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S&P 500 Price Index
4,800
Mar. 28, 2022
4,500 P/E (fwd.) = 19.7x
Characteristic 3/24/2000 10/9/2007 2/19/2020 3/28/2022 4,576
4,200 Index Level 1,527 1,565 3,386 4,576
P/E Ratio (fwd.) 25.2x 15.1x 19.2x 19.7x +105%
3,900
Dividend Yield 1.4% 1.9% 1.9% 1.4%
3,600 Feb. 19, 2020
10-yr. Treasury 6.2% 4.7% 1.6% 2.5% P/E (fwd.) = 19.2x
3,300 3,386
3,000
2,700
-34%
2,400
1,500
+106% +101%
-49%
1,200
Dec. 31, 1996 Oct. 9, 2002 -57% Mar. 9, 2009
900 P/E (fwd.) = 15.9x P/E (fwd.) = 14.1x P/E (fwd.) = 10.4x
741 777 677
600
'96 '97 '98 '99 '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
S&P 500 Index: Forward P/E ratio
28x
Std. dev. Over-
Valuation measure Description Latest 25-year avg.*
/under-Valued
26x
P/E Forward P/E 19.69x 16.85x 0.85
CAPE Shiller's P/E 37.6 28.01 1.48
24x Div. Yield Dividend yield 1.44% 2.00% 1.70
Mar. 28, 2022:
P/B Price to book 4.12 3.09 1.27 19.69x
P/CF Price to cash flow 14.92 11.13 1.72
22x
EY Spread EY minus Baa yield 0.67% 0.19% -0.24
20x
+1 Std. dev.: 20.20x
18x
25-year average: 16.85x
16x
14x
-1 Std. dev.: 13.50x
12x
10x
8x
'97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Forward P/E and subsequent 1-yr. returns Forward P/E and subsequent 5-yr. annualized returns
S&P 500 Total Return Index S&P 500 Total Return Index
60% 60%
40% 40%
Mar. 28, 2022: 19.7x
20% 20%
0% 0%
-20% -20%
-40% -40%
R² = 3% R² = 38%
-60% -60%
8.0x 11.0x 14.0x 17.0x 20.0x 23.0x 26.0x 8.0x 11.0x 14.0x 17.0x 20.0x 23.0x 26.0x
S&P 500 earnings per share Percent change in S&P 500, earnings and valuations
Index annual operating earnings Year-to-date, indexed to 100
$275 110
$250
$200
100
$175
$150
95
$125
$100 90
$75
40%
24% 22%
19% 19% 15% 15% 17%
20% 13% 15% 11%
5% 6% 4%
0%
0%
-22%
-31%
-40%
-40%
-60%
'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
S&P 500 profit margins Labor share of income and profit margins*
Quarterly operating earnings/sales Compensation and adjusted after-tax corporate profits, SAAR
14% 11% 59%
4Q21: 13.4% Profit margin Labor share
Recession
10% 9% 57%
8% 8% 56%
6% 7% 55%
4% 6% 54%
2% 5% 53%
0% 4% 52%
'92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '48 '52 '56 '60 '64 '68 '72 '76 '80 '84 '88 '92 '96 '00 '04 '08 '12 '16 '20
Value vs. Growth relative valuations S&P 500 sector earnings correlation to real GDP
Rel. fwd. P/E ratio of Value vs. Growth, 1997 - present 1Q 2009 – 3Q 2021
1.40
Industrials 0.82
Recession Growth cheap/Value
expensive
Comm. Svcs* 0.45
1.20
1.00
Materials 0.33
Energy 0.30
0.80
Growth
Financials** 0.30
Long-term avg.*:0.72 Value
0.60
Value cheap/Growth Info. Tech. 0.30
expensive Mar. 28, 2022:
0.57 Real Estate 0.28
0.40
30x 16%
12%
'96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
25x
Earnings contribution of the top 10 in the S&P 500
Based on last 12 months’ earnings
20x 36%
32%
10x 20%
16%
5x
12%
'96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
'96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Valuation dispersion between the 20th and 80th percentile of S&P 500 stocks
35
25
20
15
10
5
'97 '98 '99 '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
10-year annualized YTD Current P/E vs. 20-year avg. P/E
Large
Large
11.8% 14.8% 17.2% 0.1% -3.7% -8.1%
13.7 15.5 18.5
Mid
Mid
12.1% 12.9% 13.6% -1.4% -5.3% -12.4%
14.5 16.4 20.4
Small
Small
Small
14.9 21.3 40.6
10.6% 11.0% 11.1% -1.7% -7.2% -12.7%
17.0 21.4 35.5
Since market peak (February 2020) Since market low (March 2020) Current P/E as % of 20-year avg. PE
Value Blend Growth Value Blend Growth Value Blend Growth
Large
Large
Large
27.2% 39.7% 48.6% 105.7% 111.0% 116.7% 113.0% 127.2% 146.3%
Mid
Mid
Mid
30.6% 30.9% 25.1% 130.8% 119.1% 94.6% 105.0% 109.8% 140.7%
Small
Small
Small
34.8% 25.8% 15.0% 137.0% 112.1% 86.8% 87.8% 99.5% 114.3%
Cons. Comm. Real Health Cons. S&P 500
Energy Materials Financials Industrials Disc. Tech. Services* Estate Care Staples Utilities Index
S&P weight 3.9% 2.6% 11.3% 7.8% 12.1% 28.0% 9.4% 2.7% 13.5% 6.0% 2.7% 100.0%
Weight
Russell Growth weight 0.5% 0.9% 2.5% 6.1% 18.7% 46.1% 10.5% 1.7% 8.8% 4.2% 0.0% 100.0%
Russell Value weight 7.1% 4.1% 21.2% 10.9% 5.0% 9.3% 7.2% 4.9% 17.9% 7.3% 5.3% 100.0%
Russell 2000 weight 6.6% 4.1% 16.1% 15.5% 10.3% 13.8% 3.3% 7.7% 16.3% 3.5% 2.9% 100.0%
QTD 39.9 -1.5 1.3 -1.6 -7.2 -7.5 -10.9 -7.9 -2.2 -1.7 3.1 -3.7
Return %)
YTD 39.9 -1.5 1.3 -1.6 -7.2 -7.5 -10.9 -7.9 -2.2 -1.7 3.1 -3.7
Since market peak
57.6 53.6 33.0 28.2 44.6 59.8 25.8 17.0 37.1 25.9 12.3 39.7
(February 2020)
Since market low
257.5 140.4 133.0 119.9 111.8 132.0 76.1 88.7 90.1 65.8 74.4 111.0
(March 2020)
Beta to S&P 500 1.3 1.1 1.1 1.1 1.1 1.1 1.0* 0.7 0.8 0.7 0.4 1.0
β
Correl. To Treas. Yields 0.6 0.3 0.6 0.4 0.1 0.1 0.13* 0.2 0.0 0.2 0.2 0.3
% ρ
Foreign % of sales 51.3 56.8 30.1 43.8 34.0 58.2 44.7 - 38.5 32.7 - 42.9
NTM earnings growth 39.8% 5.7% -5.8% 30.4% 17.2% 11.2% 4.6% 7.5% 5.0% 5.9% 2.6% 8.7%
EPS
20-yr. avg. 85.3% 18.3% 21.5% 13.5% 16.8% 14.3% 10.6%* 6.5% 8.9% 8.0% 4.0% 11.5%
Forward P/E ratio 11.9x 16.2x 14.8x 20.1x 28.3x 24.6x 18.3x 21.7x 16.5x 21.1x 21.0x 19.7x
P/E
20-yr. avg. 14.1x 14.7x 12.4x 16.2x 19.0x 18.3x 19.7x* 16.4x 15.2x 17.1x 15.0x 15.5x
Buyback yield 0.5% 1.9% 2.7% 1.8% 1.1% 2.1% 3.2% -1.0% 1.1% 1.3% -0.7% 1.8%
Bbk
20-yr. avg. 1.5% 0.7% 0.0% 2.1% 2.3% 2.8% 1.3% -1.1% 1.9% 1.8% -1.0% 1.6%
Dividend yield 3.1% 1.9% 1.9% 1.6% 0.7% 0.9% 0.9% 2.7% 1.6% 2.6% 3.0% 1.4%
Div
20-yr. avg. 2.7% 2.5% 2.3% 2.2% 1.4% 1.1% 1.3%* 4.1% 1.9% 2.8% 3.9% 2.1%
2007 - 2021
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 YTD Ann. Vol.
Sm all Sm all Sm all
Mom en. Min. Vol. Value High Div. Cyclical Value Value Mom en. Mom en. Min. Vol. Cyclical Mom en. Value Defens. Mom en.
Cap Cap Cap
17.8% -25.7% 38.8% 26.9% 14.3% 20.1% 43.2% 17.7% 9.3% 21.3% 37.8% 1.5% 36.3% 29.6% 29.2% 2.6% 11.8% 22.5%
Multi- Sm all
Defens. Defens. Cyclical Min. Vol. Value Min. Vol. Min. Vol. High Div. Cyclical Mom en. Quality Cyclical Cyclical High Div. Quality Value
Factor Cap
17.7% -26.7% 36.9% 18.3% 12.9% 16.8% 38.8% 16.5% 5.6% 16.3% 27.3% -1.6% 34.4% 27.8% 27.6% -0.7% 11.5% 20.7%
Multi- Sm all Multi- Sm all
Quality High Div. Mom en. Defens. High Div. Quality Value Quality High Div. Mom en. Quality Value Cyclical Cyclical
Factor Cap Factor Cap
10.1% -27.6% 29.8% 18.2% 10.1% 16.3% 37.4% 14.9% 4.6% 15.9% 22.5% -2.3% 28.1% 20.0% 27.2% -2.3% 11.2% 19.9%
Multi- Sm all Multi- Multi- Multi- Multi-
Quality Cyclical Quality Cyclical Cyclical Cyclical Value Defens. Min. Vol. Quality Min. Vol. Mom en.
Factor Cap Factor Factor Factor Factor
5.5% -31.2% 27.2% 17.9% 7.5% 15.7% 35.0% 14.8% 2.6% 14.0% 22.2% -2.9% 28.0% 17.1% 25.1% -3.0% 10.5% 17.7%
Sm all Multi- Multi- Multi- Multi- Multi- Multi-
Min. Vol. Quality High Div. Mom en. Mom en. Mom en. High Div. Cyclical Value Defens. Min. Vol.
Cap Factor Factor Factor Factor Factor Factor
4.3% -33.8% 24.9% 15.9% 7.3% 15.1% 34.8% 14.7% 0.7% 13.7% 21.5% -5.3% 27.7% 11.4% 25.0% -4.0% 10.1% 17.7%
Multi- Multi-
Value Value High Div. Min. Vol. Mom en. Quality Quality Cyclical Min. Vol. High Div. Quality Min. Vol. High Div. Mom en. High Div. Quality
Factor Factor
1.1% -36.9% 18.4% 14.7% 6.1% 12.8% 34.3% 13.6% 0.4% 10.7% 19.5% -5.6% 26.6% 5.8% 21.9% -6.1% 9.4% 15.7%
Multi- Multi- Sm all
High Div. Min. Vol. Quality Value Min. Vol. High Div. Defens. Defens. Quality Min. Vol. Defens. Min. Vol. Cyclical Defens. High Div.
Factor Factor Cap
0.0% -39.3% 18.4% 14.2% -2.7% 11.2% 28.9% 13.0% -0.9% 9.4% 19.2% -9.7% 25.5% 5.2% 21.0% -6.5% 9.1% 15.1%
Sm all Sm all Sm all Sm all
Cyclical Mom en. Mom en. Value Cyclical Defens. Defens. Quality Defens. High Div. High Div. Quality Value Defens.
Cap Cap Cap Cap
-0.8% -40.9% 17.6% 12.7% -3.4% 10.7% 28.9% 10.7% -4.4% 7.7% 14.6% -11.0% 22.5% 1.7% 14.8% -7.0% 9.1% 13.9%
Sm all Sm all Sm all Sm all Sm all
Cyclical Defens. Defens. High Div. Min. Vol. Value Mom en. Defens. Value Defens. Value Mom en. Min. Vol.
Cap Cap Cap Cap Cap
-1.6% -44.8% 16.5% 12.0% -4.2% 10.6% 25.3% 4.9% -6.4% 5.1% 12.3% -11.1% 21.4% -0.2% 12.9% -7.2% 8.7% 13.2%
S&P intra-year declines vs. calendar year returns
Despite average intra-year drops of 14.0%, annual returns were positive in 32 of 42 years
40%
34%
31%
30% 29%
30% 26% 27% 26% 27% 26% 27%
26%
23%
20% 20% 19%
20% 17% 16%
15% 15% 14%
12% 13% 13%
11%
9% 10%
10% 7%
4% YTD
3% 4%
1% 2%
0%
0%
-2% -1% -5%
-3% -3% -4%
-10% -7% -7% -6% -6% -5% -6% -6%
-7%
-10%
-8% -8%-8%
-9%
-8% -8% -7% -8% -7%
-9% -10% -10% -10% -11%
-11%
-13% -12% -13% -12% -13%
-14%
-20% -17% -17% -16%
-18% -17%
-20% -19% -19% -20%
-23%
-30% -28%
-30%
-34% -34% -34%
-40% -38%
-50%
-49%
-60%
'80 '85 '90 '95 '00 '05 '10 '15 '20
Stock returns and interest rate movements before and after the Global Financial Crisis
Monthly S&P 500 returns, 10yr U.S. Treasury, rolling 2yr correlations, 1965 – present
0.2
-0.2
-0.4
-0.6
-0.8
-1
0% 2% 4% 6% 8% 10% 12% 14% 16% 18%
10yr UST
Real GDP Components of GDP
Billions of chained (2012) dollars, seasonally adjusted at annual rates 4Q21 nominal GDP, USD trillions
$21,000 $26
4.7% Housing
GDP (%) 1Q21 2Q21 3Q21 4Q21
$20,000
Q/Q saar 6.3 6.7 2.3 7.0 $22 14.1% Investment ex-housing
Y/Y 0.5 12.2 4.9 5.6
$19,000
$17,000 $14
$16,000
$10
$6
$14,000
$13,000 $2
$12,000
'01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 -$2 -4.0% Net exports
Change in confirmed cases and fatalities in the U.S. Covid-19 mortality
7-day moving average # of fatalities per 100 confirmed cases lagged 18 days, 7-day MA
900,000 27,000 7
Confirmed cases Fatalities
800,000 24,000
6
700,000 21,000
5
600,000 18,000
500,000 15,000 4
400,000 12,000
3
300,000 9,000
2
200,000 6,000
1
100,000 3,000
0 0 0
Feb '20 Jun '20 Oct '20 Feb '21 Jun '21 Oct '21 Feb '22 May '20 Sep '20 Jan '21 May '21 Sep '21 Jan '22
High-frequency data
% change from comparable week in 2019
100%
Min. Current
Consumer debit/credit transactions -34% 31%
80% Hotel occupancy -69% -4%
U.S. seated diners -100% -3%
60% TSA traveler traffic -96% -10%
40%
20%
0%
-20%
-40%
-60%
-80%
-100%
Feb '20 Apr '20 Jun '20 Aug '20 Oct '20 Dec '20 Feb '21 Apr '21 Jun '21 Aug '21 Oct '21 Dec '21 Feb '22
Growth in working-age population Drivers of GDP growth
Percent increase in civilian non-institutional population ages 16-64 Average year-over-year % change
1.8% 4.5%
Native born Immigrant Census
forecast 4.1% Growth in workers
1.5%
1.2% + Growth in real output per worker
1.2% 1.1% 1.1% 4.0% Growth in real GDP
6% 0.3%
1.6%
5% 1.5%
1.0%
4%
2020: 1.6% 1.0%
3% 2.2%
2% 0.5%
1%
2.2% 2.1% 0.7% 1.5% 2.0% 1.6% 1.1%
0% 0.0%
'55 '60 '65 '70 '75 '80 '85 '90 '95 '00 '05 '10 '15 '20 '52-'61 '62-'71 '72-'81 '82-'91 '92-'01 '02-'11 '12-'21
The 2022 federal budget Federal budget surplus/deficit
CBO Baseline forecast, USD trillions % of GDP, 1990 – 2031, CBO Baseline Forecast Forecast
2021:
$6.0 -18% -12.4%
Total spending: $5.5tn
2020:
-14%
-14.9%
$5.0 Other: $967bn (17%) Borrowing: $1,153bn (21%) 2031:
-10% 2022:
-5.5%
-4.7%
Net int.: $306bn (6%)
Other: $355bn (6%) -6%
$4.0 Non-defense
disc.: $866bn
(16%) Social -2%
insurance:
Defense: $1,391bn (25%)
$3.0 $749bn (14%) 2%
Corporate: $317bn (6%)
Social '90 '95 '00 '05 '10 '15 '20 '25 '30
$2.0 Security:
$1,199bn (22%)
Federal net debt (accumulated deficits)
Incom e: % of GDP, 1940 – 2031, CBO Baseline Forecast, end of fiscal year
$1.0 Medicare & $2,328bn (42%)
120%
Medicaid: 2021:
$1,457bn (26%) 99.6%
100%
$0.0 2031:
Total government spending Sources of financing 106.4%
80%
CBO's Baseline economic assumptions
2022 '23-'24 '25-'26 '27-'31 60%
Real GDP grow th 6.1% 1.6% 1.3% 1.6% Forecast
10-year Treasury 1.9% 2.1% 2.6% 3.2% 40%
Headline inflation (CPI) 2.7% 2.3% 2.4% 2.4%
Unem ploym ent 4.1% 3.8% 4.2% 4.4% 20%
'40 '48 '56 '64 '72 '80 '88 '96 '04 '12 '20 '28
Consumer balance sheet Household debt service ratio
3Q21, trillions of dollars outstanding, not seasonally adjusted Debt payments as % of disposable personal income, SA
$180 14%
4Q07: 13.2%
3Q07 Peak $85.1tn
Total assets: $162.7tn 13%
1Q09 Low $73.9tn
$160
12%
1Q80:
Homes: 25% 11% 10.6%
$140 4Q21**:
9.0%
10%
$120 Other tangible: 5% 9%
Deposits: 9%
8%
$100
'80 '85 '90 '95 '00 '05 '10 '15 '20
40% 5.0x
35%
4.5x
30%
'50 '55 '60 '65 '70 '75 '80 '85 '90 '95 '00 '05 '10 '15
4.0x
Spending as a share of income after tax
Consumer expenditure survey, 2020
100% 90% 3.5x
80%
61% 3.0x
60%
40%
2.5x
20%
2.0x
0%
'51 '56 '61 '66 '71 '76 '81 '86 '91 '96 '01 '06 '11 '16 '21
Top 10% Bottom 90%
JOLTS job openings JOLTS quits
Total nonfarm job openings, thousands, seasonally adjusted Total nonfarm quits, thousands, seasonally adjusted
12,000 5,000
Jan. 2022: 11,263
Jan. 2022: 4,252
11,000 4,000
10,000 3,000
9,000 2,000
8,000 1,000
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
7,000
JOLTS layoffs
6,000 Total nonfarm layoffs, thousands, seasonally adjusted
13,000
4,000
5,000
3,500
4,000 3,000
2,500
3,000
2,000
2,000
1,500
Jan. 2022: 1,414
1,000 1,000
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
Civilian unemployment rate and year-over-year wage growth
Private production and non-supervisory workers, seasonally adjusted, percent
16%
50-year avg. Apr. 2020: 14.7%
Unemployment rate 6.2%
14%
Wage growth 4.0%
12%
Nov. 1982: 10.8%
Oct. 2009: 10.0%
10%
May 1975: 9.0%
4%
2%
0%
'71 '73 '75 '77 '79 '81 '83 '85 '87 '89 '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
CPI and core CPI
% change vs. prior year, seasonally adjusted
15%
50-yr. avg. Jan. 2022 Feb. 2022
Recession Headline CPI 3.9% 7.5% 7.9%
Core CPI 3.8% 6.0% 6.4%
12% Food CPI 4.0% 7.0% 7.9%
Energy CPI 4.8% 27.0% 25.7%
Headline PCE deflator 3.4% 6.1% -
Core PCE deflator 3.3% 5.2% -
9%
6%
3%
0%
-3%
'72 '74 '76 '78 '80 '82 '84 '86 '88 '90 '92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
The U.S. dollar The U.S. trade balance
U.S. Dollar Index Current account balance, % of GDP
130 -7%
-6%
-5%
120 4Q21: -3.6%
-4%
-3%
-2%
110
Mar. 28, 2022: -1%
99.1
0%
'97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
100
80 2%
1%
Mar. 28, 2022: 1.6%
70
0%
60 -1%
'97 '00 '03 '06 '09 '12 '15 '18 '21 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Change in production and consumption of liquid fuels Price of oil
Production, consumption and inventories, millions of barrels per day WTI crude, nominal prices, USD/barrel
Production 2019 2020 2021 2022* 2023* Growth since '19 $160
Jul. 3, 2008:
U.S. 19.5 18.6 18.9 20.3 21.2 8.7% $145.29
OPEC 34.7 30.7 31.6 34.2 34.5 -0.4%
$140
Russia 11.5 10.5 10.8 11.6 11.9 3.5%
Global 100.5 93.8 95.5 101.4 103.5 3.0%
Consumption
$120 Mar. 28,
U.S. 20.5 18.2 19.8 20.7 21.0 2.0% Jun. 13, 2014:
2022:
$106.91
China 14.0 14.4 15.3 15.7 16.2 15.8% $105.96
Global 100.3 91.9 97.1 100.6 102.5 2.2% $100
Inventory Change 0.2 1.9 -1.6 0.8 1.0
Oct. 3, 2018:
$76.41
$80
U.S. crude oil inventories and rig count**
Million barrels, number of active rigs
1,300 2,000
$60
1,200 1,500
$40
1,100 1,000
Feb. 12, 2009:
$33.98 Feb. 11, 2016:
$20 $26.21
1,000 500
$500
$200
$100
$400
$0
'09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
200 40%
150 30%
$100
100 20%
50 10%
$0 0 0%
'04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21F '22F
Federal funds rate expectations
FOMC and market expectations for the federal funds rate
7%
2.92%
3% 2.80% 2.80%
2.40%
2.63%
2.04%
2%
1.90%
1%
0.38%
0.38%
0%
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22 '24 Long run
The Federal Reserve balance sheet
USD trillions
Forecast*
$10
Balance sheet expansion under rounds of quantitative easing (QE), USD billions
$9
Announced Terminated Length (m) Treasuries MBS Loans** Balance sheet
QE1 11/25/2008 3/31/2010 16 $300 $1,074 $0 $1,403
$8
QE2 11/3/2010 6/29/2012 19 $829 -$196 $0 $568 Loans
QE3 9/13/2012 10/29/2014 25 $822 $874 $0 $1,674
$7 QE4*** 3/23/2020 3/15/2022 24 $3,284 $1,358 $63 $4,796
$6
$5
Other
$4
MBS
$3
$2
Treasuries
$1
$0
'03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24
Nominal and real U.S. 10-year Treasury yields
20%
5%
Mar. 28, 2022:
2.47%
5Y UST -2.0%
5-Year 2.54% 1.26% -5.61% 5 0.92 -0.33 -4.5%
TIPS -3.1%
TIPS -0.49% -1.04% -2.71% 10 0.57 0.21 -5.7%
IG Corps -4.3%
Sector -8.1%
Convertibles 2.9%
U.S. Aggregate 3.03% 1.75% -6.72% 8.8 0.85 0.05 -1.6%
U.S. HY 2.2%
Convertibles 4.44% 3.66% -6.46% - -0.26 0.87 -4.0%
Municipals -3.0%
U.S. HY 6.26% 4.21% -5.74% 6.1 -0.24 0.73
-5.6%
5.0%
3.96%
4.0% 3.72%
Dec. 31, 2013
3.04%
3.0% 2.72%
2.55% 2.54% 2.55% Mar. 28, 2022 2.57%
2.35% 2.46%
2.45%
2.0% 1.69% 1.75%
1.19%
0.96%
1.0% Aug. 4, 2020
0.78% 0.52%
0.36%
0.38% 0.19%
0.0%
3m 1y 2y 3y 5y 7y 10y 20y 30y
Default rate and spread-to-worst
Percent
20%
Recession
8%
4%
0%
'90 '93 '96 '99 '02 '05 '08 '11 '14 '17 '20
Spread-to-worst across fixed income sectors
Basis points, past 15 years Axis
1,200 2,400
1,000 2,000
800 1,600
600 1,200
480
449
414
368
400 800
397
380
334 323 502 483
50%
0%
80% '89 '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
0% 4
'74 '77 '80 '83 '86 '89 '92 '95 '98 '01 '04 '07 '10 '13 '16 '19 '89 '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Developed market central bank bond purchases Number of rate changes by EM and DM central banks**
USD billions, 12-month rolling flow
Forecast* 120
$6,000
Cuts Hikes
Fed
BoJ
$5,000 100
ECB
BoE
Total
$4,000
80
$3,000
60
$2,000
40
$1,000
20
$0
-$1,000 0
'16 '17 '18 '19 '20 '21 '22 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
Yield 2022 Return Global bond market
Correlation USD trillions
Aggregates 03/28/2022 12/31/2021 Local USD Duration
to 10-year $140
Euro Corp. 1.62% 0.52% -5.34% -8.69% 5.0 years 0.19 $40
$0
EM Corp. 6.20% 4.11% - -8.35% 5.30 -0.08
'89 '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19
EMD yield and weight in Bloomberg Global Agg. Index Average credit rating of EM debt universe
Weighted yield-to-worst EMBIG index
45% BBB+
9
Investment-grade rating
10
BBB-
EMD index yield contribution
40% BB+
11
EMD index weight
BB
12
35% 13
BB-
14
B +
High yield rating
30%
B15
16
B-
25% '95 '98 '01 '04 '07 '10 '13 '16 '19
Feb. 2022:
25.2% Emerging and developed markets duration
20%
Current modified duration
Feb. 2022:
12
13.9% 10.0
15% 10
8.1 8.1
8 6.5 6.7 6.8 6.8
6.1
10% 6 5.1
4
5% 2
0
EMD EM IG Europe U.K. IG U.S. EMD ($) Germany U.S. IG Japan
0% (LCL) corp. IG corp. corp. Treasury govt. debt corp. gov. debt
'11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 debt
2007-2021
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 YTD Ann. Vol.
High High High High
EMD LCL. Treas. EMD LCL. TIPS EMD USD Muni Muni EMD LCL. ABS EMD USD TIPS TIPS ABS EMD LCL.
Yield Yield Yield Yield
18.1% 13.7% 58.2% 15.7% 13.6% 17.4% 7.4% 9.1% 3.3% 17.1% 15.2% 2.7% 15.0% 11.0% 6.0% -2.3% 7.4% 11.8%
High High High
TIPS MBS EMD USD Muni EMD LCL. ABS Corp. MBS EMD USD EMD USD Muni Corp. Corp. TIPS EMD USD
Yield Yield Yield
11.6% 8.3% 29.8% 15.1% 10.7% 16.8% -0.3% 7.5% 1.5% 10.2% 10.3% 1.3% 14.5% 9.9% 5.3% -2.7% 6.1% 11.2%
Barclays High High High High Asset
Treas. ABS EMD USD Treas. MBS EMD USD EMD USD EMD LCL. MBS Treas. Muni EMD USD
Agg Yield Yield Yield Yield Alloc.
9.0% 5.2% 24.7% 12.2% 9.8% 15.8% -1.4% 7.4% 1.2% 9.9% 7.5% 1.0% 14.3% 8.0% 1.5% -5.7% 5.5% 8.7%
Barclays Asset Barclays
EMD LCL. Corp. Corp. Corp. Corp. MBS Treas. Corp. Corp. Treas. EMD LCL. ABS MBS Corp. Corp.
Agg Alloc. Agg
7.0% -1.9% 22.0% 9.0% 8.1% 9.8% -1.5% 6.1% 0.8% 6.1% 6.4% 0.9% 13.5% 7.5% 1.1% -5.8% 5.5% 6.1%
Asset Barclays Asset Asset Barclays Barclays Asset Barclays Asset High Asset
MBS TIPS Corp. Muni Treas. Muni Treas.
Alloc. Agg Alloc. Alloc. Agg Agg Alloc. Agg Alloc. Yield Alloc.
6.9% -2.4% 18.7% 7.6% 7.8% 7.6% -1.8% 6.0% 0.5% 4.8% 5.4% 0.0% 9.8% 7.1% -0.2% -6.2% 4.3% 5.0%
Asset Asset Barclays Asset Barclays Asset Asset Asset Barclays Asset
Muni TIPS ABS TIPS Corp. Muni TIPS TIPS
Alloc. Alloc. Agg Alloc. Agg Alloc. Alloc. Alloc. Agg Alloc.
6.2% -2.5% 16.5% 6.5% 7.7% 7.0% -2.0% 5.4% 0.2% 4.7% 5.3% -0.6% 8.7% 6.6% -1.0% -6.3% 4.2% 4.8%
Asset Barclays Barclays Asset Barclays
EMD USD Corp. Muni TIPS EMD USD Muni Muni Treas. TIPS TIPS EMD USD MBS ABS
Alloc. Agg Agg Alloc. Agg
6.2% -4.9% 12.9% 6.3% 7.3% 6.8% -2.6% 5.1% -0.4% 2.6% 3.5% -1.3% 8.4% 5.3% -1.0% -6.5% 3.9% 4.2%
Barclays High Barclays Barclays Asset
Corp. EMD LCL. TIPS Treas. MBS Treas. TIPS Corp. ABS TIPS Muni Muni MBS
Agg Yield Agg Agg Alloc.
4.6% -5.2% 11.4% 5.9% 6.2% 4.2% -2.7% 3.6% -0.7% 2.0% 3.0% -2.1% 7.5% 5.2% -1.5% -6.7% 3.5% 3.8%
Barclays High
Muni EMD USD ABS ABS ABS EMD USD TIPS MBS ABS Corp. Treas. MBS EMD USD EMD LCL. Treas. Muni
Agg Yield
3.4% -12.0% 5.9% 5.9% 5.1% 3.7% -5.3% 2.5% -1.4% 1.7% 3.0% -2.5% 6.9% 3.9% -1.8% -7.9% 3.3% 3.7%
High High Barclays
ABS ABS MBS MBS MBS TIPS ABS Treas. MBS EMD USD MBS ABS Treas. Corp. ABS
Yield Yield Agg
2.2% -12.7% 5.9% 5.4% 5.0% 2.6% -8.6% 1.9% -4.5% 1.0% 2.5% -4.3% 6.4% 3.4% -2.3% -8.8% 2.9% 3.3%
High High
Treas. Muni EMD LCL. Treas. EMD LCL. EMD LCL. EMD LCL. Muni Treas. EMD LCL. ABS EMD LCL. EMD LCL. EMD USD EMD LCL. MBS
Yield Yield
1.9% -26.2% -3.6% 2.4% -1.8% 2.0% -9.0% -5.7% -14.9% 0.2% 2.3% -6.2% 3.8% 2.7% -8.7% -10.8% 2.5% 2.5%
Returns 2022 YTD 2021 15-years Weights in MSCI All Country World Index
% global market capitalization, float adjusted
Local USD Local USD Ann. Beta
Emerging Europe ex-
markets UK
Regions 11% 12%
U.S. (S&P 500) - -3.7 - 28.7 10.7 0.90
Japan 5%
Pacific 3%
AC World ex-U.S. -4.3 -6.8 13.5 8.3 4.2 1.07
Canada 3%
EAFE -4.0 -7.4 19.2 11.8 4.1 1.04 United
States
Europe ex-UK -8.5 -11.6 24.4 16.5 4.8 1.18 62%
Selected Countries
Representation of cyclical and technology sectors
United Kingdom 4.1 0.5 19.6 18.5 2.3 1.02 % of index market capitalization
100%
France -7.6 -10.9 29.7 20.6 4.7 1.22 Cyclical sectors* Technology
76%
80% 70%
Germany -10.8 -13.9 13.9 5.9 4.7 1.31
57% 60%
56% 54%
60% 48%
Japan -1.2 -7.9 13.8 2.0 3.4 0.72 43%
40% 34%
28% 32%
China -14.8 -15.2 -21.6 -21.6 5.8 1.10 22%
20% 12% 14% 13%
India -1.3 -3.7 28.9 26.7 6.7 1.26 8%
1% 0%
0%
Brazil 14.6 32.8 -11.2 -17.2 0.9 1.50 S&P ACWI EM EM Europe Japan EM EM EM
500 ex-U.S. North South LATAM EMEA
Russia - - 21.6 20.0 0.9 1.49 Asia Asia
U.S. dollar and international GDP growth Currency impact on international returns
Real GDP growth: U.S.-intl. (5-year moving avg.); U.S. dollar: 100 = 1984 MSCI All Country World ex-U.S. Index, total return
6% 115 60%
'87-'91 92-'00 01-'11 12-'19 20-'25
U.S. 2.6% 3.8% 1.7% 2.4% 1.3% 110
5% 41.4% 42.1%
World ex-U.S. 3.7% 2.6% 2.9% 2.9% 3.5%
Difference -1.1% 1.2% -1.2% -0.5% -2.2% 40%
105
4%
27.2% 27.8%
100 21.4% 22.1%
3% 15.8%
17.1% 17.4%
20% 17.1%
95 11.6% 11.1%
8.3%
2%
5.0%
90
1% 0%
85
0% -5.3% -6.8%
-3.4%
80
-13.3% -13.8%
-20%
-1%
75
-2%
70
-40%
Local currency return
-3% 65 Currency return
-45.2%
U.S. - International GDP growth U.S. dollar U.S. dollar return
-4% 60 -60%
'84 '87 '90 '93 '96 '99 '02 '05 '08 '11 '14 '17 '20 '23 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
MSCI EAFE and MSCI USA relative performance
U.S. dollar, total return, cumulative outperformance*
400%
374%
(6.1 years)
350% Regime change determined when there is sustained outperformance
U.S. outperformance of one region over the other for a cumulative 12 months.
EAFE outperformance
300%
250%
220% 249%
(6.2 years) (14.3 years)
200%
150%
99%
80% 89% (4.2 years)
100%
(2.5 years) (2.0 years) 64%
36% (7.3 years)
28% 51% (1.4 years)
50% (3.3 years) (4.0 years)
0%
-50%
'71 '76 '81 '86 '91 '96 '01 '06 '11 '16 '21
International: Price-to-earnings discount vs. U.S. International: Difference in dividend yields vs. U.S.
MSCI AC World ex-U.S. vs. S&P 500 Indices, next 12 months MSCI AC World ex-U.S. minus S&P 500 Indices, next 12 months
10% 2.0%
20 yr. avg. P/E Current P/E
ratio ratio
5% 1.8%
S&P 500 15.5x 19.7x Mar. 28, 2022:
ACWI ex-U.S. 13.3x 13.2x 1.7%
+2 Std. dev: 1.6%
0%
1.6%
+1 Std. dev: -5.9%
-5% +1 Std. dev.: 1.4%
1.4%
-10%
Average: -13.3% Average: 1.1%
1.2%
-15%
-30% 0.6%
-40%
0.2%
'02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
'02 '04 '06 '08 '10 '12 '14 '16 '18 '20
Global earnings growth Global valuations
Calendar year consensus estimates Current and 25-year next 12 months price-to-earnings ratio
60%
60% 57% 49x
37x
55%
54%
50%
50% 48%
33x
Current
39%
40% 25-year range
34%
29x
25-year average
30%
20% 25x
20% 16%
9%
10% 21x 19.7x 19.6x
4%
0% 0% 0% 0%
0%
17x
-3% 16.8x 14.8x
-10% 13.5x
12.3x
13x 12.0x
-13%
13.5x
-20%
11.7x
2020 2022 10.7x
-26% 9x
-30%
2021 -29%
% cyclical sectors*
-40% 5x
U.S. China EM Europe Japan U.S. Europe Japan EM China
Returns of thematic indices Revenue exposure vs. country of listing
Total return, U.S. dollar, Dec. 31, 2014 = 100 % of total revenue from home countries
350 80%
EM Asia tech European luxury goods 66%
60%
U.S. growth AC World ex-U.S. 60% 52%
44%
300
40%
20%
250
0%
Europe Japan U.S. EM
200
Change in international sector weightings
% point change from Dec. 31, 2005
15%
EM EAFE
150 10%
5% 5% 5%
5% 4%
2% 1%1% 2% 1% 2%
0%
100 -2%
-5% -4%
-10%
-11% -11%
50 -15%
'14 '15 '16 '17 '18 '19 '20 '21 Commod. Financials Indust. Other Tech Health Consumer
Care
COVID-19 vaccinerollout
Covid-19 vaccine rollout
Total vaccinedoses
Total vaccine doses administered
administered per hundred
per hundred peoplepeople
240
230 S. Korea
220 China
210 France
UK
200 Germany
190
Brazil
180
Japan
170 U.S.
160
150
140
130 India
120
110
100
90
80
70
60
50
40
30
20
10
0
Dec '20 Jan '21 Feb '21 Mar '21 Apr '21 May '21 Jun '21 Jul '21 Aug '21 Sep '21 Oct '21 Nov '21 Dec '21 Jan '22 Feb '22
Global PMI suppliers’ delivery times index* Global PMI input and output prices**
Global PMI suppliers' delivery times index*
30 75
Feb. 2022:
Slower
69.2
delivery time Prices rising
70
35
65
Feb. 2022:
40 61.5
Feb.
2022:
39.3 60
45 Input prices
55
50
50
Output prices
55
45
Global 53.4 -
Manufacturing 53.6 -
Services 53.9 -
DM 54.7 -
EM 51.3 -
UK 59.9 59.7
Developed
Italy 53.6 -
Spain 56.5 -
China 50.1 -
Emerging
India 53.5 -
Brazil 49.6 -
Russia 50.8 -
Year-over-year headline inflation by country and region, quarterly
2022
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
Jan Feb
DM 5.6% 5.2%
EM 4.0% 3.3%
12 40%
Oil
10
30%
Coal
8
Gas
U.S.
6 20%
EU
Nuclear & Hydro
4
10%
2
Renewables
0 0%
'90 '00 '10 '20 '30 '40 '50 '60 '70 '80 '90 '00 '10 '20 '30 '40 '50
Growth of the middle class Regional contribution to middle class growth: 2020 to 2030
Percent of total population Millions of people
100% 1,800
1995 2020F 2030F
32 10 -3
1,600 57
80
79% 79%
80% Rest of
1,400 Asia, 133
72% 73%
1,200
61% China,
60% 453
55%
1,000
India,
21% 400 883
20%
200
4%
1% 0%
0% 0
Asia Pacific Sub-Saharan Middle East Central and North America Europe
India Indonesia China Brazil Mexico Africa and North South America
Africa
China real GDP contribution Monetary stimulus: Reserve requirement ratio
Year-over-year % change for GDP, contribution to GDP for components
26%
15% Large banks Small and medium banks
24%
9.4%
1Q21 2Q21 3Q21 4Q21 22%
Investment 4.4% 1.0% 0.4% -0.5% 20%
Consumption 4.6% 1.0% 0.7% 1.1% 18%
10.6%
Net exports 9.3% 5.9% 3.8% 3.4% 16%
9.6% Total GDP 18.3% 7.9% 4.9% 4.0% 14%
9.7%
10% 12%
8.0%
10%
8.1%
6.7% 3.9% 7.9% 7.8% 6.8% 8%
7.4%
6.7%
7.0% 6.9% 1.1% '09 '11 '13 '15 '17 '19 '21
5.1%
6.1%
3.3% 1.6% 3.1%
4.1% 3.3% 2.8%
2.6%
1.9%
5% Fiscal
Fiscal stimulus:
stimulus: Fiscal
Fiscal deficit*
deficit*
5.3%
%
% GDP
GDP
6.3% 2.3%
4.9% 0%
0%
4.2% 5.4% 5.0% 4.4% 4.6% 4.0% 4.4% 3.5%
3.9% 4.2% -2%
-2%
2.2%
-4%
-4%
0.2% 0.7% 0.6% 1.7% -6%
0%
0.4% 0.5% 0.3% -6%
-0.6% -0.5% -0.5%
-4.0% -1.1% -0.2% -0.1% -0.9% -8%
-8%
-10%
-10%
-12%
-12%
-11% -12%
-14%
-14%
-16% -14%
-16%
-5% -18%
-18%
'08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '10 '11
'10 '11 '12
'12 '13
'13 '14'14'15'15'16 '16
'17 '17
'18 '18
'19 '19
'20 '21F
'20 '22F
'21F
MSCI Emerging Markets Index: Inclusion of China A-shares
EMEA
Latin EMEA 14%
EMEA 12% America 15% Latin Taiwan Latin America
12% America 15% 8%
11%
Taiwan
Taiwan 12%
15% Asia ex-China, Asia ex-China, Asia ex-China,
Korea & Taiwan Korea & Taiwan Korea
Korea & Taiwan
18% 17% 13%
Korea 17%
Foreign
Korea 12% listed
12%
A-shares Foreign 3% H-shares
Foreign H-shares listed H-shares A-shares 7%
2% 4% P-chips A-shares
listed 10% 9% 8% 15% 5%
8% P-chips 8% P-chips
Red-chips 8% Red-chips Red-
4% 4% chips
May 2019 November 2019 February 2022 2%
China: 32% China: 34% China: 32%
U.S. Large Cap 1.00 0.86 0.75 -0.10 0.82 0.16 -0.34 0.61 0.59 0.72 0.86 0.82 0.04 14%
EAFE 1.00 0.89 -0.09 0.83 0.17 -0.51 0.69 0.62 0.53 0.91 0.86 0.15 14%
EME 1.00 0.05 0.81 0.28 -0.65 0.79 0.63 0.44 0.80 0.83 0.38 17%
Bonds 1.00 0.12 0.77 -0.18 0.44 -0.06 0.18 -0.13 -0.31 0.68 3%
Corp. HY 1.00 0.33 -0.43 0.85 0.72 0.65 0.82 0.75 0.24 8%
10% 2% 1.2%
8.6%
0%
8% HFRI FW Comp.
-2% S&P 500 -1.4%
6% -4%
-4.0%
4.8% 4.6%
4.1% -6%
3.9%
4% S&P 500 up S&P 500 down
Hedge fund returns in different market environments
Average return in up and down months for Bloomberg Agg.
1.0% 0.8%
2%
0.6%
0.5%
0% 0.0%
HFRI FW Comp. 0.0%
-0.5% Bloomberg U.S. Agg.
-0.6%
-1.0%
Bloomberg Barclays Agg up Bloomberg Barclays Agg down
Private vs. public equity sector weights Number of listed U.S. companies*
8,500
12.1%
Tech 8,000
35.8% 7,500 Dec. 2021:
6,203
7,000
20.6%
Healthcare 6,500
16.5% 6,000
5,500
14.5%
Industrials 5,000
13.2%
4,500
Russell 2000
4,000
15.3% '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21
Cons. Disc. U.S. private equity
11.0%
Average size and median age at IPO
$300 12
14.6%
Financials Average IPO size (LHS, $mm)
11
7.6% $250
Median age (RHS, years) 10
$200
2.0% 9
Comm. Services
6.3% $150 8
7
$100
14.3% 6
Other** $50
2.8% 5
$0 4
0% 10% 20% 30% 40% 1980-1989 1990-1998 1999-2000 2001-2021
Commodity prices Gold prices
Commodity price z-scores USD per ounce Mar. 28, 2022:
-4 -3 -2 -1 0 1 2 3 4 5 6 $1,940
$2,500
Bloomberg Gold
$59.48 $152.01
Commodity Index $2,000
$126.21 Gold, inflation adjusted
20%
1
0
15% Jan '20 Apr '20 Jul '20 Oct '20 Jan '21 Apr '21 Jul '21 Oct '21 Jan '22
Investment flows by income*
Indexed to February 18, 2020, 7-day moving average
7
6 $0-20k $75-125k
10%
$20-35k $125k+
5
$35-50k
4
$50-75k
5% 3
2
1
0% 0
Jan '20 May '20 Sep '20 Jan '21 May '21 Sep '21 Jan '20 Apr '20 Jul '20 Oct '20 Jan '21 Apr '21 Jul '21 Oct '21 Jan '22
Range of stock, bond and blended total returns
Annual total returns, 1950 - 2021
60%
Annual avg. Growth of $100,000 over
50% total return 20 years
Stocks 11.5% $880,148
47% Bonds 5.8% $308,786
40% 43% 50/50 portfolio 9.0% $562,115
30% 33%
28%
20% 23% 21%
19% 17%
16% 16%
10% 14%
12%
1% 6% 5%
0%
1% 2% 1%
-8% -3% -2% -1%
-10% -15%
-20%
-30%
-39%
-40%
-50%
1-yr. 5-yr. 10-yr. 20-yr.
rolling rolling rolling
Portfolio returns: Equities vs. equity and fixed income blend
$160,000 Jul. 20:
Feb. 19: 60/40
S&P 500 peak portfolio
$140,000 Jun. 8:
40/60 portfoliorecovers
recovers
$120,000
$100,000
Aug. 10: 40/60 stocks & bonds
$80,000 Mar. 23: S&P 500
recovers
60/40 stocks & bonds
S&P 500
troughs S&P 500
$60,000
Feb '20 Apr '20 Jun '20 Aug '20 Oct '20 Dec '20 Feb '21 Apr '21 Jun '21 Aug '21 Oct '21 Dec '21 Feb '22
0%
-0.5%
-2%
REITs EM Equity Small Cap High Yield S&P 500 60/40 40/60 DM Equity Bonds Homes Average Inflation Cash Commodity
Investor
Income earned on $100,000 in savings accounts*
$7,000
Income generated in a savings account
Income needed to beat inflation
Income needed to beat education inflation Current: $6,041
$6,000
Income needed to beat medical care inflation
$5,000
$4,000
$3,000
Current: $2,474
$1,000
Current: $70
$0
'94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Equity market correlations and yields
Hedge adjusted yield, last 12 months, 10-year correlations, quarterly
9%
Direct lending
8% Higher yielding
sectors
7% U.S. government
U.S. non-government
Hedge adjusted yield
6% International
Alternatives EMD (LCL)
Infra.
5% APAC Real estate EMD ($)
Stronger correlation
30y UST U.S. corps to equities
2%
10y UST MBS
U.S. Aggregate TIPS
1% UK Euro Corp.
5y UST
Germany Munis
2y UST Japan Floating rate
0%
-0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0
Correlation to S&P 500
S&P 500 total return: Dividends vs. capital appreciation
Average annualized returns
20%
Capital appreciation
15% Dividends
13.6%
10% 12.6% 15.3% 14.2%
8.2%
5% 4.4% 1.6%
5.1% 3.3% 4.2% 4.4% 3.3%
2.5% 1.8% 2.7%
0%
-2.7%
-5%
1950s 1960s 1970s 1980s 1990s 2000s 2010s 1950-2021
Liabilities ($tn) 2%
$1.6
9.0%
Fixed Income 3%
49.9% $1.2
10yr UST (inv.) 4%
18.0% $0.8
Hedge Funds 5%
3.8%
$0.4 6%
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is believed to be appropriate to their personal goals. Investors should ensure that they obtain all available relevant information before making any investment. Any forecasts, figures, opinions or investment techniques and strategies
set out are for information purposes only, based on certain assumptions and current market conditions and are subject to change without prior notice. All information presented herein is considered to be accurate at the time of
production, but no warranty of accuracy is given and no liability in respect of any error or omission is accepted. It should be noted that investment involves risks, the value of investments and the income from them may fluctuate in
accordance with market conditions and taxation agreements and investors may not get back the full amount invested. Both past performance and yields are not reliable indicators of current and future results.
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Prepared by: David P. Kelly, Jordan K. Jackson, David M. Lebovitz, John C. Manley, Meera Pandit, Gabriela D. Santos, Stephanie Aliaga, Sahil Gauba, Olivia C. Schubert and Nimish Vyas.
Unless otherwise stated, all data are as of March 28, 2022 or most recently available.
Guide to the Markets – U.S.
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