PMC Impact Portfolios Quarterly Review€¦ · PMC Impact Portfolios Quarterly Review Second Quarter 2020 By Kiley Miller, ... Conservative2-0.56 -0.07 -0.63 Conservative Growth3-0.51

PMC Impact Portfolios Quarterly Review Fourth Quarter 2020By Kiley Miller, Associate Portfolio Manager

FOR ONE-ON-ONE USE WITH A CLIENT’S FINANCIAL ADVISOR ONLY.

2FOR ONE-ON-ONE USE WITH A CLIENT’S FINANCIAL ADVISOR ONLY.© 2021 Envestnet, Inc. All rights reserved.

PMC Impact Portfolios Quarterly Review Fourth Quarter 2020

Key Highlights• Markets continued to rally in the fourth quarter, as the global rollout of vaccines and the signing of the coronavirus relief bill in the US eased investor concerns

about the economic rebound from the pandemic. However, the speed of the recovery remains uncertain. • Within the Impact Portfolios, the more aggressive models with higher equity exposure posted stronger returns than the more conservative models that have

more fixed income exposure. Absolute returns ranged from 3.27% for the more conservative models to 14.09% for the more aggressive models. • The tax-sensitive models outpaced their taxable counterparts. Absolute returns ranged from 3.78% to 12.57%.• Exposure to domestic and international equities was additive in the fourth quarter, posting strong positive results. A slight overweight to emerging markets

equities contributed to returns, as did a slight overweight to small cap equity, which outperformed large cap equity. • A slight underweight to global bonds detracted, as international fixed income outpaced domestic debt. With no specific exposure to a high yield fund, the

portfolio did not participate in the strong relative returns of lower-quality debt. A slight overweight to short bonds also detracted.• Manager selection was mostly negative, particularly within large and mid-cap domestic equity. Overall, nine out of 12 funds trailed their respective benchmarks.

The mid cap fund was the largest detractor in the quarter. Within fixed income, the global bonds manager trailed its benchmark, whereas the domestic fixed income managers ranked in the middle of their peers and contributed modestly to returns.

Figure 1

4th Quarter 2020 Attribution

Impact Models Allocation Effect Selection Effect Total Contribution

Capital Preservation1 -0.51 -0.44 -0.95

Conservative2 -0.68 -0.59 -1.27

Conservative Growth3 -0.26 -0.71 -0.97

Moderate4 0.13 -0.88 -0.75

Moderate Growth5 0.21 -1.05 -0.84

Growth6 0.23 -1.24 -1.01

Aggressive7 0.35 -1.38 -1.03

1 Benchmark is composed of Bloomberg Barclays Capital U.S. Aggregate Bond TR, 16% FTSE World Govt Bond Index Non-Usd 3-7 Us, 14% Russell 3000 TR, 6% MSCI All Country World Index exUS GR, 2% BOFAML 3-Month U.S. T-Bill TR2 Benchmark is composed of 51% Bloomberg Barclays Capital U.S. Aggregate Bond TR, 20% Russell 3000 TR, 14% FTSE World Govt Bond Index Non-Usd 3-7 Us, 13% MSCI All Country World Index exUS GR, 2% BOFAML 3-Month U.S. T-Bill TR3 Benchmark is composed of 41% Bloomberg Barclays Capital U.S. Aggregate Bond TR, 30% Russell 3000 TR, 16% MSCI All Country World Index exUS GR, 11% FTSE World Govt Bond Index Non-Usd 3-7 Us, 2% BOFAML 3-Month U.S. T-Bill TR4 Benchmark is composed of 40% Russell 3000 TR, 30% Bloomberg Barclays Capital U.S. Aggregate Bond TR, 20% MSCI All Country World Index exUS GR, 8% FTSE World Govt Bond Index Non-Usd 3-7 Us, 2% BOFAML 3-Month U.S. T-Bill TR5 Benchmark is composed of 50% Russell 3000 TR, 23% MSCI All Country World Index exUS GR, 19% Bloomberg Barclays Capital U.S. Aggregate Bond TR, 6% FTSE World Govt Bond Index Non-Usd 3-7 Us, 2% BOFAML 3-Month U.S. T-Bill TR6 Benchmark is composed of 56% Russell 3000 TR, 30% MSCI All Country World Index exUS GR, 9% Bloomberg Barclays Capital U.S. Aggregate Bond TR, 3% FTSE World Govt Bond Index Non-Usd 3-7 Us, 2% BOFAML 3-Month U.S. T-Bill TR7 Benchmark is composed of 67% Russell 3000 TR, 31% MSCI All Country World Index exUS GR, 2% BOFAML 3-Month U.S. T-Bill TR

Source: Envestnet | PMC

3


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Contributors to PerformanceMartin Currie Emerging Markets — Emerging MarketsThe Martin Currie Emerging Markets Fund beat the MSCI Emerging Markets Index in the fourth quarter. Outperformance was driven by an overweight to Information Technology and stock selection in both Information Technology and the Financials sectors. This strategy focuses on long-term value creation and capitalizing on sustainability-related risk and opportunities. The fund consists of 40-60 stocks, and the team focuses on material ESG risks at the company level, incorporating these factors into financial modeling and quantitative analysis for a more complete view of the business. The experienced seven-person team (average 20 years’ experience) has been incorporating ESG principles into its process since 2010. The team also pursues engagement to obtain better insight and improve ESG practices within companies. ESG information helps the team understand the quality and motivations of company leadership; how management approaches and deals with issues; and how a company incorporates sustainability factors into its strategic planning. The team purposely attempts to run a relatively factor- and beta–neutral fund to let idiosyncratic factors dominate returns. However, the portfolio will have consistent exposure to high-quality and sustainable growth companies, and the fund tends to outperform when these factors are in favor.

Pax Small Cap — Small Cap Core While the Pax Small Cap Fund trailed the Russell 2000 Index, small cap equities posted strong returns in the fourth quarter, and the fund contributed to absolute portfolio returns. With a focus on low volatility and downside protection, the fund is less likely to keep up in a market rally such as the fourth quarter. The fund holds 40-60 stocks that lead portfolio manager, Nathan Moser, and his team of analysts select by combining quantitative screens with a bottom-up, fundamental process. The team favors high-quality companies with high free cash flow, strong balance sheets, and undervalued growth potential, with a focus on downside risk. The strategy is fossil fuel free, and implements an ESG lens to the investment process. Investments are based on the firm’s strong conviction that capital markets will be shaped by global sustainability challenges, including climate change, gender inequality, and essential investments in human capital, infrastructure, and resource efficiency. The firm believes that addressing these needs will drive growth for well-positioned companies and create risks for those unable or unwilling to adapt.

Detractors to PerformanceAmerican Century Sustainable Equity — Large Cap CoreThe American Century Sustainable Equity Fund trailed the S&P 500 Index. Underperformance was driven primarily by stock selection in the Information Technology and Consumer Discretionary sectors. The fund is managed by the sustainable equity portfolio management team, consisting of four portfolio managers. Portfolio Manager Joe Reiland, CFA, has been with the team since 2008 and has helped design the quantitative overlay and fundamental process. American Century has hired a dedicated ESG team to research and communicate financially material findings to the sustainable equity PM team on a stock-by-stock basis, which provides a more comprehensive assessment of risk than financial analysis alone. The five-person ESG team employs an ESG model with inputs from a wide variety of third-party sources, and the fund considers its ESG analysis an edge relative to its industry peers. The PM team’s goal is to ensure that the fund’s exposure to companies with more attractive ESG characteristics is greater than that of the benchmark, aiming to place it in the top decile relative to its large blend peers. The portfolio holds 80-100 stocks, and it excludes tobacco companies.

Parnassus Core Equity — Large Cap CoreThe Parnassus Core Equity Fund lagged the S&P 500 Index. Underperformance was driven by stock selection in Industrials and Communication Services. As Parnassus’s flagship strategy, the fund is run by CIO Todd Ahlsten, who became manager in 2002, and CEO Ben Allen, who joined the management team in 2012. The fund seeks to achieve both capital appreciation and current income, with an emphasis on downside protection, through a concentrated portfolio of approximately 40 stocks. Specifically, the strategy aims to exploit quality and time arbitrage market inefficiencies by investing primarily in dividend-paying, large cap companies determined to be undervalued at time of purchase. The fund invests in companies with sustainable competitive advantages, relevant products and services, strong management teams, and compelling ESG profiles. ESG assessments include both exclusionary screens and a bottom-up ESG evaluation of each company that is under consideration for investment. Parnassus has established five firm-wide factors that guide its ESG evaluation: governance, workplace, environment, community, and customers. The fund avoids investment in alcohol,

weapons, tobacco, gambling, and nuclear energy.



Reputational Risk represents the percentage of a portfolio’s market value coming from holdings involved in very severe controversial events. It is based on MSCI ESG Controversies. Portfolio level Reputational Risk is categorized as Very Low (0%), Low (>0% to <1%), Moderate (1% to <5%), High (5% to<10%), and Very High (>=10%).ESG Ratings Distribution represents the percentage of a portfolio’s market value coming from holdings classified as ESG Ratings Leaders (AAA and AA), Average (A, BBB, and BB), and Laggards (B and CCC).ESG Ratings Momentum represents the percentage of a portfolio’s market value coming from holdings that have had an ESG Ratings upgrade, and those with a downgrade, since their previous ESG Rating assessment.

Equities

powered by MSCI eSG reSearChFor additional details on the inputs and calculation methodology related to ESG Ratings Distribution and/or ESG Ratings Momentum, please contact [email protected]

Benchmark: 60% Russell 3000, 40% MSCI All Country World Index EX US

Reputational Risk (Very Severe Controversy Exposure)

Very High

High

Moderate

Low

Very LowPortfolio

Low Reputational Risk1.4% less than benchmark

Benchmark

1.5%

0.1%

Portfolio

Benchmark

Average Not CoveredLaggardLeader

ESG RATINGS MOMENTUMESG RATINGS DISTRIBUTION

35.1% 58.0% 3.2% 16.9% 68.9% 10.0%

15.7% 66.1% 15.6%22.2% 68.1% 8.2%

Stable Not RatedDownwardUpward



Equities

CLIMATE CHANGE

Portfolio Benchmark Active

Alternative Energy (%) 0.5% 0.4% 0.1%

Energy Efficiency (%) 1.9% 2.1% -0.2%

Green Building (%) 0.5% 0.3% 0.2%

NATURAL CAPITAL


Sustainable Water (%) 0.6% 0.1% 0.5%

Pollution Prevention (%) 0.4% 0.1% 0.3%

BASIC NEEDS


Major Diseases Treatment (%) 2.1% 1.6% 0.5%

Sanitation (%) 0.6% 0.3% 0.2%

Nutrition (%) 0.4% 0.3% 0.1%

EMPOWERMENT


Education (%) 0.0% 0.0% 0.0%

SME Finance (%) 0.1% 0.1% 0.0%

Affordable Real Estate (%) 0.1% 0.1% 0.0%

How to read this pageThe exposure figures represent revenue exposure to Sustainable Impact Solutions which reflects the extent to which company revenue is exposed to products and services that help solve the world’s major social and environmental challenges. It is calculated as a weighted average, using portfolio weights and each issuer’s percent of revenue generated from Sustainable Impact Solutions. To be eligible to contribute, an issuer must maintain minimum ESG standards.

The classifications below help interpret the different degrees of exposure.

powered by MSCI eSG reSearCh

benChMark: 60% ruSSell 3000, 40% MSCI all Country world Index ex uS



Equities

BUSINESS INVOLVEMENT


Adult Entertainment (%) 0.0% 0.1% -0.1%

Alcohol (%) 3.4% 4.9% -1.5%

Civilian Firearms Retailer (%) 0.0% 0.5% -0.5%

Civilian Firearms Producer (%) 0.0% 0.2% -0.2%

Gambling (%) 1.5% 1.3% 0.2%

Nuclear Power (%) 0.8% 2.8% -2.0%

Tobacco (%) 0.1% 0.7% -0.7%

Weapons (%) 1.5% 3.1% -1.6%

Controversial Weapons (%) 0.3% 0.7% -0.4%

Direct Predatory Lending (%) 0.0% 0.1% -0.1%

Genetic Engineering (%) 0.1% 0.7% -0.6%

Business Involvement

The percentage of portfolio's market value exposed to companies flagged for any tie, including ownership of and by, in the difference categories, this is considered zero tolerance. Values Alignment metrics provide transparency to help identify funds that align with ethical, religious or political views. The metrics measure the percentage of portfolio's market value exposed to companies flagged for controversial business involvement.

powered by MSCI eSG reSearCh

benChMark: 60% ruSSell 3000, 40% MSCI all Country world Index ex uS

ENVIRONMENTAL RISK


Carbon Risk (T CO2E/$M SALES) 133 145 -8.3%

Fossil Fuel Reserves (%) 1.4% 4.2% -2.8%

High Impact Fossil Fuel Reserves (%) 1.0% 3.8% -2.8%

Exposure to High Water Risk (%) 6.3% 5.7% 0.6%

Enviromental Risk

Carbon Risk: measures exposure to carbon intensive companies. It is based on MSCI Carbon Metrics, and is calculated as the portfolio weighted average of issuer carbon intensity. At the issuer level, Carbon Intensity is the ratio of annual scope 1 and 2 carbon emissions to annual revenue. Carbon Risk is categorized as Very Low (0 to <15), Low (15 to<70), Moderate (70 to <250), High (250 to <525), and Very High (>=525).Fossil Fuel Reserves (%): The percentage of portfolio's market value exposed to companies that own fossil fuel reserves.High Impact Fossil Fuel Reserves (%): The percentage of portfolio's market value exposed to companies that own high impact fossil fuel reserves. High impact fossil fuel reserves include Thermal Coal, Oil Sands, and Shale Oil and Shale Gas.Exposure to High Water Risk (%): The percentage of portfolio's market value exposed to companies with a Water Stress Exposure Score > 6.6. Scores combine the geographic and business segment components and range



The TIAA-CREF Core Impact Bond Fund is an actively managed, fixed income portfolio that directs capital to finance direct and measurable environmental and social outcomes.

Measuring impact in public fixed incomeMANAGER FOCUS NUVEEN

Fixed Income

Impact theme

Amount investedas of 31 Dec 2019

Alignment with the UN Sustainable Development Goals (SDGs) Impact metric Impact for 2019 Equivalent to:

Affordable housing - Low- and moderate-income housing loans - Transit-oriented development - Walkable communities - Mixed-use development projects

$161.2 M 1 no poVerty

SuStaInable CItIeS and CoMMunItIeS11 Number of affordable mortgages guaranteed or

provided1.8 million

Housing built or supported, including units designated for low- to moderate-income residents

335,768 units More housing units than the Boston metro area

Community and economic development - Benefits underserved and/or economically

disadvantaged communities - Services: financial, hospital/medical, and

educational - Urban revitalization: community centers,

reconstruction activities - International development and

humanitarian activities: disaster relief, economic aid, and agricultural support

$188.3 M3

Good health and well-beInG

4 QualIty eduCatIon 8

deCent work and eConoMIC Growth

Community facilities built 210,039 square feet

Full-time jobs created 1.1 million

Farmers and fishers trained 4.8 million

3 InduStry, InnoVatIon and InFaStruCture 11 SuStaInable

CItIeS and CoMMunItIeS

People who benefited from access to basic products and services

205.0 million Nearly 2/3 of the U.S. population

People reached through community programs 37.4 million

Renewable energy and climate change - New, expanding, or existing renewable

energy projects (including solar, wind, and small-scale hydroelectric)

- Smart grid and other projects designed to make power generation and transmission systems more efficient

- Energy efficiency projects resulting in the reduction of greenhouse gas emissions

$713.8 M

7aFFordable and Clean enerGy 13 ClIMate

aCtIon

CO2-equivalent emissions avoided 144.7 million metric tons 31.3 million cars off the road for one year4

Air pollutants reduced 10,521 metric tons

Daily riders on new public transit 980,359

Energy saved 30.4 million megawatthours (MWh)

3.6 million homes off the grid for one year4

Renewable energy capacity added 43,838 MW 14,612 large wind turbines5

Renewable energy generated 297.4 million MWh annualized

24.3 million homespowered for one year

Natural resources - Land conservation and sustainable

forestry, fishing, and agriculture - Certified green buildings - Remediation and redevelopment of

polluted or contaminated sites - Improvement of clean drinking water

supplies and/or sewer systems infrastructure, waste management projects

$661.1 M6

Clean water and SanItatIon 11SuStaInable

CItIeS and CoMMunItIeS 12

reSponSIble ConSuMptIon and produCtIon

LEED-certified buildings 50 buildings6

Land conserved 2.8 million hectares More than the land area of Vermont3

Land restored or sustainably managed 1.5 million hectares More than the land area ofConnecticut

Waste diverted from landfills 19.6 million metric tons

People who benefited from clean water and wastewater projects

57.1 million

14 lIFe below water

15 lIFe on land

Water delivered 7.7 billion gallons/day

Water saved 96.9 billion gallons The volume of 146,726 Olympicsize swimming pools

Water treated 59.1 billion gallons

Wastewater treated 2.0 billion gallons/day



MANAGER FOCUS NUVEEN

Fixed Income

United StatesHousing built or supported, including units designated for low- to moderate-income residents: 19,178 units

CO2-equivalent emissions avoided: 37.3 million metric tonsRenewable energy capacity: 10,442 MWPeople who benefited from clean water & wastewater projects: 22.0 million

EuropeHousing built or supported, including unitsdesignated for low- to moderate-income residents: CO2-equivalent emissions avoided:Renewable energy capacity:

$669M

9.0 million metric tons8,412 MW

5,575 units

$51M

Land conserved, restored, orsustainably managed

Americas (ex. U.S.)

CO2-equivalent emissions avoided: 18.5 millionmetric tons

Renewable energy capacity: 3,859 MW1.4 millionhectares

People who benefited from clean water &wastewater projects: 3.3 million

18 55 million

$89M

People who benefited from cleanwater & wastewater projects:

AfricaCO2-equivalent emissions avoided: 8.3 million

metric tons

Renewable energy capacity: 1,095 MW

3.4 million

$31M

People who benefited from clean water & wastewater projects:

Asia and OceaniaHousing built or supported, including unitsdesignated for low- to moderate-income residents:CO2-equivalent emissions avoided: 30.2 million

metric tons

307,277 units

6,189 MW4.2 million

Renewable energy capacity:

$73M

$463M is within multiple regions or exact locations are unknown; $348 million in holdings that did not have impact metrics for 2019 due to: new issuances where impact reporting not yet available, holdings where issuer reported metrics outside of the metrics that are collected for this impact report, or issuer did not have impact data available for 2019.

A core bond allocation with more than $1.7 billionof impact investments across 63 countries

FOR ONE-ON-ONE USE WITH A CLIENT’S FINANCIAL ADVISOR ONLY.© 2021 Envestnet, Inc. All rights reserved.

9


Gender equality 5.

14.Life below water

4.Quality education

2.Zero hunger

9.Industry, innovation & Infrastructure

16.Peace, justice & strong institutions

15.Life on land

8.Decent work & economic growth

1.No poverty

6.Clean water & sanitation

12.Responsible production & consumption

13.Climate action

11.Sustainable cities & communities

7. 219

121

94

87

53

28

19

15

10

9

8

2

1

Affordable & clean energy

<1%5. Gender equality

<1%14. Life below water

1%4. Quality education

1%2. Zero hunger

1%9. Industry, innovation & Infrastructure

3%16. Peace, justice & strong institutions

4%15. Life on land

<1%8. Decent work & economic growth

4%1. No poverty

10%6. Clean water & sanitation

3%12. Responsible production & consumption

4%13. Climate action

11%11. Sustainable cities & communities

57%7. Affordable & clean energy

Number of impact holdings aligned with the SDGs

AUM by primarySDG alignment

as of 31 Dec 2019

6

MANAGER FOCUS NUVEEN

Fixed Income

Alignment with the United Nations Sustainable Development Goals (SDGs)

Holdings are subject to change.



General Market Environment The US economy suffered through the shortest but most severe recession on record as a result of the pandemic but is in the midst of staging a strong recovery. Agreement in Congress on a $900 billion fiscal stimulus package is expected to avert a double-dip recession. In addition, with the additional fiscal support and the increasing number of Americans being vaccinated, prospects are good that the economic recovery will be able to pick up steam by mid-2021. The Bureau of Economic Analysis released the third estimate of the third quarter 2020 real GDP, a record-setting seasonally adjusted annualized increase of 33.4%, slightly better than the prior estimate of an increase of 33.1%, and a substantial rebound from the second quarter’s decline. The employment situation continued to show improvement over the past three months, with employers adding 711,000, 610,000, and 245,000 jobs in September, October and November, respectively. The November report showed an average of approximately 522,000 jobs added each month of the quarter, and that the unemployment rate fell to 6.7%. The Federal Open Market Committee (FOMC) maintained its supportive monetary policy response to the pandemic, leaving the funds rate target range of 0% to 0.25% unchanged. The central bank also reiterated that it expects interest rates to remain near zero until sometime in 2023.

Stocks posted a third quarter of strong gains following the sell-off in 2020’s first quarter. Many broad indexes have now rallied by more than 65% since they bottomed in March. Market analysts have cited the recently released vaccines as a catalyst for stocks’ strong results. Effective vaccines increase the potential to begin eliminating lockdowns and bringing more segments of the economy back online. After declining in the weeks leading up to the election, stock indexes thereafter trended steadily higher through the end of the year. In addition to investors being encouraged by the speedy development of a vaccine, the market also seems to be digesting the fact that the world seems to be learning to live with the virus. While governors in some states maintained stringent lockdown protocols, an increasing number of studies and data from other states with lighter restrictions seem to indicate lockdowns may not be effective. When the quarter ended, the S&P 500 Index had advanced +12.2% and finished with a gain for the year of +18.4%.

Performance of each of the eleven primary economic sectors was positive during the quarter, although there was significant performance dispersion among the sectors. Energy, Financials and Industrials were the strongest performers on a relative basis, generating returns of +27.8%, +23.2%, and +15.7%, respectively. The Real Estate, Consumer Staples and Utilities sectors were the poorest relative performers, posting returns of +4.9%, +6.4%, and +6.5%, respectively. The Russell 1000 Index of large capitalization stocks generated a +13.7% total return. Within the large cap segment, value stocks outperformed growth stocks. Small cap stocks, as represented by the Russell 2000 Index, outperformed large caps, and finished the quarter with a total return of +31.4%. Small cap value outperformed small cap growth. The NASDAQ Composite, dominated by information technology stocks, finished the quarter with a gain of +15.6%. The Dow Jones Industrial Average of 30 large industrial companies advanced by +10.7%. Real Estate Investment Trusts (REITs) were higher during the quarter, with the DJ US Select REIT Index up +12.9%. Commodities also posted solid gains, with the Bloomberg Commodity Index adding +10.2% for the quarter.

International stocks also delivered robust gains during the quarter, and generally performed in line with US equities. The MSCI ACWI Ex-USA Index, which measures performance of world markets outside the US, rose by +17.0%. The MSCI EAFE Index of developed markets stocks advanced by +16.1%. Regional performance was positive for the quarter. Latin America was the strongest performer on a relative basis, with a return of +34.8%. China was the poorest relative performer, advancing +11.2%. Emerging markets performance was strong, as the MSCI Emerging Markets Index was higher by +19.7%.

Fixed income securities’ prices on balance edged somewhat higher (and yields lower) in the quarter as central banks maintained supportive monetary conditions, and as the economy’s rebound proceeded mostly as expected. The FOMC and other central banks throughout the world maintained the aggressive policy stance in their efforts to mitigate the continuing adverse economic effects of lockdowns stemming from the pandemic. As has been the case in recent quarters, volatility in the fixed income market was benign as central bank policies has resulted in consistently low yields. The election had very little effect on the trajectory of yields, which have meandered slightly higher since early November. As mentioned above, the FOMC made no change to the previous policy steps it took in the second quarter to ensure enough market liquidity and reiterated that it sees rates remaining near zero for perhaps the next three years. As such, the FOMC is expected to maintain the target federal funds rate range at between 0% to 0.25% for the foreseeable future.

Many economists and analysts had expected the US economy to have a difficult year in 2020, but it turned out much worse than anyone could have anticipated, and in hindsight was one of the most challenging in the nation’s economic history. Among the contributors to the difficult environment was of course the onset of COVID-19 and the resulting lockdowns that resulted from trying to contain it; the rancorous presidential election cycle; and a slew of geopolitical issues such as the long-running Brexit negotiations and a trade war with China. While the economy is not totally out of the woods yet, the consensus expectation among economists is that 2021 should show a marked improvement. In addition to the pandemic being likely to wind down, the approved vaccines should enable states to more aggressively open. In addition, a Biden administration is expected to try to deescalate the political rancor that has prevailed this past year. There is a significant amount of pent-up demand for the products and services that have been avoided over the past nine months, and economists believe that higher income households will be able to increase spending. While the recovery has been v-shaped, the economy has a way to go to fully return to pre-pandemic levels, and it is anticipated that it could take multiple years to completely recover. But the US economy is extremely resilient, and absent policymaking missteps, should continue to make positive strides. Given that with the onset of winter there has been an uptick in virus cases, economists believe that the first half of 2021 may be sluggish, but that the second half of the year should see an improvement. The recently passed stimulus package is expected to provide additional fiscal support to the recovery. Economists are optimistic that the recovery from the pandemic will be much shorter than the time it took the economy to recover from the financial crisis.



Portfolios' Attribution

Ticker Fund Name Asset Class Weight Q4 Return Contribution Q4 Total Fund ReturnLow High Low High

CRANX CRA Qualified Investment Intermediate Bond 0.0% 23.0% 0.00% 0.05% 0.21%

TGBAX DWS ESG Global Bond International Bond 0.0% 16.0% 0.00% 0.18% 1.15%

AFEIX TIAA Core Impact Bond Intermediate Bond 0.0% 26.0% 0.00% 0.36% 1.40%

VSGDX Vanguard Short-Term Federal Adm Short Bond 0.0% 13.0% 0.00% 0.06% 0.45%

DOMYX Domini Impact International Equity Foreign Large Cap Value 2.5% 14.0% 0.36% 2.04% 14.54%

PFPMX Parnassus Mid Cap Mid Cap Core 3.5% 14% 0.30% 2.16% 13.21%

PMFIX Parnassus Core Equity Large Cap Core 4.5% 18.5% 0.50% 2.06% 11.13%

PXNIX Pax MSCI EAFE ESG Leaders IndexInternational Developed

Markets2.5% 9.0% 0.37% 1.34% 14.87%

TISCX American Century Sustainable Equity Large Cap Core 7.0% 27.5% 0.79% 3.09% 11.24%

PGINX Pax Global Environmental Markets Global Equity 0.0% 4.0% 0.00% 0.57% 14.19%

PXSIX Pax Small Cap Small Cap Core 0.0% 6.5% 0.00% 1.86% 28.64%

MCEIX Martin Currie Emerging Markets International Emerging Markets 0.0% 4.5% 0.00% 1.00% 22.28%

Data as of 12/31/20. Attribution table represents position weight & return contribution ranges for the following 7 risk based portfolios: Capital Preservation, Conservative, Conservative Growth, Moderate, Moderate Growth, Growth, Aggressive. Performance is shown gross of fees, except for the internal expenses of any investment products and does not reflect the deduction of investment advisory fees or the effect of income taxes on the investment returns. Actual performance results will be reduced by fees including, but not limited to, investment management fees and other costs such as custodial, reporting, evaluation and advisory services. Performance reflects the reinvestment of dividends, income and capital appreciation. The portfolio weight and return contribution ranges shown are representative of the various risk-based portfolios associated with this strategy. To obtain a list of the actual position weight and return contributions for a given portfolio, or to obtain the methodology we use to calculate return contributions, please contact PMC at [email protected]. Portfolios are actively managed and securities discussed herein may or may not be held in such portfolios at any given time. Nothing in this document shall constitute a recommendation or endorsement to buy or sell any security or other financial instrument referenced in this document



Index OverviewIndex performance is presented for illustrative purposes only and does not represent the performance of any specific investment product or portfolio. An investment cannot be made directly into an index.

The S&P 500 Index is an unmanaged index comprising 500 widely held securities considered to be representative of the stock market in general. The MSCI EAFE Index represents 21 developed markets outside North America. The MSCI Emerging Markets Index is a market-capitalization index that is designed to measure equity market performance in the global emerging markets. The Russell 2000 Index is an unmanaged market-capitalization-weighted index measuring the performance of the 2,000 smallest US companies, on a market-capitalization basis, in the Russell 3000 Index. The Bloomberg BarCap U.S. Corporate High Yield Index covers the USD-denominated, non-investment grade, fixed-rate, taxable corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below. The Index may include emerging markets debt. The Bloomberg BarCap Municipal Bond Index is a widely recognized, unmanaged index of municipal bonds with maturities of at least one year. The NASDAQ Composite is an index of the common stocks and similar securities (e.g., ADRs, tracking stocks, limited partnership interests) listed on the NASDAQ stock market, meaning that it has more than 3,000 components. It is highly followed in the US as an indicator of the performance of stocks of technology and growth companies. Since both US and non-US companies are listed on the NASDAQ stock market, the Index is not exclusively a US index. The MSCI Europe Index captures large and mid cap representation across 15 developed markets countries in Europe.* With 432 constituents, the Index covers approximately 85% of the free float-adjusted market capitalization across the European Developed Markets equity universe. The Russell 1000 Index is a market-capitalization-weighted benchmark index made up of the 1000 largest US companies in the Russell 3000 Index. The Dow Jones Industrial Average is a price-weighted average of 30 significant stocks traded on the New York Stock Exchange and the NASDAQ. The MSCI ACWI Ex-U.S. Index is a market-capitalization-weighted index maintained by Morgan Stanley Capital International (MSCI) and designed to provide a broad measure of stock performance throughout the world, with the exception of US-based companies. The MSCI All Country World Index Ex-U.S. includes both developed and emerging markets. The MSCI China Index captures large and mid cap representation across China H shares, B shares, Red chips, and P chips. With 143 constituents, the Index covers about 85% of this China equity universe. The MSCI Emerging Markets (EM) Asia Index captures large and mid cap representation across 8 emerging markets countries (China, India, Indonesia, Korea, Malaysia, the Philippines, Taiwan, and Thailand). With 535 constituents, the Index covers approximately 85% of the free float-adjusted market capitalization in each country. Sector performance is represented by the Global Industry Classification Standard (GICS) sectors, developed by Standard & Poor’s and MSCI Barra. The CBOE Volatility Index (VIX) is an up-to-the-minute market estimate of expected volatility that is calculated by using real-time S&P 500 Index option bid/ask quotes. The Index uses nearby and second nearby options with at least 8 days left to expiration and then weights them to yield a constant, 30-day measure of the expected volatility of the S&P 500 Index. Bloomberg Barclays Capital U.S. Aggregate Bond Index is an unmanaged index of prices of U.S. dollar-denominated investment grade fixed income securities with remaining maturities of one year and longer.

Disclosure

The information, analysis, and opinions expressed herein are for general and educational purposes only. Nothing contained in this brochure is intended to constitute legal, tax, accounting, securities, or investment advice, nor an opinion regarding the appropriateness of any investment, nor a solicitation of any type. All investments carry a certain risk, and there is no assurance that an investment will provide positive performance over any period of time. An investor may experience loss of principal. The asset classes and/or investment strategies described may not be suitable for all investors and investors should consult with an investment advisor to determine the appropriate investment strategy. Investment decisions should always be made based on the investor’s specific financial needs and objectives, goals, time horizon and risk tolerance. The portfolio’s current performance may be lower or higher than the performance data as it represents performance as of the date shown.

This report contains certain information (the “Information”) sourced from MSCI ESG Research LLC, or its affiliates or information providers (the “ESG Parties”). The Information may only be used for your internal use, may not be reproduced or re-disseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. Although they obtain information from sources they consider reliable, none of the ESG Parties warrants or guarantees the originality, accuracy and/or completeness, of any data herein and expressly disclaim all express or implied warranties, including those of merchantability and fitness for a particular purpose. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such, nor should it be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. None of the ESG Parties shall have any liability for any errors or omissions in connection with any data herein, or any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

This material is not meant as a recommendation or endorsement of any specific security or strategy. Information has been obtained from sources believed to be reliable, however, Envestnet | PMC cannot guarantee the accuracy of the information provided. The information, analysis and opinions expressed herein reflect our judgment as of the date of writing and are subject to change at any time without notice. An individual’s situation may vary; therefore, the information provided above should be relied upon only when coordinated with individual professional advice. Reliance upon any information is at the individual’s sole discretion. Diversification does not guarantee profit or protect against loss in declining markets.

Investors should consider the investment objectives, risks, and charges and expenses of mutual funds carefully before investing. A prospectus or summary prospectus which contains this and other information about these funds can be obtained by contacting your Financial Advisor or by contacting the fund company directly. Please read the prospectus carefully before investing.

Investments in smaller companies carry greater risk than is customarily associated with larger companies for various reasons such as volatility of earnings and prospects, higher failure rates, and limited markets, product lines or financial resources. Investing overseas involves special risks, including the volatility of currency exchange rates and, in some cases, limited geographic focus, political and economic instability, and relatively illiquid markets. Income (bond) funds are subject to interest rate risk which is the risk that debt securities in a fund’s portfolio will decline in value because of increases in market interest rates.

An investment in these portfolios is subject to market risk and an investor may experience loss of principal. The recent growth rate in the stock market has helped to produce short-term returns that are not typical and may not continue in the future. Returns are presented without provision for federal or state taxes. Under no circumstances does the information contained within represent a recommendation to buy or sell securities. This is not a sales solicitation, but rather a research profile on a specific investment option.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

Any performance shown is gross of platform and advisory fees. For a complete description of all fees, costs and expenses please refer to the Envestnet Asset Management, Inc. Form ADV Part 2A or, Form ADV Part 2A-Appendix 1, as applicable. Actual performance results will be reduced by fees including, but not limited to, investment management fees and other costs such as custodial, reporting, evaluation and advisory services. If interested in the attribution calculation methodology, or for the full list of portfolio contributors and detractors, please e-mail [email protected].

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