Americas Europe Asia

Dr. David Kelly, CFA Karen Ward Tai Hui

New York London Hong Kong

David Lebovitz Gabriela Santos Michael Bell, CFA Vincent Juvyns Marcella Chow Chaoping Zhu,
New York New York London Luxembourg Hong Kong CFA
Shanghai

Meera Pandit, CFA Jack Manley Hugh Gimber, CFA Tilmann Galler, CFA Ian Hui
New York New York London Frankfurt Hong Kong

Jordan Jackson Stephanie Aliaga Ambrose Crofton, Maria Paola Toschi Adrian Tong Shogo Maekawa
New York New York CFA Milan Hong Kong Tokyo
London

Olivia Schubert Nimish Vyas Max McKechnie Elena Domecq Sahil Gauba Agnes Lin
New York New York London Madrid Mumbai Taipei

Lucia Gutierrez Mellado Clara Cheong Kerry Craig, CFA

Madrid Singapore Melbourne
S&P 500 Price Index
4,800
Jan. 3, 2022
P/E (fwd.) = 21.4x
4,500 4,797
Characteristic 3/24/2000 10/9/2007 2/19/2020 7/28/2022 7/27/2022 -15%
4,200 Index Level 1,527 1,565 3,386 4,072 4,024
114%
3,900 P/E Ratio (fwd.) 25.2x 15.1x 19.2x 17.1x 16.9x
Dividend Yield 1.4% 1.9% 1.9% 1.7% 1.7% Feb. 19, 2020
3,600 P/E (fwd.) = 19.2x Jul. 28, 2022
10-yr. Treasury 6.2% 4.7% 1.6% 2.7% 2.8% 3,386 P/E (fwd.) = 17.1x
3,300 4,072

3,000

2,700
-34%
401%
2,400

2,100 Mar. 23, 2020

Mar. 24, 2000 Oct. 9, 2007 P/E (fwd.) = 13.3x
P/E (fwd.) = 25.2x P/E (fwd.) = 15.1x 2,237
1,800 1,527 1,565
1,500
106% -49% 101% -57%
1,200

900 Dec. 31, 1996 Oct. 9, 2002 Mar. 9, 2009

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 17.14x 16.87x 0.08
CAPE Shiller's P/E 30.68 28.01 0.42
24x Div. Yield Dividend yield 1.65% 1.99% 1.03
P/B Price to book 3.61 3.1 0.63
P/CF Price to cash flow 13.07 11.18 0.86
22x
EY Spread EY minus Baa yield 0.76% 0.22% -0.27

20x
+1 Std. dev.: 20.22x

18x
25-year average: 16.87x
Jul. 28, 2022:
16x
17.14x

14x
-1 Std. dev.: 13.51x
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%
Jul. 28, 2022: 17.1x

40% 40% Jul. 28, 2022: 17.1x

20% 20%

0% 0%

-20% -20%

-40% -40%

R² = 3% R² = 37%
-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
$300 110

$275
105
Consensus analyst estimates
$250
Earnings recessions

$225 100

$200
95
$175

$150 90

$125
85
$100

$75 80

$50 Share of return Year-to-date

75 Earnings Growth 5.9%
$25 Multiple growth -20.4%
S&P 500 price return -14.6%
$0 70
'88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21 '24 Dec '21 Jan '22 Feb '22 Mar '22 Apr '22 May '22 Jun '22
S&P 500 year-over-year operating EPS growth
Annual growth broken into revenue, changes in profit margin & changes in share count
100%

Share of EPS grow th 2022* Avg. '01-'21

80% Margin -3.7% 5.1%
70%
Revenue 9.2% 3.8%
Share count 0.5% 0.2%
60%
47% Total EPS 6.0% 9.1%

40%
2022
24% 22%
19% 19% 15% 15% 17%
20% 13% 15% 11%
5% 6% 4% 6%
0%
0%

-20% -6% -11%

-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 '22
S&P 500 profit margins Labor share of income and profit margins*
Quarterly operating earnings/sales Compensation and adjusted after-tax corporate profits as % of GDP
14% 11% 59%
Profit margin 58%
10%
1Q22: 57%
11.9% 9%
12% 56%
Recession 8% 55%

7% 54%
10% 53%
6%
52%
Labor share
5%
51%
8% 4% 50%
'50 '55 '60 '65 '70 '75 '80 '85 '90 '95 '00 '05 '10 '15 '20

S&P 500 sales per share and PPI for intermediate materials
6% Year-over-year % change, monthly, last 20 years
30%
S&P 500 sales per share
20%
4% PPI – intermediate m aterials

10%

2% 0%

-10%
Correlation**: 80%
0% -20%
'92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
Value vs. Growth relative valuations S&P 500 operating leverage by sector
Rel. fwd. P/E ratio of Value vs. Growth, 1997 - present Impact on operating income from a 1% rise in revenues
1.40
Recession Growth cheap/Value
expensive
Energy 8.9x

1.20 Financials 6.8x

Materials 4.2x
1.00
Cons. Staples 1.5x

Tech. 1.4x Value

0.80
Growth

Long-term avg.*:0.72 Health Care 1.3x

0.60
Value cheap/Growth Utilities 1.2x
expensive Jul. 28, 2022:
0.58 Cons. Disc. 1.2x
0.40

Forward PE Div. yield** Comm. Services 0.8x

Long- Long-
Style Current Current
0.20 term avg.* term avg.* Industrials 0.5x
Value 13.55x 14.10x 2.28% 2.59%
Growth 23.34x 20.72x 0.98% 1.35%
Real Estate 0.1x
0.00
'97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 0.0x 2.0x 4.0x 6.0x 8.0x 10.0x
P/E ratio of the top 10 and remaining stocks in the S&P 500 Weight of the top 10 stocks in the S&P 500
Next 12 months % of market capitalization of the S&P 500
45x 36%
Jul. 28, 2022:
Current Average % of avg. 28.9%
32%
Top 10 25.4x 20.0x 127%
40x
Remaining stocks 16.2x 15.7x 103% 28%
S&P 500 17.1x 16.4x 104%
24%
35x
20%

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%

15x 28% Jul. 28, 2022:

19.8%
24%

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-yr. average Current

30
Median S&P 500 P/Es 16.0 17.5
Valuation spread 11.5 16.5

25

20

15

10

5
'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 '22
 10-year annualized YTD Current P/E vs. 20-year avg. P/E

Value Blend Growth Value Blend Growth Value Blend Growth

13.6 17.1 23.3
Large

Large

Large
10.9% 13.6% 15.7% -7.9% -13.8% -20.9%
13.7 15.5 18.5

13.3 15.5 22.0

Mid

Mid

Mid
11.3% 12.1% 12.6% -9.9% -14.7% -23.3%
14.4 16.3 20.3
Small

Small

Small
14.7 18.6 25.1
10.0% 10.4% 10.4% -9.9% -16.0% -22.1%
16.9 21.4 35.4

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
17.0% 25.0% 27.9% 89.3% 88.8% 86.6% 99.1% 110.8% 125.9%
Mid

Mid

Mid
19.2% 17.9% 9.6% 110.8% 97.5% 70.4% 92.5% 95.0% 108.6%
Small

Small

Small
23.6% 13.9% 2.6% 117.3% 92.0% 66.8% 86.7% 86.9% 71.0%
 Cons. Comm. Real Health Cons. S&P 500
Energy Materials Financials Industrials Disc. Tech. Services* Estate Care Staples Utilities Index
S&P weight 4.2% 2.5% 10.6% 7.8% 11.2% 27.9% 8.5% 2.9% 14.6% 6.7% 3.0% 100.0%

Weight
Russell Growth weight 1.4% 1.4% 2.9% 6.9% 16.2% 44.2% 7.8% 1.7% 11.8% 5.6% 0.0% 100.0%
Russell Value weight 7.3% 4.2% 19.5% 10.1% 6.0% 9.4% 8.4% 5.2% 16.8% 7.1% 5.9% 100.0%
Russell 2000 weight 5.6% 4.1% 17.0% 15.4% 10.4% 13.6% 2.8% 7.0% 17.3% 3.4% 3.4% 100.0%
QTD 4.9 4.8 5.7 7.4 14.1 11.8 3.1 8.2 3.7 4.0 4.6 7.7

Return %)
YTD 38.3 -14.0 -14.1 -10.7 -23.4 -18.3 -28.0 -14.8 -5.0 -1.8 4.0 -13.8
Since market peak
55.8 34.2 12.8 16.4 19.5 41.1 1.6 8.2 33.2 25.8 13.3 25.0
(February 2020)
Since market low
253.4 109.9 97.5 99.6 75.0 105.0 42.3 74.4 84.8 65.7 76.0 88.8
(March 2020)
Beta to S&P 500 1.3 1.1 1.1 1.1 1.2 1.1 1.0* 0.7 0.8 0.6 0.4 1.0

β
Correl. To Treas. Yields 0.2 -0.2 -0.2 -0.1 -0.4 -0.4 0.17* -0.2 -0.4 -0.1 -0.1 -0.3

% ρ
Foreign % of sales 38.1 56.3 21.4 32.5 35.5 59.3 43.5 16.2 36.6 43.7 2.1 41.0
NTM earnings growth 20.8% 1.9% 1.8% 24.3% 18.0% 9.9% 3.9% 8.0% 2.0% 5.3% 4.9% 8.4%

EPS
20-yr. avg. 86.2% 17.8% 21.1% 13.8% 16.6% 14.0% 10.5%* 6.6% 8.7% 7.9% 4.0% 11.4%
Forward P/E ratio 8.4x 13.5x 12.1x 17.1x 25.0x 21.5x 15.7x 19.4x 16.4x 21.0x 20.2x 17.1x

P/E
20-yr. avg. 13.9x 14.7x 12.4x 16.2x 19.0x 18.1x 19.7x* 16.5x 15.1x 17.2x 15.1x 15.5x
Buyback yield 0.8% 2.1% 3.5% 2.0% 1.6% 2.3% 3.3% -1.5% 1.3% 1.4% -0.9% 2.1%

Bbk
20-yr. avg. 1.5% 0.8% 0.2% 2.1% 2.3% 2.9% 1.4% -1.3% 1.9% 1.8% -1.0% 1.7%
Dividend yield 3.4% 2.2% 2.3% 1.9% 0.9% 1.0% 1.0% 3.1% 1.7% 2.6% 3.0% 1.7%

Div
20-yr. avg. 2.7% 2.5% 2.3% 2.2% 1.4% 1.1% 1.3%* 4.0% 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% 0.8% 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% -5.5% 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 Min. Vol. 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% -8.6% 11.2% 19.9%
Multi- Sm all Multi- Multi- Multi-
Quality Cyclical Quality Cyclical Cyclical Cyclical Value Defens. Min. Vol. Quality Value Min. Vol. Mom en.
Factor Cap 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% -11.5% 10.5% 17.7%
Sm all Multi- Multi- Multi- Multi- Multi- Multi- Multi-
Min. Vol. Quality High Div. Mom en. Mom en. Mom en. High Div. Cyclical Value Defens.
Cap Factor 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% -12.9% 10.1% 17.7%
Multi- Multi- Sm all
Value Value High Div. Min. Vol. Mom en. Quality Quality Cyclical Min. Vol. High Div. Quality Min. Vol. High Div. High Div. Quality
Factor Factor Cap
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% -16.0% 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. Quality 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% -16.4% 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. Cyclical 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% -19.9% 9.1% 13.9%
Sm all Sm all Sm all Sm all
Cyclical Defens. Defens. High Div. Min. Vol. Value Mom en. Defens. Value Defens. Value Mom en. Mom en. Min. Vol.
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% -21.0% 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%
-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%
-14% -15%
-20% -17% -17% -16%
-18% -17%
-20% -19% -19% -20%
-23% -24%
-30% -28%
-30%
-34% -34% -34%
-40% -38%

-50%
-49%

-60%
'80 '85 '90 '95 '00 '05 '10 '15 '20
Return needed to reach January 2022 peak Bull and bear markets
Current S&P 500 peak is 4797
Bull m arkets Bear m arkets

Bull begin Duration Market Duration

1-yr 19.4% 19.4% Bull return Bear return*
date (m onths) peak (m onths)*

Jul 1926 152% 37 Sep 1929 -86% 32

Mar 1935 129% 23 Mar 1937 -60% 61

2-yrs 10.2% 21.4% Apr 1942 158% 49 May 1946 -30% 36

Jun 1949 267% 85 Aug 1956 -22% 14

Oct 1960 39% 13 Dec 1961 -28% 6

3-yrs Oct 1962 76% 39 Feb 1966 -22% 7

7.3% 23.4%
Oct 1966 48% 25 Nov 1968 -36% 17
X% Implied avg. annualized total return May 1970 74% 31 Jan 1973 -48% 20
X% Implied cumulative total return
Mar 1978 62% 32 Nov 1980 -27% 20
4-yrs 5.8% 25.4%
Aug 1982 229% 60 Aug 1987 -34% 3

Oct 1990 417% 113 Mar 2000 -49% 30

Oct 2002 101% 60 Oct 2007 -57% 17

5-yrs 5.0% 27.5% Mar 2009 401% 131 Feb 2020 -34% 1

Mar 2020 114% 21 Jan. 2022** -24% 5

Averages 162% 51 - -41% 20

0% 5% 10% 15% 20% 25%
Length of expansions and recessions The Great Depression and post-war recessions
Months Length and severity of recession
140
Average length (months): 5-yrs
Expansions: 47 months Great Depression:
26.7% decline in real GDP
Recessions: 14 months
120

4-yrs

100
-26.7%

Length of recession in years

3-yrs
80

Financial Crisis:
60 4.0% decline in real GDP
2-yrs
Post-WWII demobilization:
12.7% decline in real GDP

40 -4.0%
-3.1%-2.5% Pandemic recession:
10.1% decline in real GDP
1-yrs -3.4% -1.5%-2.4%
-0.2%
20 -12.7% -3.0%
-0.1%
-2.2% -1.4% -10.1%
-0.4%

0 0-yrs
1921 1927 1938 1949 1958 1970 1980 1991 2009 1910 1930 1950 1970 1990 2010
Real GDP Components of GDP
Billions of chained (2012) dollars, seasonally adjusted at annual rates 2Q22 nominal GDP, USD trillions
$21,000 $26
4.7% Housing

GDP (%) 3Q21 4Q21 1Q22 2Q22

$20,000 14.0% Investment ex-housing
Q/Q saar 2.3 6.9 -1.6 -0.9 $22
Y/Y 4.9 5.5 3.5 1.6
$19,000
17.3% Gov't spending
$18
$18,000
Trend growth:
2.0%
$17,000 $14

$16,000
$10
68.4% Consumption
$15,000

$6
$14,000

$13,000 $2

$12,000
'01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 -$2 -4.3% Net exports
Change in confirmed cases and fatalities in the U.S. High-frequency data
7-day moving average % change from comparable week in 2019
900,000 27,000 60%

Confirmed cases Fatalities

Min. Current
800,000 24,000 Hotel occupancy -69% -15%
40%
U.S. seated diners -100% -4%
TSA traveler traffic -96% -12%
700,000 21,000
20%

600,000 18,000
0%

500,000 15,000
-20%
400,000 12,000

-40%
300,000 9,000

-60%
200,000 6,000

100,000 3,000 -80%

0 0 -100%
Feb '20 Jun '20 Oct '20 Feb '21 Jun '21 Oct '21 Feb '22 Jun '22 Feb '20 Jun '20 Oct '20 Feb '21 Jun '21 Oct '21 Feb '22 Jun '22
Residential investment as a % of GDP Business fixed investment as a % of GDP
Quarterly, seasonally adjusted Quarterly, seasonally adjusted
7% 16%
Recession
6% 15%

1Q22: 4.8% 1Q22: 13.5%

14%
5%
13%
4% Average: 12.9%
Average: 4.4% 12%
3% 11%

2% 10%
'68 '73 '78 '83 '88 '93 '98 '03 '08 '13 '18 '68 '73 '78 '83 '88 '93 '98 '03 '08 '13 '18

Light vehicle sales Total business inventory/sales ratio

Mil vehicles, seasonally adjusted ann. rate Days of sales, monthly, seasonally adjusted
20 55
53
18 51
16 49
47
14 45
Average: 14.8m 43
12 Average: 43.0 days
Jun. 2022: 41
10 13.4m 39
37
May 2022: 39.5 days
8 35
'76 '81 '86 '91 '96 '01 '06 '11 '16 '21 '81 '86 '91 '96 '01 '06 '11 '16 '21
Average interest rate on a U.S. mortgage Housing inventories
30-year fixed-rate mortgage Inventory of new and existing single family homes for sale, thous, NSA
18% 4,500
16% 4,000
14% 3,500
12%
3,000
10% Average: 2,405
40-yr Avg.: 7.0% Jun. 2022: 5.5% 2,500
8%
2,000
6%
4% 1,500
Jun. 2022: 1,583
2% 1,000
0% 500
'82 '85 '88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21 '82 '85 '88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21

Home prices Mortgage originations by credit score*

y/y % change in Case-Shiller Home Price Index Billions of USD
25% 1,400
May 2022: 19.7% <660 660-759 760+
20% 1,200
15% 1,000
10% 800
Average: 4.5%
5% 600
0% 400
-5% 200
-10% 0
-15%
'88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21
The 2022 federal budget Federal budget surplus/deficit
CBO Baseline forecast, USD trillions % of GDP, 1990 – 2032, CBO Baseline Forecast Forecast
2021:
$7.0 -18%
-12.4%

-14% 2020:
Total spending: $5.9tn
$6.0 -15.0%
-10% 2022:
Other: $1,009bn (17%) Borrowing: $1,036bn (18%) -4.2%
$5.0
-6%
Net int.: $399bn (7%) Other: $354bn (6%)
Non-defense
$4.0 Social -2%
disc.: $962bn
(16%) insurance:
$1,465bn (25%) 2%
Defense:
$3.0 $760bn (13%)
Corporate: $395bn (7%) '90 '95 '00 '05 '10 '15 '20 '25 '30
Social
Security:
$2.0 Federal net debt (accumulated deficits)
$1,212bn (21%)
Incom e: % of GDP, 1940 – 2032, CBO Baseline Forecast, end of fiscal year
Medicare & $2,623bn (45%) 120%
$1.0
Medicaid: 2021:
$1,531bn (26%) 99.6%
100%
$0.0 2032:
Total government spending Sources of financing 109.6%
80%
CBO's Baseline economic assumptions
2022 '23-'24 '25-'26 '27-'32 60%
Real GDP grow th 4.4% 2.4% 1.5% 1.7% Forecast
10-year Treasury 2.1% 2.9% 3.3% 3.8% 40%
Headline inflation (CPI) 6.6% 3.0% 2.3% 2.4%
Unem ploym ent 3.9% 3.6% 3.9% 4.5% 20%
'40 '48 '56 '64 '72 '80 '88 '96 '04 '12 '20 '28
Consumer
Consumerbalance
balancesheet
sheet Household debt service ratio
1Q22,
1Q22, trillions
trillionsofofdollars
dollarsoutstanding,
outstanding,not
notseasonally adjusted
seasonally adjusted Debt payments as % of disposable personal income, SA
$180 14%
Total assets: $167.9tn 3Q07 Peak $85.2tn 4Q07: 13.2%
1Q09 Low $74.0tn 13%
$160
12%
1Q80:
Homes: 26% 10.6%
$140 11%
2Q22**:
9.5%
10%
$120 Other tangible: 5% 9%
Deposits: 9% 8%
$100 '80 '85 '90 '95 '00 '05 '10 '15 '20

Pension funds: 19% Excess personal savings relative to pre-pandemic trend

$80 Disposable personal income less consumer outlays, minus pre-pandemic trend
Other non-revolving: 2% growth***, $ trillions, monthly
Revolving*: 5%
0.5
$60 Auto loans: 7%
0.4
Other liabilities: 10% Cumulative excess
savings: $2.26tn
Student debt: 9% 0.3
$40
Other financial assets: 41% 0.2
Total liabilities: $18.6tn 0.1
$20
0.0
Mortgages: 66% -0.1
$0 Net excess savings remaining: $2.02tn Savings drawdown: $0.24tn
Assets Liabilities -0.2
'19 '20 '21 '22
Consumer Sentiment Index and subsequent 12-month S&P 500 returns
120
Avg. subsequent 12-mo. S&P 500 returns
8 sentiment peaks +4.1% Jan. 2000: -2.0%
8 sentiment troughs +24.9% Jan. 2004:
110
+4.4% Feb. 2020:
Mar. 1984: +13.5% +29.0%
Aug. 1972: Jan. 2007:
-6.2% Jan. 2015: -2.7%
100 -4.2%

May 1977: +1.2%

90

Average: 85.6
80

Mar. 2003:
70 +32.8% Oct. 2005:
+14.2% Apr. 2020:
+43.6%

60 Oct. 1990: +29.1%

Feb. 1975:
50 +22.2% Nov. 2008: Aug. 2011:
May 1980: Sentiment cycle turning point and subsequent +22.2% +15.4%
12-m onth S&P 500 Index return
Jul. 2022:
+20.0% 51.1
40
'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
Ratio of job openings to job seekers JOLTS quits
Job openings* lagged 1 month divided by unemployed persons, SA Total nonfarm quits, thousands, seasonally adjusted
2.3 5,000

May 2022: 4,270

4,000
2.0
May/Jun. 2022:
1.90 3,000
1.8
2,000
1.5
1,000
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
1.3
JOLTS layoffs
1.0 Total nonfarm layoffs, thousands, seasonally adjusted
13,500
4,000

0.8 3,500

3,000
0.5
2,500

2,000
0.3
1,500
May 2022: 1,389
0.0 1,000
'73 '76 '79 '82 '85 '88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21 '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%

Jun. 1992: 7.8%

8%

Jun. 2003: 6.3% Jun. 2022: 6.4%

6%

4%

2%

Jun. 2022: 3.6%

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. May. 2022 Jun. 2022
Recession Headline CPI 4.0% 8.5% 9.0%
Core CPI 3.9% 6.0% 5.9%
12% Food CPI 4.0% 10.1% 10.4%
Energy CPI 5.1% 34.4% 41.5%
Headline PCE deflator 3.5% 6.3% 6.8%
Core PCE deflator 3.3% 4.7% 4.8%
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
Contributors to headline inflation
Contribution to y/y % change in CPI, non seasonally adjusted
10%

9.1%
9% 8.6%
8.5%
8.3%
8% 7.9%
7.5%

Transitory?
7.0%
7% 6.8% Energy
6.2%
New and used vehicles
6%
5.4% 5.4% 5.4%
5.3% Food at home
5.0%
5%
4.2% Other
4% Restaurants, hotels
and transportation
3% 2.6%
Shelter

Sticky?
2%

1%

0%
Mar '21 Apr '21 May '21 Jun '21 Jul '21 Aug '21 Sep '21 Oct '21 Nov '21 Dec '21 Jan '22 Feb '22 Mar '22 Apr '22 May '22 Jun '22
The U.S. dollar The U.S. trade balance
U.S. Dollar Index Current account balance, % of GDP
130 -7%
-6%
1Q22: -4.8%
-5%
120
-4%
-3%
Jul. 28, 2022: -2%
110 106.4
-1%
0%
'97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
100

Developed markets interest rate differentials

90 Difference between U.S. and international 10-year yields*
3%

2%
80

1%

70 Jul. 28, 2022: 1.7%

0%

-1%
60
'97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
'97 '00 '03 '06 '09 '12 '15 '18 '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 20.2 21.5 10.3% $145.29
OPEC 34.6 30.7 31.7 34.3 35.0 1.3%
$140
Russia 11.5 10.5 10.8 10.4 9.5 -17.0%
Global 100.3 93.8 95.6 100.1 101.6 1.3%
Consumption
$120
Jun. 13, 2014:
U.S. 20.5 18.2 19.8 20.5 20.8 1.2% Jul. 28,
$106.91
China 14.0 14.4 15.3 15.5 16.1 14.6% 2022:
$96.42
Global 100.9 91.8 97.4 99.6 101.6 0.7% $100
Inventory Change -0.6 2.0 -1.8 0.5 0.0
Oct. 3, 2018:
$76.41
U.S. refinery spread $80
Gasoline prices minus WTI crude oil prices, dollars per gallon
$2.50
Jul. 28, 2022: $60
$2.30
$2.30
$2.10
$1.90
$1.70 $40
$1.50
$1.30 Feb. 12, 2009:
$33.98 Feb. 11, 2016:
$1.10 $20 $26.21
$0.90
$0.70
Apr. 21, 2020: $11.57
$0.50 $0
'93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Global investment in energy transition Cost of wind, solar, natural gas, nuclear and coal
Billions USD, nominal Mean LCOE*, 2021, dollar per megawatt hour
$800 $400
Storage, electrification, carbon capture, other

Renewable energy Wind Solar Natural gas Coal Nuclear

$700

$600 $300

$500

$400 $200

$300

$200 $100

$100

$0 $0
'04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
Federal funds rate expectations
FOMC and market expectations for the federal funds rate
7%
FOMC June 2022 forecasts
Federal funds rate
Percent
FOMC year-end estimates Long
6% 2022 2023 2024
Market expectations run*
Change in real GDP, 4Q to 4Q 1.7 1.7 1.9 1.8
FOMC long-run projection*
Unemployment rate, 4Q 3.7 3.9 4.1 4.0
5%
Headline PCE inflation, 4Q to 4Q 5.2 2.6 2.2 2.0

3.80%
4%
3.40%
3.40%
3.26%
3%
2.50%
2.71%
2.38%
2.45%
2%

1%

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 $3,286 $1,343 $62 $4,779

$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%

Sep. 30, 1981:

15.84%
Average
15% (1958 - YTD 2022) Jul. 28, 2022
Nominal yields 5.80% 2.68%
Real yields 2.15% -3.24%
Inflation 3.65% 5.91%

Nominal 10-year U.S. Treasury yield

10%

5%
Jul. 28, 2022:
2.68%

Real 10-year U.S. Treasury yield

0%

Jul. 28, 2022:

-3.24%
-5%
'58 '61 '64 '67 '70 '73 '76 '79 '82 '85 '88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21
 Yield Return Impact of a 1% rise or fall in interest rates
2022 Avg. Correlation Correlation Total return, assumes a parallel shift in the yield curve
U.S. Treasuries 7/28/2022 12/31/2021
YTD Maturity to 10-year to S&P 500
2Y UST 4.8%
1.1%
2-Year 2.85% 0.73% -2.68% 2 years 0.69 -0.32

5Y UST 7.3%
5-Year 2.69% 1.26% -5.57% 5 0.92 -0.29 -1.7%

TIPS 9.1%
TIPS 0.20% -1.04% -5.54% 10 0.58 0.24 -2.4%

10Y UST 11.5%

10-Year 2.68% 1.52% -9.01% 10 1.00 -0.26 -5.3%

30Y UST -14.0% 25.0%

30-Year 3.02% 1.90% -21.33% 30 0.93 -0.25

U.S. Aggregate 9.8%

Sector -3.0%

IG Corps 12.1%
U.S. Aggregate 3.42% 1.75% -8.23% 8.6 0.85 0.10 -3.3%

Convertibles 10.0%
IG Corps 4.35% 2.33% -11.80% 11.5 0.46 0.43 5.8%

U.S. HY 12.0%
Convertibles 7.50% 3.66% -16.94% - -0.22 0.87 3.9%

Municipals 9.4%
U.S. HY 7.91% 4.21% -9.80% 5.9 -0.20 0.74
-3.8%

Municipals 2.81% 1.11% -6.71% 12.9 0.42 0.14 MBS 8.9%

-2.1%

MBS 3.37% 1.98% -5.96% 7.3 0.80 -0.04 ABS 1% fall 5.9%
1.5%
ABS 4.32% 1.96% -2.54% 2.4 -0.41 0.62 1% rise 11.4%
Leveraged Loans
6.3%
Leveraged Loans 8.83% 4.60% -4.06% 2.6 0.06 0.03 -20% -10% 0% 10% 20% 30%
U.S. Treasury yield curve
6.0%

Yield range over past 10 years

5.0%

4.0%

3.23%
Jul. 28, 2022 3.02%
3.0% 2.85% 2.81%
2.69% 2.69% 2.68%
2.93%
2.90%

1.94% 1.90%
2.0% Dec. 31, 2021
1.44% 1.52%
1.26%
0.97%
1.0% 0.73%

0.39%

0.19%
0.0%
3m 1y 2y 3y 5y 7y 10y 20y 30y
Default rate and spread-to-worst
Percent
20%

Long-run avg. Jul. 28, 2022

16%
Default rate 3.60% 1.08%
Spread-to-worst 5.69% 5.49%
Recovery rate 39.90% 68.00%

12%

Recession

8%

4%

0%
'90 '93 '96 '99 '02 '05 '08 '11 '14 '17 '20
Yield-to-worst across fixed income sectors
Percent, past 10 years Axis
8.0% 16.0%

10-year range 10-year median Current

7.0% 14.0%

6.0% 12.0%

5.0% 4.8% 10.0%

4.4% 8.8%
8.3%
7.9%
4.0% 3.7% 8.0%
6.9% 6.9% 7.0%
3.4%
3.8% 3.1%
6.0%
5.7% 6.0%
3.0% 2.7% 5.5%
6.2%
2.9%
4.9% 4.0%
2.0% 2.4% 4.5%
1.4% 1.5%

1.0% 2.0%
1.0%

0.0% 0.0%
U.S. Municipals* IG corps MBS ABS Euro IG EMD ($) EMD (LCL) EM Corp Euro HY U.S. HY Leveraged
Treasuries Loans
Developed market central bank bond purchases Market pricing for central bank hikes in 2022
USD billions, 12-month rolling flow Number of 25bp hikes priced into OIS contracts for year-end 2022**
$6,000 15
Forecast*
Fed
Fed 13 BoJ
$5,000
BoJ ECB
ECB 11 BoE
$4,000
BoE
Total 9
$3,000

7
$2,000
5

$1,000
3

$0
1

-$1,000 -1

-$2,000 -3
'16 '17 '18 '19 '20 '21 '22 '23 Jul '21 Sep '21 Nov '21 Jan '22 Mar '22 May '22 Jul '22
 Yield 2022 Return Global bond market
Correlation USD trillions
Aggregates 7/28/2022 12/31/2021 Local USD Duration
to 10-year $140

U.S. 3.42% 1.75% -8.23% -8.23% 6.4 years 0.90 $130

12/31/1989 12/31/2021
Gbl. ex-U.S. 2.11% 1.07% - -14.85% 7.50 0.48 $120
U.S. 57.6% 35.9%
Dev. ex-U.S. 41.3% 38.3%
$110
Japan 0.42% 0.18% -2.05% -16.16% 9.40 0.55 EM 1.2% 25.8%
$100
Germany 1.33% 0.05% -6.37% -16.39% 6.80 0.34
$90
UK 2.57% 1.18% -10.51% -19.86% 9.70 0.37 EM: $35tn
$80
Italy 2.53% 0.76% -10.13% -19.74% 6.50 0.19
$70
China 2.81% 2.75% 7.55% -3.95% 5.80 0.53
$60 Developed
ex-U.S.: $52tn
Sector $50

Euro Corp. 2.39% 0.52% -7.77% -17.64% 4.8 years 0.27 $40

$30
Euro HY 7.04% 3.55% -10.30% -19.90% 3.40 -0.10
$20
EMD ($) 8.31% 5.27% - -18.63% 6.10 0.25 U.S.: $49tn
$10
EMD (LCL) 6.93% 5.72% -8.77% -14.93% 4.90 0.15
$0
EM Corp. 6.90% 4.11% - -13.44% 5.10 0.15 '89 '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Muni tax-equivalent and Treasury yield curves State and local and federal net debt
8.0% % of GDP, 1930-2021, end of fiscal year
120%

7.0% Dec. 2021:

99.6%
100%
Muni tax-equivalent yield curve 6.0%
6.0%
5.6%

80%
5.0%

4.0%
Federal debt
4.0% 60%
3.6%
U.S. Treasury yield curve
3.2%
3.0%
2.8%
3.0% 3.2%
2.9% 3.0% 40%
2.4% 2.7% 2.7% 2.7%

2.0%
Dec. 2021:
14.0%
20%
State and local debt
1.0%

0%
0.0%
3m 1y 2y 3y 5y 7y 10y 20y 30y '30 '36 '42 '48 '54 '60 '66 '72 '78 '84 '90 '96 '02 '08 '14 '20
Bloomberg U.S. Aggregate intra-year declines vs. calendar year returns
Despite average intra-year drops of 3.1%, annual returns positive in 42 of 46 years
35%
33

30%

25%
22

20% 19

16 16
15 15
15
15%
12
10 10 10
10% 8 9 9 8 9
8 7 8 8
7
6 6 7 6
5
5% 4 4 4 4 4
3 3 3 2 3 4
1 2
1 0
0%
-1 -1 -1
-1 -2 -1 -2 -2
-2 -2 -2 -2 -2 -2 -2 -3 -2 -2 -3 -2 -2 -2 -2 -2 -2 -2 -2 -2 -2
-5% -3 -3 -3 -3 -3
-4 -4 -4 -4
-4 -5 -5 -4 -5 -5 -5 -4
-5
-7
-7 -8
-10% -9

-15% -13
'76 '81 '86 '91 '96 '01 '06 '11 '16 '21
 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% -2.5% 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% -5.5% 6.1% 11.2%
High High High Asset
Treas. Bbg. Agg. ABS EMD USD Treas. MBS EMD USD EMD USD EMD LCL. MBS Treas. Muni MBS EMD USD
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% -6.0% 5.5% 8.7%
Asset
Bbg. Agg. EMD LCL. Corp. Corp. Corp. Corp. MBS Treas. Corp. Corp. Treas. EMD LCL. Bbg. Agg. ABS Muni Corp. Corp.
Alloc.
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% -6.7% 5.5% 6.1%
Asset Asset Asset Asset Asset High Asset
MBS TIPS Corp. Bbg. Agg. Bbg. Agg. Bbg. Agg. Muni Bbg. Agg. Treas. Muni Treas.
Alloc. Alloc. Alloc. Alloc. 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% -7.7% 4.3% 5.0%
Asset Asset Asset Asset Asset Asset Asset
Muni Bbg. Agg. TIPS Bbg. Agg. ABS TIPS Bbg. Agg. Corp. Bbg. Agg. TIPS TIPS
Alloc. Alloc. Alloc. Alloc. Alloc. Alloc. 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% -8.2% 4.2% 4.8%
Asset Asset
EMD USD Corp. Muni TIPS EMD USD Muni Muni Treas. Bbg. Agg. Bbg. Agg. TIPS TIPS EMD USD MBS Bbg. Agg. ABS
Alloc. Alloc.
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% -8.8% 3.9% 4.2%
High High Asset
Corp. EMD LCL. TIPS Treas. MBS Bbg. Agg. Treas. TIPS Corp. ABS TIPS Muni Muni Bbg. Agg. MBS
Yield Yield 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% -9.8% 3.5% 3.8%
High
Muni EMD USD Bbg. Agg. ABS ABS ABS EMD USD TIPS MBS ABS Corp. Treas. MBS EMD USD Corp. Treas. Muni
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% -11.8% 3.3% 3.7%
High High
ABS ABS MBS MBS MBS TIPS ABS Treas. MBS EMD USD MBS ABS Treas. EMD LCL. ABS Bbg. Agg.
Yield Yield
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% -14.9% 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% -18.6% 2.5% 2.5%
 Weights in MSCI All Country World Index
Returns 2022 YTD 2021 15-years % global market capitalization, float adjusted

Local USD Local USD Ann. Beta

Emerging Europe ex-
markets UK
Regions 11% 12%
U.S. (S&P 500) - -13.8 - 28.7 10.7 0.90
Japan 5%
Pacific 3%
AC World ex-U.S. -8.8 -15.9 13.5 8.3 4.2 1.07
Canada 3%
EAFE -7.0 -16.2 19.2 11.8 4.1 1.04 United
States
Europe ex-UK -12.6 -20.9 24.4 16.5 4.8 1.18 62%

Emerging markets -12.9 -17.3 0.1 -2.2 4.8 1.18

Selected Countries
Representation of key sectors in international markets
United Kingdom 4.1 -6.8 19.6 18.5 2.3 1.02 % of index market capitalization
60%
France -8.5 -18.3 29.7 20.6 4.7 1.22 Technology Financials Com modities 48%

Germany -19.2 -27.8 13.9 5.9 4.7 1.31

40%
29%
Japan -1.6 -15.8 13.8 2.0 3.4 0.72 28% 27%
24% 22%
20% 20% 21%
China -16.0 -17.2 -21.6 -21.6 5.8 1.10 20%
13% 14% 15%
11%
11% 10% 10%11%
8% 8% 7% 7% 9%
India -2.4 -9.1 28.9 26.7 6.7 1.26 5% 5%
3%
1% 0%
Brazil 0.5 7.3 -11.2 -17.2 0.9 1.50 0%
S&P ACWI EM EM Europe Japan EM EM EM
500 ex-U.S. North South LATAM EMEA
Korea -17.4 -24.4 0.8 -7.9 5.9 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
5% U.S. 2.6% 3.7% -1.1% 2.4% 1.9% 110
41.4% 42.1%
World ex-U.S. 3.8% 2.6% 1.2% 2.9% 3.1%
Difference -1.2% 1.1% -2.3% -0.5% -1.2% 40%
105
4%
27.2% 27.8%
100 21.4% 22.1%
3% 17.1% 15.8%
17.1% 17.4%
20%
95 11.6% 11.1%
8.3%
2%
5.0%
90
1% 0%
85
-5.3%
0%
-3.4%
80 -13.3%
-20% -13.8%
-15.9%
-1%
75

-2%
70 -40%
Local currency return
-3% Currency return
65 -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%
213%
220%
(6.2 years) (14.7 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 Jul. 28, 2022:
ratio ratio 1.8%
5% S&P 500 15.5x 17.1x 1.8%
ACWI ex-U.S. 13.2x 11.9x
+2 Std. dev: 1.6%
0%
1.6%

-5% +1 Std. dev.: 1.4%

+1 Std. dev: -7.1%
1.4%

-10%
Average: 1.2%
Average: -14.8% 1.2%
-15%
1.0%
-20%
-1 Std. dev: -22.5%
-1 Std. dev.: 0.9%
0.8%
-25%

-2 Std. dev.: -30.3% 0.6%

-30%

Jul. 28, 2022:

-35% -30.7% 0.4%
-3 Std. dev.: -38.0%

-40% 0.2%
'02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '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
20% 60% 49x
37x
2022 % cyclical sectors* (RHS) 57%
Current
2023 52% 12/31/2021
2024 33x
17% 25-year range
48%

25-year average
15% 45% 29x
14% 14%
39%

25x
33%
21.2x
10%
10% 9% 30% 21x

8%
8% 8%
7% 17x
7% 7% 17.1x 14.7x 14.6x
6%
6%

5% 15% 11.7x
13x 11.8x
4% 12.8x
3%
11.9x
11.2x 11.1x
9x

0% 0% 5x
U.S. China EM Europe Japan U.S. Japan China Europe EM
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
550 80%
65%
European renewable energy 60%
500 60%
51%
U.S. growth 45%
EM Asia tech 40%
450
European luxury goods
AC World ex-U.S. 20%
400

0%
350 Europe Japan U.S. EM

300 Change in international sector weightings

% point change from Dec. 31, 2005
250 15%
EM EAFE
10% 7%
6%
200 5%
5% 2% 1% 2%
1% 2% 1% 2%
150 0%
-1%
-5%
-4%
100
-10%
-11%
-15% -12%
50
Commod. Financials Indust. Other Tech Health Consumer
'14 '15 '16 '17 '18 '19 '20 '21
Care
Global Composite (manufacturing & services combined) Purchasing Managers’ Index, quarterly
2022
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 '22
Jun Jul

Global 53.5 -

Manufacturing 52.2 -

Services 53.9 -

DM 52.5 -

EM 55.2 -

U.S. 52.3 47.5

Japan 53.0 50.6

UK 53.7 52.8
Developed

Euro Area 52.0 49.4

Germany 51.3 48.0

France 52.5 50.6

Italy 51.3 -

Spain 53.6 -

China 55.3 -
Emerging

India 58.2 -

Brazil 59.4 -

Russia 50.4 -
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
May Jun

Global 7.0% -

DM 7.6% -
EM 6.2% 6.7%

U.S. 8.6% 9.1%

Canada 7.7% 8.1%
Japan 2.4% 2.3%
UK 9.1% 9.4%
Developed

Euro Area 8.1% 8.6%

Germany 8.7% 8.2%
France 5.8% 6.5%
Italy 7.3% 8.5%
Spain 8.5% 10.0%
Greece 10.5% 11.6%

China 2.1% 2.5%

Indonesia 3.6% 4.3%
Korea 5.4% 6.0%
Emerging

Taiwan 3.3% 3.6%

India 7.0% 7.0%
Brazil 11.7% 11.9%
Mexico 7.7% 8.0%
Russia 17.1% -
Greenhouse gas emissions targets Global energy mix
Billions of tons per year, CO2 equivalent % of primary energy consumption
18 60%
Current Path to net zero Net zero
policy
2050 forecast
forecast
16
50%
14
China

12 40%
Oil

10
30%
Coal
8
U.S. Gas

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

41% 41% 800

40%
40%

30% 30% 600

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% 3Q21 4Q21 1Q22 2Q22 22%
Investm ent 0.4% -0.5% 1.3% 0.8% 20%
10.6% Consum ption 0.7% 1.1% 3.3% 0.8% 18%
Net exports 3.8% 3.4% 0.2% 0.9% 16%
9.6% Total GDP 4.9% 4.0% 4.8% 2.5% 14%
9.7% 12%
10%
8.0% 10%
8.1% 8%
6.7% 3.9% 7.9% 7.8% 6.8%
7.4%
7.0% 6.9%
6.7% 1.1% 6%
5.1% '09 '11 '13 '15 '17 '19 '21
6.1%
3.3% 1.6% 3.1%
4.1% 3.3% 2.8%
2.6%
1.9% 4.8%
5% Fiscal stimulus: Fiscal deficit*
5.3% 1.3%
% GDP
6.3% 2.3%
4.9% 2.5% 0%
0%
4.2% 5.4% 5.0% 4.4% 4.6% 4.0% 4.4% 3.5%
3.9% 4.2% 3.3%
0.8% -2%
-2%
2.2%
0.8% -4%
-4%
0.2% 0.7% 0.6% 1.7% 0.9%
0.4% 0.5% 0.3% -6%
-6%
0% -0.6% -0.5% -0.5%
-4.0%-1.1% -0.2%-0.1% -0.9% 0.2%
-8%
-8%
-10%
-10%
-12%
-12%
-12%
-14%
-14%
-14%
-16%
-16%
-5% -18%
-18%
'10 '11
'10 '11 '12'12 '13'13'14'14'15 '15'16 '16
'17 '17
'18 '18
'19 '19
'20 '20 '22F
'21 '21F
MSCI Emerging Markets Index: Inclusion of China A-shares
EMEA
Latin EMEA 14%
15% Latin Latin
EMEA 12% America Taiwan
12% America America
11% 15% 8%
Taiwan
Taiwan 12% Asia ex-
15% Asia ex-China, Asia ex-China,
China, Korea
Korea & Taiwan Korea & Taiwan Korea
18% 17%
& Taiwan
Korea 13%
12%
17%
Korea Foreign
12% listed
A-shares Foreign H-
Foreign H-shares A-shares 3%
H-shares 2% listed
shares A-
listed 10% 9% 8% 4% P-chips
7% shares
8% P-chips 8% P-chips 15%
8% 5%
Red-chips Red-chips
4% 4% Red-
May 2019 November 2019 June 2022 chips
China: 32% China: 34% China: 32% 2%

Weight of China in bond universe and bond indices

100% 5% 6%
90%
29% 32% Other
80% 36% 38% 48% U.S.
70%
Europe,
60% Middle East &
29% 25%
50% Africa
25%
40% 30% Latin
3% 33% America
30% Asia ex-
1% 30% 36%
20% 18% China
18%
10% 14% China
14% 8% 10% 7%
0% 5%
Global bond universe Global aggregate Local EMD sovereigns USD EMD corporates USD EMD sovereigns
 U.S.
Large Corp. Hedge Private Ann.
Cap EAFE EME Bonds HY Munis Currcy. EMD Cmdty. REITs funds equity Gold Volatility

U.S. Large Cap 1.00 0.88 0.76 0.18 0.84 0.30 -0.40 0.66 0.43 0.75 0.82 0.76 0.08 0.15

EAFE 1.00 0.89 0.15 0.86 0.30 -0.54 0.72 0.48 0.60 0.86 0.81 0.16 0.15

EME 1.00 0.21 0.81 0.36 -0.67 0.78 0.49 0.48 0.77 0.75 0.36 0.18

Bonds 1.00 0.37 0.86 -0.25 0.65 -0.23 0.35 -0.10 -0.22 0.52 0.04

Corp. HY 1.00 0.45 -0.48 0.87 0.50 0.69 0.76 0.69 0.25 0.08

Munis 1.00 -0.27 0.73 -0.15 0.52 0.10 0.06 0.44 0.04

Currencies 1.00 -0.55 -0.44 -0.13 -0.31 -0.54 -0.54 0.06

EMD 1.00 0.28 0.59 0.53 0.51 0.48 0.08

Commodities 1.00 0.31 0.62 0.76 0.34 0.17

REITs 1.00 0.57 0.49 0.13 0.16

Hedge funds 1.00 0.84 0.03 0.05

Private equity 1.00 0.06 0.08

Gold 1.00 0.15

Alternative asset class yields Hedge fund returns in different market environments
15% Average return in up and down months for S&P 500
4% 3.3%
14% 13.6%

13%
2% 1.2%
12%
11% 0%
10% HFRI FW Comp.
9% -2% S&P 500 -1.5%

8% 7.70%
-4%
7% -4.2%
6%
-6%
4.7% S&P 500 up S&P 500 down
5% 4.2%
3.7% 3.8% Hedge fund returns in different market environments
4% Average return in up and down months for Bloomberg Agg.
3% 0.9%
1.0%
2% 0.6%
1% 0.5%

0%
0.0%
-0.1%
-0.5% HFRI FW Comp.
Bloomberg U.S. Agg.
-0.7%
-1.0%
Bloomberg Agg up Bloomberg Agg down
 Commodity prices Contribution to global production of commodities
Commodity price z-scores % of global production, latest
-4 -3-4-2 -3-1 -20 -11 02 13 24 5
3 64 75 6
Palladium 40%
Bloomberg
Bloomberg
$59.48$59.48 $152.01$152.01
Commodity Index Index
Commodity
$122.28$120.29 Natural gas 17%
Livestock $16.21$16.21
Livestock $41.63 $41.63 Russia
Fertlizer - potash 16%
$21.66 $22.91
Ukraine
SilverSilver $11.77$11.77 $35.10 $35.10 Platinum 12%
$19.87
$20.67

Agriculture
Agriculture $34.15$34.15 $97.40 $95.42 Crude oil 12%
$70.18$66.63
Nickel 9%
Industrial metalsmetals
Industrial $84.23$84.23 $239.05$239.05
$152.02
$160.72 Gold 9%
Gold Gold $1,049.60
$1,049.60 $2,069.40
$2,069.40
$1,750.30
$1,817.50 Wheat 9% 4%

CrudeCrude
oil oil $11.57$11.57 $123.70$123.70
Fertilizers - nitrogen 8% 0.9%
$96.42
$109.78

Natural gas gas

Natural $1.48 $1.48 $9.32 $9.32 Fertilizers - phosphate 8% 2%
$6.55 $8.99
Refined aluminum 6%

Coal 5% 0.3%
Example
Example Low level
Low level High level
High level
Maize 4% 10%
Current
Current
0% 10% 20% 30% 40%
U.S. real estate cap rate spreads U.S. vacancy rates by property type
Transaction based, spread to 10y UST, 4-quarter rolling average Percent
5% 18%
Apartment Office
Industrial Retail
16%

4% 14%

12%

3%
10%
Average: 2.9%

8%
2%
Mar. 2022:
2.8% 6%

4%
1%

2%

0% 0%
'98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
 2007 - 2021
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 YTD Ann. Vol.
EM Fixed EM Sm all Sm all EM Large Sm all Large
REITs REITs REITs REITs REITs Cash REITs Com dty. REITs
Equity Incom e Equity Cap Cap Equity Cap Cap Cap
39.8% 5.2% 79.0% 27.9% 8.3% 19.7% 38.8% 28.0% 2.8% 21.3% 37.8% 1.8% 31.5% 20.0% 41.3% 21.9% 10.6% 23.2%
High Sm all Fixed High Large Large Large High DM Fixed EM Large Sm all EM
Com dty. Cash REITs Cash
Yield Cap Incom e Yield Cap Cap Cap Yield Equity Incom e Equity Cap Cap Equity
16.2% 1.8% 59.4% 26.9% 7.8% 19.6% 32.4% 13.7% 1.4% 14.3% 25.6% 0.0% 28.7% 18.7% 28.7% 0.2% 8.7% 22.9%
DM Asset DM EM High EM DM Fixed Fixed Large Large Sm all Large Fixed Sm all
REITs Com dty. REITs
Equity Alloc. Equity Equity Yield Equity Equity Incom e Incom e Cap Cap Cap Cap Incom e Cap
11.6% -25.4% 32.5% 19.2% 3.1% 18.6% 23.3% 6.0% 0.5% 12.0% 21.8% -4.0% 25.5% 18.4% 27.1% -8.2% 7.5% 22.5%
Asset High Large DM Asset Asset Sm all High DM Asset Sm all Asset High
REITs Com dty. Cash Com dty. Com dty.
Alloc. Yield Cap Equity Alloc. Alloc. Cap Yield Equity Alloc. Cap Alloc. Yield
7.1% -26.9% 28.0% 16.8% 2.1% 17.9% 14.9% 5.2% 0.0% 11.8% 14.6% -4.1% 22.7% 10.6% 14.8% -10.6% 6.6% 19.1%
Fixed Sm all Sm all Large Sm all High Sm all DM EM Asset Large Asset DM Asset Asset DM
Cash REITs
Incom e Cap Cap Cap Cap Yield Cap Equity Equity Alloc. Cap Alloc. Equity Alloc. Alloc. Equity
7.0% -33.8% 27.2% 15.1% 0.1% 16.3% 7.3% 4.9% -0.4% 11.6% 14.6% -4.4% 19.5% 8.3% 13.5% -12.7% 6.1% 18.9%
Large Large High Asset Large Asset High Asset EM Fixed DM Large EM Large
Com dty. REITs Cash REITs
Cap Cap Yield Alloc. Cap Alloc. Yield Alloc. Equity Incom e Equity Cap Equity Cap
5.5% -35.6% 26.5% 14.8% -0.7% 16.0% 2.9% 0.0% -2.0% 8.6% 10.4% -5.8% 18.9% 7.5% 11.8% -13.8% 4.8% 16.9%
Large Asset Asset Sm all Asset High High Asset Sm all High High High High DM High
Cash Cash REITs
Cap Alloc. Alloc. Cap Alloc. Yield Yield Alloc. Cap Yield Yield Yield Yield Equity Yield
4.8% -37.0% 25.0% 13.3% -4.2% 12.2% 0.0% 0.0% -2.7% 8.3% 8.7% -11.0% 12.6% 7.0% 1.0% -14.3% 4.1% 12.2%
High DM DM Fixed Fixed EM Sm all Fixed Fixed Fixed Sm all Fixed Asset
REITs Com dty. Com dty. Cash Cash
Yield Equity Equity Incom e Incom e Equity Cap Incom e Incom e Incom e Cap Incom e Alloc.
3.2% -37.7% 18.9% 8.2% -11.7% 4.2% -2.0% -1.8% -4.4% 2.6% 3.5% -11.2% 8.7% 0.5% 0.0% -16.0% 4.1% 11.7%
Sm all DM Fixed Fixed EM DM EM DM DM Fixed DM Fixed
Com dty. Cash Com dty. Com dty. Com dty. Cash
Cap Equity Incom e Incom e Equity Equity Equity Equity Equity Incom e Equity Incom e
-1.6% -43.1% 5.9% 6.5% -13.3% 0.1% -2.3% -4.5% -14.6% 1.5% 1.7% -13.4% 7.7% -3.1% -1.5% -16.2% 0.8% 3.3%
EM EM EM EM EM
REITs Cash Cash Com dty. Com dty. Com dty. Com dty. Cash Cash Cash REITs Com dty. Cash
Equity Equity Equity Equity Equity
-15.7% -53.2% 0.1% 0.1% -18.2% -1.1% -9.5% -17.0% -24.7% 0.3% 0.8% -14.2% 2.2% -5.1% -2.2% -17.3% -2.6% 0.7%
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%
16% 16% 17%
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
Equities vs. 60/40 portfolio: Last 20 years’ daily market performance by decile
1.5% 1.20%
S&P 500
1.0% 0.72% 0.71%
60/40 portfolio*
0.43% 0.42%
0.5% 0.22% 0.14% 0.26%
0.05% 0.04%
0.0%
-0.16% -0.06% -0.03%
-0.5% -0.34% -0.26%

-0.67% -0.58%
-1.0%
-1.17%
-1.5%
10th 20th 30th 40th 50th 60th 70th 80th 90th

20-year annualized returns by asset class (2002 – 2021)

12% 11.2%
10.0%
10% 9.5% 9.4%
8.2%
8% 7.4%
6.8%
6.4%
6%
4.3% 4.2%
4% 3.6%
2.2% 1.8%
2% 1.2%

0%
REITs EM Equity S&P 500 Small Cap High Yield 60/40 DM Equity 40/60 Bonds Homes Average Inflation Commodity Cash
Investor
Average annualized return on 6-month CD vs. annualized CPI inflation and subcomponents
By decade, derived from subcomponents of the consumer price index
12%
6-mo. CD rate
Headline inflation

10.0% Education inflation

10%
9.6% Medical inflation

8.3% Housing inflation

8%
7.0%
6.7%

6% 5.8%
5.4%
5.5% 5.3% 5.0%

4.1% 4.2%
4% 3.6%
3.3%
3.0%
2.8% 2.9%
2.5%
2.9% 2.1%
2.6% 1.8%
2%
1.8%
0.5% 0.3%
0%
1980s 1990s 2000s 2010s 2020s so far*

Source: Bankrate.com, BLS, Federal Reserve System, FactSet, J.P. Morgan Asset Management.
6-month CD return is the average annualized return over the period. Headline CPI and subcomponents inflation is based on the annualized change
over the period. *2020s so far is based on annualized change in headline CPI from December 2019 through May 2022. Past performance is not
indicative of comparable future results.
 Equity market correlations and yields
Hedge adjusted yield, last 12 months, 10-year correlations, quarterly
9%
U.S. government
U.S. non-government
8%
Higher yielding International Direct lending Convertibles
sectors Alternatives
7%

EMD (LCL) EMD ($)

U.S. HY
Hedge adjusted yield

6%
Euro HY

5%
EM Corp.
APAC Real estate Infra.
4% U.S. Real estate
Europe Real estate Stronger correlation
to equities
3% U.S. corps

30y UST MBS

U.S. Aggregate Euro Corp.
2% 10y UST TIPS
5y UST UK Munis
2y UST Japan Germany
1%
Floating rate

0%
-0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0
Correlation to S&P 500
Percent of Republicans and Democrats who rate national economic conditions as excellent or good
Percent
100%
Avg. ann. return
Jan. ’01 – Jan. ’09 -4.5% Republican / Lean Republican
90% Jan. ’09 – Jan. ’17 16.3%
Jan. ’17 – Jan. '21 16.0% Total
80% Jan. '21 - today 5.3%
Democrat / Lean Democrat
Last 30 years 10.6%
Election Day Election Day Election Day
70%

60%

50%

40% 36%

28%
30%
20%
20%

10%

0%
'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
Asset allocation: Current portfolio positioning Biggest portfolio shifts
Average moderate (60/40) allocation as of June 2022 Largest % allocation changes by Morningstar category, last 3 months**

Other*: 2.0%
Interm. Core Bond 2.5%

Non-U.S.
Cash: 7.8%
Bond: 4.5%
Large Value 1.3%

Cash 0.9%

U.S. Equity:
46.6%

U.S. Bond: Interm. Core-Plus Bond -2.0%

25.2%

Foreign Large Blend -2.0%

Non-U.S.
Equity:
14.0%
Large Blend -2.7%

-3.5% -2.0% -0.5% 1.0% 2.5% 4.0%

Asset allocation: Corporate DB plans. endowments Corporate pension liabilities and 10-year UST yield
$2.4 0%
35.2%
Equities 1%
32.1% $2.0
Liabilities ($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%
12.3% Endowments
Private Equity $0.0 7%
4.3% Corporate DB plans '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Pension return assumptions
5.4% 9.5%
Real Estate S&P 500 companies
3.7% 9.0%
State & local governments
8.5%
15.7% 8.0%
Other Alternatives
3.3% 7.5%
7.0%
4.4% 6.5%
Cash
2.9% 6.0%
5.5%
0% 10% 20% 30% 40% 50% 60% 5.0%
'92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20

All indexes are unmanaged and an individual cannot invest directly in an index. Index returns do not
include fees or expenses.
Equities:
The Dow Jones Industrial Average is a price-weighted average of 30 actively traded blue-chip U.S. stocks.
The MSCI ACWI (All Country World Index) is a free float-adjusted market capitalization weighted index that is
designed to measure the equity market performance of developed and emerging markets.
The MSCI EAFE Index(Europe, Australasia, Far East)is a free float-adjusted market capitalization index that is
designed to measure the equity market performance of developed markets, excluding the US & Canada.
The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to
measure equity market performance in the global emerging markets.
The MSCI Europe Index is a free float-adjusted market capitalization index that is designed to measure
developed market equity performance in Europe.
The MSCI Pacific Index is a free float-adjusted market capitalization index that is designed to measure equity
market performance in the Pacific region.
The Russell 1000 Index® measures the performance of the 1,000 largest companies in the Russell 3000.
The Russell 1000 Growth Index® measures the performance of those Russell 1000 companies with higher
price-to-book ratios and higher forecasted growth values.
The Russell 1000 Value Index® measures the performance of those Russell 1000 companies with lower price-
to-book ratios and lower forecasted growth values.
The Russell 2000 Index® measures the performance of the 2,000 smallest companies in the Russell 3000
Index.
The Russell 2000 Growth Index® measures the performance of those Russell 2000 companies with higher
price-to-book ratios and higher forecasted growth values.
The Russell 2000 Value Index® measures the performance of those Russell 2000 companies with lower price-
to-book ratios and lower forecasted growth values.
The Russell 3000 Index® measures the performance of the 3,000 largest U.S. companies based on total market
capitalization.
The Russell Midcap Index® measures the performance of the 800 smallest companies in the Russell 1000
Index.
The Russell Midcap Growth Index ® measures the performance of those Russell Midcap companies with
higher price-to-book ratios and higher forecasted growth values. The stocks are also members of the Russell
1000 Growth index.
The Russell Midcap Value Index ® measures the performance of those Russell Midcap companies with lower
price-to-book ratios and lower forecasted growth values. The stocks are also members of the Russell 1000 Value
index.
The S&P 500 Index is widely regarded as the best single gauge of the U.S. equities market. The index includes
a representative sample of 500 leading companies in leading industries of the U.S. economy. The S&P 500
Index focuses on the large-cap segment of the market; however, since it includes a significant portion of the total
value of the market, it also represents the market.
Fixed income:
The Bloomberg 1-3 Month U.S. Treasury Bill Index includes all publicly issued zero-coupon US Treasury Bills that
have a remaining maturity of less than 3 months and more than 1 month, are rated investment grade, and have $250
million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be
fixed rate and non convertible.
The Bloomberg Global High Yield Index is a multi-currency flagship measure of the global high yield debt market.
The index represents the union of the US High Yield, the Pan-European High Yield, and Emerging Markets (EM) Hard
Currency High Yield Indices. The high yield and emerging markets sub-components are mutually exclusive. Until
January 1, 2011, the index also included CMBS high yield securities.
The Bloomberg Municipal Index: consists of a broad selection of investment-grade general obligation and revenue
bonds of maturities ranging from one year to 30 years. It is an unmanaged index representative of the tax-exempt
bond market.
The Bloomberg US Dollar Floating Rate Note (FRN) Index provides a measure of the U.S. dollar denominated
floating rate note market.
The Bloomberg US Corporate Investment Grade Index is an unmanaged index consisting of publicly issued US
Corporate and specified foreign debentures and secured notes that are rated investment grade (Baa3/BBB or higher)
by at least two ratings agencies, have at least one year to final maturity and have at least $250 million par amount
outstanding. To qualify, bonds must be SEC-registered.
The Bloomberg US High Yield Index covers the universe of fixed rate, non-investment grade debt. Eurobonds and
debt issues from countries designated as emerging markets (sovereign rating of Baa1/BBB+/BBB+ and below using
the middle of Moody’s, S&P, and Fitch) are excluded, but Canadian and global bonds (SEC registered) of issuers in
non-EMG countries are included.
The Bloomberg US Mortgage Backed Securities Index is an unmanaged index that measures the performance of
investment grade fixed-rate mortgage backed pass-through securities of GNMA, FNMA and FHLMC.
The Bloomberg US TIPS Index consists of Inflation-Protection securities issued by the U.S. Treasury.
The J.P. Morgan Emerging Market Bond Global Index(EMBI)includes U.S. dollar denominated Brady bonds,
Eurobonds, traded loans and local market debt instruments issued by sovereign and quasi-sovereign entities.
The J.P. Morgan Domestic High Yield Index is designed to mirror the investable universe of the U.S. dollar domestic
high yield corporate debt market.
The J.P. Morgan Corporate Emerging Markets Bond Index Broad Diversified (CEMBI Broad Diversified)is an
expansion of the J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI). The CEMBI is a market
capitalization weighted index consisting of U.S. dollar denominated emerging market corporate bonds.
The J.P. Morgan Emerging Markets Bond Index Global Diversified (EMBI Global Diversified) tracks total returns
for U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities:
Brady bonds, loans, Eurobonds. The index limits the exposure of some of the larger countries.
The J.P. Morgan GBI EM Global Diversified tracks the performance of local currency debt issued by emerging
market governments, whose debt is accessible by most of the international investor base.
The U.S. Treasury Index is a component of the U.S. Government index.
Other asset classes:
The Alerian MLP Index is a composite of the 50 most prominent energy Master Limited Partnerships (MLPs) that provides
investors with an unbiased, comprehensive benchmark for the asset class.
The Bloomberg Commodity Index and related sub-indices are composed of futures contracts on physical commodities and
represents twenty two separate commodities traded on U.S. exchanges, with the exception of aluminum, nickel, and zinc
The Cambridge Associates U.S. Global Buyout and Growth Index® is based on data compiled from 1,768 global (U.S. & ex
–U.S.) buyout and growth equity funds, including fully liquidated partnerships, formed between 1986 and 2013.
The CS/Tremont Hedge Fund Index is compiled by Credit Suisse Tremont Index, LLC. It is an asset-weighted hedge fund
index and includes only funds, as opposed to separate accounts. The Index uses the Credit Suisse/Tremont database, which
tracks over 4500 funds, and consists only of funds with a minimum of US$50 million under management, a 12-month track
record, and audited financial statements. It is calculated and rebalanced on a monthly basis, and shown net of all performance
fees and expenses. It is the exclusive property of Credit Suisse Tremont Index, LLC.
The HFRI Monthly Indices (HFRI) are equally weighted performance indexes, utilized by numerous hedge fund managers as a
benchmark for their own hedge funds. The HFRI are broken down into 4 main strategies, each with multiple sub strategies. All
single-manager HFRI Index constituents are included in the HFRI Fund Weighted Composite, which accounts for over 2200
funds listed on the internal HFR Database.
The NAREIT EQUITY REIT Index is designed to provide the most comprehensive assessment of overall industry performance,
and includes all tax-qualified real estate investment trusts (REITs) that are listed on the NYSE, the American Stock Exchange
or the NASDAQ National Market List.
The NFI-ODCE, short for NCREIF Fund Index -Open End Diversified Core Equity, is an index of investment returns reporting
on both a historical and current basis the results of 33 open-end commingled funds pursuing a core investment strategy, some
of which have performance histories dating back to the 1970s. The NFI-ODCE Index is capitalization-weighted and is reported
gross of fees. Measurement is time-weighted.
Definitions:
Investing in alternative assets involves higher risks than traditional investments and is suitable only for sophisticated investors.
Alternative investments involve greater risks than traditional investments and should not be deemed a complete investment
program. They are not tax efficient and an investor should consult with his/her tax advisor prior to investing. Alternative
investments have higher fees than traditional investments and they may also be highly leveraged and engage in speculative
investment techniques, which can magnify the potential for investment loss or gain. The value of the investment may fall as well
as rise and investors may get back less than they invested.
Bonds are subject to interest rate risks. Bond prices generally fall when interest rates rise.
Investments in commodities may have greater volatility than investments in traditional securities, particularly if the instruments
involve leverage. The value of commodity-linked derivative instruments may be affected by changes in overall market
movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such
as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory
developments. Use of leveraged commodity-linked derivatives creates an opportunity for increased return but, at the same
time, creates the possibility for greater loss.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic or
market conditions than other types of investments and could result in losses that significantly exceed the original investment.
The use of derivatives may not be successful, resulting in investment losses, and the cost of such strategies may reduce
investment returns.
Distressed Restructuring Strategies employ an investment process focused on corporate fixed income instruments, primarily
on corporate credit instruments of companies trading at significant discounts to their value at issuance or obliged (par value) at
maturity as a result of either formal bankruptcy proceeding or financial market perception of near term proceedings.
Investments in emerging markets can be more volatile. The normal risks of investing in foreign countries are heightened when
investing in emerging markets. In addition, the small size of securities markets and the low trading volume may lead to a lack of
liquidity, which leads to increased volatility. Also, emerging markets may not provide adequate legal protection for private or
foreign investment or private property.
The price of equity securities may rise, or fall because of changes in the broad market or changes in a company’s financial
condition, sometimes rapidly or unpredictably. These price movements may result from factors affecting individual companies,
sectors or industries, or the securities market as a whole, such as changes in economic or political conditions. Equity securities
are subject to “stock market risk” meaning that stock prices in general may decline over short or extended periods of time.
Equity market neutral strategies employ sophisticated quantitative techniques of analyzing price data to ascertain information
about future price movement and relationships between securities, select securities for purchase and sale. Equity Market
Neutral Strategies typically maintain characteristic net equity market exposure no greater than 10% long or short.
Global macro strategies trade a broad range of strategies in which the investment process is predicated on movements in
underlying economic variables and the impact these have on equity, fixed income, hard currency and commodity markets.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and
differences in accounting and taxation policies outside the U.S. can raise or lower returns. Some overseas markets may not be
as politically and economically stable as the United States and other nations.
There is no guarantee that the use of long and short positions will succeed in limiting an investor's exposure to domestic
stock market movements, capitalization, sector swings or other risk factors. Using long and short selling strategies may have
higher portfolio turnover rates. Short selling involves certain risks, including additional costs associated with covering short
positions and a possibility of unlimited loss on certain short sale positions.
Merger arbitrage strategies which employ an investment process primarily focused on opportunities in equity and equity
related instruments of companies which are currently engaged in a corporate transaction.
Mid-capitalization investing typically carries more risk than investing in well-established "blue-chip" companies. Historically,
mid-cap companies' stock has experienced a greater degree of market volatility than the average stock.
Price to forward earnings is a measure of the price-to-earnings ratio (P/E) using forecasted earnings. Price to book value
compares a stock's market value to its book value. Price to cash flow is a measure of the market's expectations of a firm's
future financial health. Price to dividends is the ratio of the price of a share on a stock exchange to the dividends per share
paid in the previous year, used as a measure of a company's potential as an investment.
Real estate investments may be subject to a higher degree of market risk because of concentration in a specific industry, sector
or geographical sector. Real estate investments may be subject to risks including, but not limited to, declines in the value of real
estate, risks related to general and economic conditions, changes in the value of the underlying property owned by the trust and
defaults by borrower.
Relative Value Strategies maintain positions in which the investment thesis is predicated on realization of a valuation
discrepancy in the relationship between multiple securities.
Small-capitalization investing typically carries more risk than investing in well-established "blue-chip" companies since smaller
companies generally have a higher risk of failure. Historically, smaller companies' stock has experienced a greater degree of
market volatility than the average stock.
The Market Insights program provides comprehensive data and commentary on global markets without reference to products. Designed as a tool to help clients understand the markets and support investment
decision-making, the program explores the implications of current economic data and changing market conditions.
For the purposes of MiFID II, the JPM Market Insights and Portfolio Insights programs are marketing communications and are not in scope for any MiFID II / MiFIR requirements specifically related to investment research.
Furthermore, the J.P. Morgan Asset Management Market Insights and Portfolio Insights programs, as non-independent research, have not been prepared in accordance with legal requirements designed to promote the
independence of investment research, nor are they subject to any prohibition on dealing ahead of the dissemination of investment research.

This document is a general communication being provided for informational purposes only. It is educational in nature and not designed to be taken as advice or a recommendation for any specific investment product, strategy, plan
feature or other purpose in any jurisdiction, nor is it a commitment from J.P. Morgan Asset Management or any of its subsidiaries to participate in any of the transactions mentioned herein. Any examples used are generic,
hypothetical and for illustration purposes only. This material does not contain sufficient information to support an investment decision and it should not be relied upon by you in evaluating the merits of investing in any securities or
products. In addition, users should make an independent assessment of the legal, regulatory, tax, credit, and accounting implications and determine, together with their own financial professional, if any investment mentioned herein
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 July 28, 2022 or most recently available.
Guide to the Markets – U.S.
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