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

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

Meera Pandit, CFA 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 Jai Malhi, CFA Elena Domecq Sahil Gauba Agnes Lin
New York New York London Madrid Mumbai Taipei

Max McKechnie Lucia Gutierrez Mellado Clara Cheong Kerry Craig, CFA
London Madrid Singapore Melbourne
S&P 500 Price Index
4,800
Dec. 31, 2021
Characteristic 3/24/2000 10/9/2007 2/19/2020 12/31/2021 P/E (fwd.) = 21.2x
4,500 4,766
Index Level 1,527 1,565 3,386 4,766
4,200
P/E Ratio (fwd.) 25.2x 15.1x 19.2x 21.2x
+113%
3,900 Dividend Yield 1.4% 1.9% 1.9% 1.4%
10-yr. Treasury 6.2% 4.7% 1.6% 1.5% Feb. 19, 2020
3,600
P/E (fwd.) = 19.2x
3,386
3,300

3,000

2,700

-34%
2,400
+401%
2,100 Mar. 23, 2020
Mar. 24, 2000 Oct. 9, 2007 P/E (fwd.) = 13.3x
1,800 P/E (fwd.) = 25.2x P/E (fwd.) = 15.1x 2,237
1,527 1,565
1,500
Oct. 9, 2002
+106% P/E (fwd.) = 14.1x
1,200 777
-49% -57%
Dec. 31, 1996
+101% Mar. 9, 2009
900
P/E (fwd.) = 15.9x P/E (fwd.) = 10.4x
741 677
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 21.18x 16.83x 1.30
CAPE Shiller's P/E 40.9 27.86 2.05
Div. Yield Dividend yield 1.35% 2.00% 1.97
24x Dec. 31, 2021:
P/B Price to book 4.41 3.08 1.66
P/CF Price to cash flow 16.17 11.11 2.30
21.18x
22x EY Spread EY minus Baa yield 1.35% 0.16% -0.60

+1 Std. dev.: 20.17x

20x

18x
25-year average: 16.83x

16x

-1 Std. dev.: 13.48x

14x

12x

10x

8x
'96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
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%
Dec. 31, 2021: 21.2x

40% 40%

Dec. 31, 2021: 21.2x

20% 20%

0% 0%

-20% -20%

-40% -40%

R² = 3% R² = 39%
-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
$275 145

$250 Share of return 2021

Earnings growth 34.5%
135 Multiple growth -7.6%
$225
Consensus analyst estimates S&P 500 price return 26.9%

$200 Earnings recessions

125
$175

$150
115
$125

$100
105

$75

$50 95

$25

$0 85
'88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21 Dec '20 Feb '21 Apr '21 Jun '21 Aug '21 Oct '21 Dec '21
S&P 500 year-over-year operating EPS growth
Annual growth broken into revenue, changes in profit margin & changes in share count

100%
2021*
Share of EPS growth 2021* Avg. '01-20
Margin 55.3% 2.8%
80%
Revenue 16.9% 3.0% 72%
Share count -0.6% 0.3%
60% Total EPS 71.7% 6.0%
47%

40%

24% 22%
19% 19% 17%
20% 13% 15% 15% 15%
11%
5% 6% 4%
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
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%
Profit margin Labor share
3Q21: 13.2%

12% 10% 58%

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

1.20 Comm. Svcs* 0.45

Recession

Growth cheap/Value Health Care 0.34

expensive
1.00
Materials 0.33

Energy 0.30
0.80
Growth
Financials** 0.30 Value
Long-term avg.*:0.72
0.60
Info. Tech. 0.30
Value cheap/Growth
expensive Dec. 31, 2021: Real Estate 0.28
0.52
0.40
Forward PE Div. yield** Cons. Disc. 0.09
Long- Long-
Style Current Current
term avg.* term avg.*
0.20 Value 15.77x 14.09x 2.00% 2.60% Cons. Staples 0.09
Growth 30.61x 20.63x 0.71% 1.33%

Utilities 0.01
0.00
'97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
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%
Dec. 31, 2021:
Current Average % of avg. 30.5%
32%
Top 10 33.2x 19.8x 168%
40x
Remaining stocks 19.7x 15.7x 126% 28%
S&P 500 21.2x 16.4x 129%
24%
35x
20%

16%
30x

12%
'96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
25x Earnings contribution of the top 10 in the S&P 500
Based on last 12 months’ earnings

36%
20x
32%

28% Dec. 31, 2021:

15x
25.8%
24%

10x 20%

16%

5x 12%
'96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
Valuation dispersion between the 20th and 80th percentile of S&P 500 stocks
35
25-yr. average Current
Median S&P 500 P/Es 16.0 20.3
Valuation spread 11.3 21.7

30

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 2021 Current P/E vs. 20-year avg. P/E

Value Blend Growth Value Blend Growth Value Blend Growth

15.8 21.2 30.6
Large

Large

Large
13.0% 16.6% 19.8% 25.2% 28.7% 27.6%
13.7 15.5 18.5

15.7 19.4 33.7

Mid

Mid

Mid
13.4% 14.9% 16.6% 28.3% 22.6% 12.7%
14.5 16.4 20.4
Small

Small

Small
15.9 23.4 43.3
12.0% 13.2% 14.1% 28.3% 14.8% 2.8%
17.0 21.4 35.5

Since market peak (February 2020) Since market low (March 2020)
Value Blend Growth Value Blend Growth Value Blend Growth
Large

Large

Large
27.1% 45.0% 61.7% 105.5% 119.0% 136.0% 115.0% 135.3% 165.1%
Mid

Mid

Mid
32.4% 38.3% 42.9% 134.1% 131.5% 122.2% 108.2% 118.2% 165.1%
Small

Small

Small
37.1% 35.6% 31.7% 141.1% 128.5% 114.1% 93.5% 109.1% 121.9%
 Cons. Comm. Real Health Cons. S&P 500
Energy Materials Financials Industrials Disc. Tech. Services* Estate Care Staples Utilities Index
S&P weight 2.7% 2.6% 10.7% 7.8% 12.5% 29.2% 10.2% 2.8% 13.3% 5.9% 2.5% 100.0%

Weight
Russell Growth weight 0.3% 1.0% 2.4% 5.8% 18.4% 46.1% 11.6% 1.8% 8.7% 4.0% 0.0% 100.0%
Russell Value weight 5.1% 3.8% 20.7% 11.5% 5.7% 10.2% 7.3% 5.1% 18.0% 7.4% 5.1% 100.0%
Russell 2000 weight 4.4% 3.8% 16.0% 15.2% 11.3% 14.5% 3.1% 7.4% 18.1% 3.4% 2.7% 100.0%
4Q21 8.0 15.2 4.6 8.6 12.8 16.7 0.0 16.8 11.2 13.3 12.9 11.0

Return %)
2021 54.6 27.3 35.0 21.1 24.4 34.5 21.6 42.5 26.1 18.6 17.7 28.7
Since market peak
12.6 56.0 31.3 30.3 55.9 72.7 41.1 27.0 40.1 28.1 8.9 45.0
(February 2020)
Since market low
155.5 144.1 130.0 123.4 128.3 150.9 97.6 104.7 94.4 68.6 69.2 119.0
(March 2020)
Beta to S&P 500 1.5 1.1 1.2 1.1 1.1 1.1 0.9* 0.7 0.8 0.7 0.4 1.0

β
Correl. To Treas. Yields 0.6 0.4 0.6 0.5 0.3 0.1 0.3* 0.3 0.1 0.2 0.2 0.4

% 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 26.8% 4.0% -9.0% 35.8% 29.9% 9.9% 6.6% 6.9% 6.8% 6.2% 1.5% 8.5%

EPS
20-yr. avg. 84.4% 18.7% 21.7% 13.4% 16.7% 14.4% 10.6%* 6.4% 9.0% 8.1% 4.1% 11.6%
Forward P/E ratio 11.0x 17.0x 14.9x 20.7x 31.4x 28.2x 20.6x 24.5x 17.4x 21.9x 11.8x 21.2x

P/E
20-yr. avg. 14.2x 14.8x 12.4x 16.2x 18.9x 18.5x 19.7x* 16.2x 15.3x 17.1x 14.9x 15.5x
Buyback yield 0.4% 1.4% 2.7% 1.4% 0.7% 2.0% 2.4% -1.2% 1.2% 1.3% -1.1% 1.6%

Bbk
20-yr. avg. 1.5% 0.7% 0.1% 2.1% 2.3% 2.8% 1.2% -1.1% 1.9% 1.8% -1.0% 1.6%
Dividend yield 4.1% 1.8% 1.9% 1.5% 0.6% 0.8% 0.8% 2.4% 1.5% 2.5% 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% 4.0% 2.1%
 2007 - 2021
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 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 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% 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 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% 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 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% 11.2% 19.9%
Multi- Sm all Multi- Multi- Multi-
Quality Cyclical Quality Cyclical Cyclical Cyclical Value Defens. Min. Vol. Quality 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% 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.
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% 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. 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% 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. 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% 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. 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% 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. 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% 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%
26% 27%
23%
20% 20% 19%
20% 17% 16%
15% 15% 14%
12% 13% 13%
11%
9% 10%
10% 7%
4% 4%
2% 3%
1%
0%
0%
-2% -1%
-3% -3%
-10% -7% -7%-6%-6%-5% -6% -6%
-7%
-5%
-10%
-8% -8%-8%
-9%
-8% -8%-7%-8% -7%
-9% -10% -10% -10% -11%
-11%
-13% -12% -13% -12%
-14%
-20% -17% -17% -17% -16%
-18% -19% -19%
-20% -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
1

0.8 1965 - January 2009

Stocks and rates move together until yields rise to
4.5% and then move in opposite directions
0.6
February 2009 - present
Stocks and rates move together until yields rise to
0.4 3.6% and then move in opposite directions
Rolling 2yr correlation

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 3Q21 nominal GDP, USD trillions
$21,000 $26

GDP (%) 4Q20 1Q21 2Q21 3Q21 4.7% Housing

$20,000
Q/Q saar 4.5 6.3 6.7 2.3 $22
13.0% Investment ex-housing
Y/Y -2.3 0.5 12.2 4.9
$19,000

$18 17.6% Gov't spending

$18,000
Trend growth:
2.0%
$17,000 $14

$16,000
$10

$15,000 68.8% Consumption

$6
$14,000

$13,000 $2

$12,000 -4.1% Net exports

-$2
'01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Change in confirmed cases and fatalities in the U.S. Progress toward immunity
7-day moving average Percentage of population, end of month
450,000 7,200 100%

Confirmed cases Fatalities

400,000 6,400 90%
Vaccinated only*

80% Est. Infected & vaccinated***

350,000 5,600
Est. Infected only**
70%
300,000 4,800
60%
250,000 4,000
50%

200,000 3,200
40%

150,000 2,400
30%

100,000 1,600 20%

50,000 800 10%

0%
0 0
Feb '20 May '20 Aug '20 Nov '20 Feb '21 May '21 Aug '21 Nov '21
Feb '20 Jun '20 Oct '20 Feb '21 Jun '21 Oct '21
High-frequency data
Year-over-year % change; Year-over-2 year after 3/15/21*
100%
Min. Current
Consumer debit/credit transactions -34% 13%
80%
Hotel occupancy -69% -9%
U.S. seated diners -100% -24%
60% TSA traveler traffic -96% -17%

y/2y
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
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% 5.0%
Census
Native born Immigrant forecast Growth in workers
1.5%
1.2% 4.5% 4.3% + Growth in real output per worker
1.2% 1.1% 1.1%
Growth in real GDP
0.9% 0.3% 0.6%
0.5% 4.0%
0.6% 3.6%
0.4%
0.8% 0.7% 0.2% 0.2% 3.5% 3.3%
0.3% 0.6% 3.2%
0.3% 3.1%
0.17%
0.0% 0.03% 3.0%
'80-'89 '90-'99 '00-'09 '10-'19 '20-'29
1.8%
Growth in private non-residential capital stock 2.5%
Non-residential fixed assets, year-over-year % change 1.0% 1.5%
6% 2.0% 1.8% 1.7%
5% 0.1%
1.8%
2020: 1.6% 1.5%
4%
0.7%
3% 1.0% 2.4%

2%
0.5%
1%
2.1% 2.5% 0.9% 1.4% 2.1% 1.6% 1.0%
0% 0.0%
'55 '60 '65 '70 '75 '80 '85 '90 '95 '00 '05 '10 '15 '20 '51-'60 '61-'70 '71-'80 '81-'90 '91-'00 '01-'10 '11-'20
The 2022 federal budget Federal budget surplus/deficit
CBO Baseline forecast, USD trillions % of GDP, 1990 – 2031, CBO Baseline Forecast
2021: Forecast
$6.0 -18%
-12.4%
Total spending: $5.5tn
-14%

$5.0 Other: $967bn (17%) Borrowing: $1,153bn (21%) 2022: 2031:

-10%
-4.7% -5.5%
Net int.: $306bn (6%)
Other: $355bn (6%) -6%
$4.0 Non-defense
disc.: $866bn
(16%) Social -2%
insurance:
Defense: $1,391bn (25%) 2%
$3.0 $749bn (14%)
Corporate: $317bn (6%) '90 '95 '00 '05 '10 '15 '20 '25 '30
Social Security:
$2.0 $1,199bn (22%)
Federal net debt (accumulated deficits)
% of GDP, 1940 – 2031, CBO Baseline Forecast, end of fiscal year
Income: Forecast
$2,328bn (42%) 120%
$1.0 Medicare & 2021:
Medicaid: 99.6%
$1,457bnspending
Total government (26%) Sources of financing 100%
2031:
$0.0 106.4%
Total government spending Sources of financing 80%

CBO's Baseline economic assumptions 60%

2022 '23-'24 '25-'26 '27-'31
Real GDP growth 6.1% 1.6% 1.3% 1.6% 40%
10-year Treasury 1.9% 2.1% 2.6% 3.2%
Headline inflation (CPI) 2.7% 2.3% 2.4% 2.4% 20%
Unemployment 4.1% 3.8% 4.2% 4.4% '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:
11% 10.6%
$140 Homes: 25% 4Q21**:
9.0%
10%

$120 9%
Other tangible: 5%
8%
Deposits: 9%
'80 '85 '90 '95 '00 '05 '10 '15 '20
$100

Pension funds: 19%

Household net worth
$80 Not seasonally adjusted, USD billions
Other non-revolving: 2% 4Q21**:
Revolving*: 5% $160,000
$150,788
$60 Auto loans: 7% $140,000
Other liabilities: 10% $120,000
Student debt: 10% 3Q07: $70,726
$40 $100,000
Other financial assets: 42%
$80,000
Total liabilities: $18.0tn $60,000
$20
$40,000
Mortgages: 65%
$0 $20,000
Assets Liabilities '90 '92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
Top 10% share of pre-tax national income Ratio of U.S. financial assets to GDP
55%
Income share: 6.0x
50.5% 4Q21:
50% 5.6x*

5.5x
45%

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
Oct. 2021: 4,157
11,000 4,000
Oct. 2021: 11,033
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
4,000
13,000
5,000
3,500
4,000
3,000

3,000 2,500

2,000
2,000
1,500
Oct. 2021: 1,361
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: 14.8%
Unemployment rate 6.3%
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%
6%
Nov. 2021:
5.9%
4%

2%
Nov. 2021: 4.2%
0%
'70 '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
CPI and core CPI
% change vs. prior year, seasonally adjusted
15%
50-yr. avg. Oct. 2021 Nov. 2021
Recession Headline CPI 3.9% 6.2% 6.9%
Core CPI 3.8% 4.6% 5.0%
12% Food CPI 4.0% 5.3% 6.1%
Energy CPI 4.7% 30.0% 33.5%
Headline PCE deflator 3.4% 5.1% 5.7%
9% Core PCE deflator 3.3% 4.2% 4.7%

6%

3%

0%

-3%
'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
The U.S. dollar The U.S. trade balance
U.S. Dollar Index Current account balance, % of GDP
130 -7%
-6%
-5%
120 3Q21: -3.7%
-4%
-3%
110 -2%
-1%
Dec. 31, 2021:
96.0 0%
100 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20

Developed markets interest rate differentials

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

80 2%

1%
70
Dec. 31, 2021: 1.3%
0%

60 -1%
'96 '99 '02 '05 '08 '11 '14 '17 '20 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
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 2018 2019 2020 2021* 2022* Growth since '18 $160
Jul. 3, 2008:
U.S. 17.9 19.5 18.6 18.8 20.1 12.4% $145.29
OPEC 36.7 34.7 30.7 31.6 33.9 -7.7%
$140
Russia 11.4 11.5 10.5 10.8 11.6 1.7%
Global 100.4 100.4 93.8 95.6 100.9 0.5%
Consumption
$120 Jun. 13, 2014:
U.S. 20.5 20.5 18.2 19.8 20.5 -0.2%
$106.91
China 13.6 14.0 14.4 15.3 15.9 16.7%
Global 99.7 100.3 91.8 96.9 100.5 0.8%
$100 Dec. 31,
Inventory Change 0.7 0.1 2.0 -1.3 0.5 2021:
$75.21
Oct. 3, 2018:
$76.41
U.S. crude oil inventories and rig count** $80
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

Inventories (incl. SPR) Active rigs Apr. 21, 2020: $11.57

900 0 $0
'13 '14 '15 '16 '17 '18 '19 '20 '21 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Global investment in energy transition Cost of wind, solar, natural gas, nuclear and coal
Billions USD, nominal Mean LCOE*, 2021, dollar per megawatt hour
$600 $400
Wind Solar Natural gas Coal Nuclear
Storage, electrification, carbon capture, other
$300
Renewable energy
$500 $200

$100
$400
$0
'09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21

$300
Global solar and wind power capacity additions
350 70%
Solar Wind Share of capacity additions

Share of capacity additions

300 60%
$200

Capacity (gigaw atts)

250 50%

200 40%

$100 150 30%

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%

Federal funds rate FOMC December 2021 forecasts

FOMC year-end estimates Percent
6%
Market expectations as of Dec. 31, 2021 Long
2021 2022 2023 2024
run*
FOMC long-run projection*
Change in real GDP, 4Q to 4Q 5.5 4.0 2.2 2.0 1.8
5% Unemployment rate, 4Q 4.3 3.5 3.5 3.5 4.0
Headline PCE inflation, 4Q to 4Q 5.3 2.6 2.3 2.1 2.0

4%

3%
2.50%

2.10%
2%
1.60%

0.90% 1.37% 1.36%

1%
0.98%
0.13%

0%
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22 '24 Long run
The Federal Reserve balance sheet
Forecast*
USD trillions
$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
QE3 9/13/2012 10/29/2014 25 $822 $874 $0 $1,674
$7
QE4*** 3/23/2020 Ongoing 21 $3,178 $1,244 $75 $4,599 Loans

$6

$5

Other
$4

MBS
$3

$2

$1 Treasuries

$0
'03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
Nominal and real U.S. 10-year Treasury yields
20%

Sep. 30, 1981:

15.84%
Average
(1958 - YTD 2021) Dec. 31, 2021
15% Nominal yields 5.82% 1.51%
Real yields 2.20% -3.45%
Inflation 3.62% 4.96%

10%
Nominal 10-year U.S. Treasury yield

5% Dec. 31, 2021:

1.51%

Real 10-year U.S. Treasury yield

0%

Dec. 31, 2021:

-3.45%
-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 in interest rates
2021 Avg. Correlation Correlation Assumes a parallel shift in the yield curve
U.S. Treasuries 12/31/2021 12/31/2020
YTD Maturity to 10-year to S&P 500
2Y UST -1.2%
-2.0%
2-Year 0.73% 0.13% -0.57% 2 years 0.67 -0.41
5Y UST -3.5%
-4.7%
5-Year 1.26% 0.36% -2.80% 5 0.92 -0.36
TIPS -2.8%
TIPS -1.04% -1.06% 5.96% 10 0.57 0.20 -4.1%

10Y UST -7.3%

10-Year 1.52% 0.93% -3.60% 10 1.00 -0.33 -8.8%

30Y UST -18.0%

30-Year 1.90% 1.65% -4.62% 30 0.93 -0.31 -19.8%

IG Corps -6.4%
Sector -8.7%

U.S. Aggregate -5.0%

-6.8%
IG Corps 2.33% 1.74% -1.04% 12.3 0.42 0.38
Convertibles 2.1%
U.S. Aggregate 1.75% 1.12% -1.54% 8.7 0.85 0.02 -1.6%

U.S. HY 0.4%
Convertibles 3.66% 4.91% 4.49% - -0.29 0.87 -3.8%

Municipals -3.9%
U.S. HY 4.21% 4.18% 5.28% 6.5 -0.25 0.72 -5.1%

MBS -2.8%
Municipals 1.11% 1.07% 1.52% 13.1 0.37 0.09 -4.8%
Total return -1.2%
MBS 1.98% 1.25% -1.04% 6.1 0.81 -0.16 ABS
-2.3%
Price return
ABS 1.96% 2.87% 1.11% 2.4 -0.04 0.10 Floating Rate 0.4%
-0.1%
Floating Rate 0.48% 0.54% 0.52% 2.0 -0.22 0.44 -24% -19% -14% -9% -4% 1% 6%
U.S. Treasury yield curve
6.0%

Yield range over past 10 years

5.0%

3.96%
4.0% 3.72%
Dec. 31, 2013

3.04%
3.0%
2.45%

1.94% 1.90%
2.0% 1.75% Dec. 31, 2021
1.44% 1.52%
1.26% 1.19%
0.97% 0.96%
1.0% 0.73% Aug. 4, 2020
0.39% 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%

Long-run avg. Dec. 31, 2021

16%
Default rate 3.66% 0.38%
Spread-to-worst 5.72% 4.29%
Recovery rate 39.60% 44.90%

12%

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

15-year range 15-year median Current

1,000 2,000

800 1,600

600 1,200
480
404
367
400 446 800
321

332 502 483

176
200 272 400
138 101
64
69 346
42 321
96
0 0
Municipals IG corps MBS ABS EMD ($) EMD (LCL) EM Corp U.S. HY Leveraged
Loans
U.S. debt to GDP ratios Baa corporate debt*
Percentage of nominal GDP Percentage of Baa-rated investment-grade corporate debt outstanding
140% 60%

50%

% of 2Q21 GDP Dec. 2021:

120% 40%
50.4%
Government 124.9%
30%
Household 79.0%
Non-financial corporate 82.3% 20%
100%
10%

0%
80% '89 '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21

Duration of investment-grade corporate credit universe

60% Years
10
Dec. 2021:
8.7 years
9
40%
8

Recession 7 Average: 6.3 years

20% 6

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

$4,000 Total
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
 Yield 2021 Return Global bond market
Correlation USD trillions
Aggregates 12/31/2021 12/31/2020 Local USD Duration
to 10-year $140

U.S. 1.75% 1.12% -1.54% -1.54% 6.8 years 0.89 $130

12/31/1989 6/30/2021
Gbl. ex-U.S. 1.07% 0.68% - -6.41% 8.00 0.37 $120
U.S. 57.6% 35.4%
$110 Dev. ex-U.S. 41.3% 39.8%
Japan 0.18% 0.11% 0.14% -10.22% 9.60 0.53
EM 1.2% 24.8%
$100
Germany 0.05% -0.28% -1.64% -8.59% 7.30 0.17
$90
UK 1.18% 0.60% -4.54% -5.41% 11.00 0.26 EM: $34tn
$80
Italy 0.76% 0.32% -2.55% -9.42% 7.30 0.01
$70
Spain 0.32% 0.00% -2.39% -9.27% 7.50 0.02
$60
Developed
Sector $50 ex-U.S.: $54tn

Euro Corp. 0.52% 0.24% -0.97% -7.95% 5.2 years 0.17 $40

Euro HY 3.55% 3.40% 4.21% -3.15% 3.90 -0.22 $30

$20
EMD ($) 5.27% 4.91% - -1.80% 7.60 -0.07
U.S.: $48tn
$10
EMD (LCL) 5.72% 5.22% -2.92% -8.75% 5.20 -0.08
$0
EM Corp. 4.11% 4.51% - 0.91% 5.90 -0.07 '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
EMBIG index
Weighted yield-to-worst
9
BBB+
45% Investment-grade rating
10
BBB-
EMD index yield contribution BB+
11
40%
EMD index weight BB12
BB-
13
35%
+
B14
High yield rating
Dec. 2021: B15
30%
28.7% B-16
'95 '98 '01 '04 '07 '10 '13 '16 '19
25%

Emerging and developed markets duration

20% Current modified duration
Dec. 2021: 12
13.7% 10.1
15% 10 8.6
8.2
7.2 7.6
8 6.7 6.9
6.5
10% 6 5.1

4
5% 2

0
EMD EM IG Europe IG U.S. U.K. IG EMD ($) Germany U.S. IG Japan
0% (LCL) corp. corp. Treasury corp. 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 Ann. Vol.
High High High High
EMD LCL. Treas. EMD LCL. TIPS EMD USD Muni Muni EMD LCL. ABS EMD USD TIPS TIPS 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% 7.4% 11.8%
High High High
TIPS MBS EMD USD Muni EMD LCL. ABS Corp. MBS EMD USD EMD USD Muni Corp. Corp. 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% 6.1% 11.2%
Barclays 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 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% 5.5% 8.7%
Barclays Asset Barclays
EMD LCL. Corp. Corp. Corp. Corp. MBS Treas. Corp. Corp. Treas. EMD LCL. ABS 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% 5.5% 6.1%
Asset Barclays Asset Asset Barclays Barclays Asset Barclays Asset High Asset
MBS TIPS Corp. Muni 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% 4.3% 5.0%
Asset Asset Barclays Asset Barclays Asset Asset Asset Barclays Asset
Muni TIPS ABS TIPS Corp. 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% 4.2% 4.8%
Asset Barclays Barclays Barclays
EMD USD Corp. Muni TIPS EMD USD Muni Muni Treas. TIPS TIPS EMD USD MBS ABS
Alloc. Agg Agg 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% 3.9% 4.2%
Barclays High Barclays Asset
Corp. EMD LCL. TIPS Treas. MBS Treas. TIPS Corp. ABS TIPS Muni Muni MBS
Agg Yield 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% 3.5% 3.8%
Barclays High
Muni EMD USD ABS ABS ABS EMD USD TIPS MBS ABS Corp. Treas. MBS EMD USD 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% 3.3% 3.7%
High High Barclays
ABS ABS MBS MBS MBS TIPS ABS Treas. MBS EMD USD MBS ABS Treas. ABS
Yield Yield Agg
2.2% -12.7% 5.9% 5.4% 5.0% 2.6% -8.6% 1.7% -4.5% 1.0% 2.5% -4.3% 6.4% 3.4% -2.3% 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 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% 2.5% 2.5%
 Weights in MSCI All Country World Index
Returns 2021 2020 15-years
% global market capitalization, float adjusted
Local USD Local USD Ann. Beta
Emerging Europe ex-
Regions markets UK
11% 13%
U.S. (S&P 500) - 28.7 - 18.4 10.7 0.90
Japan 6%
AC World ex-U.S. 13.5 8.3 6.5 11.1 4.2 1.07 Pacific 3%

Canada 3%
EAFE 19.2 11.8 1.3 8.3 4.1 1.04
United States
Europe ex-UK 24.4 16.5 2.1 11.6 4.8 1.18 61%

Emerging markets 0.1 -2.2 19.5 18.7 4.8 1.18

Selected Countries
Representation of cyclical and technology sectors
United Kingdom 19.6 18.5 -13.2 -10.4 2.3 1.02 % of index market capitalization

France 29.7 20.6 -3.9 4.7 4.7 1.22 100%

Cyclical sectors* Technology
77%
Germany 13.9 5.9 3.0 12.3 4.7 1.31 80%
66%
56% 59%
Japan 13.8 2.0 9.2 14.9 3.4 0.72 60% 54% 54%
46%
42%
China -21.6 -21.6 28.3 29.7 5.8 1.10 40% 32% 33%
29%
23%
India 28.9 26.7 18.6 15.9 6.7 1.26 20% 14% 16% 14%
8%
Brazil -11.2 -17.2 4.8 -18.9 0.9 1.50 1% 0%
0%
S&P 500 ACWI EM EM Europe Japan EM EM EM
Russia 21.6 20.0 3.4 -11.6 0.9 1.49 ex-U.S. North South LATAM EMEA
Asia Asia
U.S. dollar and international GDP growth Currency impact on international returns
Real GDP growth: U.S.-intl. (5-year moving avg.); USD: 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% 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%

-1%
75

-2%
70 -40%
Local currency return
-3% 65 -45.2%
Currency return

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) Regime change determined when there is sustained outperformance
350%
of one region over the other for a cumulative 12 months.
U.S. outperformance

EAFE outperformance
300%
275%
(14.1 years)
250%
220%
(6.2 years)
200%

150%
99%
80% 89% (4.2 years)
100% (2.0 years)
(2.5 years)
36% 64%
(1.4 years) (7.3 years)
28% 51%
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% S&P 500 15.5x 21.2x 1.8%
ACWI ex-U.S. 13.3x 14.3x Dec. 31, 2021:
1.6%
0%
1.6%
+1 Std. dev.: -5.9%
-5% +1 Std. dev.: 1.4%
1.4%

-10%
Average: -13.2% Average: 1.1%
1.2%
-15%
1.0%
-1 Std. dev.: -20.4%
-20%
-1 Std. dev.: 0.9%
0.8%
-25%
-2 Std. dev.:-27.7%

0.6%
-30%
Dec. 31, 2021:
-3 Std. dev.:-35.0% -32.7%
-35% 0.4%

-40% 0.2%
'01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Global earnings growth Global valuations
Calendar year consensus estimates Current and 25-year next 12 months price-to-earnings ratio
60% 49x
37x
60%
55% 56%
54%
50%
50%
46% 33x
Current

40% 38% 25-year range

35%
32% 29x
25-year average
30%

25x
20% 20%
16% 21.2x
14%

10% 8% 21x 19.7x

6% 7%
4%

0%
17x 15.6x
14.7x
-3% 16.8x
-10%
14.8x 12.2x 12.3x
13x
-13%
-20%
11.8x 11.7x
2020 2021 -26% 9x
-30%
-29%
2022 % 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
80%
350
66%
EM Asia tech European luxury goods 60%
60% 52%
U.S. growth AC World ex-U.S.
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% 6%
5% 5%
5% 2% 3%
1% 1% 2%
0%
100 -1%
-5% -2%
-5%
-10%
-11% -12%
-15%
50
Commod. Financials Indust. Other Tech Health Consumer
'14 '15 '16 '17 '18 '19 '20
Care
COVID-19 vaccine rollout
Total vaccine doses administered per hundred people

210
200 S. Korea
UK
190 China
180 France
Germany
170
160 Japan
Brazil
150 U.S.
140
130
120
110
100 India

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
Global PMI suppliers’ delivery times index* Global PMI input and output prices**
30 75
Nov. 2021:
70.0
Slower Nov. 2021: Prices rising
delivery time 36.4 70
35

65
40 Nov. 2021:
61.5
60

45
Input prices
55

50
50
Output prices

55
45

Faster
delivery time Prices falling
60 40
'05 '07 '09 '11 '13 '15 '17 '19 '21 '10 '12 '14 '16 '18 '20
Global Composite (manufacturing & services combined) Purchasing Managers’ Index, quarterly
2021
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
Nov Dec

Global 54.8 -

Manufacturing 54.2 -

Services 55.6 -

DM 55.8 -

EM 52.5 -

U.S. 57.2 56.9

Japan 53.3 51.8

UK 57.6 53.2
Developed

Euro Area 55.4 53.4

Germany 52.2 50.0

France 56.1 55.6

Italy 57.6 -

Spain 58.3 -

China 51.2 -
Emerging

India 59.2 -

Brazil 52.0 -

Russia 48.4 50.2

Year-over-year headline inflation by country and region, quarterly
2021
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
Oct Nov

Global - -

DM 4.6% 4.8%
EM - -

U.S. 6.2% 6.8%

Canada 4.7% 4.7%
Japan 0.1% 0.6%
UK 4.2% 5.1%
Developed

Euro Area 4.1% 4.9%

Germany 4.6% 6.0%
France 3.2% 3.4%
Italy 3.2% 3.9%
Spain 5.4% 5.5%
Greece 2.8% 4.0%

China 1.5% 2.3%

Indonesia 1.7% 1.7%
Korea -2.1% -1.5%
Emerging

Taiwan 2.3% 2.6%

India 4.5% 4.9%

Brazil 10.7% 10.7%

Mexico 6.2% 7.4%
Russia 8.1% -
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
policy Net zero
forecast 2050 forecast
16
50%

14
China

12 40%
Oil

10
30%
Coal
8
Gas
U.S.

20%
6
EU
Nuclear & Hydro
4
10%

2
Renewables

0%
0 '70 '80 '90 '00 '10 '20 '30 '40 '50
'90 '00 '10 '20 '30 '40 '50 '60
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
26%
20% Large banks Small and medium banks
Investment 24%
18.3%
Consumption 22%
Net exports 20%
4.1%
18%
15%
9.4% 16%
14%
10.6%
12%
9.6% 10%
9.7%
10%
8.0% 9.8% 8%
7.9% 7.8% 7.9% '09 '11 '13 '15 '17 '19 '21
6.7% 3.9% 7.4% 6.8%
7.0% 6.7%
6.9% 1.0%
5.1%
6.1%
3.3%
4.1% 3.3% 1.6% 3.1%
2.6% 2.8% 4.9% Fiscal stimulus: Fiscal deficit*
5% 1.9%
% GDP
6.1%
2.3% 0%
6.3% 4.9% 3.8%
4.2% 5.4% 5.0% 4.4% 4.6% 4.0% 4.4% 3.5% -2%
3.9% 4.2% 2.2%
-4%
0.4% 0.2% 0.6% 4.4% 0.8% 1.1%
0%
0.5%
0.3%
0.7% -6%
-0.6% -0.5% -0.5% -0.03%
-4.0% -1.1% -0.2% -0.1% -0.9% -8%
-10%
-12%
-14%
-14%
-5% -16%
-18%
'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21F
MSCI Emerging Markets Index: Inclusion of China A-shares

Latin EMEA
EMEA
13%
EMEA 12% America 15% Latin Latin
12% America Taiwan
America
11% 14%
Taiwan 7%
Taiwan Asia ex- Asia ex-
12% Asia ex-
15% China, Korea China, Korea
& Taiwan & Taiwan China, Korea
Korea & Taiwan
18% Korea 17% 12%
Korea 12% 17%
12% Foreign
A-shares Foreign listed
Foreign H-shares A-shares
2% listed H-shares 6% H-shares
listed 10% 4%
9% 8% 6% A-shares
8% P-chips P-chips 5%
8% P-chips
Red-chips 8% 17%
Red-chips
4% Red-chips
4%
May 2019 November 2019 December 2021 2%
China: 32% China: 34% China: 35%

Weight of China in bond universe and bond indices

100% 5% 6%
90%
37% 35% Other
80% 36% 38% 50% U.S.
70%
Europe,
60% Middle East
50% 25% & Africa
26%
25% Latin
40% 30%
America
3% 31%
30% Asia ex-
1% China
18% 27% 33%
20% China
18%
10% 14%
14% 10%
8% 7% 4%
0%
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 0.86 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%

Munis 1.00 -0.24 0.62 0.13 0.49 0.12 -0.05 0.57 3%

Currencies 1.00 -0.54 -0.50 -0.05 -0.32 -0.59 -0.53 6%

EMD 1.00 0.57 0.54 0.63 0.56 0.56 7%

Commodities 1.00 0.42 0.66 0.76 0.30 15%

REITs 1.00 0.54 0.58 0.10 15%

Hedge funds 1.00 0.87 0.02 5%

Private equity 1.00 0.00 8%

#N/A
Gold 1.00 15%
Alternative asset class yields Hedge fund returns in different market environments
Average return in up and down months for S&P 500
12%
4% 3.3%
10.9%
2% 1.2%
10%
0%
8.6%
-2% HFRI FW Comp.
-1.4%
8% S&P 500
-4%
-4.0%

6% -6%
S&P 500 up S&P 500 down
4.8% 4.6%
4.1% 3.9%
4% Hedge fund returns in different market environments
Average return in up and down months for Bloomberg Agg.

1.0% 0.9%
2% 0.6%
0.5%
0.0%
0% 0.0%

-0.5% HFRI FW Comp.

-0.6%
Bloomberg U.S. Agg.
-1.0%
Bloomberg Barclays Agg up Bloomberg Barclays Agg down
 Private vs. public equity sector weights Number of listed U.S. companies*
8,500
13.6% 8,000
Tech
34.9% 7,500
7,000 Sep. 2021:
5,956
20.7% 6,500
Health Care
15.3% 6,000
5,500
15.4% 5,000
Industrials
13.2% 4,500
4,000
'91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21
12.9% Russell 2000
Cons. Disc.
11.2% U.S. private equity Average size and median age at IPO
$300 12
15.2% Average IPO size (LHS, $mm)
Financials 11
$250
8.2%
Median age (RHS, years) 10
$200
9
2.3%
Comm. Services $150 8
7.2%
7
$100
19.9% 6
Other** $50
9.9% 5
$0 4
0% 5% 10% 15% 20% 25% 30% 35% 40% 1980-1989 1990-1998 1999-2000 2001-2019
Commodity prices Gold prices
Commodity price z-scores USD per ounce
-4 -3 -2 -1 0 1 2 3 4 5 Dec. 31, 2021:
$2,500 $1,829
Gold
Bloomberg
$59.48 $152.01 Gold, inflation adjusted
Commodity Index $2,000
$99.17
Livestock $16.21 $41.63 $1,500
$22.42
$1,000
Agriculture $34.15 $97.40
$60.79
$500
Crude oil $11.57 $110.53
$75.21 $0
Silver $11.77 $37.14 '81 '86 '91 '96 '01 '06 '11 '16 '21
$23.35
Commodity prices and inflation
Natural gas $1.48 $6.31 Year-over-year % change
$4.06 8% 80%
Headline CPI Bloomberg Commodity Index
Gold $1,049.60 $2,069.40 6% 60%
$1,828.60 4% 40%
Industrial metals $84.23 $184.18 2% 20%
$172.89
0% 0%

-2% -20%

Example Low level ​High level -4% -40%

Current -6% -60%

'02 '04 '06 '08 '10 '12 '14 '16 '18 '20
 2007 - 2021
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 Ann. Vol.
EM Fixed EM Sm all Sm all EM Large Sm all Large
REITs REITs REITs REITs REITs Cash REITs 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% 10.6% 23.2%
High Sm all Fixed High Large Large Large High DM Fixed EM Large Sm all EM
Com dty. Cash REITs
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% 8.7% 22.9%
DM Asset DM EM High EM DM Fixed Fixed Large Large Sm all Large Sm all
REITs Com dty. REITs
Equity Alloc. Equity Equity Yield Equity Equity Incom e Incom e Cap Cap Cap Cap 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% 7.5% 22.5%
Asset High Large DM Asset Asset Sm all High DM Asset Sm all High
REITs Com dty. Cash Com dty. Com dty.
Alloc. Yield Cap Equity Alloc. Alloc. Cap Yield Equity Alloc. Cap 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% 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
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% 13.4% 5.7% 18.9%
Large Large High Asset Large Asset High Asset EM Fixed DM EM Large
Com dty. REITs Cash REITs
Cap Cap Yield Alloc. Cap Alloc. Yield Alloc. Equity Incom e Equity 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% 4.8% 16.9%
Large Asset Asset Sm all Asset High High Asset Sm all High High High DM High
Cash Cash REITs
Cap Alloc. Alloc. Cap Alloc. Yield Yield Alloc. Cap 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% 4.1% 12.2%
High DM DM Fixed Fixed EM Sm all Fixed Fixed Fixed Fixed Asset
REITs Com dty. Com dty. Cash Cash
Yield Equity Equity Incom e Incom e Equity Cap Incom e Incom e Incom e 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% 4.1% 11.7%
Sm all DM Fixed Fixed EM DM EM DM DM Fixed Fixed
Com dty. Cash Com dty. Com dty. Com dty. Cash
Cap Equity Incom e Incom e Equity Equity Equity Equity Equity Incom e 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% 0.8% 3.3%
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
-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% -2.6% 0.7%
Flow by firm as % of total U.S. equity market volume Investment flows by age
2020 – 3Q21 Indexed to February 18, 2020, 7-day moving average
5
30% 18-25
25-40
Robinhood 4
40-65
TD
65+
Schwab 3
25%
E*TRADE
2

20% 1

0
Jan '20 Apr '20 Jul '20 Oct '20 Jan '21 Apr '21 Jul '21 Oct '21
15%
Investment flows by income*
Indexed to February 18, 2020, 7-day moving average
7
$0-20k $75-125k
6 $20-35k $125k+
10%
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
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
$140,000 Jun. 8: portfolio
40/60 portfolio recovers
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

20-year annualized returns by asset class (2001 – 2020)

12%
10.0% 9.9%
10% 8.7%
8.2%
8% 7.5%
6.4%
5.9%
6% 5.0% 4.8%
3.7%
4% 2.9%
2.1%
2% 1.4%

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
$6,000
Income needed to beat education inflation
Income needed to beat medical care inflation

$5,000 2006: $4,510

Current: $4,960

$4,000

$3,000

Current: $2,106
$2,000

Current: $1,737
$1,000

Current: $70

$0
'94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
 Equity market correlations and yields
Hedge adjusted yield, last 12 months, 10-year correlations, quarterly
9%
Higher yielding Direct lending
sectors
8%

7%
U.S. government
U.S. non-government
Hedge adjusted yield

6%
International
Alternatives EMD (LCL)
Infra.
5% APAC Real estate EMD ($)

U.S. Real estate U.S. HY

Euro HY
4%
EM Corp.
Europe Real estate
Convertibles
3%
Stronger correlation
to equities
2% 30y UST U.S. corps
MBS
10y UST 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

Asset class yields

6%
5.3% U.S. equity
5% 4.5% International
4.2%
4% Fixed income
3.0%
3% 2.5% 2.5% 2.4%
2.1% 2.0%
1.8%
2% 1.5% 1.4%
1% 0.7%

0%
EMD($) Preferreds U.S. High Global DM Equity International EM Equity Convertibles U.S. Value U.S. U.S. 10-year U.S. Equity U.S. Growth
Yield REITs Equity Aggregate
Asset allocation: Corporate DB plans. endowments Corporate pension liabilities and 10-year UST yield
$2.4 0%
35.2% 1%
Equities $2.0
32.1% Liabilities ($tn) 2%
$1.6
9.0% 10yr UST (inv.) 3%
Fixed Income $1.2
49.9% 4%
$0.8
5%
18.0%
Hedge Funds $0.4
3.8% 6%

$0.0 7%
12.3% '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
Private Equity
4.3% Pension return assumptions

9.5%
5.4% Endowments
Real Estate 9.0% S&P 500 companies
3.7% Corporate DB plans 8.5% State & local governments
8.0%
15.7% 7.5%
Other Alternatives
3.3% 7.0%
6.5%
4.4% 6.0%
Cash
2.9% 5.5%
5.0%
0% 10% 20% 30% 40% 50% 60% '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.
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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.

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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
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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 December 31, 2021 or most recently available.
Guide to the Markets – U.S.
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