL PORTFOLIO POSITIONING
ASSET CLASS ALLOCATION WEIGHTING Cash Positioning We are neutral
Valuation bull Low yieldsEquities Positioning We are overweight equities Portfolios are being repositioned for higher nominal growth and rising interest
rates This rotation should continue throughout 2017
Emphasis bull We are overweight US large caps US small caps and emerging market equitiesValuation bull Valuations favor equities over fixed income
US Large Caps Positioning We are slightly overweight large caps
Emphasis bull ValueValuation bull Slightly overvalued but attractive relative to fixed income
US Mid Caps Positioning We are neutral mid caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
US Small Caps Positioning We are overweight small caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
International Developed
Positioning Downside risk to growth and inflation from bank stress and political uncertainty Major elections in 2017 and negative interest rate policy offset highly accommodative monetary stance and improving global economy
Emphasis bull Favor Japan on a relative basisValuation bull Neutral
Emerging Markets Positioning Valuations are attractive for long-term investors Beneficiaries of the pickup in global cyclical momentum Favor reform-oriented countries and consumer spending
Emphasis bull Asia remains our favored region within the emerging world and we maintain our preference for India on acountry basis
Valuation bull Attractive for long term investors
minus +
minus +
minus +
minus +
minus +
minus +
Tactical qualitative investment strategy weightings are relative in nature versus the strategic weightings for a fully diversified portfolio Weightings are based on the relative attractiveness of each asset class Tactical strategyweightings are for a 12- to 36-month time horizonBecause economic and market conditions change recommended allocations may vary in the future Asset allocation cannot eliminate the risk of fluctuating prices and uncertain returns All sector and asset allocation recommendations must be considered in the context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investorsAlternative investments such as derivatives hedge funds private equity funds and funds of funds can result in higher return potential but also higher loss potential Changes in economic conditions or other circumstances may adversely affect your investments Before you invest in alternative investments you should consider your overall financial situation how much money you have to invest your need for liquidity and your tolerance for riskSource Global Wealth amp Investment Management Investment Strategy Committee As of February 152017
Please see end of presentation for asset class disclosures and index definitions
8
INTRODUCTIONInvestment Strategy Committee Viewpoint
EXECUTIVE SUMMARY
PORTFOLIO REVIEWCurrent Asset AllocationRisk AnalyticsAttribution AnalysisInvestment Performance(Trailing Returns bar chart) Investment Performance (Product View)Largest Equity Positions Portfolio Holdings
APPENDIX
TABLE OF CONTENTS
2
INTRODUCTION
3
ECONOMIC OUTLOOK
Source US Trust Macro Strategy amp Research team as of March 15 2017
Global
Watch List
US The Dollar US real Gross Domestic Product growth accelerated sharply in the second
half of 2016 on solid contributions from consumer spending and housing Weexpect US real GDP growth of 20 ndash 30 for the year 2017
A pickup in wage growth rising home prices low gasoline prices and verypositive labor market dynamics are strong tailwinds for US consumers Wethink real consumer spending growth will continue to trend around 25 ndash30
Housing activity is contributing to growth We believe it is on track asdemographic-driven demand is outpacing supply Homebuilder confidence isback to 2005 levels
Pro-business policies likely at some level Tax cuts tax reform repatriationandor regulatory relief should boost nominal growth The mix between realgrowth and inflation is uncertain
Business sentiment jumped post-election For now we expect a continuationof moderate growth in business spending with technology spending leadingthe way but there is upside This will help extend the cycle
Oil prices remain firm on news that OPEC will cut production and globaldemand remains strong We have a 2017 year-end target of $50 ndash $70
The waning global momentum that developed from Chinarsquos transition and thenegative upfront impact of the stronger dollar and lower oil prices is nowsubsiding thanks to Trump policy stimulus and a steadier currency andcommodity outlook
Global leading indicators and manufacturing data suggest global cyclicalmomentum is picking up We continue to expect 35 plus real global GrossDomestic Product growth for the year
Until the debt burden in emerging markets eases developed markets led bythe US are likely to see relatively better growth compared to potential
Fed Policy Trump Policy US Dollar
Our base case is that the dollar gains 50 ndash 100 for the year 2017 on abroad trade-weighted basis
We would approach hedging Japanese and European equities on a case-by-case basis given our more neutral view
Measures of slack and distress in the labor market continue to fallUnemployment rate on track to fall near or below 45 by the end of thisyear The participation rate is rising
Average hourly earnings confirm wage pressures as economy reaches fullemployment
European Elections Brexit Interest Rates
Labor market report shows a moderate uptrend in wage growth anchoringinflation and keeping the Fed firmly on track to raise rates a few more timesthis year
The profits recovery will help credit markets but margins will remain underpressure from rising unit labor costs
Higher nominal growth and possibly a lower corporate tax rate add to theupside risks to profits We expect 2017 SampP 500 earnings per share of $129 ndash$138 with upside potential
AR9TPBDK
Employment
Inflation and Interest Rates
Profits
4
ECONOMIC AND MARKET FORECASTS
Percent calendar-year average over calendar-year average annualized unless stated E = EstimateLatest 12-month average over previous 12-month average Past performance is no guarantee of future results There can be no assurance that the forecasts will be achievedEconomic or financial forecasts are inherently limited and should not be relied on as indicators of future investment performanceSource GWIM Investment Strategy Committee as of March 29 2017 AR9TPBDK
5
Slightly short duration is warranted balancing highershort-term rates in the US and with overwhelming demand for fixed income globally We continue to prefer credit over Treasuries with an emphasis on investment-grade corporates particularly banks andmunicipals In the currently higher volatility market an allocation to Treasuries for liquidity and relative safety is advised An allocation to Treasury Inflation-Protected Securities (TIPS) should be considered where appropriate We advocate an underweight positioning for corporate high-yield (HY) An allocation to leveraged loans is advised within HY Given US dollar strength we are avoiding non-dollar sovereign bonds We recommend active management to improve potential returns in a risingvolatile rate environment A barbell strategy of owning longer and shorted dated maturity bonds should perform better than a bulleted strategy
We recommend a slight overweight in internationaldeveloped equities with a preference for JapanWe acknowledge that Japanrsquos economy has structural impediments to growth such as high debt levels and demographics However cyclically growth there should accelerate on rising global activity improving domestic demand and a weaker currency The Bank of Japanrsquos recent monetary policy stance of fading negative deposit rates and targeting the yield curve has been well received by investors Along with monetary policy fiscal policy will be supportive of growth European equities can produce positive returns given that they are cheap and earnings could surprise on the upside driven by margin expansion and top-line growth However we maintain a cautious stance given ongoing stress in the banking sector and a full political calendar over the next six months with crucial votes in Germany and France and the triggering of Brexit looming in the first quarter
Equities
US Equities
Emerging Markets
International Developed
Fixed Income
CommoditiesWe continue to expect equities to outperform fixed income Equities should remain on a longer-term uptrend as US and global expansionsgradually continue
Within equities we maintain an overweight to US large cap stocks for theirhigh quality stronger free cash flows and dividend growth We are also overweight US small caps as we believe they will be beneficiaries of stronger US growth We favor a more cyclical and value-oriented portfolio theme
PORTFOLIO STRATEGY AND ASSET ALLOCATION
Underweight
We are neutral commodities Commodity prices are likely range-bound in the near term weighed down by global economic policy uncertainty but held up by stable global cyclical momentum We think oil prices will finish 2017 in the $50 ndash $70 dollar range
We are neutral hedge funds We see the environment for active management and hence hedge funds improving in 2017 and continue to recommend a diversified approach when investing in this heterogeneous asset class We have upgraded our view on global equity from neutral to moderately positive
Overweight
Private Equity
Hedge Funds
Real Estate
We are neutral private equity The combination of high headline multiples increased deal competition and the large capital overhang creates an investment environment that requires a disciplined approach to allocating capital across private equity strategies Currently we see opportunities in special situation and private credit We favor a steady commitment strategy and manager selectivity in diversified PE portfolios
Source GWIM Investment Strategy Committee as of March 15 2017 AR9TPBDK
TACTICAL SHIFTSDecember 2016 We shifted to an overweight in equities Within equities we raised US small caps to overweight
TACTICAL SHIFTSMarch 2017 We shifted to a slight overweight position in international developed equities
TACTICAL SHIFTSDecember 2016 We have moved further underweight fixed income
We remain neutral in real estate as an asset class The US commercial real estate (CRE) markets are in the mature phase of the current real estate cycle with continuing positive signs indicating that supply and demand for space are well balanced for most property types CRE investors should look to current income returns with value growth now mostly driven by increases in rents and cash flow over time
Neutral
We remain overweight emerging market equities While emerging market equities continue to face a range of challenges including low commodity prices gradual normalization of Federal Reserve interest rate policy and the structural downshift in Chinarsquos growth rate we believe they will benefit from improving economic growth and attractive valuations
REITs Reclassification Historically US Trustrsquos strategic asset allocation guidelines (SAAG) included Real Estate Investment Trusts (REITs) within the Real Estate asset category Our Capital Market Assumptions (CMAs) also supported categorizing REIT securities as Real Estate Effective in 2017 US Trust SAAG is moving REIT securities from Real Estate to Equities
6
Equity Market Performance Equity Style Performance
Fixed Income Market Performance Treasury Yield Curve
The performance for above markets are represented by their respective indexes Past performance is no guarantee of future results Performance results are extremely short-term and may not provide an adequate basis for evaluating performance potential over varying market conditions or economic cyclesPlease see end of presentation for asset class disclosures and index definitions
The Citigroup Pension Liability Index provides an investment performance benchmark for assetliability management of a lsquotypicalrsquo pension plan The Barclays Capital Fixed Income Indices were recently acquired by Bloomberg and are now branded Bloomberg Barclays Indices
Source FactSet Data as of 02282017
Source Bloomberg Data as of 02282017Source Bloomberg Data as of 02282017
Source Bloomberg Data as of 02282017
MARKET PERFORMANCEAs of February 28 2017
0
5
10
15
20
25
30
35
40
Dow SampP 500 NasdaqComposite
RussellMidcap
Russell 2000 MSCI EAFE MSCIEmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
0
5
10
15
20
25
30
35
40
45
SampP 500 Russell 1000Growth
Russell 1000Value
RussellMidcapGrowth
RussellMidcapValue
Russell 2000Growth
Russell 2000Value
Tota
l Ret
urn
()
February Last three months Last 12 months
-10
-5
0
5
10
15
20
25
BarclaysCapital
High Yield
BarclaysCapital
Mortgage-Backed
Securities
BarclaysCapital
Aggregate
BarclaysCapital
Corporate
BarclaysCapital Ten-
yearTreasury
Bellwether
CitigroupPensionLiabilityIndex
BarclaysGlobal
AggregateSovereign
BarclaysGlobal
EmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
00
05
10
15
20
25
30
35
3M 6M 2Y 5Y 10Y 30Y
022817 123016 093016 022916
7
INSTITUTIONAL PORTFOLIO POSITIONING
ASSET CLASS ALLOCATION WEIGHTING Cash Positioning We are neutral
Valuation bull Low yieldsEquities Positioning We are overweight equities Portfolios are being repositioned for higher nominal growth and rising interest
rates This rotation should continue throughout 2017
Emphasis bull We are overweight US large caps US small caps and emerging market equitiesValuation bull Valuations favor equities over fixed income
US Large Caps Positioning We are slightly overweight large caps
Emphasis bull ValueValuation bull Slightly overvalued but attractive relative to fixed income
US Mid Caps Positioning We are neutral mid caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
US Small Caps Positioning We are overweight small caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
International Developed
Positioning Downside risk to growth and inflation from bank stress and political uncertainty Major elections in 2017 and negative interest rate policy offset highly accommodative monetary stance and improving global economy
Emphasis bull Favor Japan on a relative basisValuation bull Neutral
Emerging Markets Positioning Valuations are attractive for long-term investors Beneficiaries of the pickup in global cyclical momentum Favor reform-oriented countries and consumer spending
Emphasis bull Asia remains our favored region within the emerging world and we maintain our preference for India on acountry basis
Valuation bull Attractive for long term investors
minus +
minus +
minus +
minus +
minus +
minus +
Tactical qualitative investment strategy weightings are relative in nature versus the strategic weightings for a fully diversified portfolio Weightings are based on the relative attractiveness of each asset class Tactical strategyweightings are for a 12- to 36-month time horizonBecause economic and market conditions change recommended allocations may vary in the future Asset allocation cannot eliminate the risk of fluctuating prices and uncertain returns All sector and asset allocation recommendations must be considered in the context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investorsAlternative investments such as derivatives hedge funds private equity funds and funds of funds can result in higher return potential but also higher loss potential Changes in economic conditions or other circumstances may adversely affect your investments Before you invest in alternative investments you should consider your overall financial situation how much money you have to invest your need for liquidity and your tolerance for riskSource Global Wealth amp Investment Management Investment Strategy Committee As of February 152017
Please see end of presentation for asset class disclosures and index definitions
8
INTRODUCTION
3
ECONOMIC OUTLOOK
Source US Trust Macro Strategy amp Research team as of March 15 2017
Global
Watch List
US The Dollar US real Gross Domestic Product growth accelerated sharply in the second
half of 2016 on solid contributions from consumer spending and housing Weexpect US real GDP growth of 20 ndash 30 for the year 2017
A pickup in wage growth rising home prices low gasoline prices and verypositive labor market dynamics are strong tailwinds for US consumers Wethink real consumer spending growth will continue to trend around 25 ndash30
Housing activity is contributing to growth We believe it is on track asdemographic-driven demand is outpacing supply Homebuilder confidence isback to 2005 levels
Pro-business policies likely at some level Tax cuts tax reform repatriationandor regulatory relief should boost nominal growth The mix between realgrowth and inflation is uncertain
Business sentiment jumped post-election For now we expect a continuationof moderate growth in business spending with technology spending leadingthe way but there is upside This will help extend the cycle
Oil prices remain firm on news that OPEC will cut production and globaldemand remains strong We have a 2017 year-end target of $50 ndash $70
The waning global momentum that developed from Chinarsquos transition and thenegative upfront impact of the stronger dollar and lower oil prices is nowsubsiding thanks to Trump policy stimulus and a steadier currency andcommodity outlook
Global leading indicators and manufacturing data suggest global cyclicalmomentum is picking up We continue to expect 35 plus real global GrossDomestic Product growth for the year
Until the debt burden in emerging markets eases developed markets led bythe US are likely to see relatively better growth compared to potential
Fed Policy Trump Policy US Dollar
Our base case is that the dollar gains 50 ndash 100 for the year 2017 on abroad trade-weighted basis
We would approach hedging Japanese and European equities on a case-by-case basis given our more neutral view
Measures of slack and distress in the labor market continue to fallUnemployment rate on track to fall near or below 45 by the end of thisyear The participation rate is rising
Average hourly earnings confirm wage pressures as economy reaches fullemployment
European Elections Brexit Interest Rates
Labor market report shows a moderate uptrend in wage growth anchoringinflation and keeping the Fed firmly on track to raise rates a few more timesthis year
The profits recovery will help credit markets but margins will remain underpressure from rising unit labor costs
Higher nominal growth and possibly a lower corporate tax rate add to theupside risks to profits We expect 2017 SampP 500 earnings per share of $129 ndash$138 with upside potential
AR9TPBDK
Employment
Inflation and Interest Rates
Profits
4
ECONOMIC AND MARKET FORECASTS
Percent calendar-year average over calendar-year average annualized unless stated E = EstimateLatest 12-month average over previous 12-month average Past performance is no guarantee of future results There can be no assurance that the forecasts will be achievedEconomic or financial forecasts are inherently limited and should not be relied on as indicators of future investment performanceSource GWIM Investment Strategy Committee as of March 29 2017 AR9TPBDK
5
Slightly short duration is warranted balancing highershort-term rates in the US and with overwhelming demand for fixed income globally We continue to prefer credit over Treasuries with an emphasis on investment-grade corporates particularly banks andmunicipals In the currently higher volatility market an allocation to Treasuries for liquidity and relative safety is advised An allocation to Treasury Inflation-Protected Securities (TIPS) should be considered where appropriate We advocate an underweight positioning for corporate high-yield (HY) An allocation to leveraged loans is advised within HY Given US dollar strength we are avoiding non-dollar sovereign bonds We recommend active management to improve potential returns in a risingvolatile rate environment A barbell strategy of owning longer and shorted dated maturity bonds should perform better than a bulleted strategy
We recommend a slight overweight in internationaldeveloped equities with a preference for JapanWe acknowledge that Japanrsquos economy has structural impediments to growth such as high debt levels and demographics However cyclically growth there should accelerate on rising global activity improving domestic demand and a weaker currency The Bank of Japanrsquos recent monetary policy stance of fading negative deposit rates and targeting the yield curve has been well received by investors Along with monetary policy fiscal policy will be supportive of growth European equities can produce positive returns given that they are cheap and earnings could surprise on the upside driven by margin expansion and top-line growth However we maintain a cautious stance given ongoing stress in the banking sector and a full political calendar over the next six months with crucial votes in Germany and France and the triggering of Brexit looming in the first quarter
Equities
US Equities
Emerging Markets
International Developed
Fixed Income
CommoditiesWe continue to expect equities to outperform fixed income Equities should remain on a longer-term uptrend as US and global expansionsgradually continue
Within equities we maintain an overweight to US large cap stocks for theirhigh quality stronger free cash flows and dividend growth We are also overweight US small caps as we believe they will be beneficiaries of stronger US growth We favor a more cyclical and value-oriented portfolio theme
PORTFOLIO STRATEGY AND ASSET ALLOCATION
Underweight
We are neutral commodities Commodity prices are likely range-bound in the near term weighed down by global economic policy uncertainty but held up by stable global cyclical momentum We think oil prices will finish 2017 in the $50 ndash $70 dollar range
We are neutral hedge funds We see the environment for active management and hence hedge funds improving in 2017 and continue to recommend a diversified approach when investing in this heterogeneous asset class We have upgraded our view on global equity from neutral to moderately positive
Overweight
Private Equity
Hedge Funds
Real Estate
We are neutral private equity The combination of high headline multiples increased deal competition and the large capital overhang creates an investment environment that requires a disciplined approach to allocating capital across private equity strategies Currently we see opportunities in special situation and private credit We favor a steady commitment strategy and manager selectivity in diversified PE portfolios
Source GWIM Investment Strategy Committee as of March 15 2017 AR9TPBDK
TACTICAL SHIFTSDecember 2016 We shifted to an overweight in equities Within equities we raised US small caps to overweight
TACTICAL SHIFTSMarch 2017 We shifted to a slight overweight position in international developed equities
TACTICAL SHIFTSDecember 2016 We have moved further underweight fixed income
We remain neutral in real estate as an asset class The US commercial real estate (CRE) markets are in the mature phase of the current real estate cycle with continuing positive signs indicating that supply and demand for space are well balanced for most property types CRE investors should look to current income returns with value growth now mostly driven by increases in rents and cash flow over time
Neutral
We remain overweight emerging market equities While emerging market equities continue to face a range of challenges including low commodity prices gradual normalization of Federal Reserve interest rate policy and the structural downshift in Chinarsquos growth rate we believe they will benefit from improving economic growth and attractive valuations
REITs Reclassification Historically US Trustrsquos strategic asset allocation guidelines (SAAG) included Real Estate Investment Trusts (REITs) within the Real Estate asset category Our Capital Market Assumptions (CMAs) also supported categorizing REIT securities as Real Estate Effective in 2017 US Trust SAAG is moving REIT securities from Real Estate to Equities
6
Equity Market Performance Equity Style Performance
Fixed Income Market Performance Treasury Yield Curve
The performance for above markets are represented by their respective indexes Past performance is no guarantee of future results Performance results are extremely short-term and may not provide an adequate basis for evaluating performance potential over varying market conditions or economic cyclesPlease see end of presentation for asset class disclosures and index definitions
The Citigroup Pension Liability Index provides an investment performance benchmark for assetliability management of a lsquotypicalrsquo pension plan The Barclays Capital Fixed Income Indices were recently acquired by Bloomberg and are now branded Bloomberg Barclays Indices
Source FactSet Data as of 02282017
Source Bloomberg Data as of 02282017Source Bloomberg Data as of 02282017
Source Bloomberg Data as of 02282017
MARKET PERFORMANCEAs of February 28 2017
0
5
10
15
20
25
30
35
40
Dow SampP 500 NasdaqComposite
RussellMidcap
Russell 2000 MSCI EAFE MSCIEmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
0
5
10
15
20
25
30
35
40
45
SampP 500 Russell 1000Growth
Russell 1000Value
RussellMidcapGrowth
RussellMidcapValue
Russell 2000Growth
Russell 2000Value
Tota
l Ret
urn
()
February Last three months Last 12 months
-10
-5
0
5
10
15
20
25
BarclaysCapital
High Yield
BarclaysCapital
Mortgage-Backed
Securities
BarclaysCapital
Aggregate
BarclaysCapital
Corporate
BarclaysCapital Ten-
yearTreasury
Bellwether
CitigroupPensionLiabilityIndex
BarclaysGlobal
AggregateSovereign
BarclaysGlobal
EmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
00
05
10
15
20
25
30
35
3M 6M 2Y 5Y 10Y 30Y
022817 123016 093016 022916
7
INSTITUTIONAL PORTFOLIO POSITIONING
ASSET CLASS ALLOCATION WEIGHTING Cash Positioning We are neutral
Valuation bull Low yieldsEquities Positioning We are overweight equities Portfolios are being repositioned for higher nominal growth and rising interest
rates This rotation should continue throughout 2017
Emphasis bull We are overweight US large caps US small caps and emerging market equitiesValuation bull Valuations favor equities over fixed income
US Large Caps Positioning We are slightly overweight large caps
Emphasis bull ValueValuation bull Slightly overvalued but attractive relative to fixed income
US Mid Caps Positioning We are neutral mid caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
US Small Caps Positioning We are overweight small caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
International Developed
Positioning Downside risk to growth and inflation from bank stress and political uncertainty Major elections in 2017 and negative interest rate policy offset highly accommodative monetary stance and improving global economy
Emphasis bull Favor Japan on a relative basisValuation bull Neutral
Emerging Markets Positioning Valuations are attractive for long-term investors Beneficiaries of the pickup in global cyclical momentum Favor reform-oriented countries and consumer spending
Emphasis bull Asia remains our favored region within the emerging world and we maintain our preference for India on acountry basis
Valuation bull Attractive for long term investors
minus +
minus +
minus +
minus +
minus +
minus +
Tactical qualitative investment strategy weightings are relative in nature versus the strategic weightings for a fully diversified portfolio Weightings are based on the relative attractiveness of each asset class Tactical strategyweightings are for a 12- to 36-month time horizonBecause economic and market conditions change recommended allocations may vary in the future Asset allocation cannot eliminate the risk of fluctuating prices and uncertain returns All sector and asset allocation recommendations must be considered in the context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investorsAlternative investments such as derivatives hedge funds private equity funds and funds of funds can result in higher return potential but also higher loss potential Changes in economic conditions or other circumstances may adversely affect your investments Before you invest in alternative investments you should consider your overall financial situation how much money you have to invest your need for liquidity and your tolerance for riskSource Global Wealth amp Investment Management Investment Strategy Committee As of February 152017
Please see end of presentation for asset class disclosures and index definitions
8
ECONOMIC OUTLOOK
Source US Trust Macro Strategy amp Research team as of March 15 2017
Global
Watch List
US The Dollar US real Gross Domestic Product growth accelerated sharply in the second
half of 2016 on solid contributions from consumer spending and housing Weexpect US real GDP growth of 20 ndash 30 for the year 2017
A pickup in wage growth rising home prices low gasoline prices and verypositive labor market dynamics are strong tailwinds for US consumers Wethink real consumer spending growth will continue to trend around 25 ndash30
Housing activity is contributing to growth We believe it is on track asdemographic-driven demand is outpacing supply Homebuilder confidence isback to 2005 levels
Pro-business policies likely at some level Tax cuts tax reform repatriationandor regulatory relief should boost nominal growth The mix between realgrowth and inflation is uncertain
Business sentiment jumped post-election For now we expect a continuationof moderate growth in business spending with technology spending leadingthe way but there is upside This will help extend the cycle
Oil prices remain firm on news that OPEC will cut production and globaldemand remains strong We have a 2017 year-end target of $50 ndash $70
The waning global momentum that developed from Chinarsquos transition and thenegative upfront impact of the stronger dollar and lower oil prices is nowsubsiding thanks to Trump policy stimulus and a steadier currency andcommodity outlook
Global leading indicators and manufacturing data suggest global cyclicalmomentum is picking up We continue to expect 35 plus real global GrossDomestic Product growth for the year
Until the debt burden in emerging markets eases developed markets led bythe US are likely to see relatively better growth compared to potential
Fed Policy Trump Policy US Dollar
Our base case is that the dollar gains 50 ndash 100 for the year 2017 on abroad trade-weighted basis
We would approach hedging Japanese and European equities on a case-by-case basis given our more neutral view
Measures of slack and distress in the labor market continue to fallUnemployment rate on track to fall near or below 45 by the end of thisyear The participation rate is rising
Average hourly earnings confirm wage pressures as economy reaches fullemployment
European Elections Brexit Interest Rates
Labor market report shows a moderate uptrend in wage growth anchoringinflation and keeping the Fed firmly on track to raise rates a few more timesthis year
The profits recovery will help credit markets but margins will remain underpressure from rising unit labor costs
Higher nominal growth and possibly a lower corporate tax rate add to theupside risks to profits We expect 2017 SampP 500 earnings per share of $129 ndash$138 with upside potential
AR9TPBDK
Employment
Inflation and Interest Rates
Profits
4
ECONOMIC AND MARKET FORECASTS
Percent calendar-year average over calendar-year average annualized unless stated E = EstimateLatest 12-month average over previous 12-month average Past performance is no guarantee of future results There can be no assurance that the forecasts will be achievedEconomic or financial forecasts are inherently limited and should not be relied on as indicators of future investment performanceSource GWIM Investment Strategy Committee as of March 29 2017 AR9TPBDK
5
Slightly short duration is warranted balancing highershort-term rates in the US and with overwhelming demand for fixed income globally We continue to prefer credit over Treasuries with an emphasis on investment-grade corporates particularly banks andmunicipals In the currently higher volatility market an allocation to Treasuries for liquidity and relative safety is advised An allocation to Treasury Inflation-Protected Securities (TIPS) should be considered where appropriate We advocate an underweight positioning for corporate high-yield (HY) An allocation to leveraged loans is advised within HY Given US dollar strength we are avoiding non-dollar sovereign bonds We recommend active management to improve potential returns in a risingvolatile rate environment A barbell strategy of owning longer and shorted dated maturity bonds should perform better than a bulleted strategy
We recommend a slight overweight in internationaldeveloped equities with a preference for JapanWe acknowledge that Japanrsquos economy has structural impediments to growth such as high debt levels and demographics However cyclically growth there should accelerate on rising global activity improving domestic demand and a weaker currency The Bank of Japanrsquos recent monetary policy stance of fading negative deposit rates and targeting the yield curve has been well received by investors Along with monetary policy fiscal policy will be supportive of growth European equities can produce positive returns given that they are cheap and earnings could surprise on the upside driven by margin expansion and top-line growth However we maintain a cautious stance given ongoing stress in the banking sector and a full political calendar over the next six months with crucial votes in Germany and France and the triggering of Brexit looming in the first quarter
Equities
US Equities
Emerging Markets
International Developed
Fixed Income
CommoditiesWe continue to expect equities to outperform fixed income Equities should remain on a longer-term uptrend as US and global expansionsgradually continue
Within equities we maintain an overweight to US large cap stocks for theirhigh quality stronger free cash flows and dividend growth We are also overweight US small caps as we believe they will be beneficiaries of stronger US growth We favor a more cyclical and value-oriented portfolio theme
PORTFOLIO STRATEGY AND ASSET ALLOCATION
Underweight
We are neutral commodities Commodity prices are likely range-bound in the near term weighed down by global economic policy uncertainty but held up by stable global cyclical momentum We think oil prices will finish 2017 in the $50 ndash $70 dollar range
We are neutral hedge funds We see the environment for active management and hence hedge funds improving in 2017 and continue to recommend a diversified approach when investing in this heterogeneous asset class We have upgraded our view on global equity from neutral to moderately positive
Overweight
Private Equity
Hedge Funds
Real Estate
We are neutral private equity The combination of high headline multiples increased deal competition and the large capital overhang creates an investment environment that requires a disciplined approach to allocating capital across private equity strategies Currently we see opportunities in special situation and private credit We favor a steady commitment strategy and manager selectivity in diversified PE portfolios
Source GWIM Investment Strategy Committee as of March 15 2017 AR9TPBDK
TACTICAL SHIFTSDecember 2016 We shifted to an overweight in equities Within equities we raised US small caps to overweight
TACTICAL SHIFTSMarch 2017 We shifted to a slight overweight position in international developed equities
TACTICAL SHIFTSDecember 2016 We have moved further underweight fixed income
We remain neutral in real estate as an asset class The US commercial real estate (CRE) markets are in the mature phase of the current real estate cycle with continuing positive signs indicating that supply and demand for space are well balanced for most property types CRE investors should look to current income returns with value growth now mostly driven by increases in rents and cash flow over time
Neutral
We remain overweight emerging market equities While emerging market equities continue to face a range of challenges including low commodity prices gradual normalization of Federal Reserve interest rate policy and the structural downshift in Chinarsquos growth rate we believe they will benefit from improving economic growth and attractive valuations
REITs Reclassification Historically US Trustrsquos strategic asset allocation guidelines (SAAG) included Real Estate Investment Trusts (REITs) within the Real Estate asset category Our Capital Market Assumptions (CMAs) also supported categorizing REIT securities as Real Estate Effective in 2017 US Trust SAAG is moving REIT securities from Real Estate to Equities
6
Equity Market Performance Equity Style Performance
Fixed Income Market Performance Treasury Yield Curve
The performance for above markets are represented by their respective indexes Past performance is no guarantee of future results Performance results are extremely short-term and may not provide an adequate basis for evaluating performance potential over varying market conditions or economic cyclesPlease see end of presentation for asset class disclosures and index definitions
The Citigroup Pension Liability Index provides an investment performance benchmark for assetliability management of a lsquotypicalrsquo pension plan The Barclays Capital Fixed Income Indices were recently acquired by Bloomberg and are now branded Bloomberg Barclays Indices
Source FactSet Data as of 02282017
Source Bloomberg Data as of 02282017Source Bloomberg Data as of 02282017
Source Bloomberg Data as of 02282017
MARKET PERFORMANCEAs of February 28 2017
0
5
10
15
20
25
30
35
40
Dow SampP 500 NasdaqComposite
RussellMidcap
Russell 2000 MSCI EAFE MSCIEmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
0
5
10
15
20
25
30
35
40
45
SampP 500 Russell 1000Growth
Russell 1000Value
RussellMidcapGrowth
RussellMidcapValue
Russell 2000Growth
Russell 2000Value
Tota
l Ret
urn
()
February Last three months Last 12 months
-10
-5
0
5
10
15
20
25
BarclaysCapital
High Yield
BarclaysCapital
Mortgage-Backed
Securities
BarclaysCapital
Aggregate
BarclaysCapital
Corporate
BarclaysCapital Ten-
yearTreasury
Bellwether
CitigroupPensionLiabilityIndex
BarclaysGlobal
AggregateSovereign
BarclaysGlobal
EmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
00
05
10
15
20
25
30
35
3M 6M 2Y 5Y 10Y 30Y
022817 123016 093016 022916
7
INSTITUTIONAL PORTFOLIO POSITIONING
ASSET CLASS ALLOCATION WEIGHTING Cash Positioning We are neutral
Valuation bull Low yieldsEquities Positioning We are overweight equities Portfolios are being repositioned for higher nominal growth and rising interest
rates This rotation should continue throughout 2017
Emphasis bull We are overweight US large caps US small caps and emerging market equitiesValuation bull Valuations favor equities over fixed income
US Large Caps Positioning We are slightly overweight large caps
Emphasis bull ValueValuation bull Slightly overvalued but attractive relative to fixed income
US Mid Caps Positioning We are neutral mid caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
US Small Caps Positioning We are overweight small caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
International Developed
Positioning Downside risk to growth and inflation from bank stress and political uncertainty Major elections in 2017 and negative interest rate policy offset highly accommodative monetary stance and improving global economy
Emphasis bull Favor Japan on a relative basisValuation bull Neutral
Emerging Markets Positioning Valuations are attractive for long-term investors Beneficiaries of the pickup in global cyclical momentum Favor reform-oriented countries and consumer spending
Emphasis bull Asia remains our favored region within the emerging world and we maintain our preference for India on acountry basis
Valuation bull Attractive for long term investors
minus +
minus +
minus +
minus +
minus +
minus +
Tactical qualitative investment strategy weightings are relative in nature versus the strategic weightings for a fully diversified portfolio Weightings are based on the relative attractiveness of each asset class Tactical strategyweightings are for a 12- to 36-month time horizonBecause economic and market conditions change recommended allocations may vary in the future Asset allocation cannot eliminate the risk of fluctuating prices and uncertain returns All sector and asset allocation recommendations must be considered in the context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investorsAlternative investments such as derivatives hedge funds private equity funds and funds of funds can result in higher return potential but also higher loss potential Changes in economic conditions or other circumstances may adversely affect your investments Before you invest in alternative investments you should consider your overall financial situation how much money you have to invest your need for liquidity and your tolerance for riskSource Global Wealth amp Investment Management Investment Strategy Committee As of February 152017
Please see end of presentation for asset class disclosures and index definitions
8
ECONOMIC AND MARKET FORECASTS
Percent calendar-year average over calendar-year average annualized unless stated E = EstimateLatest 12-month average over previous 12-month average Past performance is no guarantee of future results There can be no assurance that the forecasts will be achievedEconomic or financial forecasts are inherently limited and should not be relied on as indicators of future investment performanceSource GWIM Investment Strategy Committee as of March 29 2017 AR9TPBDK
5
Slightly short duration is warranted balancing highershort-term rates in the US and with overwhelming demand for fixed income globally We continue to prefer credit over Treasuries with an emphasis on investment-grade corporates particularly banks andmunicipals In the currently higher volatility market an allocation to Treasuries for liquidity and relative safety is advised An allocation to Treasury Inflation-Protected Securities (TIPS) should be considered where appropriate We advocate an underweight positioning for corporate high-yield (HY) An allocation to leveraged loans is advised within HY Given US dollar strength we are avoiding non-dollar sovereign bonds We recommend active management to improve potential returns in a risingvolatile rate environment A barbell strategy of owning longer and shorted dated maturity bonds should perform better than a bulleted strategy
We recommend a slight overweight in internationaldeveloped equities with a preference for JapanWe acknowledge that Japanrsquos economy has structural impediments to growth such as high debt levels and demographics However cyclically growth there should accelerate on rising global activity improving domestic demand and a weaker currency The Bank of Japanrsquos recent monetary policy stance of fading negative deposit rates and targeting the yield curve has been well received by investors Along with monetary policy fiscal policy will be supportive of growth European equities can produce positive returns given that they are cheap and earnings could surprise on the upside driven by margin expansion and top-line growth However we maintain a cautious stance given ongoing stress in the banking sector and a full political calendar over the next six months with crucial votes in Germany and France and the triggering of Brexit looming in the first quarter
Equities
US Equities
Emerging Markets
International Developed
Fixed Income
CommoditiesWe continue to expect equities to outperform fixed income Equities should remain on a longer-term uptrend as US and global expansionsgradually continue
Within equities we maintain an overweight to US large cap stocks for theirhigh quality stronger free cash flows and dividend growth We are also overweight US small caps as we believe they will be beneficiaries of stronger US growth We favor a more cyclical and value-oriented portfolio theme
PORTFOLIO STRATEGY AND ASSET ALLOCATION
Underweight
We are neutral commodities Commodity prices are likely range-bound in the near term weighed down by global economic policy uncertainty but held up by stable global cyclical momentum We think oil prices will finish 2017 in the $50 ndash $70 dollar range
We are neutral hedge funds We see the environment for active management and hence hedge funds improving in 2017 and continue to recommend a diversified approach when investing in this heterogeneous asset class We have upgraded our view on global equity from neutral to moderately positive
Overweight
Private Equity
Hedge Funds
Real Estate
We are neutral private equity The combination of high headline multiples increased deal competition and the large capital overhang creates an investment environment that requires a disciplined approach to allocating capital across private equity strategies Currently we see opportunities in special situation and private credit We favor a steady commitment strategy and manager selectivity in diversified PE portfolios
Source GWIM Investment Strategy Committee as of March 15 2017 AR9TPBDK
TACTICAL SHIFTSDecember 2016 We shifted to an overweight in equities Within equities we raised US small caps to overweight
TACTICAL SHIFTSMarch 2017 We shifted to a slight overweight position in international developed equities
TACTICAL SHIFTSDecember 2016 We have moved further underweight fixed income
We remain neutral in real estate as an asset class The US commercial real estate (CRE) markets are in the mature phase of the current real estate cycle with continuing positive signs indicating that supply and demand for space are well balanced for most property types CRE investors should look to current income returns with value growth now mostly driven by increases in rents and cash flow over time
Neutral
We remain overweight emerging market equities While emerging market equities continue to face a range of challenges including low commodity prices gradual normalization of Federal Reserve interest rate policy and the structural downshift in Chinarsquos growth rate we believe they will benefit from improving economic growth and attractive valuations
REITs Reclassification Historically US Trustrsquos strategic asset allocation guidelines (SAAG) included Real Estate Investment Trusts (REITs) within the Real Estate asset category Our Capital Market Assumptions (CMAs) also supported categorizing REIT securities as Real Estate Effective in 2017 US Trust SAAG is moving REIT securities from Real Estate to Equities
6
Equity Market Performance Equity Style Performance
Fixed Income Market Performance Treasury Yield Curve
The performance for above markets are represented by their respective indexes Past performance is no guarantee of future results Performance results are extremely short-term and may not provide an adequate basis for evaluating performance potential over varying market conditions or economic cyclesPlease see end of presentation for asset class disclosures and index definitions
The Citigroup Pension Liability Index provides an investment performance benchmark for assetliability management of a lsquotypicalrsquo pension plan The Barclays Capital Fixed Income Indices were recently acquired by Bloomberg and are now branded Bloomberg Barclays Indices
Source FactSet Data as of 02282017
Source Bloomberg Data as of 02282017Source Bloomberg Data as of 02282017
Source Bloomberg Data as of 02282017
MARKET PERFORMANCEAs of February 28 2017
0
5
10
15
20
25
30
35
40
Dow SampP 500 NasdaqComposite
RussellMidcap
Russell 2000 MSCI EAFE MSCIEmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
0
5
10
15
20
25
30
35
40
45
SampP 500 Russell 1000Growth
Russell 1000Value
RussellMidcapGrowth
RussellMidcapValue
Russell 2000Growth
Russell 2000Value
Tota
l Ret
urn
()
February Last three months Last 12 months
-10
-5
0
5
10
15
20
25
BarclaysCapital
High Yield
BarclaysCapital
Mortgage-Backed
Securities
BarclaysCapital
Aggregate
BarclaysCapital
Corporate
BarclaysCapital Ten-
yearTreasury
Bellwether
CitigroupPensionLiabilityIndex
BarclaysGlobal
AggregateSovereign
BarclaysGlobal
EmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
00
05
10
15
20
25
30
35
3M 6M 2Y 5Y 10Y 30Y
022817 123016 093016 022916
7
INSTITUTIONAL PORTFOLIO POSITIONING
ASSET CLASS ALLOCATION WEIGHTING Cash Positioning We are neutral
Valuation bull Low yieldsEquities Positioning We are overweight equities Portfolios are being repositioned for higher nominal growth and rising interest
rates This rotation should continue throughout 2017
Emphasis bull We are overweight US large caps US small caps and emerging market equitiesValuation bull Valuations favor equities over fixed income
US Large Caps Positioning We are slightly overweight large caps
Emphasis bull ValueValuation bull Slightly overvalued but attractive relative to fixed income
US Mid Caps Positioning We are neutral mid caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
US Small Caps Positioning We are overweight small caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
International Developed
Positioning Downside risk to growth and inflation from bank stress and political uncertainty Major elections in 2017 and negative interest rate policy offset highly accommodative monetary stance and improving global economy
Emphasis bull Favor Japan on a relative basisValuation bull Neutral
Emerging Markets Positioning Valuations are attractive for long-term investors Beneficiaries of the pickup in global cyclical momentum Favor reform-oriented countries and consumer spending
Emphasis bull Asia remains our favored region within the emerging world and we maintain our preference for India on acountry basis
Valuation bull Attractive for long term investors
minus +
minus +
minus +
minus +
minus +
minus +
Tactical qualitative investment strategy weightings are relative in nature versus the strategic weightings for a fully diversified portfolio Weightings are based on the relative attractiveness of each asset class Tactical strategyweightings are for a 12- to 36-month time horizonBecause economic and market conditions change recommended allocations may vary in the future Asset allocation cannot eliminate the risk of fluctuating prices and uncertain returns All sector and asset allocation recommendations must be considered in the context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investorsAlternative investments such as derivatives hedge funds private equity funds and funds of funds can result in higher return potential but also higher loss potential Changes in economic conditions or other circumstances may adversely affect your investments Before you invest in alternative investments you should consider your overall financial situation how much money you have to invest your need for liquidity and your tolerance for riskSource Global Wealth amp Investment Management Investment Strategy Committee As of February 152017
Please see end of presentation for asset class disclosures and index definitions
8
Slightly short duration is warranted balancing highershort-term rates in the US and with overwhelming demand for fixed income globally We continue to prefer credit over Treasuries with an emphasis on investment-grade corporates particularly banks andmunicipals In the currently higher volatility market an allocation to Treasuries for liquidity and relative safety is advised An allocation to Treasury Inflation-Protected Securities (TIPS) should be considered where appropriate We advocate an underweight positioning for corporate high-yield (HY) An allocation to leveraged loans is advised within HY Given US dollar strength we are avoiding non-dollar sovereign bonds We recommend active management to improve potential returns in a risingvolatile rate environment A barbell strategy of owning longer and shorted dated maturity bonds should perform better than a bulleted strategy
We recommend a slight overweight in internationaldeveloped equities with a preference for JapanWe acknowledge that Japanrsquos economy has structural impediments to growth such as high debt levels and demographics However cyclically growth there should accelerate on rising global activity improving domestic demand and a weaker currency The Bank of Japanrsquos recent monetary policy stance of fading negative deposit rates and targeting the yield curve has been well received by investors Along with monetary policy fiscal policy will be supportive of growth European equities can produce positive returns given that they are cheap and earnings could surprise on the upside driven by margin expansion and top-line growth However we maintain a cautious stance given ongoing stress in the banking sector and a full political calendar over the next six months with crucial votes in Germany and France and the triggering of Brexit looming in the first quarter
Equities
US Equities
Emerging Markets
International Developed
Fixed Income
CommoditiesWe continue to expect equities to outperform fixed income Equities should remain on a longer-term uptrend as US and global expansionsgradually continue
Within equities we maintain an overweight to US large cap stocks for theirhigh quality stronger free cash flows and dividend growth We are also overweight US small caps as we believe they will be beneficiaries of stronger US growth We favor a more cyclical and value-oriented portfolio theme
PORTFOLIO STRATEGY AND ASSET ALLOCATION
Underweight
We are neutral commodities Commodity prices are likely range-bound in the near term weighed down by global economic policy uncertainty but held up by stable global cyclical momentum We think oil prices will finish 2017 in the $50 ndash $70 dollar range
We are neutral hedge funds We see the environment for active management and hence hedge funds improving in 2017 and continue to recommend a diversified approach when investing in this heterogeneous asset class We have upgraded our view on global equity from neutral to moderately positive
Overweight
Private Equity
Hedge Funds
Real Estate
We are neutral private equity The combination of high headline multiples increased deal competition and the large capital overhang creates an investment environment that requires a disciplined approach to allocating capital across private equity strategies Currently we see opportunities in special situation and private credit We favor a steady commitment strategy and manager selectivity in diversified PE portfolios
Source GWIM Investment Strategy Committee as of March 15 2017 AR9TPBDK
TACTICAL SHIFTSDecember 2016 We shifted to an overweight in equities Within equities we raised US small caps to overweight
TACTICAL SHIFTSMarch 2017 We shifted to a slight overweight position in international developed equities
TACTICAL SHIFTSDecember 2016 We have moved further underweight fixed income
We remain neutral in real estate as an asset class The US commercial real estate (CRE) markets are in the mature phase of the current real estate cycle with continuing positive signs indicating that supply and demand for space are well balanced for most property types CRE investors should look to current income returns with value growth now mostly driven by increases in rents and cash flow over time
Neutral
We remain overweight emerging market equities While emerging market equities continue to face a range of challenges including low commodity prices gradual normalization of Federal Reserve interest rate policy and the structural downshift in Chinarsquos growth rate we believe they will benefit from improving economic growth and attractive valuations
REITs Reclassification Historically US Trustrsquos strategic asset allocation guidelines (SAAG) included Real Estate Investment Trusts (REITs) within the Real Estate asset category Our Capital Market Assumptions (CMAs) also supported categorizing REIT securities as Real Estate Effective in 2017 US Trust SAAG is moving REIT securities from Real Estate to Equities
6
Equity Market Performance Equity Style Performance
Fixed Income Market Performance Treasury Yield Curve
The performance for above markets are represented by their respective indexes Past performance is no guarantee of future results Performance results are extremely short-term and may not provide an adequate basis for evaluating performance potential over varying market conditions or economic cyclesPlease see end of presentation for asset class disclosures and index definitions
The Citigroup Pension Liability Index provides an investment performance benchmark for assetliability management of a lsquotypicalrsquo pension plan The Barclays Capital Fixed Income Indices were recently acquired by Bloomberg and are now branded Bloomberg Barclays Indices
Source FactSet Data as of 02282017
Source Bloomberg Data as of 02282017Source Bloomberg Data as of 02282017
Source Bloomberg Data as of 02282017
MARKET PERFORMANCEAs of February 28 2017
0
5
10
15
20
25
30
35
40
Dow SampP 500 NasdaqComposite
RussellMidcap
Russell 2000 MSCI EAFE MSCIEmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
0
5
10
15
20
25
30
35
40
45
SampP 500 Russell 1000Growth
Russell 1000Value
RussellMidcapGrowth
RussellMidcapValue
Russell 2000Growth
Russell 2000Value
Tota
l Ret
urn
()
February Last three months Last 12 months
-10
-5
0
5
10
15
20
25
BarclaysCapital
High Yield
BarclaysCapital
Mortgage-Backed
Securities
BarclaysCapital
Aggregate
BarclaysCapital
Corporate
BarclaysCapital Ten-
yearTreasury
Bellwether
CitigroupPensionLiabilityIndex
BarclaysGlobal
AggregateSovereign
BarclaysGlobal
EmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
00
05
10
15
20
25
30
35
3M 6M 2Y 5Y 10Y 30Y
022817 123016 093016 022916
7
INSTITUTIONAL PORTFOLIO POSITIONING
ASSET CLASS ALLOCATION WEIGHTING Cash Positioning We are neutral
Valuation bull Low yieldsEquities Positioning We are overweight equities Portfolios are being repositioned for higher nominal growth and rising interest
rates This rotation should continue throughout 2017
Emphasis bull We are overweight US large caps US small caps and emerging market equitiesValuation bull Valuations favor equities over fixed income
US Large Caps Positioning We are slightly overweight large caps
Emphasis bull ValueValuation bull Slightly overvalued but attractive relative to fixed income
US Mid Caps Positioning We are neutral mid caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
US Small Caps Positioning We are overweight small caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
International Developed
Positioning Downside risk to growth and inflation from bank stress and political uncertainty Major elections in 2017 and negative interest rate policy offset highly accommodative monetary stance and improving global economy
Emphasis bull Favor Japan on a relative basisValuation bull Neutral
Emerging Markets Positioning Valuations are attractive for long-term investors Beneficiaries of the pickup in global cyclical momentum Favor reform-oriented countries and consumer spending
Emphasis bull Asia remains our favored region within the emerging world and we maintain our preference for India on acountry basis
Valuation bull Attractive for long term investors
minus +
minus +
minus +
minus +
minus +
minus +
Tactical qualitative investment strategy weightings are relative in nature versus the strategic weightings for a fully diversified portfolio Weightings are based on the relative attractiveness of each asset class Tactical strategyweightings are for a 12- to 36-month time horizonBecause economic and market conditions change recommended allocations may vary in the future Asset allocation cannot eliminate the risk of fluctuating prices and uncertain returns All sector and asset allocation recommendations must be considered in the context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investorsAlternative investments such as derivatives hedge funds private equity funds and funds of funds can result in higher return potential but also higher loss potential Changes in economic conditions or other circumstances may adversely affect your investments Before you invest in alternative investments you should consider your overall financial situation how much money you have to invest your need for liquidity and your tolerance for riskSource Global Wealth amp Investment Management Investment Strategy Committee As of February 152017
Please see end of presentation for asset class disclosures and index definitions
8
Equity Market Performance Equity Style Performance
Fixed Income Market Performance Treasury Yield Curve
The performance for above markets are represented by their respective indexes Past performance is no guarantee of future results Performance results are extremely short-term and may not provide an adequate basis for evaluating performance potential over varying market conditions or economic cyclesPlease see end of presentation for asset class disclosures and index definitions
The Citigroup Pension Liability Index provides an investment performance benchmark for assetliability management of a lsquotypicalrsquo pension plan The Barclays Capital Fixed Income Indices were recently acquired by Bloomberg and are now branded Bloomberg Barclays Indices
Source FactSet Data as of 02282017
Source Bloomberg Data as of 02282017Source Bloomberg Data as of 02282017
Source Bloomberg Data as of 02282017
MARKET PERFORMANCEAs of February 28 2017
0
5
10
15
20
25
30
35
40
Dow SampP 500 NasdaqComposite
RussellMidcap
Russell 2000 MSCI EAFE MSCIEmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
0
5
10
15
20
25
30
35
40
45
SampP 500 Russell 1000Growth
Russell 1000Value
RussellMidcapGrowth
RussellMidcapValue
Russell 2000Growth
Russell 2000Value
Tota
l Ret
urn
()
February Last three months Last 12 months
-10
-5
0
5
10
15
20
25
BarclaysCapital
High Yield
BarclaysCapital
Mortgage-Backed
Securities
BarclaysCapital
Aggregate
BarclaysCapital
Corporate
BarclaysCapital Ten-
yearTreasury
Bellwether
CitigroupPensionLiabilityIndex
BarclaysGlobal
AggregateSovereign
BarclaysGlobal
EmergingMarkets
Tota
l Ret
urn
()
February Last three months Last 12 months
00
05
10
15
20
25
30
35
3M 6M 2Y 5Y 10Y 30Y
022817 123016 093016 022916
7
INSTITUTIONAL PORTFOLIO POSITIONING
ASSET CLASS ALLOCATION WEIGHTING Cash Positioning We are neutral
Valuation bull Low yieldsEquities Positioning We are overweight equities Portfolios are being repositioned for higher nominal growth and rising interest
rates This rotation should continue throughout 2017
Emphasis bull We are overweight US large caps US small caps and emerging market equitiesValuation bull Valuations favor equities over fixed income
US Large Caps Positioning We are slightly overweight large caps
Emphasis bull ValueValuation bull Slightly overvalued but attractive relative to fixed income
US Mid Caps Positioning We are neutral mid caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
US Small Caps Positioning We are overweight small caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
International Developed
Positioning Downside risk to growth and inflation from bank stress and political uncertainty Major elections in 2017 and negative interest rate policy offset highly accommodative monetary stance and improving global economy
Emphasis bull Favor Japan on a relative basisValuation bull Neutral
Emerging Markets Positioning Valuations are attractive for long-term investors Beneficiaries of the pickup in global cyclical momentum Favor reform-oriented countries and consumer spending
Emphasis bull Asia remains our favored region within the emerging world and we maintain our preference for India on acountry basis
Valuation bull Attractive for long term investors
minus +
minus +
minus +
minus +
minus +
minus +
Tactical qualitative investment strategy weightings are relative in nature versus the strategic weightings for a fully diversified portfolio Weightings are based on the relative attractiveness of each asset class Tactical strategyweightings are for a 12- to 36-month time horizonBecause economic and market conditions change recommended allocations may vary in the future Asset allocation cannot eliminate the risk of fluctuating prices and uncertain returns All sector and asset allocation recommendations must be considered in the context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investorsAlternative investments such as derivatives hedge funds private equity funds and funds of funds can result in higher return potential but also higher loss potential Changes in economic conditions or other circumstances may adversely affect your investments Before you invest in alternative investments you should consider your overall financial situation how much money you have to invest your need for liquidity and your tolerance for riskSource Global Wealth amp Investment Management Investment Strategy Committee As of February 152017
Please see end of presentation for asset class disclosures and index definitions
8
INSTITUTIONAL PORTFOLIO POSITIONING
ASSET CLASS ALLOCATION WEIGHTING Cash Positioning We are neutral
Valuation bull Low yieldsEquities Positioning We are overweight equities Portfolios are being repositioned for higher nominal growth and rising interest
rates This rotation should continue throughout 2017
Emphasis bull We are overweight US large caps US small caps and emerging market equitiesValuation bull Valuations favor equities over fixed income
US Large Caps Positioning We are slightly overweight large caps
Emphasis bull ValueValuation bull Slightly overvalued but attractive relative to fixed income
US Mid Caps Positioning We are neutral mid caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
US Small Caps Positioning We are overweight small caps
Emphasis bull Beneficiaries of relatively stronger US economyValuation bull Neutral
International Developed
Positioning Downside risk to growth and inflation from bank stress and political uncertainty Major elections in 2017 and negative interest rate policy offset highly accommodative monetary stance and improving global economy
Emphasis bull Favor Japan on a relative basisValuation bull Neutral
Emerging Markets Positioning Valuations are attractive for long-term investors Beneficiaries of the pickup in global cyclical momentum Favor reform-oriented countries and consumer spending
Emphasis bull Asia remains our favored region within the emerging world and we maintain our preference for India on acountry basis
Valuation bull Attractive for long term investors
minus +
minus +
minus +
minus +
minus +
minus +
Tactical qualitative investment strategy weightings are relative in nature versus the strategic weightings for a fully diversified portfolio Weightings are based on the relative attractiveness of each asset class Tactical strategyweightings are for a 12- to 36-month time horizonBecause economic and market conditions change recommended allocations may vary in the future Asset allocation cannot eliminate the risk of fluctuating prices and uncertain returns All sector and asset allocation recommendations must be considered in the context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investorsAlternative investments such as derivatives hedge funds private equity funds and funds of funds can result in higher return potential but also higher loss potential Changes in economic conditions or other circumstances may adversely affect your investments Before you invest in alternative investments you should consider your overall financial situation how much money you have to invest your need for liquidity and your tolerance for riskSource Global Wealth amp Investment Management Investment Strategy Committee As of February 152017
Please see end of presentation for asset class disclosures and index definitions
8
INSTITUTIONAL PORTFOLIO POSITIONING
ASSET CLASS ALLOCATION WEIGHTING Fixed Income
Positioning We are underweight fixed income as it is less attractive compared to asset classes such as equities
Emphasis
bull Slightly short duration is warranted balancing higher short-term rates in the US and expectations for inflation with overwhelming demand for fixed income globally We continue to prefer credit over Treasurys with an emphasis on investment-grade corporates particularly banks sector and municipals An allocation to Treasury Inflation-Protected Securities (TIPS) should be considered where appropriate In the currently higher volatility market an allocation to Treasurys for liquidity and relative safety is advised Given US dollar strength we are avoiding non-dollar sovereign bonds We recommend active management to improve potential returns in a rising rate environment A barbell strategy of owning bonds with both longer and shorter maturities should perform better than bulleted strategy
Valuation bull Expensive overall US Investment-Grade
Positioning Barbelled with respect to the curve Slightly short duration
Emphasis bull US TreasurysAgencies bull US Investment Grade Credit bull US Collateralized
Valuation
bull Yields while off the bottom are still historically low on investment-grade bonds and poised to continue to rise bull Some allocation to Treasurys recommended to provide liquidity and relative safety
International Positioning We are underweight
Emphasis bull Given the strength of the US dollar we are avoiding non-dollar sovereign bonds
Valuation bull Expensive vs US-dollar-denominated alternatives
minus +
minus +
minus +
minus +
minus +minus +
Tactical qualitative investment strategy weightings are relative in nature versus the strategic weightings for a fully diversified portfolio Weightings are based on the relative attractiveness of each asset class Tactical strategy weightings are for a 12- to 36-month time horizonBecause economic and market conditions change recommended allocations may vary in the future Asset allocation cannot eliminate the risk of fluctuating prices and uncertain returns All sector and asset allocation recommendations must be considered in the context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investorsAlternative investments such as derivatives hedge funds private equity funds and funds of funds can result in higher return potential but also higher loss potential Changes in economic conditions or other circumstances may adversely affect your investments Before you invest in alternative investments you should consider your overall financial situation how much money you have to invest your need for liquidity and your tolerance for riskSource Global Wealth amp Investment Management Investment Strategy Committee As of February 152017
Please see end of presentation for asset class disclosures and index definitions
9
INSTITUTIONAL PORTFOLIO POSITIONING
ASSET CLASS ALLOCATION WEIGHTING High Yield Positioning We are neutral
Emphasis bull We recommend managed solutions that are higher in credit Within high yieldan allocation to leveraged loans is advised
Valuation bull Fair to rich expect a high degree of volatilityCommodities
Positioning We are neutral commodities
Emphasis bull We expect a slight upward track as the global expansion gains more tractionHedge Funds
Positioning We see the environment for active management and hence hedge funds improving in 2017 and continue to recommend a diversified approach when investing in this heterogeneous asset class
Emphasis bull We currently emphasize hedge fund strategies positioned to take advantage ofmarket dislocations and managers that can generate a large portion of theirreturn from asset selection
Private Equity
Positioning
Uncertainty regarding economic and geopolitical trends may signal increased opportunities within the PE sphere Currently we see opportunities in private credit and special situations We favor a steady commitment strategy and manager selectivity in diversified PE portfolios
Emphasis bull We see potential opportunities in special situationsopportunistic and privatecredit strategies
Real Estate
Positioning
Commercial real estate (CRE) markets are deep into the current cycle but we continue to see positive performance well into 2017 for most property categories CRE investments should focus on current income returns and long-term inflation hedges Growth in value will largely be driven by increases in rents and cash flow over time
Emphasis bull We see compelling opportunities within the opportunistic space
minus +
minus +
minus +
minus +
minus +
Tactical qualitative investment strategy weightings are relative in nature versus the strategic weightings for a fully diversified portfolio Weightings are based on the relative attractiveness of each asset class Tactical strategyweightings are for a 12- to 36-month time horizonBecause economic and market conditions change recommended allocations may vary in the future Asset allocation cannot eliminate the risk of fluctuating prices and uncertain returns All sector and asset allocation recommendations must be considered in the context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investorsAlternative investments such as derivatives hedge funds private equity funds and funds of funds can result in higher return potential but also higher loss potential Changes in economic conditions or other circumstances may adversely affect your investments Before you invest in alternative investments you should consider your overall financial situation how much money you have to invest your need for liquidity and your tolerance for riskSource Global Wealth amp Investment Management Investment Strategy Committee As of February 152017
Please see end of presentation for asset class disclosures and index definitions
10
OUR PHILOSOPHY
Prepared for the exclusive use of Episcopal Diocese of CT Distribution to any other audience is prohibited
We believe that using multiasset class portfolios developed to benefit from multiple sources of return is the best way tohave a portfolio support the mission of the organization
11
Donations amp Bequests Episcopal Diocese of CTBalanced Return$1107497144112017Pat Staffaroni
-$
Investment ManagerTicker Symbol
Current Market Value
Current Cash
Current
Strategic Target
Tactical Target
Suggested Change
Large Cap Grow th Loomis LCG SMA LOO-LCG 8189831$ 89065$ 739 675 675 ($714225)Large Cap Grow th iShares R1000G ETF IWF 7652142$ -$ 691 675 675 ($176536)Large Cap Value Columbia Dividend Income LCV SMA COL-DIS 8040967$ 139963$ 726 675 750 $265261Large Cap Value MFS LCV SMA MFS-LCV 8007277$ 116686$ 723 675 750 $298951Mid Cap Core Vanguard REIT Index ETF VNQ 5477916$ -$ 495 500 500 $59570Mid Cap Grow th Baird MCG SMA BRD-MCG 2835642$ 150088$ 256 250 250 ($66899)Mid Cap Value Wedge Capital MCV SMA WED-MCV 3871802$ 168882$ 350 250 350 $4438Small Cap Grow th Granite SCG SMA GRT-SCG 3902322$ 182941$ 352 250 350 ($26082)Small Cap Value Fuller amp Thaler SCV SMA FUL-SCV 4799019$ 377204$ 433 250 450 $184718Large Cap Intl Core Vanguard FTSE Dev Mkts ETF VEA 4170910$ -$ 377 340 375 ($17796)Large Cap Intl Grow th Schroders Intl Grow th SMA SRD-EIC 4070619$ 47497$ 368 330 363 ($55942)Large Cap Intl Value Cambiar International Value ADR SMA CMB-INT 3955206$ 138569$ 357 330 363 $59471Emerging Markets Vanguard FTSE Emerging Mkts ETF VWO 5162688$ -$ 466 500 450 ($178951)Emerging Markets Hartford Schroder Emerging Markets Fun SEMN X 5206337$ -$ 470 500 450 ($222600)
Total 75342678$ 1410896$ 6803 6200 6750 (586621)$
Investment Grade Neuberger Berman Core FI SMA NBG-TIC 15002889$ 719121$ 1355 1650 1400 $502071Intl Developed Bond PIMCO Foreign Bond Hedged MF PFOR X 2162079$ -$ 195 500 200 $52916Global High Yield SEIX High Yield Bond SMA SEI-THY 4297558$ 111373$ 388 500 400 $132430Fixed Income Other Spectrum Principal Preferred SMA SPE-PFS 4947072$ 334874$ 447 350 450 $36666
Total 26409597$ 1165368$ 2385 3000 2450 724083$
Commodities Credit Suisse Comm Ret strategy CRSO X 5304666$ -$ 479 500 500 $232820
Total 5304666$ -$ 479 500 500 232820$ Cash Fidelity Institutional Money Market 3692773$ -$ 333 300 300 ($370281)
Total 3692773$ -$ 333 300 300 (370281)$
TOTAL 110749714$ 2576264$ 10000 10000 10000 ($0)
Market Values as of 4102017
RMCSO
ClientObjectiveCurrent MVDate
FI
AddLiquidate
Asset Class
EQUI
TYAL
T
12
EXECUTIVE SUMMARY
13
Executive Summary As of March 31 2017ldquoAnimal Spritsrdquo and a good nap
When Keynes coined the phrase ldquoAnimal Spritsrdquo in 1936 he was attempting to explain the irrationalmdashwhy investors will sometimes will sometimes feel that they have to act even in the absence of any hard reason to do so The November election proved the old boy right yet againmdashthose spirits came roaring out of the box in the days after the vote I have two cats at homemdashto me the perfect example of Animal Spirits They take off randomly as does the market chasing each other around the house at intervals Invariably the aroused animal spirits are followed by a good wash and a nap on one of the beds before it starts over Thatrsquos the story of the market in Q1 as well
January proved largely to be a month of consolidation Participants settled back to watch the development of the Trump working team markets largely moving sideways into Inauguration Day It was a great opportunity to consolidate smooth ruffled fir and sleepily ponder action to come As it became apparent that the Trump agenda would be acted on sooner rather than later markets began to advance once more in anticipation of a lower regulation lower corporate tax looser money environment The SampP 500 peaked at February month-end just short of 2400 up 125 points for the month and having risen from 2083 just before the election March brought some doubt about the ability of the White House to execute their to-do list creating some retrenchment and more sideways motionmdashthe equivalent of a nap on the bed in the guest room All in all a healthy patternmdashmarkets in true sustainable upswing nearly always seem to do so in a stair-step manner alternating active upturn with periods of rest just like my cats
Looking forward although pro-business policies play a role we see the Animal Spirits as having touched off a pile of kindling that had been stacking up throughout last year Stable oil housing growth positive business sentiment and a vigorous labor market all existed prior to November but have become more aggressively actionable in the past few months We anticipate benign inflation (recall when deflation was a concern) US GDP growth in the 2-3 range and 3x Fed tightening in 2017 Add in an unemployment rate at what we used to call the ldquonaturalrdquo rate of 45 and we foresee a strong US economy pulling world economies out of the doldrumsmdasha very good year All this is largely independent of the White House Success in their initiatives may help but the Spirits are sufficiently aroused that failure is likely to do only minimal harm
The DampB portfolio benefitted powerfully from an active vigorous market In Q1 it returned 484 versus 372 for the Benchmark Of 18 sub-categories of the portfolio all but 3 either performed at benchmark levels or added value Results are equally good looking back a year with the portfolio up 1064 versus 987 for the Benchmark While the absolute return for Growth subcategories was higher than that of Value Value managers tended to generate greater performance margins greater alpha Active management was nearly universally positive in its impact
Will every quarter this year be as good Probably not Markets donrsquot expand forever and experience teaches us that Black Swan events happen with far more regularity than we expect At times the Animal Spirits just decide to hide under the bed in the master bedroom and sleep the afternoon away In Q1 nearly everything went right and performance reflects this welcome event If the sprits decamp in the first heat of summer for a nice cool spot under the old patio furniture in the basement remember that the DampB portfolio is designed with multiple sources of return and diversification of riskmdasheven if the pace slows downturns will be mitigated and the portfolio goal will ultimately be reached
14
PORTFOLIO REVIEW
15
ASSET CATEGORY MARKET VALUE OF PORTFOLIO TOTAL COSTESTIMATED ANNUAL
INCOME CURRENT YIELD EQUITIES $75472385 682 $68214617 $1532454 203
FIXED INCOME $26307236 238 $26403024 $961455 365
TANGIBLE ASSETS $5272901 48 $6673941 $0 000
CASHCURRENCY $3633891 33 $3633891 $17692 049
TOTAL PORTFOLIO $110686414 1000 $104925473 $2511601 227
Allocation percentages of charts do not include negative market valuesDue to rounding percentages presented may not add up precisely to the totals provided
CURRENT ASSET ALLOCATION
Episcopal Diocese of CTAs of March 31 2017
16
Episcopal Diocese of CTRETURN VS RISK
RISK STATISTICS
RETURN STANDARD DEVIATION BETA ALPHA R-
SQUAREDSHARPE RATIO
TREYNOR RATIO
TRACKING ERROR
INFORMATION RATIO
Total Portfolio 407 762 108 94 97 051 359 153 77Policy Benchmark 290 694 -- -- -- 039 272 -- --
Episcopal CT Benchmark
90 Day TBill
Past performance is no guarantee of future resultsThe riskpotential reward spectrum is intended to provide a general evaluation of the risk and potential return of each asset category It is not meant to predict future performance or the volatility of any investment option or category Investors should carefully consider the investment objectives risks charges and expenses before investing
RISK ANALYTICS (SINCE INCEPTION)As of March 31 2017
17
ASSET CLASS
ASSETALLOCATIONEFFECT ()
SECTORALLOCATIONEFFECT ()
SELECTIONEFFECT ()
TOTALEFFECT ()
EQUITIES 057 035 -102 -010US Large Cap Growth 014 -004 000 010US Large Cap Value 015 003 -034 -015US Mid Cap Growth 002 005 005 012US Mid Cap Value 003 -002 004 005US Small Cap Growth 003 001 -026 -022US Small Cap Value 004 011 -036 -020Large Cap International Growth 003 012 005 020
Large Cap International Value 003 -003 -028 -028
Smid Cap International 000 013 000 013Emerging Markets 009 -002 008 015
FIXED INCOME 083 034 -016 101Investment Grade Taxable 064 001 000 065
International Developed Bonds 006 003 017 027
Global High Yield Taxable 013 029 -033 009
REAL ESTATE -014 000 010 -005TANGIBLE ASSETS -010 000 001 -009TOTAL 115 069 -107 077
Asset allocation effect () Selection allocation effect ()
Sector effect () Total effect ()
Episcopal Diocese of CT
Percentages are rounded by nearest hundredth
ATTRIBUTION ANALYSIS (TRAILING 12 MONTHS)As of March 31 2017
Asset Allocation Effect measures the impact of tactical decisions to overweight or underweight high-level asset classes (ie Equities Fixed Income etc) relative to strategic targets
Sector Allocation Effect measures the impact of tactical decisions to overweight or underweight certain asset categories (ie Large Cap Growth International Developed) within a broad asset class
Selection Effect measures the impact of manager performance in each category relative to the policy benchmark for that category
18
Episcopal Diocese of CT
INVESTMENT PERFORMANCE TRAILING RETURNSAs of March 31 2017
Past Performance is no guarantee of future resultsAll returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
19
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
TOTAL PORTFOLIO $110686454 1000 484 484 1064 441 407 090214
TOTAL PORTFOLIO - NET OF FEES $110686454 1000 473 473 1021 401 366 090214
Episcopal CT Benchmark -- -- 372 372 987 359 290 --
60 SampP 40 BC Agg -- -- 395 395 1026 610 623 --
EQUITIES $75472385 682
US Large Cap Growth $15853932 143
iShares Russell 1000 Growth ETF $7669665 69 880 880 1564 872 953 090414
Russell 1000 Growth Index -- -- 891 891 1574 892 986 --
Loomis Large Cap Growth $8184267 74 890 890 1671 1212 1061 090314
Russell 1000 Growth Index -- -- 891 891 1574 892 972 --
US Large Cap Value $16102769 146
Columbia Dividend Income $8053197 73 490 490 1534 982 902 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
MFS Investment Large Cap Value $8049572 73 561 561 1875 987 989 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
US Mid Cap Core $5384042 49
Vanguard REIT ETF $5384042 49 -- -- -- -- -242 030117
MSCI US REIT Index -- -- -- -- -- -- -237 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
20
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
US Mid Cap Growth $2844216 26
Baird Mid Cap Growth $2844216 26 891 891 1574 438 563 090314
Russell MidCap Growth Index -- -- 689 689 1405 422 638 --
US MidCap Value $3883083 35
Wedge Capital Mid Cap Value $3883083 35 637 637 2162 552 850 090314
Russell Mid Cap Value Index -- -- 376 376 1980 758 767 --
US Small Cap Growth $3959462 36
Granite Small Cap Growth $3959462 36 748 748 1415 121 432 090314
Russell 2000 Growth Index -- -- 535 535 2302 413 730 --
US Small Cap Value $4829639 44
Fuller amp Thaler Small Cap Value $4829639 44 208 208 1920 1209 1159 090314
Russell 2000 Value Index -- -- -013 -013 2935 925 857 --
International Developed $12254005 111
Vanguard FTSE DevelopedMarkets ETF $4201917 38 795 795 1293 216 033 090414
MSCI EAFE Net TR USD Index -- -- 724 724 1166 120 -043 --
Schroders Intl Growth ADR $4085636 37 810 810 1003 219 078 090314
MSCI EAFE Growth (Net) -- -- 852 852 743 171 121 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
21
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATECambiar International Value $3966452 36 386 386 738 -201 -646 090314
MSCI EAFE Value (Net) -- -- 604 604 1596 054 -160 --
Emerging Markets $10361238 94
Emerging Markets Funds (SEMNX + VWO) $10361238 94 1183 1183 1902 233 -164 090314
MSCI EMF TR Net EmrgMrkts -- -- 1144 1144 1720 153 -266 --
FIXED INCOME $26307276 238
Investment Grade Taxable $19871223 180
Neuberger Berman Core FI Taxable $14976544 135 079 079 -047 086 180 090314
BBG BARC US Aggregate Bond Index -- -- 081 081 043 119 210 --
Preferred Stock $4894678 44
Spectrum Principal Preferred $4894678 44 592 592 495 553 727 091214
BofA Merrill Lynch Core Fixed Rate Preferred Index
-- -- 596 596 447 576 744 --
International Developed Bonds $2157968 20
PIMCO Foreign Bond Fund $2157968 19 063 063 480 268 443 090414
JP Morgan GBI Global ex US -- -- -067 -067 -057 132 331 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
22
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
Global High Yield Taxable $4278086 39
Seix High Yield Bond $4278086 39 162 162 882 382 383 090314
Merrill Lynch High Yield Master Index -- -- 271 271 1673 591 429 --
TANGIBLE ASSETS $5272901 48
Credit Suisse Commodity Fund $5272901 48 -184 -184 935 -626 -1326 090414
Bloomberg (DJ UBS) Commodity Index -- -- -233 -233 870 -650 -1365 --
CASHCURRENCY $3633891 33
BofA Cash $3633891 33 009 009 026 022 018 090214
Merrill Lynch 90 Day T-Bill -- -- 010 010 036 024 019 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
The Benchmark consists of a blend of the following 10 Russell 1000 Growth 10 Russell 1000 Value 4 Russell Midcap Growth4 Russell Midcap Value 25 Russell 2000 Growth 25 Russell 2000 Value 44 MSCI EAFE Growth(Net) 44 MSCI EAFE Value(Net) 22 SampP Developed x US Small Cap 7 MSCI Emerging Markets 31 BBG BARC US Aggregate Bond 32 ML HY Master 08 JP Morgan ELMI+ 3 BBG BARC Global Agg x US 5 MSCI US REIT and 6 Bloomberg Commodity Index
23
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
Donations amp Bequests Episcopal Diocese of CTBalanced Return$1107497144112017Pat Staffaroni
-$
Investment ManagerTicker Symbol
Current Market Value
Current Cash
Current
Strategic Target
Tactical Target
Suggested Change
Large Cap Grow th Loomis LCG SMA LOO-LCG 8189831$ 89065$ 739 675 675 ($714225)Large Cap Grow th iShares R1000G ETF IWF 7652142$ -$ 691 675 675 ($176536)Large Cap Value Columbia Dividend Income LCV SMA COL-DIS 8040967$ 139963$ 726 675 750 $265261Large Cap Value MFS LCV SMA MFS-LCV 8007277$ 116686$ 723 675 750 $298951Mid Cap Core Vanguard REIT Index ETF VNQ 5477916$ -$ 495 500 500 $59570Mid Cap Grow th Baird MCG SMA BRD-MCG 2835642$ 150088$ 256 250 250 ($66899)Mid Cap Value Wedge Capital MCV SMA WED-MCV 3871802$ 168882$ 350 250 350 $4438Small Cap Grow th Granite SCG SMA GRT-SCG 3902322$ 182941$ 352 250 350 ($26082)Small Cap Value Fuller amp Thaler SCV SMA FUL-SCV 4799019$ 377204$ 433 250 450 $184718Large Cap Intl Core Vanguard FTSE Dev Mkts ETF VEA 4170910$ -$ 377 340 375 ($17796)Large Cap Intl Grow th Schroders Intl Grow th SMA SRD-EIC 4070619$ 47497$ 368 330 363 ($55942)Large Cap Intl Value Cambiar International Value ADR SMA CMB-INT 3955206$ 138569$ 357 330 363 $59471Emerging Markets Vanguard FTSE Emerging Mkts ETF VWO 5162688$ -$ 466 500 450 ($178951)Emerging Markets Hartford Schroder Emerging Markets Fun SEMN X 5206337$ -$ 470 500 450 ($222600)
Total 75342678$ 1410896$ 6803 6200 6750 (586621)$
Investment Grade Neuberger Berman Core FI SMA NBG-TIC 15002889$ 719121$ 1355 1650 1400 $502071Intl Developed Bond PIMCO Foreign Bond Hedged MF PFOR X 2162079$ -$ 195 500 200 $52916Global High Yield SEIX High Yield Bond SMA SEI-THY 4297558$ 111373$ 388 500 400 $132430Fixed Income Other Spectrum Principal Preferred SMA SPE-PFS 4947072$ 334874$ 447 350 450 $36666
Total 26409597$ 1165368$ 2385 3000 2450 724083$
Commodities Credit Suisse Comm Ret strategy CRSO X 5304666$ -$ 479 500 500 $232820
Total 5304666$ -$ 479 500 500 232820$ Cash Fidelity Institutional Money Market 3692773$ -$ 333 300 300 ($370281)
Total 3692773$ -$ 333 300 300 (370281)$
TOTAL 110749714$ 2576264$ 10000 10000 10000 ($0)
Market Values as of 4102017
RMCSO
ClientObjectiveCurrent MVDate
FI
AddLiquidate
Asset Class
EQUI
TYAL
T
12
EXECUTIVE SUMMARY
13
Executive Summary As of March 31 2017ldquoAnimal Spritsrdquo and a good nap
When Keynes coined the phrase ldquoAnimal Spritsrdquo in 1936 he was attempting to explain the irrationalmdashwhy investors will sometimes will sometimes feel that they have to act even in the absence of any hard reason to do so The November election proved the old boy right yet againmdashthose spirits came roaring out of the box in the days after the vote I have two cats at homemdashto me the perfect example of Animal Spirits They take off randomly as does the market chasing each other around the house at intervals Invariably the aroused animal spirits are followed by a good wash and a nap on one of the beds before it starts over Thatrsquos the story of the market in Q1 as well
January proved largely to be a month of consolidation Participants settled back to watch the development of the Trump working team markets largely moving sideways into Inauguration Day It was a great opportunity to consolidate smooth ruffled fir and sleepily ponder action to come As it became apparent that the Trump agenda would be acted on sooner rather than later markets began to advance once more in anticipation of a lower regulation lower corporate tax looser money environment The SampP 500 peaked at February month-end just short of 2400 up 125 points for the month and having risen from 2083 just before the election March brought some doubt about the ability of the White House to execute their to-do list creating some retrenchment and more sideways motionmdashthe equivalent of a nap on the bed in the guest room All in all a healthy patternmdashmarkets in true sustainable upswing nearly always seem to do so in a stair-step manner alternating active upturn with periods of rest just like my cats
Looking forward although pro-business policies play a role we see the Animal Spirits as having touched off a pile of kindling that had been stacking up throughout last year Stable oil housing growth positive business sentiment and a vigorous labor market all existed prior to November but have become more aggressively actionable in the past few months We anticipate benign inflation (recall when deflation was a concern) US GDP growth in the 2-3 range and 3x Fed tightening in 2017 Add in an unemployment rate at what we used to call the ldquonaturalrdquo rate of 45 and we foresee a strong US economy pulling world economies out of the doldrumsmdasha very good year All this is largely independent of the White House Success in their initiatives may help but the Spirits are sufficiently aroused that failure is likely to do only minimal harm
The DampB portfolio benefitted powerfully from an active vigorous market In Q1 it returned 484 versus 372 for the Benchmark Of 18 sub-categories of the portfolio all but 3 either performed at benchmark levels or added value Results are equally good looking back a year with the portfolio up 1064 versus 987 for the Benchmark While the absolute return for Growth subcategories was higher than that of Value Value managers tended to generate greater performance margins greater alpha Active management was nearly universally positive in its impact
Will every quarter this year be as good Probably not Markets donrsquot expand forever and experience teaches us that Black Swan events happen with far more regularity than we expect At times the Animal Spirits just decide to hide under the bed in the master bedroom and sleep the afternoon away In Q1 nearly everything went right and performance reflects this welcome event If the sprits decamp in the first heat of summer for a nice cool spot under the old patio furniture in the basement remember that the DampB portfolio is designed with multiple sources of return and diversification of riskmdasheven if the pace slows downturns will be mitigated and the portfolio goal will ultimately be reached
14
PORTFOLIO REVIEW
15
ASSET CATEGORY MARKET VALUE OF PORTFOLIO TOTAL COSTESTIMATED ANNUAL
INCOME CURRENT YIELD EQUITIES $75472385 682 $68214617 $1532454 203
FIXED INCOME $26307236 238 $26403024 $961455 365
TANGIBLE ASSETS $5272901 48 $6673941 $0 000
CASHCURRENCY $3633891 33 $3633891 $17692 049
TOTAL PORTFOLIO $110686414 1000 $104925473 $2511601 227
Allocation percentages of charts do not include negative market valuesDue to rounding percentages presented may not add up precisely to the totals provided
CURRENT ASSET ALLOCATION
Episcopal Diocese of CTAs of March 31 2017
16
Episcopal Diocese of CTRETURN VS RISK
RISK STATISTICS
RETURN STANDARD DEVIATION BETA ALPHA R-
SQUAREDSHARPE RATIO
TREYNOR RATIO
TRACKING ERROR
INFORMATION RATIO
Total Portfolio 407 762 108 94 97 051 359 153 77Policy Benchmark 290 694 -- -- -- 039 272 -- --
Episcopal CT Benchmark
90 Day TBill
Past performance is no guarantee of future resultsThe riskpotential reward spectrum is intended to provide a general evaluation of the risk and potential return of each asset category It is not meant to predict future performance or the volatility of any investment option or category Investors should carefully consider the investment objectives risks charges and expenses before investing
RISK ANALYTICS (SINCE INCEPTION)As of March 31 2017
17
ASSET CLASS
ASSETALLOCATIONEFFECT ()
SECTORALLOCATIONEFFECT ()
SELECTIONEFFECT ()
TOTALEFFECT ()
EQUITIES 057 035 -102 -010US Large Cap Growth 014 -004 000 010US Large Cap Value 015 003 -034 -015US Mid Cap Growth 002 005 005 012US Mid Cap Value 003 -002 004 005US Small Cap Growth 003 001 -026 -022US Small Cap Value 004 011 -036 -020Large Cap International Growth 003 012 005 020
Large Cap International Value 003 -003 -028 -028
Smid Cap International 000 013 000 013Emerging Markets 009 -002 008 015
FIXED INCOME 083 034 -016 101Investment Grade Taxable 064 001 000 065
International Developed Bonds 006 003 017 027
Global High Yield Taxable 013 029 -033 009
REAL ESTATE -014 000 010 -005TANGIBLE ASSETS -010 000 001 -009TOTAL 115 069 -107 077
Asset allocation effect () Selection allocation effect ()
Sector effect () Total effect ()
Episcopal Diocese of CT
Percentages are rounded by nearest hundredth
ATTRIBUTION ANALYSIS (TRAILING 12 MONTHS)As of March 31 2017
Asset Allocation Effect measures the impact of tactical decisions to overweight or underweight high-level asset classes (ie Equities Fixed Income etc) relative to strategic targets
Sector Allocation Effect measures the impact of tactical decisions to overweight or underweight certain asset categories (ie Large Cap Growth International Developed) within a broad asset class
Selection Effect measures the impact of manager performance in each category relative to the policy benchmark for that category
18
Episcopal Diocese of CT
INVESTMENT PERFORMANCE TRAILING RETURNSAs of March 31 2017
Past Performance is no guarantee of future resultsAll returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
19
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
TOTAL PORTFOLIO $110686454 1000 484 484 1064 441 407 090214
TOTAL PORTFOLIO - NET OF FEES $110686454 1000 473 473 1021 401 366 090214
Episcopal CT Benchmark -- -- 372 372 987 359 290 --
60 SampP 40 BC Agg -- -- 395 395 1026 610 623 --
EQUITIES $75472385 682
US Large Cap Growth $15853932 143
iShares Russell 1000 Growth ETF $7669665 69 880 880 1564 872 953 090414
Russell 1000 Growth Index -- -- 891 891 1574 892 986 --
Loomis Large Cap Growth $8184267 74 890 890 1671 1212 1061 090314
Russell 1000 Growth Index -- -- 891 891 1574 892 972 --
US Large Cap Value $16102769 146
Columbia Dividend Income $8053197 73 490 490 1534 982 902 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
MFS Investment Large Cap Value $8049572 73 561 561 1875 987 989 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
US Mid Cap Core $5384042 49
Vanguard REIT ETF $5384042 49 -- -- -- -- -242 030117
MSCI US REIT Index -- -- -- -- -- -- -237 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
20
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
US Mid Cap Growth $2844216 26
Baird Mid Cap Growth $2844216 26 891 891 1574 438 563 090314
Russell MidCap Growth Index -- -- 689 689 1405 422 638 --
US MidCap Value $3883083 35
Wedge Capital Mid Cap Value $3883083 35 637 637 2162 552 850 090314
Russell Mid Cap Value Index -- -- 376 376 1980 758 767 --
US Small Cap Growth $3959462 36
Granite Small Cap Growth $3959462 36 748 748 1415 121 432 090314
Russell 2000 Growth Index -- -- 535 535 2302 413 730 --
US Small Cap Value $4829639 44
Fuller amp Thaler Small Cap Value $4829639 44 208 208 1920 1209 1159 090314
Russell 2000 Value Index -- -- -013 -013 2935 925 857 --
International Developed $12254005 111
Vanguard FTSE DevelopedMarkets ETF $4201917 38 795 795 1293 216 033 090414
MSCI EAFE Net TR USD Index -- -- 724 724 1166 120 -043 --
Schroders Intl Growth ADR $4085636 37 810 810 1003 219 078 090314
MSCI EAFE Growth (Net) -- -- 852 852 743 171 121 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
21
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATECambiar International Value $3966452 36 386 386 738 -201 -646 090314
MSCI EAFE Value (Net) -- -- 604 604 1596 054 -160 --
Emerging Markets $10361238 94
Emerging Markets Funds (SEMNX + VWO) $10361238 94 1183 1183 1902 233 -164 090314
MSCI EMF TR Net EmrgMrkts -- -- 1144 1144 1720 153 -266 --
FIXED INCOME $26307276 238
Investment Grade Taxable $19871223 180
Neuberger Berman Core FI Taxable $14976544 135 079 079 -047 086 180 090314
BBG BARC US Aggregate Bond Index -- -- 081 081 043 119 210 --
Preferred Stock $4894678 44
Spectrum Principal Preferred $4894678 44 592 592 495 553 727 091214
BofA Merrill Lynch Core Fixed Rate Preferred Index
-- -- 596 596 447 576 744 --
International Developed Bonds $2157968 20
PIMCO Foreign Bond Fund $2157968 19 063 063 480 268 443 090414
JP Morgan GBI Global ex US -- -- -067 -067 -057 132 331 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
22
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
Global High Yield Taxable $4278086 39
Seix High Yield Bond $4278086 39 162 162 882 382 383 090314
Merrill Lynch High Yield Master Index -- -- 271 271 1673 591 429 --
TANGIBLE ASSETS $5272901 48
Credit Suisse Commodity Fund $5272901 48 -184 -184 935 -626 -1326 090414
Bloomberg (DJ UBS) Commodity Index -- -- -233 -233 870 -650 -1365 --
CASHCURRENCY $3633891 33
BofA Cash $3633891 33 009 009 026 022 018 090214
Merrill Lynch 90 Day T-Bill -- -- 010 010 036 024 019 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
The Benchmark consists of a blend of the following 10 Russell 1000 Growth 10 Russell 1000 Value 4 Russell Midcap Growth4 Russell Midcap Value 25 Russell 2000 Growth 25 Russell 2000 Value 44 MSCI EAFE Growth(Net) 44 MSCI EAFE Value(Net) 22 SampP Developed x US Small Cap 7 MSCI Emerging Markets 31 BBG BARC US Aggregate Bond 32 ML HY Master 08 JP Morgan ELMI+ 3 BBG BARC Global Agg x US 5 MSCI US REIT and 6 Bloomberg Commodity Index
23
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
EXECUTIVE SUMMARY
13
Executive Summary As of March 31 2017ldquoAnimal Spritsrdquo and a good nap
When Keynes coined the phrase ldquoAnimal Spritsrdquo in 1936 he was attempting to explain the irrationalmdashwhy investors will sometimes will sometimes feel that they have to act even in the absence of any hard reason to do so The November election proved the old boy right yet againmdashthose spirits came roaring out of the box in the days after the vote I have two cats at homemdashto me the perfect example of Animal Spirits They take off randomly as does the market chasing each other around the house at intervals Invariably the aroused animal spirits are followed by a good wash and a nap on one of the beds before it starts over Thatrsquos the story of the market in Q1 as well
January proved largely to be a month of consolidation Participants settled back to watch the development of the Trump working team markets largely moving sideways into Inauguration Day It was a great opportunity to consolidate smooth ruffled fir and sleepily ponder action to come As it became apparent that the Trump agenda would be acted on sooner rather than later markets began to advance once more in anticipation of a lower regulation lower corporate tax looser money environment The SampP 500 peaked at February month-end just short of 2400 up 125 points for the month and having risen from 2083 just before the election March brought some doubt about the ability of the White House to execute their to-do list creating some retrenchment and more sideways motionmdashthe equivalent of a nap on the bed in the guest room All in all a healthy patternmdashmarkets in true sustainable upswing nearly always seem to do so in a stair-step manner alternating active upturn with periods of rest just like my cats
Looking forward although pro-business policies play a role we see the Animal Spirits as having touched off a pile of kindling that had been stacking up throughout last year Stable oil housing growth positive business sentiment and a vigorous labor market all existed prior to November but have become more aggressively actionable in the past few months We anticipate benign inflation (recall when deflation was a concern) US GDP growth in the 2-3 range and 3x Fed tightening in 2017 Add in an unemployment rate at what we used to call the ldquonaturalrdquo rate of 45 and we foresee a strong US economy pulling world economies out of the doldrumsmdasha very good year All this is largely independent of the White House Success in their initiatives may help but the Spirits are sufficiently aroused that failure is likely to do only minimal harm
The DampB portfolio benefitted powerfully from an active vigorous market In Q1 it returned 484 versus 372 for the Benchmark Of 18 sub-categories of the portfolio all but 3 either performed at benchmark levels or added value Results are equally good looking back a year with the portfolio up 1064 versus 987 for the Benchmark While the absolute return for Growth subcategories was higher than that of Value Value managers tended to generate greater performance margins greater alpha Active management was nearly universally positive in its impact
Will every quarter this year be as good Probably not Markets donrsquot expand forever and experience teaches us that Black Swan events happen with far more regularity than we expect At times the Animal Spirits just decide to hide under the bed in the master bedroom and sleep the afternoon away In Q1 nearly everything went right and performance reflects this welcome event If the sprits decamp in the first heat of summer for a nice cool spot under the old patio furniture in the basement remember that the DampB portfolio is designed with multiple sources of return and diversification of riskmdasheven if the pace slows downturns will be mitigated and the portfolio goal will ultimately be reached
14
PORTFOLIO REVIEW
15
ASSET CATEGORY MARKET VALUE OF PORTFOLIO TOTAL COSTESTIMATED ANNUAL
INCOME CURRENT YIELD EQUITIES $75472385 682 $68214617 $1532454 203
FIXED INCOME $26307236 238 $26403024 $961455 365
TANGIBLE ASSETS $5272901 48 $6673941 $0 000
CASHCURRENCY $3633891 33 $3633891 $17692 049
TOTAL PORTFOLIO $110686414 1000 $104925473 $2511601 227
Allocation percentages of charts do not include negative market valuesDue to rounding percentages presented may not add up precisely to the totals provided
CURRENT ASSET ALLOCATION
Episcopal Diocese of CTAs of March 31 2017
16
Episcopal Diocese of CTRETURN VS RISK
RISK STATISTICS
RETURN STANDARD DEVIATION BETA ALPHA R-
SQUAREDSHARPE RATIO
TREYNOR RATIO
TRACKING ERROR
INFORMATION RATIO
Total Portfolio 407 762 108 94 97 051 359 153 77Policy Benchmark 290 694 -- -- -- 039 272 -- --
Episcopal CT Benchmark
90 Day TBill
Past performance is no guarantee of future resultsThe riskpotential reward spectrum is intended to provide a general evaluation of the risk and potential return of each asset category It is not meant to predict future performance or the volatility of any investment option or category Investors should carefully consider the investment objectives risks charges and expenses before investing
RISK ANALYTICS (SINCE INCEPTION)As of March 31 2017
17
ASSET CLASS
ASSETALLOCATIONEFFECT ()
SECTORALLOCATIONEFFECT ()
SELECTIONEFFECT ()
TOTALEFFECT ()
EQUITIES 057 035 -102 -010US Large Cap Growth 014 -004 000 010US Large Cap Value 015 003 -034 -015US Mid Cap Growth 002 005 005 012US Mid Cap Value 003 -002 004 005US Small Cap Growth 003 001 -026 -022US Small Cap Value 004 011 -036 -020Large Cap International Growth 003 012 005 020
Large Cap International Value 003 -003 -028 -028
Smid Cap International 000 013 000 013Emerging Markets 009 -002 008 015
FIXED INCOME 083 034 -016 101Investment Grade Taxable 064 001 000 065
International Developed Bonds 006 003 017 027
Global High Yield Taxable 013 029 -033 009
REAL ESTATE -014 000 010 -005TANGIBLE ASSETS -010 000 001 -009TOTAL 115 069 -107 077
Asset allocation effect () Selection allocation effect ()
Sector effect () Total effect ()
Episcopal Diocese of CT
Percentages are rounded by nearest hundredth
ATTRIBUTION ANALYSIS (TRAILING 12 MONTHS)As of March 31 2017
Asset Allocation Effect measures the impact of tactical decisions to overweight or underweight high-level asset classes (ie Equities Fixed Income etc) relative to strategic targets
Sector Allocation Effect measures the impact of tactical decisions to overweight or underweight certain asset categories (ie Large Cap Growth International Developed) within a broad asset class
Selection Effect measures the impact of manager performance in each category relative to the policy benchmark for that category
18
Episcopal Diocese of CT
INVESTMENT PERFORMANCE TRAILING RETURNSAs of March 31 2017
Past Performance is no guarantee of future resultsAll returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
19
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
TOTAL PORTFOLIO $110686454 1000 484 484 1064 441 407 090214
TOTAL PORTFOLIO - NET OF FEES $110686454 1000 473 473 1021 401 366 090214
Episcopal CT Benchmark -- -- 372 372 987 359 290 --
60 SampP 40 BC Agg -- -- 395 395 1026 610 623 --
EQUITIES $75472385 682
US Large Cap Growth $15853932 143
iShares Russell 1000 Growth ETF $7669665 69 880 880 1564 872 953 090414
Russell 1000 Growth Index -- -- 891 891 1574 892 986 --
Loomis Large Cap Growth $8184267 74 890 890 1671 1212 1061 090314
Russell 1000 Growth Index -- -- 891 891 1574 892 972 --
US Large Cap Value $16102769 146
Columbia Dividend Income $8053197 73 490 490 1534 982 902 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
MFS Investment Large Cap Value $8049572 73 561 561 1875 987 989 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
US Mid Cap Core $5384042 49
Vanguard REIT ETF $5384042 49 -- -- -- -- -242 030117
MSCI US REIT Index -- -- -- -- -- -- -237 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
20
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
US Mid Cap Growth $2844216 26
Baird Mid Cap Growth $2844216 26 891 891 1574 438 563 090314
Russell MidCap Growth Index -- -- 689 689 1405 422 638 --
US MidCap Value $3883083 35
Wedge Capital Mid Cap Value $3883083 35 637 637 2162 552 850 090314
Russell Mid Cap Value Index -- -- 376 376 1980 758 767 --
US Small Cap Growth $3959462 36
Granite Small Cap Growth $3959462 36 748 748 1415 121 432 090314
Russell 2000 Growth Index -- -- 535 535 2302 413 730 --
US Small Cap Value $4829639 44
Fuller amp Thaler Small Cap Value $4829639 44 208 208 1920 1209 1159 090314
Russell 2000 Value Index -- -- -013 -013 2935 925 857 --
International Developed $12254005 111
Vanguard FTSE DevelopedMarkets ETF $4201917 38 795 795 1293 216 033 090414
MSCI EAFE Net TR USD Index -- -- 724 724 1166 120 -043 --
Schroders Intl Growth ADR $4085636 37 810 810 1003 219 078 090314
MSCI EAFE Growth (Net) -- -- 852 852 743 171 121 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
21
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATECambiar International Value $3966452 36 386 386 738 -201 -646 090314
MSCI EAFE Value (Net) -- -- 604 604 1596 054 -160 --
Emerging Markets $10361238 94
Emerging Markets Funds (SEMNX + VWO) $10361238 94 1183 1183 1902 233 -164 090314
MSCI EMF TR Net EmrgMrkts -- -- 1144 1144 1720 153 -266 --
FIXED INCOME $26307276 238
Investment Grade Taxable $19871223 180
Neuberger Berman Core FI Taxable $14976544 135 079 079 -047 086 180 090314
BBG BARC US Aggregate Bond Index -- -- 081 081 043 119 210 --
Preferred Stock $4894678 44
Spectrum Principal Preferred $4894678 44 592 592 495 553 727 091214
BofA Merrill Lynch Core Fixed Rate Preferred Index
-- -- 596 596 447 576 744 --
International Developed Bonds $2157968 20
PIMCO Foreign Bond Fund $2157968 19 063 063 480 268 443 090414
JP Morgan GBI Global ex US -- -- -067 -067 -057 132 331 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
22
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
Global High Yield Taxable $4278086 39
Seix High Yield Bond $4278086 39 162 162 882 382 383 090314
Merrill Lynch High Yield Master Index -- -- 271 271 1673 591 429 --
TANGIBLE ASSETS $5272901 48
Credit Suisse Commodity Fund $5272901 48 -184 -184 935 -626 -1326 090414
Bloomberg (DJ UBS) Commodity Index -- -- -233 -233 870 -650 -1365 --
CASHCURRENCY $3633891 33
BofA Cash $3633891 33 009 009 026 022 018 090214
Merrill Lynch 90 Day T-Bill -- -- 010 010 036 024 019 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
The Benchmark consists of a blend of the following 10 Russell 1000 Growth 10 Russell 1000 Value 4 Russell Midcap Growth4 Russell Midcap Value 25 Russell 2000 Growth 25 Russell 2000 Value 44 MSCI EAFE Growth(Net) 44 MSCI EAFE Value(Net) 22 SampP Developed x US Small Cap 7 MSCI Emerging Markets 31 BBG BARC US Aggregate Bond 32 ML HY Master 08 JP Morgan ELMI+ 3 BBG BARC Global Agg x US 5 MSCI US REIT and 6 Bloomberg Commodity Index
23
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
Executive Summary As of March 31 2017ldquoAnimal Spritsrdquo and a good nap
When Keynes coined the phrase ldquoAnimal Spritsrdquo in 1936 he was attempting to explain the irrationalmdashwhy investors will sometimes will sometimes feel that they have to act even in the absence of any hard reason to do so The November election proved the old boy right yet againmdashthose spirits came roaring out of the box in the days after the vote I have two cats at homemdashto me the perfect example of Animal Spirits They take off randomly as does the market chasing each other around the house at intervals Invariably the aroused animal spirits are followed by a good wash and a nap on one of the beds before it starts over Thatrsquos the story of the market in Q1 as well
January proved largely to be a month of consolidation Participants settled back to watch the development of the Trump working team markets largely moving sideways into Inauguration Day It was a great opportunity to consolidate smooth ruffled fir and sleepily ponder action to come As it became apparent that the Trump agenda would be acted on sooner rather than later markets began to advance once more in anticipation of a lower regulation lower corporate tax looser money environment The SampP 500 peaked at February month-end just short of 2400 up 125 points for the month and having risen from 2083 just before the election March brought some doubt about the ability of the White House to execute their to-do list creating some retrenchment and more sideways motionmdashthe equivalent of a nap on the bed in the guest room All in all a healthy patternmdashmarkets in true sustainable upswing nearly always seem to do so in a stair-step manner alternating active upturn with periods of rest just like my cats
Looking forward although pro-business policies play a role we see the Animal Spirits as having touched off a pile of kindling that had been stacking up throughout last year Stable oil housing growth positive business sentiment and a vigorous labor market all existed prior to November but have become more aggressively actionable in the past few months We anticipate benign inflation (recall when deflation was a concern) US GDP growth in the 2-3 range and 3x Fed tightening in 2017 Add in an unemployment rate at what we used to call the ldquonaturalrdquo rate of 45 and we foresee a strong US economy pulling world economies out of the doldrumsmdasha very good year All this is largely independent of the White House Success in their initiatives may help but the Spirits are sufficiently aroused that failure is likely to do only minimal harm
The DampB portfolio benefitted powerfully from an active vigorous market In Q1 it returned 484 versus 372 for the Benchmark Of 18 sub-categories of the portfolio all but 3 either performed at benchmark levels or added value Results are equally good looking back a year with the portfolio up 1064 versus 987 for the Benchmark While the absolute return for Growth subcategories was higher than that of Value Value managers tended to generate greater performance margins greater alpha Active management was nearly universally positive in its impact
Will every quarter this year be as good Probably not Markets donrsquot expand forever and experience teaches us that Black Swan events happen with far more regularity than we expect At times the Animal Spirits just decide to hide under the bed in the master bedroom and sleep the afternoon away In Q1 nearly everything went right and performance reflects this welcome event If the sprits decamp in the first heat of summer for a nice cool spot under the old patio furniture in the basement remember that the DampB portfolio is designed with multiple sources of return and diversification of riskmdasheven if the pace slows downturns will be mitigated and the portfolio goal will ultimately be reached
14
PORTFOLIO REVIEW
15
ASSET CATEGORY MARKET VALUE OF PORTFOLIO TOTAL COSTESTIMATED ANNUAL
INCOME CURRENT YIELD EQUITIES $75472385 682 $68214617 $1532454 203
FIXED INCOME $26307236 238 $26403024 $961455 365
TANGIBLE ASSETS $5272901 48 $6673941 $0 000
CASHCURRENCY $3633891 33 $3633891 $17692 049
TOTAL PORTFOLIO $110686414 1000 $104925473 $2511601 227
Allocation percentages of charts do not include negative market valuesDue to rounding percentages presented may not add up precisely to the totals provided
CURRENT ASSET ALLOCATION
Episcopal Diocese of CTAs of March 31 2017
16
Episcopal Diocese of CTRETURN VS RISK
RISK STATISTICS
RETURN STANDARD DEVIATION BETA ALPHA R-
SQUAREDSHARPE RATIO
TREYNOR RATIO
TRACKING ERROR
INFORMATION RATIO
Total Portfolio 407 762 108 94 97 051 359 153 77Policy Benchmark 290 694 -- -- -- 039 272 -- --
Episcopal CT Benchmark
90 Day TBill
Past performance is no guarantee of future resultsThe riskpotential reward spectrum is intended to provide a general evaluation of the risk and potential return of each asset category It is not meant to predict future performance or the volatility of any investment option or category Investors should carefully consider the investment objectives risks charges and expenses before investing
RISK ANALYTICS (SINCE INCEPTION)As of March 31 2017
17
ASSET CLASS
ASSETALLOCATIONEFFECT ()
SECTORALLOCATIONEFFECT ()
SELECTIONEFFECT ()
TOTALEFFECT ()
EQUITIES 057 035 -102 -010US Large Cap Growth 014 -004 000 010US Large Cap Value 015 003 -034 -015US Mid Cap Growth 002 005 005 012US Mid Cap Value 003 -002 004 005US Small Cap Growth 003 001 -026 -022US Small Cap Value 004 011 -036 -020Large Cap International Growth 003 012 005 020
Large Cap International Value 003 -003 -028 -028
Smid Cap International 000 013 000 013Emerging Markets 009 -002 008 015
FIXED INCOME 083 034 -016 101Investment Grade Taxable 064 001 000 065
International Developed Bonds 006 003 017 027
Global High Yield Taxable 013 029 -033 009
REAL ESTATE -014 000 010 -005TANGIBLE ASSETS -010 000 001 -009TOTAL 115 069 -107 077
Asset allocation effect () Selection allocation effect ()
Sector effect () Total effect ()
Episcopal Diocese of CT
Percentages are rounded by nearest hundredth
ATTRIBUTION ANALYSIS (TRAILING 12 MONTHS)As of March 31 2017
Asset Allocation Effect measures the impact of tactical decisions to overweight or underweight high-level asset classes (ie Equities Fixed Income etc) relative to strategic targets
Sector Allocation Effect measures the impact of tactical decisions to overweight or underweight certain asset categories (ie Large Cap Growth International Developed) within a broad asset class
Selection Effect measures the impact of manager performance in each category relative to the policy benchmark for that category
18
Episcopal Diocese of CT
INVESTMENT PERFORMANCE TRAILING RETURNSAs of March 31 2017
Past Performance is no guarantee of future resultsAll returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
19
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
TOTAL PORTFOLIO $110686454 1000 484 484 1064 441 407 090214
TOTAL PORTFOLIO - NET OF FEES $110686454 1000 473 473 1021 401 366 090214
Episcopal CT Benchmark -- -- 372 372 987 359 290 --
60 SampP 40 BC Agg -- -- 395 395 1026 610 623 --
EQUITIES $75472385 682
US Large Cap Growth $15853932 143
iShares Russell 1000 Growth ETF $7669665 69 880 880 1564 872 953 090414
Russell 1000 Growth Index -- -- 891 891 1574 892 986 --
Loomis Large Cap Growth $8184267 74 890 890 1671 1212 1061 090314
Russell 1000 Growth Index -- -- 891 891 1574 892 972 --
US Large Cap Value $16102769 146
Columbia Dividend Income $8053197 73 490 490 1534 982 902 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
MFS Investment Large Cap Value $8049572 73 561 561 1875 987 989 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
US Mid Cap Core $5384042 49
Vanguard REIT ETF $5384042 49 -- -- -- -- -242 030117
MSCI US REIT Index -- -- -- -- -- -- -237 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
20
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
US Mid Cap Growth $2844216 26
Baird Mid Cap Growth $2844216 26 891 891 1574 438 563 090314
Russell MidCap Growth Index -- -- 689 689 1405 422 638 --
US MidCap Value $3883083 35
Wedge Capital Mid Cap Value $3883083 35 637 637 2162 552 850 090314
Russell Mid Cap Value Index -- -- 376 376 1980 758 767 --
US Small Cap Growth $3959462 36
Granite Small Cap Growth $3959462 36 748 748 1415 121 432 090314
Russell 2000 Growth Index -- -- 535 535 2302 413 730 --
US Small Cap Value $4829639 44
Fuller amp Thaler Small Cap Value $4829639 44 208 208 1920 1209 1159 090314
Russell 2000 Value Index -- -- -013 -013 2935 925 857 --
International Developed $12254005 111
Vanguard FTSE DevelopedMarkets ETF $4201917 38 795 795 1293 216 033 090414
MSCI EAFE Net TR USD Index -- -- 724 724 1166 120 -043 --
Schroders Intl Growth ADR $4085636 37 810 810 1003 219 078 090314
MSCI EAFE Growth (Net) -- -- 852 852 743 171 121 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
21
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATECambiar International Value $3966452 36 386 386 738 -201 -646 090314
MSCI EAFE Value (Net) -- -- 604 604 1596 054 -160 --
Emerging Markets $10361238 94
Emerging Markets Funds (SEMNX + VWO) $10361238 94 1183 1183 1902 233 -164 090314
MSCI EMF TR Net EmrgMrkts -- -- 1144 1144 1720 153 -266 --
FIXED INCOME $26307276 238
Investment Grade Taxable $19871223 180
Neuberger Berman Core FI Taxable $14976544 135 079 079 -047 086 180 090314
BBG BARC US Aggregate Bond Index -- -- 081 081 043 119 210 --
Preferred Stock $4894678 44
Spectrum Principal Preferred $4894678 44 592 592 495 553 727 091214
BofA Merrill Lynch Core Fixed Rate Preferred Index
-- -- 596 596 447 576 744 --
International Developed Bonds $2157968 20
PIMCO Foreign Bond Fund $2157968 19 063 063 480 268 443 090414
JP Morgan GBI Global ex US -- -- -067 -067 -057 132 331 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
22
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
Global High Yield Taxable $4278086 39
Seix High Yield Bond $4278086 39 162 162 882 382 383 090314
Merrill Lynch High Yield Master Index -- -- 271 271 1673 591 429 --
TANGIBLE ASSETS $5272901 48
Credit Suisse Commodity Fund $5272901 48 -184 -184 935 -626 -1326 090414
Bloomberg (DJ UBS) Commodity Index -- -- -233 -233 870 -650 -1365 --
CASHCURRENCY $3633891 33
BofA Cash $3633891 33 009 009 026 022 018 090214
Merrill Lynch 90 Day T-Bill -- -- 010 010 036 024 019 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
The Benchmark consists of a blend of the following 10 Russell 1000 Growth 10 Russell 1000 Value 4 Russell Midcap Growth4 Russell Midcap Value 25 Russell 2000 Growth 25 Russell 2000 Value 44 MSCI EAFE Growth(Net) 44 MSCI EAFE Value(Net) 22 SampP Developed x US Small Cap 7 MSCI Emerging Markets 31 BBG BARC US Aggregate Bond 32 ML HY Master 08 JP Morgan ELMI+ 3 BBG BARC Global Agg x US 5 MSCI US REIT and 6 Bloomberg Commodity Index
23
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
PORTFOLIO REVIEW
15
ASSET CATEGORY MARKET VALUE OF PORTFOLIO TOTAL COSTESTIMATED ANNUAL
INCOME CURRENT YIELD EQUITIES $75472385 682 $68214617 $1532454 203
FIXED INCOME $26307236 238 $26403024 $961455 365
TANGIBLE ASSETS $5272901 48 $6673941 $0 000
CASHCURRENCY $3633891 33 $3633891 $17692 049
TOTAL PORTFOLIO $110686414 1000 $104925473 $2511601 227
Allocation percentages of charts do not include negative market valuesDue to rounding percentages presented may not add up precisely to the totals provided
CURRENT ASSET ALLOCATION
Episcopal Diocese of CTAs of March 31 2017
16
Episcopal Diocese of CTRETURN VS RISK
RISK STATISTICS
RETURN STANDARD DEVIATION BETA ALPHA R-
SQUAREDSHARPE RATIO
TREYNOR RATIO
TRACKING ERROR
INFORMATION RATIO
Total Portfolio 407 762 108 94 97 051 359 153 77Policy Benchmark 290 694 -- -- -- 039 272 -- --
Episcopal CT Benchmark
90 Day TBill
Past performance is no guarantee of future resultsThe riskpotential reward spectrum is intended to provide a general evaluation of the risk and potential return of each asset category It is not meant to predict future performance or the volatility of any investment option or category Investors should carefully consider the investment objectives risks charges and expenses before investing
RISK ANALYTICS (SINCE INCEPTION)As of March 31 2017
17
ASSET CLASS
ASSETALLOCATIONEFFECT ()
SECTORALLOCATIONEFFECT ()
SELECTIONEFFECT ()
TOTALEFFECT ()
EQUITIES 057 035 -102 -010US Large Cap Growth 014 -004 000 010US Large Cap Value 015 003 -034 -015US Mid Cap Growth 002 005 005 012US Mid Cap Value 003 -002 004 005US Small Cap Growth 003 001 -026 -022US Small Cap Value 004 011 -036 -020Large Cap International Growth 003 012 005 020
Large Cap International Value 003 -003 -028 -028
Smid Cap International 000 013 000 013Emerging Markets 009 -002 008 015
FIXED INCOME 083 034 -016 101Investment Grade Taxable 064 001 000 065
International Developed Bonds 006 003 017 027
Global High Yield Taxable 013 029 -033 009
REAL ESTATE -014 000 010 -005TANGIBLE ASSETS -010 000 001 -009TOTAL 115 069 -107 077
Asset allocation effect () Selection allocation effect ()
Sector effect () Total effect ()
Episcopal Diocese of CT
Percentages are rounded by nearest hundredth
ATTRIBUTION ANALYSIS (TRAILING 12 MONTHS)As of March 31 2017
Asset Allocation Effect measures the impact of tactical decisions to overweight or underweight high-level asset classes (ie Equities Fixed Income etc) relative to strategic targets
Sector Allocation Effect measures the impact of tactical decisions to overweight or underweight certain asset categories (ie Large Cap Growth International Developed) within a broad asset class
Selection Effect measures the impact of manager performance in each category relative to the policy benchmark for that category
18
Episcopal Diocese of CT
INVESTMENT PERFORMANCE TRAILING RETURNSAs of March 31 2017
Past Performance is no guarantee of future resultsAll returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
19
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
TOTAL PORTFOLIO $110686454 1000 484 484 1064 441 407 090214
TOTAL PORTFOLIO - NET OF FEES $110686454 1000 473 473 1021 401 366 090214
Episcopal CT Benchmark -- -- 372 372 987 359 290 --
60 SampP 40 BC Agg -- -- 395 395 1026 610 623 --
EQUITIES $75472385 682
US Large Cap Growth $15853932 143
iShares Russell 1000 Growth ETF $7669665 69 880 880 1564 872 953 090414
Russell 1000 Growth Index -- -- 891 891 1574 892 986 --
Loomis Large Cap Growth $8184267 74 890 890 1671 1212 1061 090314
Russell 1000 Growth Index -- -- 891 891 1574 892 972 --
US Large Cap Value $16102769 146
Columbia Dividend Income $8053197 73 490 490 1534 982 902 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
MFS Investment Large Cap Value $8049572 73 561 561 1875 987 989 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
US Mid Cap Core $5384042 49
Vanguard REIT ETF $5384042 49 -- -- -- -- -242 030117
MSCI US REIT Index -- -- -- -- -- -- -237 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
20
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
US Mid Cap Growth $2844216 26
Baird Mid Cap Growth $2844216 26 891 891 1574 438 563 090314
Russell MidCap Growth Index -- -- 689 689 1405 422 638 --
US MidCap Value $3883083 35
Wedge Capital Mid Cap Value $3883083 35 637 637 2162 552 850 090314
Russell Mid Cap Value Index -- -- 376 376 1980 758 767 --
US Small Cap Growth $3959462 36
Granite Small Cap Growth $3959462 36 748 748 1415 121 432 090314
Russell 2000 Growth Index -- -- 535 535 2302 413 730 --
US Small Cap Value $4829639 44
Fuller amp Thaler Small Cap Value $4829639 44 208 208 1920 1209 1159 090314
Russell 2000 Value Index -- -- -013 -013 2935 925 857 --
International Developed $12254005 111
Vanguard FTSE DevelopedMarkets ETF $4201917 38 795 795 1293 216 033 090414
MSCI EAFE Net TR USD Index -- -- 724 724 1166 120 -043 --
Schroders Intl Growth ADR $4085636 37 810 810 1003 219 078 090314
MSCI EAFE Growth (Net) -- -- 852 852 743 171 121 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
21
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATECambiar International Value $3966452 36 386 386 738 -201 -646 090314
MSCI EAFE Value (Net) -- -- 604 604 1596 054 -160 --
Emerging Markets $10361238 94
Emerging Markets Funds (SEMNX + VWO) $10361238 94 1183 1183 1902 233 -164 090314
MSCI EMF TR Net EmrgMrkts -- -- 1144 1144 1720 153 -266 --
FIXED INCOME $26307276 238
Investment Grade Taxable $19871223 180
Neuberger Berman Core FI Taxable $14976544 135 079 079 -047 086 180 090314
BBG BARC US Aggregate Bond Index -- -- 081 081 043 119 210 --
Preferred Stock $4894678 44
Spectrum Principal Preferred $4894678 44 592 592 495 553 727 091214
BofA Merrill Lynch Core Fixed Rate Preferred Index
-- -- 596 596 447 576 744 --
International Developed Bonds $2157968 20
PIMCO Foreign Bond Fund $2157968 19 063 063 480 268 443 090414
JP Morgan GBI Global ex US -- -- -067 -067 -057 132 331 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
22
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
Global High Yield Taxable $4278086 39
Seix High Yield Bond $4278086 39 162 162 882 382 383 090314
Merrill Lynch High Yield Master Index -- -- 271 271 1673 591 429 --
TANGIBLE ASSETS $5272901 48
Credit Suisse Commodity Fund $5272901 48 -184 -184 935 -626 -1326 090414
Bloomberg (DJ UBS) Commodity Index -- -- -233 -233 870 -650 -1365 --
CASHCURRENCY $3633891 33
BofA Cash $3633891 33 009 009 026 022 018 090214
Merrill Lynch 90 Day T-Bill -- -- 010 010 036 024 019 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
The Benchmark consists of a blend of the following 10 Russell 1000 Growth 10 Russell 1000 Value 4 Russell Midcap Growth4 Russell Midcap Value 25 Russell 2000 Growth 25 Russell 2000 Value 44 MSCI EAFE Growth(Net) 44 MSCI EAFE Value(Net) 22 SampP Developed x US Small Cap 7 MSCI Emerging Markets 31 BBG BARC US Aggregate Bond 32 ML HY Master 08 JP Morgan ELMI+ 3 BBG BARC Global Agg x US 5 MSCI US REIT and 6 Bloomberg Commodity Index
23
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
ASSET CATEGORY MARKET VALUE OF PORTFOLIO TOTAL COSTESTIMATED ANNUAL
INCOME CURRENT YIELD EQUITIES $75472385 682 $68214617 $1532454 203
FIXED INCOME $26307236 238 $26403024 $961455 365
TANGIBLE ASSETS $5272901 48 $6673941 $0 000
CASHCURRENCY $3633891 33 $3633891 $17692 049
TOTAL PORTFOLIO $110686414 1000 $104925473 $2511601 227
Allocation percentages of charts do not include negative market valuesDue to rounding percentages presented may not add up precisely to the totals provided
CURRENT ASSET ALLOCATION
Episcopal Diocese of CTAs of March 31 2017
16
Episcopal Diocese of CTRETURN VS RISK
RISK STATISTICS
RETURN STANDARD DEVIATION BETA ALPHA R-
SQUAREDSHARPE RATIO
TREYNOR RATIO
TRACKING ERROR
INFORMATION RATIO
Total Portfolio 407 762 108 94 97 051 359 153 77Policy Benchmark 290 694 -- -- -- 039 272 -- --
Episcopal CT Benchmark
90 Day TBill
Past performance is no guarantee of future resultsThe riskpotential reward spectrum is intended to provide a general evaluation of the risk and potential return of each asset category It is not meant to predict future performance or the volatility of any investment option or category Investors should carefully consider the investment objectives risks charges and expenses before investing
RISK ANALYTICS (SINCE INCEPTION)As of March 31 2017
17
ASSET CLASS
ASSETALLOCATIONEFFECT ()
SECTORALLOCATIONEFFECT ()
SELECTIONEFFECT ()
TOTALEFFECT ()
EQUITIES 057 035 -102 -010US Large Cap Growth 014 -004 000 010US Large Cap Value 015 003 -034 -015US Mid Cap Growth 002 005 005 012US Mid Cap Value 003 -002 004 005US Small Cap Growth 003 001 -026 -022US Small Cap Value 004 011 -036 -020Large Cap International Growth 003 012 005 020
Large Cap International Value 003 -003 -028 -028
Smid Cap International 000 013 000 013Emerging Markets 009 -002 008 015
FIXED INCOME 083 034 -016 101Investment Grade Taxable 064 001 000 065
International Developed Bonds 006 003 017 027
Global High Yield Taxable 013 029 -033 009
REAL ESTATE -014 000 010 -005TANGIBLE ASSETS -010 000 001 -009TOTAL 115 069 -107 077
Asset allocation effect () Selection allocation effect ()
Sector effect () Total effect ()
Episcopal Diocese of CT
Percentages are rounded by nearest hundredth
ATTRIBUTION ANALYSIS (TRAILING 12 MONTHS)As of March 31 2017
Asset Allocation Effect measures the impact of tactical decisions to overweight or underweight high-level asset classes (ie Equities Fixed Income etc) relative to strategic targets
Sector Allocation Effect measures the impact of tactical decisions to overweight or underweight certain asset categories (ie Large Cap Growth International Developed) within a broad asset class
Selection Effect measures the impact of manager performance in each category relative to the policy benchmark for that category
18
Episcopal Diocese of CT
INVESTMENT PERFORMANCE TRAILING RETURNSAs of March 31 2017
Past Performance is no guarantee of future resultsAll returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
19
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
TOTAL PORTFOLIO $110686454 1000 484 484 1064 441 407 090214
TOTAL PORTFOLIO - NET OF FEES $110686454 1000 473 473 1021 401 366 090214
Episcopal CT Benchmark -- -- 372 372 987 359 290 --
60 SampP 40 BC Agg -- -- 395 395 1026 610 623 --
EQUITIES $75472385 682
US Large Cap Growth $15853932 143
iShares Russell 1000 Growth ETF $7669665 69 880 880 1564 872 953 090414
Russell 1000 Growth Index -- -- 891 891 1574 892 986 --
Loomis Large Cap Growth $8184267 74 890 890 1671 1212 1061 090314
Russell 1000 Growth Index -- -- 891 891 1574 892 972 --
US Large Cap Value $16102769 146
Columbia Dividend Income $8053197 73 490 490 1534 982 902 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
MFS Investment Large Cap Value $8049572 73 561 561 1875 987 989 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
US Mid Cap Core $5384042 49
Vanguard REIT ETF $5384042 49 -- -- -- -- -242 030117
MSCI US REIT Index -- -- -- -- -- -- -237 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
20
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
US Mid Cap Growth $2844216 26
Baird Mid Cap Growth $2844216 26 891 891 1574 438 563 090314
Russell MidCap Growth Index -- -- 689 689 1405 422 638 --
US MidCap Value $3883083 35
Wedge Capital Mid Cap Value $3883083 35 637 637 2162 552 850 090314
Russell Mid Cap Value Index -- -- 376 376 1980 758 767 --
US Small Cap Growth $3959462 36
Granite Small Cap Growth $3959462 36 748 748 1415 121 432 090314
Russell 2000 Growth Index -- -- 535 535 2302 413 730 --
US Small Cap Value $4829639 44
Fuller amp Thaler Small Cap Value $4829639 44 208 208 1920 1209 1159 090314
Russell 2000 Value Index -- -- -013 -013 2935 925 857 --
International Developed $12254005 111
Vanguard FTSE DevelopedMarkets ETF $4201917 38 795 795 1293 216 033 090414
MSCI EAFE Net TR USD Index -- -- 724 724 1166 120 -043 --
Schroders Intl Growth ADR $4085636 37 810 810 1003 219 078 090314
MSCI EAFE Growth (Net) -- -- 852 852 743 171 121 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
21
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATECambiar International Value $3966452 36 386 386 738 -201 -646 090314
MSCI EAFE Value (Net) -- -- 604 604 1596 054 -160 --
Emerging Markets $10361238 94
Emerging Markets Funds (SEMNX + VWO) $10361238 94 1183 1183 1902 233 -164 090314
MSCI EMF TR Net EmrgMrkts -- -- 1144 1144 1720 153 -266 --
FIXED INCOME $26307276 238
Investment Grade Taxable $19871223 180
Neuberger Berman Core FI Taxable $14976544 135 079 079 -047 086 180 090314
BBG BARC US Aggregate Bond Index -- -- 081 081 043 119 210 --
Preferred Stock $4894678 44
Spectrum Principal Preferred $4894678 44 592 592 495 553 727 091214
BofA Merrill Lynch Core Fixed Rate Preferred Index
-- -- 596 596 447 576 744 --
International Developed Bonds $2157968 20
PIMCO Foreign Bond Fund $2157968 19 063 063 480 268 443 090414
JP Morgan GBI Global ex US -- -- -067 -067 -057 132 331 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
22
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
Global High Yield Taxable $4278086 39
Seix High Yield Bond $4278086 39 162 162 882 382 383 090314
Merrill Lynch High Yield Master Index -- -- 271 271 1673 591 429 --
TANGIBLE ASSETS $5272901 48
Credit Suisse Commodity Fund $5272901 48 -184 -184 935 -626 -1326 090414
Bloomberg (DJ UBS) Commodity Index -- -- -233 -233 870 -650 -1365 --
CASHCURRENCY $3633891 33
BofA Cash $3633891 33 009 009 026 022 018 090214
Merrill Lynch 90 Day T-Bill -- -- 010 010 036 024 019 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
The Benchmark consists of a blend of the following 10 Russell 1000 Growth 10 Russell 1000 Value 4 Russell Midcap Growth4 Russell Midcap Value 25 Russell 2000 Growth 25 Russell 2000 Value 44 MSCI EAFE Growth(Net) 44 MSCI EAFE Value(Net) 22 SampP Developed x US Small Cap 7 MSCI Emerging Markets 31 BBG BARC US Aggregate Bond 32 ML HY Master 08 JP Morgan ELMI+ 3 BBG BARC Global Agg x US 5 MSCI US REIT and 6 Bloomberg Commodity Index
23
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
Episcopal Diocese of CTRETURN VS RISK
RISK STATISTICS
RETURN STANDARD DEVIATION BETA ALPHA R-
SQUAREDSHARPE RATIO
TREYNOR RATIO
TRACKING ERROR
INFORMATION RATIO
Total Portfolio 407 762 108 94 97 051 359 153 77Policy Benchmark 290 694 -- -- -- 039 272 -- --
Episcopal CT Benchmark
90 Day TBill
Past performance is no guarantee of future resultsThe riskpotential reward spectrum is intended to provide a general evaluation of the risk and potential return of each asset category It is not meant to predict future performance or the volatility of any investment option or category Investors should carefully consider the investment objectives risks charges and expenses before investing
RISK ANALYTICS (SINCE INCEPTION)As of March 31 2017
17
ASSET CLASS
ASSETALLOCATIONEFFECT ()
SECTORALLOCATIONEFFECT ()
SELECTIONEFFECT ()
TOTALEFFECT ()
EQUITIES 057 035 -102 -010US Large Cap Growth 014 -004 000 010US Large Cap Value 015 003 -034 -015US Mid Cap Growth 002 005 005 012US Mid Cap Value 003 -002 004 005US Small Cap Growth 003 001 -026 -022US Small Cap Value 004 011 -036 -020Large Cap International Growth 003 012 005 020
Large Cap International Value 003 -003 -028 -028
Smid Cap International 000 013 000 013Emerging Markets 009 -002 008 015
FIXED INCOME 083 034 -016 101Investment Grade Taxable 064 001 000 065
International Developed Bonds 006 003 017 027
Global High Yield Taxable 013 029 -033 009
REAL ESTATE -014 000 010 -005TANGIBLE ASSETS -010 000 001 -009TOTAL 115 069 -107 077
Asset allocation effect () Selection allocation effect ()
Sector effect () Total effect ()
Episcopal Diocese of CT
Percentages are rounded by nearest hundredth
ATTRIBUTION ANALYSIS (TRAILING 12 MONTHS)As of March 31 2017
Asset Allocation Effect measures the impact of tactical decisions to overweight or underweight high-level asset classes (ie Equities Fixed Income etc) relative to strategic targets
Sector Allocation Effect measures the impact of tactical decisions to overweight or underweight certain asset categories (ie Large Cap Growth International Developed) within a broad asset class
Selection Effect measures the impact of manager performance in each category relative to the policy benchmark for that category
18
Episcopal Diocese of CT
INVESTMENT PERFORMANCE TRAILING RETURNSAs of March 31 2017
Past Performance is no guarantee of future resultsAll returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
19
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
TOTAL PORTFOLIO $110686454 1000 484 484 1064 441 407 090214
TOTAL PORTFOLIO - NET OF FEES $110686454 1000 473 473 1021 401 366 090214
Episcopal CT Benchmark -- -- 372 372 987 359 290 --
60 SampP 40 BC Agg -- -- 395 395 1026 610 623 --
EQUITIES $75472385 682
US Large Cap Growth $15853932 143
iShares Russell 1000 Growth ETF $7669665 69 880 880 1564 872 953 090414
Russell 1000 Growth Index -- -- 891 891 1574 892 986 --
Loomis Large Cap Growth $8184267 74 890 890 1671 1212 1061 090314
Russell 1000 Growth Index -- -- 891 891 1574 892 972 --
US Large Cap Value $16102769 146
Columbia Dividend Income $8053197 73 490 490 1534 982 902 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
MFS Investment Large Cap Value $8049572 73 561 561 1875 987 989 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
US Mid Cap Core $5384042 49
Vanguard REIT ETF $5384042 49 -- -- -- -- -242 030117
MSCI US REIT Index -- -- -- -- -- -- -237 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
20
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
US Mid Cap Growth $2844216 26
Baird Mid Cap Growth $2844216 26 891 891 1574 438 563 090314
Russell MidCap Growth Index -- -- 689 689 1405 422 638 --
US MidCap Value $3883083 35
Wedge Capital Mid Cap Value $3883083 35 637 637 2162 552 850 090314
Russell Mid Cap Value Index -- -- 376 376 1980 758 767 --
US Small Cap Growth $3959462 36
Granite Small Cap Growth $3959462 36 748 748 1415 121 432 090314
Russell 2000 Growth Index -- -- 535 535 2302 413 730 --
US Small Cap Value $4829639 44
Fuller amp Thaler Small Cap Value $4829639 44 208 208 1920 1209 1159 090314
Russell 2000 Value Index -- -- -013 -013 2935 925 857 --
International Developed $12254005 111
Vanguard FTSE DevelopedMarkets ETF $4201917 38 795 795 1293 216 033 090414
MSCI EAFE Net TR USD Index -- -- 724 724 1166 120 -043 --
Schroders Intl Growth ADR $4085636 37 810 810 1003 219 078 090314
MSCI EAFE Growth (Net) -- -- 852 852 743 171 121 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
21
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATECambiar International Value $3966452 36 386 386 738 -201 -646 090314
MSCI EAFE Value (Net) -- -- 604 604 1596 054 -160 --
Emerging Markets $10361238 94
Emerging Markets Funds (SEMNX + VWO) $10361238 94 1183 1183 1902 233 -164 090314
MSCI EMF TR Net EmrgMrkts -- -- 1144 1144 1720 153 -266 --
FIXED INCOME $26307276 238
Investment Grade Taxable $19871223 180
Neuberger Berman Core FI Taxable $14976544 135 079 079 -047 086 180 090314
BBG BARC US Aggregate Bond Index -- -- 081 081 043 119 210 --
Preferred Stock $4894678 44
Spectrum Principal Preferred $4894678 44 592 592 495 553 727 091214
BofA Merrill Lynch Core Fixed Rate Preferred Index
-- -- 596 596 447 576 744 --
International Developed Bonds $2157968 20
PIMCO Foreign Bond Fund $2157968 19 063 063 480 268 443 090414
JP Morgan GBI Global ex US -- -- -067 -067 -057 132 331 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
22
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
Global High Yield Taxable $4278086 39
Seix High Yield Bond $4278086 39 162 162 882 382 383 090314
Merrill Lynch High Yield Master Index -- -- 271 271 1673 591 429 --
TANGIBLE ASSETS $5272901 48
Credit Suisse Commodity Fund $5272901 48 -184 -184 935 -626 -1326 090414
Bloomberg (DJ UBS) Commodity Index -- -- -233 -233 870 -650 -1365 --
CASHCURRENCY $3633891 33
BofA Cash $3633891 33 009 009 026 022 018 090214
Merrill Lynch 90 Day T-Bill -- -- 010 010 036 024 019 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
The Benchmark consists of a blend of the following 10 Russell 1000 Growth 10 Russell 1000 Value 4 Russell Midcap Growth4 Russell Midcap Value 25 Russell 2000 Growth 25 Russell 2000 Value 44 MSCI EAFE Growth(Net) 44 MSCI EAFE Value(Net) 22 SampP Developed x US Small Cap 7 MSCI Emerging Markets 31 BBG BARC US Aggregate Bond 32 ML HY Master 08 JP Morgan ELMI+ 3 BBG BARC Global Agg x US 5 MSCI US REIT and 6 Bloomberg Commodity Index
23
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
ASSET CLASS
ASSETALLOCATIONEFFECT ()
SECTORALLOCATIONEFFECT ()
SELECTIONEFFECT ()
TOTALEFFECT ()
EQUITIES 057 035 -102 -010US Large Cap Growth 014 -004 000 010US Large Cap Value 015 003 -034 -015US Mid Cap Growth 002 005 005 012US Mid Cap Value 003 -002 004 005US Small Cap Growth 003 001 -026 -022US Small Cap Value 004 011 -036 -020Large Cap International Growth 003 012 005 020
Large Cap International Value 003 -003 -028 -028
Smid Cap International 000 013 000 013Emerging Markets 009 -002 008 015
FIXED INCOME 083 034 -016 101Investment Grade Taxable 064 001 000 065
International Developed Bonds 006 003 017 027
Global High Yield Taxable 013 029 -033 009
REAL ESTATE -014 000 010 -005TANGIBLE ASSETS -010 000 001 -009TOTAL 115 069 -107 077
Asset allocation effect () Selection allocation effect ()
Sector effect () Total effect ()
Episcopal Diocese of CT
Percentages are rounded by nearest hundredth
ATTRIBUTION ANALYSIS (TRAILING 12 MONTHS)As of March 31 2017
Asset Allocation Effect measures the impact of tactical decisions to overweight or underweight high-level asset classes (ie Equities Fixed Income etc) relative to strategic targets
Sector Allocation Effect measures the impact of tactical decisions to overweight or underweight certain asset categories (ie Large Cap Growth International Developed) within a broad asset class
Selection Effect measures the impact of manager performance in each category relative to the policy benchmark for that category
18
Episcopal Diocese of CT
INVESTMENT PERFORMANCE TRAILING RETURNSAs of March 31 2017
Past Performance is no guarantee of future resultsAll returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
19
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
TOTAL PORTFOLIO $110686454 1000 484 484 1064 441 407 090214
TOTAL PORTFOLIO - NET OF FEES $110686454 1000 473 473 1021 401 366 090214
Episcopal CT Benchmark -- -- 372 372 987 359 290 --
60 SampP 40 BC Agg -- -- 395 395 1026 610 623 --
EQUITIES $75472385 682
US Large Cap Growth $15853932 143
iShares Russell 1000 Growth ETF $7669665 69 880 880 1564 872 953 090414
Russell 1000 Growth Index -- -- 891 891 1574 892 986 --
Loomis Large Cap Growth $8184267 74 890 890 1671 1212 1061 090314
Russell 1000 Growth Index -- -- 891 891 1574 892 972 --
US Large Cap Value $16102769 146
Columbia Dividend Income $8053197 73 490 490 1534 982 902 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
MFS Investment Large Cap Value $8049572 73 561 561 1875 987 989 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
US Mid Cap Core $5384042 49
Vanguard REIT ETF $5384042 49 -- -- -- -- -242 030117
MSCI US REIT Index -- -- -- -- -- -- -237 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
20
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
US Mid Cap Growth $2844216 26
Baird Mid Cap Growth $2844216 26 891 891 1574 438 563 090314
Russell MidCap Growth Index -- -- 689 689 1405 422 638 --
US MidCap Value $3883083 35
Wedge Capital Mid Cap Value $3883083 35 637 637 2162 552 850 090314
Russell Mid Cap Value Index -- -- 376 376 1980 758 767 --
US Small Cap Growth $3959462 36
Granite Small Cap Growth $3959462 36 748 748 1415 121 432 090314
Russell 2000 Growth Index -- -- 535 535 2302 413 730 --
US Small Cap Value $4829639 44
Fuller amp Thaler Small Cap Value $4829639 44 208 208 1920 1209 1159 090314
Russell 2000 Value Index -- -- -013 -013 2935 925 857 --
International Developed $12254005 111
Vanguard FTSE DevelopedMarkets ETF $4201917 38 795 795 1293 216 033 090414
MSCI EAFE Net TR USD Index -- -- 724 724 1166 120 -043 --
Schroders Intl Growth ADR $4085636 37 810 810 1003 219 078 090314
MSCI EAFE Growth (Net) -- -- 852 852 743 171 121 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
21
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATECambiar International Value $3966452 36 386 386 738 -201 -646 090314
MSCI EAFE Value (Net) -- -- 604 604 1596 054 -160 --
Emerging Markets $10361238 94
Emerging Markets Funds (SEMNX + VWO) $10361238 94 1183 1183 1902 233 -164 090314
MSCI EMF TR Net EmrgMrkts -- -- 1144 1144 1720 153 -266 --
FIXED INCOME $26307276 238
Investment Grade Taxable $19871223 180
Neuberger Berman Core FI Taxable $14976544 135 079 079 -047 086 180 090314
BBG BARC US Aggregate Bond Index -- -- 081 081 043 119 210 --
Preferred Stock $4894678 44
Spectrum Principal Preferred $4894678 44 592 592 495 553 727 091214
BofA Merrill Lynch Core Fixed Rate Preferred Index
-- -- 596 596 447 576 744 --
International Developed Bonds $2157968 20
PIMCO Foreign Bond Fund $2157968 19 063 063 480 268 443 090414
JP Morgan GBI Global ex US -- -- -067 -067 -057 132 331 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
22
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
Global High Yield Taxable $4278086 39
Seix High Yield Bond $4278086 39 162 162 882 382 383 090314
Merrill Lynch High Yield Master Index -- -- 271 271 1673 591 429 --
TANGIBLE ASSETS $5272901 48
Credit Suisse Commodity Fund $5272901 48 -184 -184 935 -626 -1326 090414
Bloomberg (DJ UBS) Commodity Index -- -- -233 -233 870 -650 -1365 --
CASHCURRENCY $3633891 33
BofA Cash $3633891 33 009 009 026 022 018 090214
Merrill Lynch 90 Day T-Bill -- -- 010 010 036 024 019 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
The Benchmark consists of a blend of the following 10 Russell 1000 Growth 10 Russell 1000 Value 4 Russell Midcap Growth4 Russell Midcap Value 25 Russell 2000 Growth 25 Russell 2000 Value 44 MSCI EAFE Growth(Net) 44 MSCI EAFE Value(Net) 22 SampP Developed x US Small Cap 7 MSCI Emerging Markets 31 BBG BARC US Aggregate Bond 32 ML HY Master 08 JP Morgan ELMI+ 3 BBG BARC Global Agg x US 5 MSCI US REIT and 6 Bloomberg Commodity Index
23
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
Episcopal Diocese of CT
INVESTMENT PERFORMANCE TRAILING RETURNSAs of March 31 2017
Past Performance is no guarantee of future resultsAll returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
19
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
TOTAL PORTFOLIO $110686454 1000 484 484 1064 441 407 090214
TOTAL PORTFOLIO - NET OF FEES $110686454 1000 473 473 1021 401 366 090214
Episcopal CT Benchmark -- -- 372 372 987 359 290 --
60 SampP 40 BC Agg -- -- 395 395 1026 610 623 --
EQUITIES $75472385 682
US Large Cap Growth $15853932 143
iShares Russell 1000 Growth ETF $7669665 69 880 880 1564 872 953 090414
Russell 1000 Growth Index -- -- 891 891 1574 892 986 --
Loomis Large Cap Growth $8184267 74 890 890 1671 1212 1061 090314
Russell 1000 Growth Index -- -- 891 891 1574 892 972 --
US Large Cap Value $16102769 146
Columbia Dividend Income $8053197 73 490 490 1534 982 902 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
MFS Investment Large Cap Value $8049572 73 561 561 1875 987 989 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
US Mid Cap Core $5384042 49
Vanguard REIT ETF $5384042 49 -- -- -- -- -242 030117
MSCI US REIT Index -- -- -- -- -- -- -237 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
20
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
US Mid Cap Growth $2844216 26
Baird Mid Cap Growth $2844216 26 891 891 1574 438 563 090314
Russell MidCap Growth Index -- -- 689 689 1405 422 638 --
US MidCap Value $3883083 35
Wedge Capital Mid Cap Value $3883083 35 637 637 2162 552 850 090314
Russell Mid Cap Value Index -- -- 376 376 1980 758 767 --
US Small Cap Growth $3959462 36
Granite Small Cap Growth $3959462 36 748 748 1415 121 432 090314
Russell 2000 Growth Index -- -- 535 535 2302 413 730 --
US Small Cap Value $4829639 44
Fuller amp Thaler Small Cap Value $4829639 44 208 208 1920 1209 1159 090314
Russell 2000 Value Index -- -- -013 -013 2935 925 857 --
International Developed $12254005 111
Vanguard FTSE DevelopedMarkets ETF $4201917 38 795 795 1293 216 033 090414
MSCI EAFE Net TR USD Index -- -- 724 724 1166 120 -043 --
Schroders Intl Growth ADR $4085636 37 810 810 1003 219 078 090314
MSCI EAFE Growth (Net) -- -- 852 852 743 171 121 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
21
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATECambiar International Value $3966452 36 386 386 738 -201 -646 090314
MSCI EAFE Value (Net) -- -- 604 604 1596 054 -160 --
Emerging Markets $10361238 94
Emerging Markets Funds (SEMNX + VWO) $10361238 94 1183 1183 1902 233 -164 090314
MSCI EMF TR Net EmrgMrkts -- -- 1144 1144 1720 153 -266 --
FIXED INCOME $26307276 238
Investment Grade Taxable $19871223 180
Neuberger Berman Core FI Taxable $14976544 135 079 079 -047 086 180 090314
BBG BARC US Aggregate Bond Index -- -- 081 081 043 119 210 --
Preferred Stock $4894678 44
Spectrum Principal Preferred $4894678 44 592 592 495 553 727 091214
BofA Merrill Lynch Core Fixed Rate Preferred Index
-- -- 596 596 447 576 744 --
International Developed Bonds $2157968 20
PIMCO Foreign Bond Fund $2157968 19 063 063 480 268 443 090414
JP Morgan GBI Global ex US -- -- -067 -067 -057 132 331 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
22
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
Global High Yield Taxable $4278086 39
Seix High Yield Bond $4278086 39 162 162 882 382 383 090314
Merrill Lynch High Yield Master Index -- -- 271 271 1673 591 429 --
TANGIBLE ASSETS $5272901 48
Credit Suisse Commodity Fund $5272901 48 -184 -184 935 -626 -1326 090414
Bloomberg (DJ UBS) Commodity Index -- -- -233 -233 870 -650 -1365 --
CASHCURRENCY $3633891 33
BofA Cash $3633891 33 009 009 026 022 018 090214
Merrill Lynch 90 Day T-Bill -- -- 010 010 036 024 019 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
The Benchmark consists of a blend of the following 10 Russell 1000 Growth 10 Russell 1000 Value 4 Russell Midcap Growth4 Russell Midcap Value 25 Russell 2000 Growth 25 Russell 2000 Value 44 MSCI EAFE Growth(Net) 44 MSCI EAFE Value(Net) 22 SampP Developed x US Small Cap 7 MSCI Emerging Markets 31 BBG BARC US Aggregate Bond 32 ML HY Master 08 JP Morgan ELMI+ 3 BBG BARC Global Agg x US 5 MSCI US REIT and 6 Bloomberg Commodity Index
23
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
TOTAL PORTFOLIO $110686454 1000 484 484 1064 441 407 090214
TOTAL PORTFOLIO - NET OF FEES $110686454 1000 473 473 1021 401 366 090214
Episcopal CT Benchmark -- -- 372 372 987 359 290 --
60 SampP 40 BC Agg -- -- 395 395 1026 610 623 --
EQUITIES $75472385 682
US Large Cap Growth $15853932 143
iShares Russell 1000 Growth ETF $7669665 69 880 880 1564 872 953 090414
Russell 1000 Growth Index -- -- 891 891 1574 892 986 --
Loomis Large Cap Growth $8184267 74 890 890 1671 1212 1061 090314
Russell 1000 Growth Index -- -- 891 891 1574 892 972 --
US Large Cap Value $16102769 146
Columbia Dividend Income $8053197 73 490 490 1534 982 902 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
MFS Investment Large Cap Value $8049572 73 561 561 1875 987 989 090314
Russell 1000 Value Index -- -- 327 327 1921 833 731 --
US Mid Cap Core $5384042 49
Vanguard REIT ETF $5384042 49 -- -- -- -- -242 030117
MSCI US REIT Index -- -- -- -- -- -- -237 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
20
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
US Mid Cap Growth $2844216 26
Baird Mid Cap Growth $2844216 26 891 891 1574 438 563 090314
Russell MidCap Growth Index -- -- 689 689 1405 422 638 --
US MidCap Value $3883083 35
Wedge Capital Mid Cap Value $3883083 35 637 637 2162 552 850 090314
Russell Mid Cap Value Index -- -- 376 376 1980 758 767 --
US Small Cap Growth $3959462 36
Granite Small Cap Growth $3959462 36 748 748 1415 121 432 090314
Russell 2000 Growth Index -- -- 535 535 2302 413 730 --
US Small Cap Value $4829639 44
Fuller amp Thaler Small Cap Value $4829639 44 208 208 1920 1209 1159 090314
Russell 2000 Value Index -- -- -013 -013 2935 925 857 --
International Developed $12254005 111
Vanguard FTSE DevelopedMarkets ETF $4201917 38 795 795 1293 216 033 090414
MSCI EAFE Net TR USD Index -- -- 724 724 1166 120 -043 --
Schroders Intl Growth ADR $4085636 37 810 810 1003 219 078 090314
MSCI EAFE Growth (Net) -- -- 852 852 743 171 121 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
21
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATECambiar International Value $3966452 36 386 386 738 -201 -646 090314
MSCI EAFE Value (Net) -- -- 604 604 1596 054 -160 --
Emerging Markets $10361238 94
Emerging Markets Funds (SEMNX + VWO) $10361238 94 1183 1183 1902 233 -164 090314
MSCI EMF TR Net EmrgMrkts -- -- 1144 1144 1720 153 -266 --
FIXED INCOME $26307276 238
Investment Grade Taxable $19871223 180
Neuberger Berman Core FI Taxable $14976544 135 079 079 -047 086 180 090314
BBG BARC US Aggregate Bond Index -- -- 081 081 043 119 210 --
Preferred Stock $4894678 44
Spectrum Principal Preferred $4894678 44 592 592 495 553 727 091214
BofA Merrill Lynch Core Fixed Rate Preferred Index
-- -- 596 596 447 576 744 --
International Developed Bonds $2157968 20
PIMCO Foreign Bond Fund $2157968 19 063 063 480 268 443 090414
JP Morgan GBI Global ex US -- -- -067 -067 -057 132 331 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
22
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
Global High Yield Taxable $4278086 39
Seix High Yield Bond $4278086 39 162 162 882 382 383 090314
Merrill Lynch High Yield Master Index -- -- 271 271 1673 591 429 --
TANGIBLE ASSETS $5272901 48
Credit Suisse Commodity Fund $5272901 48 -184 -184 935 -626 -1326 090414
Bloomberg (DJ UBS) Commodity Index -- -- -233 -233 870 -650 -1365 --
CASHCURRENCY $3633891 33
BofA Cash $3633891 33 009 009 026 022 018 090214
Merrill Lynch 90 Day T-Bill -- -- 010 010 036 024 019 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
The Benchmark consists of a blend of the following 10 Russell 1000 Growth 10 Russell 1000 Value 4 Russell Midcap Growth4 Russell Midcap Value 25 Russell 2000 Growth 25 Russell 2000 Value 44 MSCI EAFE Growth(Net) 44 MSCI EAFE Value(Net) 22 SampP Developed x US Small Cap 7 MSCI Emerging Markets 31 BBG BARC US Aggregate Bond 32 ML HY Master 08 JP Morgan ELMI+ 3 BBG BARC Global Agg x US 5 MSCI US REIT and 6 Bloomberg Commodity Index
23
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
US Mid Cap Growth $2844216 26
Baird Mid Cap Growth $2844216 26 891 891 1574 438 563 090314
Russell MidCap Growth Index -- -- 689 689 1405 422 638 --
US MidCap Value $3883083 35
Wedge Capital Mid Cap Value $3883083 35 637 637 2162 552 850 090314
Russell Mid Cap Value Index -- -- 376 376 1980 758 767 --
US Small Cap Growth $3959462 36
Granite Small Cap Growth $3959462 36 748 748 1415 121 432 090314
Russell 2000 Growth Index -- -- 535 535 2302 413 730 --
US Small Cap Value $4829639 44
Fuller amp Thaler Small Cap Value $4829639 44 208 208 1920 1209 1159 090314
Russell 2000 Value Index -- -- -013 -013 2935 925 857 --
International Developed $12254005 111
Vanguard FTSE DevelopedMarkets ETF $4201917 38 795 795 1293 216 033 090414
MSCI EAFE Net TR USD Index -- -- 724 724 1166 120 -043 --
Schroders Intl Growth ADR $4085636 37 810 810 1003 219 078 090314
MSCI EAFE Growth (Net) -- -- 852 852 743 171 121 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
21
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATECambiar International Value $3966452 36 386 386 738 -201 -646 090314
MSCI EAFE Value (Net) -- -- 604 604 1596 054 -160 --
Emerging Markets $10361238 94
Emerging Markets Funds (SEMNX + VWO) $10361238 94 1183 1183 1902 233 -164 090314
MSCI EMF TR Net EmrgMrkts -- -- 1144 1144 1720 153 -266 --
FIXED INCOME $26307276 238
Investment Grade Taxable $19871223 180
Neuberger Berman Core FI Taxable $14976544 135 079 079 -047 086 180 090314
BBG BARC US Aggregate Bond Index -- -- 081 081 043 119 210 --
Preferred Stock $4894678 44
Spectrum Principal Preferred $4894678 44 592 592 495 553 727 091214
BofA Merrill Lynch Core Fixed Rate Preferred Index
-- -- 596 596 447 576 744 --
International Developed Bonds $2157968 20
PIMCO Foreign Bond Fund $2157968 19 063 063 480 268 443 090414
JP Morgan GBI Global ex US -- -- -067 -067 -057 132 331 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
22
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
Global High Yield Taxable $4278086 39
Seix High Yield Bond $4278086 39 162 162 882 382 383 090314
Merrill Lynch High Yield Master Index -- -- 271 271 1673 591 429 --
TANGIBLE ASSETS $5272901 48
Credit Suisse Commodity Fund $5272901 48 -184 -184 935 -626 -1326 090414
Bloomberg (DJ UBS) Commodity Index -- -- -233 -233 870 -650 -1365 --
CASHCURRENCY $3633891 33
BofA Cash $3633891 33 009 009 026 022 018 090214
Merrill Lynch 90 Day T-Bill -- -- 010 010 036 024 019 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
The Benchmark consists of a blend of the following 10 Russell 1000 Growth 10 Russell 1000 Value 4 Russell Midcap Growth4 Russell Midcap Value 25 Russell 2000 Growth 25 Russell 2000 Value 44 MSCI EAFE Growth(Net) 44 MSCI EAFE Value(Net) 22 SampP Developed x US Small Cap 7 MSCI Emerging Markets 31 BBG BARC US Aggregate Bond 32 ML HY Master 08 JP Morgan ELMI+ 3 BBG BARC Global Agg x US 5 MSCI US REIT and 6 Bloomberg Commodity Index
23
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATECambiar International Value $3966452 36 386 386 738 -201 -646 090314
MSCI EAFE Value (Net) -- -- 604 604 1596 054 -160 --
Emerging Markets $10361238 94
Emerging Markets Funds (SEMNX + VWO) $10361238 94 1183 1183 1902 233 -164 090314
MSCI EMF TR Net EmrgMrkts -- -- 1144 1144 1720 153 -266 --
FIXED INCOME $26307276 238
Investment Grade Taxable $19871223 180
Neuberger Berman Core FI Taxable $14976544 135 079 079 -047 086 180 090314
BBG BARC US Aggregate Bond Index -- -- 081 081 043 119 210 --
Preferred Stock $4894678 44
Spectrum Principal Preferred $4894678 44 592 592 495 553 727 091214
BofA Merrill Lynch Core Fixed Rate Preferred Index
-- -- 596 596 447 576 744 --
International Developed Bonds $2157968 20
PIMCO Foreign Bond Fund $2157968 19 063 063 480 268 443 090414
JP Morgan GBI Global ex US -- -- -067 -067 -057 132 331 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
22
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
Global High Yield Taxable $4278086 39
Seix High Yield Bond $4278086 39 162 162 882 382 383 090314
Merrill Lynch High Yield Master Index -- -- 271 271 1673 591 429 --
TANGIBLE ASSETS $5272901 48
Credit Suisse Commodity Fund $5272901 48 -184 -184 935 -626 -1326 090414
Bloomberg (DJ UBS) Commodity Index -- -- -233 -233 870 -650 -1365 --
CASHCURRENCY $3633891 33
BofA Cash $3633891 33 009 009 026 022 018 090214
Merrill Lynch 90 Day T-Bill -- -- 010 010 036 024 019 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
The Benchmark consists of a blend of the following 10 Russell 1000 Growth 10 Russell 1000 Value 4 Russell Midcap Growth4 Russell Midcap Value 25 Russell 2000 Growth 25 Russell 2000 Value 44 MSCI EAFE Growth(Net) 44 MSCI EAFE Value(Net) 22 SampP Developed x US Small Cap 7 MSCI Emerging Markets 31 BBG BARC US Aggregate Bond 32 ML HY Master 08 JP Morgan ELMI+ 3 BBG BARC Global Agg x US 5 MSCI US REIT and 6 Bloomberg Commodity Index
23
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
Episcopal Diocese of CT
ASSET CATEGORY MARKET VALUE ALLOCATION3 MOS
YTD
1 YR
2 YRS
SINCE
INCEPTION INCEPTION
DATE
Global High Yield Taxable $4278086 39
Seix High Yield Bond $4278086 39 162 162 882 382 383 090314
Merrill Lynch High Yield Master Index -- -- 271 271 1673 591 429 --
TANGIBLE ASSETS $5272901 48
Credit Suisse Commodity Fund $5272901 48 -184 -184 935 -626 -1326 090414
Bloomberg (DJ UBS) Commodity Index -- -- -233 -233 870 -650 -1365 --
CASHCURRENCY $3633891 33
BofA Cash $3633891 33 009 009 026 022 018 090214
Merrill Lynch 90 Day T-Bill -- -- 010 010 036 024 019 --
Past Performance is no guarantee of future results
All returns are gross of fees unless otherwise noted For periods longer than one year the return is annualized Periods less than one year utilize a cumulative returnReturns may include a partial monthBenchmark performance returns for the Since Inception period are based on the inception date of the sector or the account under which they are displayedMarket value does not include accrued income but is included in the return calculation
INVESTMENT PERFORMANCE (PRODUCT VIEW)As of March 31 2017
The Benchmark consists of a blend of the following 10 Russell 1000 Growth 10 Russell 1000 Value 4 Russell Midcap Growth4 Russell Midcap Value 25 Russell 2000 Growth 25 Russell 2000 Value 44 MSCI EAFE Growth(Net) 44 MSCI EAFE Value(Net) 22 SampP Developed x US Small Cap 7 MSCI Emerging Markets 31 BBG BARC US Aggregate Bond 32 ML HY Master 08 JP Morgan ELMI+ 3 BBG BARC Global Agg x US 5 MSCI US REIT and 6 Bloomberg Commodity Index
23
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
COMPANY NAME OF EQUITY
(Common Stocks Only) OF PORTFOLIO QUANTITY MARKET VALUE
J P MORGAN CHASE amp CO COM 155 063 7950 $698328
AMAZON COM INC COM 137 056 696 $617032
PHILIP MORRIS INTL INC COM 129 053 5176 $584370
CISCO SYS INC COM 128 052 17166 $580211
SCHLUMBERGER LTD COM 128 052 7375 $575988
FACEBOOK INC CL A COM 127 052 4038 $573598
MICROSOFT CORP COM 126 051 8632 $568504
JOHNSON amp JOHNSON COM 120 049 4362 $543287
ALIBABA GROUP HLDG LTD ADS 110 045 4601 $496126
COMCAST CORP NEW CL A COM 094 038 11324 $425669
Source FactSetregPast Performance is no guarantee of future resultsReturns are a reflection of time and not whether the position was actually held in the portfolio for that periodReflects top 10 Common Stock holdings
LARGEST EQUITY POSITIONS
Episcopal Diocese of CT
As of March 31 2017
24
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOEQUITIES
US Large Cap67396 IWF ISHARES RUSSELL 1000 GROWTH
ETF 9364 6311147 11380 7669665 0 98935 129 102 69
0 COLUMBIA DIVIDEND INC SEP ACCT 6783402 000 8053197 12473 214486 266 107 730 LOOMIS LARGE CAP GROWTH 6894633 000 8184267 10009 110150 135 108 740 MFS INVESTMENT LARGE CAP
VALUE6922107 000 8049572 12933 168904 210 107 73
Total US Large Cap 26911290 31956701 35415 592476 185 423 289US Mid Cap
65190 VNQ VANGUARD REIT ETF 7718 5031500 8259 5384042 0 238074 442 71 490 BAIRD MID CAP GROWTH 2393568 000 2844216 460 19387 068 38 260 WEDGE CAPITAL MID CAP VALUE 3538784 000 3883083 7808 73485 189 51 35
Total US Mid Cap 10963853 12111341 8268 330946 273 160 109US Small Cap
0 FULLER amp THALER SMALL CAP VALUE
4375303 000 4829639 11579 104588 217 64 44
0 GRANITE SCG 3753633 000 3959462 216 30538 077 52 36Total US Small Cap 8128936 8789101 11795 135126 154 116 79International Developed106919 VEA VANGUARD FTSE DEVELOPED
MARKETS ETF4048 4328596 3930 4201917 0 118359 282 56 38
0 CAMBIAR INTERNATIONAL VALUE 3993021 000 3966452 10875 105228 265 53 360 SCHRODERS INTL GROWTH ADR 3905584 000 4085636 9072 88001 215 54 37
Total International Developed 12227201 12254005 19946 311589 254 162 111Emerging Markets388533 SEMN X HARTFORD MUT FDS II INC
SCHRODERS EMERGING MKTS1163 4520000 1340 5206337 0 43697 084 69 47
129781 VWO VANGUARD FTSE EMERGING MKTS ETF
4210 5463339 3972 5154901 0 118620 230 68 47
Total Emerging Markets 9983339 10361238 0 162317 157 137 94TOTAL EQUITIES 68214617 75472385 75424 1532454 203 100 682
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
25
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
QUANTITY TICKER SECURITY DESCRIPTION
MOODYS SampP
RATINGUNIT
COST $TOTAL
COST $ PRICE $MARKETVALUE $
ACCRUED INCOME $
ESTIMATED ANNUAL
INCOME $CURRENT
YIELD OF ASSET
CLASS OF
PORTFOLIOFIXED INCOME
Investment Grade Taxable0 NEUBERGER BERMAN CORE FI
TAXABLE15160813 000 14976544 71613 428976 286 569 135
0 SPECTRUM PRINCIPAL PREFERRED 4767445 000 4894678 11871 259967 531 186 44Total Investment Grade Taxable 19928258 19871223 83484 688943 347 755 180International Developed Bonds205521 PFOR X PIMCO FOREIGN BD US$HD INSTL 1103 2267448 1050 2157968 2081 29982 139 82 19
Total International Developed Bonds 2267448 2157968 2081 29982 139 82 19Global High Yield Taxable
0 SEIX HIGH YIELD BOND MGMT 4207318 000 4278046 71798 242530 567 163 39Total Global High Yield Taxable 4207318 4278046 71798 242530 567 163 39
TOTAL FIXED INCOME 26403024 26307236 157363 961455 365 100 238TANGIBLE ASSETS
Commodities1058816 CRSO X CREDIT SUISSE COMMODITY-
RETURN STRATEGY FUND CL I630 6673941 498 5272901 0 0 000 1000 48
Total Commodities 6673941 5272901 0 0 000 100 48TOTAL TANGIBLE ASSETS 6673941 5272901 0 0 000 100 48CASHCURRENCY
Cash Equivalents106455 BANK OF AMERICA TEMPORARY 100 106455 100 106455 2 478 045 29 01
3527436 FEDERATED US TREASURY CASH 100 3527436 100 3527436 1307 17214 049 971 32Total Cash Equivalents 3633891 3633891 1309 17692 049 100 33
TOTAL CASHCURRENCY 3633891 3633891 1309 17692 049 100 33TOTAL PORTFOLIO 10492547
3110686414 234096 2511601 227 100
Due to rounding percentages presented may not add up precisely to the totals providedPortfolio characteristics and holdings are subject to change periodically and may not be representative of current characteristics and holdings
Episcopal Diocese of CT
PORTFOLIO HOLDINGSAs of March 31 2017
26
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
27
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________
ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________
INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
28
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
29
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
30
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only
and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
31
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
APPENDIX
32
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
DISCLOSURES AND DEFINITIONSIMPORTANT INFORMATIONThe information and views contained in this presentation are as of date specified and are subject to change These views are not necessarily representative of the opinions and views of other portfolio managers or of the firm as a whole
Past performance is no guarantee of future results The investment services of US Trust Bank of America are not guaranteed and are not insured by the FDIC and could result in the loss of value to your account The actual return and value of an account will fluctuate and at any point in time could be worth more or less than the amount invested Your account is tailored towards your individual needs based on your investment objectives restrictions and strategies including tax strategies
Clientsrsquo performance and risk tolerance preferences may require deviation from this guidance when implementing investment solutions Accounts subject to laws that may be more restrictive as to permissible investments require portfolio manager review
For daily benchmarks benchmark performance for the Since Inception period is based on the inception date for the corresponding sector or account Monthly benchmark returns will be as of the first day of the month when the corresponding account or sector inception date is mid-month
Indices shown are to make general risk and return comparisons They are shown for informational purposes only and cannot be invested in directly
Securities in your account differ from securities comprising an index thus the risk performance and investment style of your account will vary sometimes significantly from that of the index
Statistics have been obtained from sources we believe to be reliable but we cannot guarantee its accuracy or completeness
Hypothetical illustrations do not reflect the performance of any specific investment Actual rates of return cannot be predicted and will fluctuate Your results may be more or less The illustrations assume no withdrawals or distribution and reinvesting of all dividends and capital gains
Performance results are gross of fees and therefore do not reflect the deduction of investment advisory fees however such results would have been reduced by advisory fees as described in standard fee schedules
Performance for new asset classes to an account may be for a partial period while many benchmarks for the asset class may reflect the entire reporting period
All sector and asset allocation recommendations must be considered in context of an individual investorrsquos goals time horizon and risk tolerance Not all recommendations will be suitable for all investors
Important Notes Concerning Alternative Investments and Hedge FundsMarket prices for Hedge Funds Private Equity Funds and Real Estate Funds normally lag 30 days or more from the previous closing period and therefore returns are for the same period Benchmarks may not reflect the same time period
Loss information for the Bank of America Hedge Fund should not be used for tax reporting purposes Please refer to Schedule K-1 reporting to complete tax returns for the appropriate tax year
Oil Gas and Mineral InterestsTo holders of Oil Gas and Mineral properties Market Value for Oil Gas and Mineral properties represent an estimate only calculated from the most recent 12 months net income from producing properties and includes nominal value applied to non-producing properties
GLOSSARYAccrued Interest Accrued interest is the interest that has been earned but not paid Bonds typically payaccrued interest every six months
Average Coupon Average coupon is the weighted average gross interest rate of a pool of securities
Average Quality Average Quality is the average credit quality of the bond portfolio
Beta Beta is a measure of systematic risk or the sensitivity of a manager to movements in the benchmark Abeta of 1 implies that you can expect the movement of a managerrsquos return series to match that of thebenchmark
CashCurrency CashCurrency include cash and may include other highly liquid investments that maturewithin one year such as commercial paper treasury bills money market funds and CDs
Change in Value Change in value is the change in value of the portfolio during the statement period It isthe ending value of the account less the beginning value of the account taking into consideration additionsand withdrawals
Current Price Current price is the value of the share unit or contract as priced at the close of the market onthe last day of the statement period or the last available price
Current Yield Current yield reflects the percentage return that results from estimated annual income orcapital gains or losses realized upon the disposition of a security It is calculated by dividing estimatedannual income by total market value
Estimated Annual Income Estimated annual income is the income that is expected to be received from anasset over the next 12 months based on the current level of income produced by the asset It may includeinterest and dividends but not capital gains or losses realized upon the disposition of the security Forholder of Fiduciary Shares estimated annual income includes the Rebate
Income Assets Income assets consist of the earnings such as interest dividends and royalties and rentfrom assets in the portfolio or assets purchase or held as a re-investment of accumulated income whichhave not been added to principal
Modified Duration Modified duration is a formula that expresses the measurable change in the value of asecurity in response to a change in interest rates
Net Margin Net margin is the ratio of net profits to revenues for a company or business segment - typicallyexpressed as a percentage ndash that shows how much of each dollar earned by the company is translated intoprofits
NA Not Applicable Not Available
Other Assets The summarization of other assets includes assets that do not fall into the Cash amp CashEquivalents Fixed Income or Equity categories such as real estate and mineral holdings warrants andoptions
of Total Assets Percent of total assets is the total market value of an individual asset divided by the totalmarket value of the portfolio
PriceBook PriceBook is a ratio used to compare a stocks market value to its book value It is calculatedby dividing the current closing price of the stock by the latest quarters book value per share
PriceEarnings PriceEarnings is a valuation ratio of a companys current share price compared to its per-share earnings
PriceSales PriceSales is a valuation ratio that compares a companyrsquos stock price to its revenues
Principal Assets Principal assets are assets that are the property of a trust or estate but are not Incomeassets
33
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
DISCLOSURES AND DEFINITIONSReturn on Equity Return on Equity is the amount of net income returned as a percentage of shareholderequity It measures profitability by revealing how much profit is generated with the money a shareholderhas invested
Tax Cost Tax cost is the cost basis of an asset as carried on the books of the account In the Detail ofRealized Capital GainLoss schedule tax cost information may include adjustments to the cost basis of theCommon Trust Funds as applicable
Transaction Date Transaction date is the date on which a transaction (such as a purchase or a sale) isinitiated When trade date reporting is used transactions are reported only if the transaction date fallswithin the current statement period
Weighted Average Market Capitalization Weighted average market capitalization is the mean of themarket capitalizations of the common stocks held in the portfolio
Weighted Average Maturity of Bonds Weighted average maturity of bonds is the average amount of timeremaining until the maturity date for the entire bond portfolio The average amount is computed byweighting each maturity date by the market value of the security
Yield to Maturity at Market Yield to maturity at market reflects the return that will be achieved if thesecurity was purchased on the last day of the statement period If yield to maturity at market is lessgreaterthan yield to maturity at cost the market value of the security has increaseddecreased during the timesince the security was purchased When finding the after-tax yield to maturity of a bond it is customary touse the approximate relationship after-tax yield = (1- tax rate) x (before tax-yield)_________________________________________________________________________________ASSET CLASS DISCLOSURESAlternative Investments Alternative investments are intended for qualified and suitable investors onlyAlternative Investments such as derivatives hedge funds private equity funds and funds of funds canresult in higher return potential but also higher risk loss potential Changes in economic conditions or othercircumstances may adversely affect your investments Before investing in alternative investments youshould consider your overall financial situation how much money you have to invest your need forliquidity and your tolerance for risk
Asset Allocation Asset Allocation cannot eliminate the risk of fluctuating process and uncertain returns
Asset Class All asset classes are not suitable for all investors Each investor should select the asset classesfor investment based on his or her goals time horizon and risk tolerance
Commodities There are special risks associated with an investment in commodities including market pricefluctuations regulatory changes interest rate changes credit risk economic changes and the impact ofadverse political or financial factors
Convertibles Most convertible securities are not investment grade and are therefore more speculative innature than securities with higher ratings
Diversification Diversification does not ensure a profit or protect against loss in declining markets
Emerging Markets Investing in emerging markets may involve greater risks than investing in moredeveloped countries In addition concentration of investments in a single region may result in greatervolatility
Equities Equity securities are subject to stock market fluctuations that occur in response to economic andbusiness developments
Fixed Income Investing in fixed income securities may involve certain risks including the credit quality ofindividual issuers possible prepayments market or economic developments and yields and share pricefluctuations due to changes in interest rates When interest rates go up bond prices typically drop andvice versa
Hedge Funds An investment in a hedge fund involves a substantially more complicated set of risk factorsthan traditional investments in stocks or bonds including the risks of using derivatives leverage and shortsales which can magnify potential losses or gains Restrictions exist on the ability to redeem units in ahedge fund Hedge funds are speculative and involve a high degree if risk
High-Yield (Junk Bonds) Investments in high-yield bonds (sometimes referred to as ldquojunk bondsrdquo) offer thepotential for high current income and attractive total return but involve certain risks
International International investing involves special risks including foreign taxation currency risks risksassociated with possible difference in financial standards and other risks associated with future politicaland economic developments
Real EstateREITs Investments in real estate securities can be subject to fluctuations in the value of theunderlying properties the effect of economic conditions on real estate values changes in interest ratesand risks related to renting properties such as rental defaults As the REIT market has evolved REITrsquosperformance and risk characteristics are more closely correlated with the Equity asset category InSeptember 2016 the Global Industry Classification Standard (GICS) removed Real Estate from the Financialsector and created a separate Real Estate sector within the Equities asset category Effective in 2017 USTrust moved REITs from Real Estate to Equities
SmallMid Cap Stock of small- and mid-cap companies pose special risks including possible illiquidity andgreater price volatility than stocks of larger more established companies
SpecialtyNon-Financial Assets Non-financial assets such as closely-held businesses real estate oil gasand mineral properties timber farm and ranch land are complex in nature and involve risks including totalloss of value Special risk considerations include natural events (for example earthquakes or fires)complex tax considerations and lack of liquidity Non-financial assets are not suitable for all investorsAlways consult with your independent attorney tax advisor investment manager and insurance agent forfinal recommendations and before changing or implementing any financial tax or estate planning strategy
Tax-exempt Tax-exempt investing offers current tax-exempt income but it also involves special risksSingle-state municipal bonds pose additional risks due to limited geographical diversification Interestincome from certain tax-exempt bonds may be subject to certain state and local taxes and if applicablethe alternative minimum tax Any capital gains distributed are taxable to the investor_______________________________________________________________________________INDEX DEFINITIONSBBG BARC High Yield Municipal Bond Index is an unmanaged index made up of municipal bonds that arenon-investment grade unrated or rated below Ba1
BBG BARC Municipal Index is a rules-based market-value-weighted index engineered for the long-termtax-exempt bond market
BBG BARC US Aggregate Bond Index represents securities that are US domestic taxable and dollardenominated The index covers the US investment grade fixed rate bond market with index componentsfor government and corporate securities mortgage pass-through securities and asset-backed securitiesThese major sectors are subdivided into more specific indices that are calculated and reported on a regularbasis
BBG BARC Global High Yield Index provides a broad-based measure of the global high yield fixed incomemarkets The Index represents the union of the US High Yield Pan-European High Yield US EmergingMarkets High Yield CMBS High Yield and Pan-European Emerging Markets High Yield Indices The Index is acomponent of the Bloomberg Barclays Multiverse Index along with the Bloomberg Barclays GlobalAggregate Bond Index The Global High Yield Index was created on January 1 1999 with index historybackfilled to January 1 1990
34
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
DISCLOSURES AND DEFINITIONSCiti US Broad Investment Grade (BIG) tracks the performance of US Dollar-denominated bonds issued inthe US investment-grade bond market Introduced in 1985 the index includes US Treasury governmentsponsored collateralized and corporate debt providing a reliable representation of the US investment-grade bond market Sub-indices are available in any combination of asset class maturity and rating
Credit Suisse Hedge Fund Index is compiled by Credit Suisse Hedge Index LLC and CME Group IndexServices LLC It is an asset-weighted hedge fund index and includes only funds as opposed to separateaccounts The index uses the Credit Suisse Hedge Fund Database (formerly known as the ldquoCreditSuisseTremont Hedge Fund Databaserdquo) which tracks approximately 8000 funds and consists only offunds with a minimum of US$50 million under management a 12-month track record and auditedfinancial statements The index is calculated and rebalanced on a monthly basis and reflectsperformance net of all hedge fund component performance fees and expenses
Credit Suisse Liquid Alternative Beta Index uses only liquid securities the Credit Suisse Liquid AlternativeBeta Index seeks to replicate the return of the overall hedge fund industry as represented by the CreditSuisse Hedge Fund Index The Credit Suisse Liquid Alternative Beta Index reflects the combined returns ofthe individual LAB strategy indices ndash LongShort Event Driven Global Strategies Merger Arbitrage andManaged Futures ndash weighted according to their respective strategy weights in the Credit Suisse HedgeFund Index
Dow Jones Emerging Markets Total Stock Market Total Return Index includes equity securities withreadily available prices that trade in emerging markets The index is a subset of the Dow Jones GlobalTotal Stock Market Index
Dow Jones Global Select Real Estate Securities Index (RESI) represents equity real estate investmenttrusts (REITs) and real estate operating companies (REOCs) traded globally
Dow Jones US Select REIT Index intends to measure the performance of publicly traded REITs and REIT-like securities The index is a subset of the Dow Jones US Select Real Estate Securities Index (RESI) whichrepresents equity real estate investment trusts (REITs) and real estate operating companies (REOCs)traded in the US The indices are designed to serve as proxies for direct real estate investment in part byexcluding companies whose performance may be driven by factors other than the value of real estate
FTSE Developed Ex North America Total Return Index is part of a range of indices designed to helpinvestors benchmark their international investments The index comprises Large and Mid cap stocksproviding coverage of Developed markets excluding the US and Canada The index is derived from theFTSE Global Equity Index Series (GEIS) which covers 98 of the worldrsquos investable market capitalization
FTSE Developed Ex US Index is part of a range of indexes designed to help US investors benchmark theirinternational investments The index comprises Large (85) and Mid (15) Cap stocks providing coverageof Developed markets (24 countries) excluding the US The index is derived from the FTSE Global EquityIndex Series (GEIS) which covers 98 of the worldrsquos Investable market capitalization
FTSE Emerging Markets Index are part of the FTSE Global Equity Index Series The series includes largeand mid cap securities from advanced and secondary emerging markets classified in accordance withFTSEs transparent Country Classification Review Process The FTSE Emerging Index provides investorswith a comprehensive means of measuring the performance of the most liquid companies in theemerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
FTSE Emerging Net Total Return Index are part of the FTSE Global Equity Index Series The series includeslarge and mid cap securities from advanced and secondary emerging markets classified in accordancewith FTSEs transparent Country Classification Review Process The FTSE Emerging Index providesinvestors with a comprehensive means of measuring the performance of the most liquid companies inthe emerging markets The Total Return index measures performance including dividends while the NetReturn index tracks performance net of taxes
BBG BARC US Corporate High Yield Index covers the universe of fixed rate non-investment grade debtEurobonds and debt issues from countries designated as emerging markets (sovereign rating ofBaa1BBB+BBB+ and below using the middle of Moodyrsquos SampP and Fitch) are excluded but Canadianand global bonds (SEC registered) of issuers in non-EMG countries are included Original issue zeroesstep-up coupon structures 144-As and pay-in-kind bonds (PIKs as of October 1 2009) are also included
Bloomberg Commodity Index is designed to be a highly liquid and diversified benchmark forcommodities as an asset class The Index is composed of futures contracts on 19 physical commoditiesThe Index changed its name from DJ UBS Commodity Index to Bloomberg Commodity Index in July 2014
BofA Merrill Lynch Global Broad Market Ex USD Total Return (Hedged USD) tracks the performance of investment grade debt publicly issued in the major domestic and eurobond markets including sovereign quasi-government corporate securitized and collateralized securities excluding all securities denominated in US dollars
BofA Merrill Lynch US High Yield Cash Pay Index tracks US dollar denominated non-investment grade corporate debt currently in a coupon paying period that is publicly issued in the US domestic market Qualifying securities must have a below investment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to final maturity at the time of issuance at least one year remaining term to final maturity as of the balancing date a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securities must have risk exposure to countries that are members of the FX-G10 Western Europe or territories of the US and Western Europe
BofA Merrill Lynch US High Yield Master II tracks US dollar denominated non-investment gradecorporate debt that is publicly issued in the US domestic market Qualifying securities must have a belowinvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) at least 18 months to finalmaturity at the time of issuance at least one year remaining term to final maturity as of the balancingdate a fixed coupon schedule and a minimum amount outstanding of $100 million Qualifying securitiesmust have risk exposure to countries that are members of the FX-G10 Western Europe or territories ofthe US and Western Europe
BofA Merrill Lynch US Corporate amp Government Index tracks the performance of US dollar denominatedinvestment grade debt publicly issued in the US domestic market including US Treasury US agencyforeign government supranational and corporate securities Qualifying securities must have aninvestment grade rating (based on an average of Moodyrsquos SampP and Fitch) In addition qualifyingsecurities must have at least one year remaining term to final maturity at least 18 months to finalmaturity at point of issuance a fixed coupon schedule and a minimum amount outstanding of $1 billionfor US Treasuries and $250 million for all other securities
BofA Merrill Lynch US Tax Municipal Securities Index tracks the performance of US dollar denominateddebt publicly issued by US states territories and their political subdivisions in the US domestic marketQualifying securities must be subject to US federal taxes and must have at least at least 18 months tomaturity at point of issuance at least one year remaining term to final maturity to enter the index andone month remaining term to final maturity to remain in the index a fixed coupon schedule (includingzero coupon bonds) and an investment grade rating (based on an average of Moodyrsquos SampP and Fitch)
Citi 3-Month T-bill Index measures the monthly return equivalents of yield averages that are not markedto market The 3-Month Treasury Bill Indexes consist of the last three three-month Treasury bill issues
Citi non-USD World Government Bond Index (WGBI) measures the performance of bonds issued bygovernments outside the US It is calculated on a market-weighted basis and includes all fixed-rate bondswith a remaining maturity of one year or longer and with amounts outstanding of at least the equivalentof US $25 million The Index excludes floating or variable rate bonds securities aimed principally at non-institutional investors and private placement-type securities To join the WGBI a market must satisfymarket size credit and barriers-to-entry requirements
35
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
DISCLOSURES AND DEFINITIONSFTSE NAREIT All REITs Index is a market capitalization-weighted index that and includes all tax-qualifiedreal estate investment trusts (REITs) that are listed on the New York Stock Exchange the American StockExchange or the NASDAQ National Market List The FTSE NAREIT All REITs Index is not free float adjustedand constituents are not required to meet minimum size and liquidity criteria
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedgefund universe It is comprised of all eligible hedge fund strategies including but not limited to convertiblearbitrage distressed securities equity hedge equity market neutral event driven macro mergerarbitrage and relative value arbitrage The strategies are asset weighted based on the distribution ofassets in the hedge fund industry
IA SBBI US 30 Day TBill TR USD amp BAML US Treasury Bills 3 months Index is the US Treasury Bill indexdata from The Wall Street Journal are used for 1977-Present the CRSP US Government Bond File is thesource from 1926 to 1976 Each month a one-bill portfolio containing the shortest-term bill having notless than one month to maturity is constructed (The bills original term to maturity is not relevant)
MSCI Daily Net World Ex USA USD Total Return Index captures large and mid cap representation across22 of 23 Developed Markets countries ndash excluding the United States The index covers approximately85 of the free float-adjusted market capitalization in each country
MSCI Emerging Markets (MSCI EM) Total Return Net USD Index is a free float-adjusted marketcapitalization index that is designed to measure equity market performance in the global emergingmarkets The MSCI Emerging Markets Index consists of emerging markets in Europe Latin America andthe Pacific Basin
MSCI Europe Australasia Far East (MSCI EAFE) Total Return Net USD Index is a capitalization-weightedindex that tracks the total return of common stocks in developed-market countries within EuropeAustralasia and the Far East MSCI aims to include in its international indexes 85 of the free float-adjusted market capitalization in each industry group within each country
MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITsThe index is based on MSCI USA Investable Market Index (IMI) its parent index which captures large midand small caps securities It represents about 99 of the US REIT universe and securities are classified inthe REIT sector according to the Global Industry Classification Standard (GICSreg) It however excludesMortgage REIT and selected Specialized REITs
Merrill Lynch Small Cap Research Private Equity Micro Cap Index is a customized proprietary marketcapitalization weighted index provided by Bank of America Merrill Lynch Global Research with securitymarket capitalization ranging from $101 Million to $779 Million
Russell 1000 Total Return Index consists of the largest 1000 companies in the Russell 3000 Index Thisindex represents the universe of large capitalization stocks with a base value of 13000 as of December31 1986
Russell 2000 Total Return Index measures the performance of the small-cap segment of the US equityuniverse The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 8 ofthe total market capitalization of that index It includes approximately 2000 of the smallest securitiesbased on a combination of their market cap and current index membership The Russell 2000 isconstructed to provide a comprehensive and unbiased small-cap barometer and is completelyreconstituted annually to ensure larger stocks do not distort the performance and characteristics of thetrue small-cap opportunity set
Russell Emerging Markets Total Return Index measures the performance of the investable securities inemerging countries globally
Russell Top 200 Total Return Index measures the performance of the largest cap segment of the USequity universe The Russell Top 200 Index is a subset of the Russell 3000 Index It includes approximately200 of the largest securities based on a combination of their market cap and current index membershipand represents approximately 65 of the US market The Russell Top 200 Index is constructed toprovide a comprehensive and unbiased barometer for this very large cap segment and is completelyreconstituted annually to ensure new and growing equities are reflected
Russell Midcap Total Return Index measures the performance of the mid-cap segment of the US equityuniverse The Russell Midcap Index is a subset of the Russell 1000reg Index It includes approximately 800securities based on a combination of their market cap and current index membership The RussellMidcap Index represents approximately 27 of the total market capitalization of the Russell 1000companies The Russell Midcap Index is constructed to provide a comprehensive and unbiasedbarometer for the mid-cap segment The Index is completely reconstituted annually to ensure largerstocks do not distort the performance and characteristics of the true mid-cap opportunity set
Standard and Poorrsquos 500 Total Return Index measures the performance of the large capitalization sectorof the US equity market and is considered one of the best representations of the domestic stock marketUtilizing a market-cap weighting structure this index invests in 500 of the largest US firms listed on theNYSE (including NYSE Arca and NYSE MKT) or the NASDAQ Constituents are selected by SampP Dow JonesIndices and must have a 50 public float to be considered for inclusion in the benchmark
Standard and Poorrsquos Citi BMI EM Index captures all companies domiciled in the emerging markets withinthe SampP Global BMI with a float-adjusted market capitalization of at least USD 100 million and a minimumannual trading liquidity of USD 50 million
Standard and Poorrsquos MidCap 400 Total Return seeks to track the performance of mid-cap US equities The index consists of 400 US stocks that are listed on the NYSE or the NASDAQ Constituents are selected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $14 billion and $59 billion to be considered for addition to the benchmark The index is weighted by market capitalization
Standard and Poorrsquos GSCI is a composite index of commodity sector returns representing an unleveraged long-only investment in commodity futures that is broadly diversified across the spectrum of commodities The returns are calculated on a fully collateralized basis with full reinvestment The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets Individual components qualify for inclusion in the SampP GSCI on the basis of liquidity and are weighted by their respective world production quantities The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation
Standard and Poorrsquos Small Cap 600 Total Return Index seeks to track the performance of small-capsegment of the US equity market to track the performance of small-cap segment of the US equitymarket The index consists of 600 US stocks that are listed on the NYSE or the NASDAQ Constituents areselected by SampP Dow Jones Indices and must have an unadjusted market capitalization between $400million and $18 billion to be considered for addition to the benchmark The index is weighted by marketcapitalization
5050 NCREIF Property NCREIF Transaction Based Index (i) Produced quarterly the NCREIF PropertyIndex (NPI) shows real estate performance returns using data submitted by its Data ContributingMembers The NPI is used as an industry benchmark to compare an investorrsquos own returns against theindustry average (ii) The NCREIF Transaction-Based Index (TBI) is an index based on properties that werein the NCREIF Property Index and were sold that quarter The index does not replace the NPI It is acomplementary index to the appraisal-based NPI A transaction-based index is often considered to bemore comparable to stock and bond indexes that are transaction-based
36
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-
IMPORTANT INFORMATION
This presentation is designed to introduce you to the products and services available through US Trust Bank of America Private Wealth Management is provided for informational purposes only and is not issued in connection with any proposed offering of securities This presentation is not used with regard to any specific investment objectives financial situation or particular needs of any specific recipient and does not contain investment recommendations Bank of America and its affiliates do not accept any liability for any direct indirect or consequential damages or losses arising from any use of this presentation or its contents The information in this presentation was obtained from sources believed to be accurate but we do not guarantee that it is accurate or complete The opinions expressed herein are made as of the date of this material and are subject to change without notice There is no guarantee the views and opinions expressed in this presentation will come to pass Other affiliates may have opinions that are different from andor inconsistent with the opinions expressed herein All charts are based on historical data for the time periods indicated and are intended for illustrative purposes only Past performance is no guarantee of future results
IMPORTANT The material presented is designed to provide general information about ideas and strategies It is for discussion purposes since the availability and effectiveness of any strategy is dependent upon your individual facts and circumstances Always consult with your independent attorney tax advisor investment manager and insurance agent for final recommendations and before changing or implementing any financial tax or estate planning strategy
Neither US Trust nor any of its affiliates or advisors provide legal tax or accounting advice You should consult your legal andor tax advisor before making any financial decisions
Investing in securities involves risks and there is always the potential of losing money when you invest in securities
Investment products
US Trust Bank of America Private Wealth Management and US Trust Bank of America Corporation (ldquoUS Trustrdquo) operate through Bank of America NA and other subsidiaries of Bank of America Corporation (ldquoBofACorprdquo) Trust and fiduciary services and other banking products are provided by wholly owned banking affiliates of BofACorp including Bank of America NA Brokerage services may be performed by wholly owned brokerage affiliates of BofACorp including Merrill Lynch Pierce Fenner amp Smith Incorporated (ldquoMLPFampSrdquo) Institutional Investments amp Philanthropic Solutions (ldquoIIampPSrdquo) is part of US Trust Bank of America NA and US Trust Company of Delaware (collectively the ldquoBankrdquo) do not serve in a fiduciary capacity with respect to all products or services Fiduciary standards or fiduciary duties do not apply for example when the Bank is offering or providing credit solutions banking custody or brokerage productsservices or referrals to other affiliates of the Bank
Bank of America NA Member FDIC
US Trust Company of Delaware is an indirect wholly owned subsidiary of BofACorp
Credit and collateral subject to approval Terms and conditions apply Programs rates terms and conditions subject to change without notice Equal Housing Lender
This presentation may not be reproduced or distributed without prior written consent
copy 2017 Bank of America Corporation All rights reserved | ARN57HBJ | 22017
Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value
37
- Slide Number 1
- Slide Number 2
- Slide Number 3
- ECONOMIC OUTLOOK
- Slide Number 5
- Slide Number 6
- Slide Number 7
- Slide Number 8
- Slide Number 9
- Slide Number 10
- Slide Number 11
- Slide Number 12
- Slide Number 13
- Slide Number 14
- Slide Number 15
- Slide Number 16
- Slide Number 17
- Slide Number 18
- Slide Number 19
- Slide Number 20
- Slide Number 21
- Slide Number 22
- Slide Number 23
- Slide Number 24
- Slide Number 25
- Slide Number 26
- Slide Number 27
- Slide Number 28
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- DISCLOSURES AND DEFINITIONS
- IMPORTANT INFORMATION
-