JP Morgan - Mercado de Capitales

Prévia do material em texto

Clara Cheong
Singapore
Nimish Vyas
New York
Vincent Juvyns
Luxembourg
Tilmann Galler, CFA
Frankfurt
Maria Paola Toschi
Milan
Shogo Maekawa
Tokyo
Zara Nokes
London
Kerry Craig, CFA
Melbourne
Karen Ward
London
Chaoping Zhu, 
CFA
Shanghai
Natasha May
London
Michael Bell, CFA
London
Stephanie Aliaga
New York
David Lebovitz
New York
Meera Pandit, CFA
New York
Max McKechnie
London
Hugh Gimber, CFA
London
Agnes Lin
Taipei
Gabriela Santos
New York
Jack Manley
New York
Dr. David Kelly, CFA
New York
Jordan Jackson
New York
Olivia Schubert
New York
Americas Europe Asia
Tai Hui
Hong Kong
Marcella Chow
Hong Kong
Ian Hui
Hong Kong
Adrian Tong 
Hong Kong
Sahil Gauba
Mumbai
Lucia Gutierrez Mellado
Madrid
Elena Domecq
Madrid
S&P 500 Price Index
600
900
1,200
1,500
1,800
2,100
2,400
2,700
3,000
3,300
3,600
3,900
4,200
4,500
4,800
'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
+106% -49% +101%
-57%
+401%
-34%
+114%
Dec. 31, 1996
P/E (fwd.) = 15.9x
741
Oct. 9, 2002
P/E (fwd.) = 14.1x
777
Mar. 24, 2000
P/E (fwd.) = 25.2x
1,527
Oct. 9, 2007
P/E (fwd.) = 15.1x
1,565
Mar. 9, 2009
P/E (fwd.) = 10.4x
677
Feb. 19, 2020 
P/E (fwd.) = 19.2x
3,386
Mar. 23, 2020
P/E (fwd.) = 13.3x
2,237
Sep. 30, 2022
P/E (fwd.) = 15.1x
3,586
Characteristic 3/24/2000 10/9/2007 2/19/2020 1/3/2022 9/30/2022
Index Level 1,527 1,565 3,386 4,797 3,586
P/E Ratio (fwd.) 25.2x 15.1x 19.2x 21.4x 15.1x
Dividend Yield 1.4% 1.9% 1.9% 1.3% 1.9%
10-yr. Treasury 6.2% 4.7% 1.6% 1.6% 3.8%
-25%
Jan. 3, 2022
P/E (fwd.) = 21.4x
4,797
S&P 500 Index: Forward P/E ratio
8x
10x
12x
14x
16x
18x
20x
22x
24x
26x
28x
'97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
25-year average: 16.84x
-1 Std. dev.: 13.49x
+1 Std. dev.: 20.19x
Valuation measure Description Latest 25-year avg.*
Std. dev. Over-
/under-Valued
P/E Forward P/E 15.15x 16.84x -0.50
CAPE Shiller's P/E 27.15x 27.97x -0.13
Div. Yield Dividend yield 1.90% 1.99% 0.26
P/B Price to book 3.18x 3.10x 0.10
P/CF Price to cash flow 11.51x 11.18x 0.15
EY Spread EY minus Baa yield 0.57% 0.24% -0.17
Sep. 30, 2022:
15.15x
Forward P/E and subsequent 5-yr. annualized returns
S&P 500 Total Return Index
Forward P/E and subsequent 1-yr. returns
S&P 500 Total Return Index
-60%
-40%
-20%
0%
20%
40%
60%
8.0x 11.0x 14.0x 17.0x 20.0x 23.0x 26.0x
R² = 4%
Sep. 30, 2022: 15.1x
-60%
-40%
-20%
0%
20%
40%
60%
8.0x 11.0x 14.0x 17.0x 20.0x 23.0x 26.0x
R² = 36%
Sep. 30, 2022: 15.1x
S&P 500 earnings per share
Index annual operating earnings
Percent change in S&P 500, earnings and valuations*
Year-to-date, indexed to 100
$0
$25
$50
$75
$100
$125
$150
$175
$200
$225
$250
$275
$300
'88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21 '24
60
65
70
75
80
85
90
95
100
105
110
Dec '21 Feb '22 Apr '22 Jun '22 Aug '22
Consensus analyst estimates
Earnings recessions
Share of return Year-to-date
Earnings growth 5.1%
Multiple growth -29.9%
S&P 500 price return -24.8%
S&P 500 year-over-year operating EPS growth
Annual growth broken into revenue, changes in profit margin & changes in share count
-31%
19% 19%
24%
13% 15%
-6%
-40%
15%
47%
15%
0%
11%
5%
-11%
6%
17%
22%
4%
-22%
70%
0%
-60%
-40%
-20%
0%
20%
40%
60%
80%
100%
'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
2022*
Share of EPS growth 2022 Avg. '01-'21
Margin -9.5% 5.1%
Revenue 9.1% 3.8%
Share count 0.8% 0.2%
Total EPS 0.3% 9.1%
S&P 500 sales per share and PPI for intermediate materials
Year-over-year % change, monthly, last 20 years
S&P 500 profit margins
Quarterly operating earnings/sales
Labor share of income and profit margins*
Compensation and adjusted after-tax corporate profits as % of GDP
0%
2%
4%
6%
8%
10%
12%
14%
'92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
50%
51%
52%
53%
54%
55%
56%
57%
58%
59%
4%
5%
6%
7%
8%
9%
10%
11%
'50 '55 '60 '65 '70 '75 '80 '85 '90 '95 '00 '05 '10 '15 '20
Recession
Labor share
Profit margin
2Q22*:
10.9%%
-20%
-10%
0%
10%
20%
30%
'02 '04 '06 '08 '10 '12 '14 '16 '18 '20
S&P 500 sales per share
PPI – intermediate materials
Correlation**: 80%
0.1x
0.5x
0.8x
1.2x
1.2x
1.3x
1.4x
1.5x
4.2x
6.8x
8.9x
0.0x 2.0x 4.0x 6.0x 8.0x 10.0x
Real Estate
Industrials
Comm. Services
Cons. Disc.
Utilities
Health Care
Tech.
Cons. Staples
Materials
Financials
Energy
Value vs. Growth relative valuations
Rel. fwd. P/E ratio of Value vs. Growth, 1997 - present
S&P 500 operating leverage by sector
Impact on operating income from a 1% rise in revenues
Growth
Value
0.00
0.20
0.40
0.60
0.80
1.00
1.20
1.40
'97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Sep. 30, 2022: 
0.59
Recession
Value cheap/Growth 
expensive
Growth cheap/Value 
expensive
Style Current
Long-
term avg.*
Current
Long-
term avg.*
Value 12.09x 14.09x 2.60% 2.59%
Growth 20.38x 20.72x 1.15% 1.34%
Forward PE Div. yield**
Long-term avg.*: 0.72
5
10
15
20
25
30
35
'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
25-yr. average Current
Median S&P 500 P/E 16.0 14.5
Valuation spread 11.4 13.6
Valuation dispersion between the 20th and 80th percentile of S&P 500 stocks
Current P/E vs. 20-year avg. P/E
Value Blend Growth Value Blend Growth
12.1 15.1 20.4
13.7 15.5 18.6
11.8 13.8 19.7
14.4 16.3 20.3
13.2 16.8 22.8
16.9 21.3 34.1
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
L
a
rg
e
4.5% 10.4% 12.2%
L
a
rg
e
69.0% 66.8% 63.6%
L
a
rg
e
M
id 5.4% 4.7% -2.1% M
id 86.4% 75.3% 52.3% M
id
S
m
a
ll
8.1% 1.6% -6.8%
S
m
a
ll
90.1% 71.2% 51.4%
S
m
a
ll
97.2%
78.2% 78.7% 66.7%
Value Blend Growth
88.5% 97.9% 109.8%
82.1% 84.6%
M
id
S
m
a
ll
7.9% 8.6% 8.8%
S
m
a
ll
-21.1% -25.1% -29.3%
S
m
a
ll
Value Blend Growth
L
a
rg
e
9.2% 11.7% 13.7%
L
a
rg
e
-17.8% -23.9% -30.7%
L
a
rg
e
YTD10-year annualized
M
id 9.4% 10.3% 10.9% M
id -20.4% -24.3% -31.5%
Energy Materials Financials Industrials
Cons. 
Disc. Tech.
Comm. 
Services*
Real 
Estate
Health
Care
Cons.
Staples Utilities
S&P 500
Index
S&P weight 4.5% 2.5% 11.0% 7.9% 11.7% 26.4% 8.1% 2.8% 15.1% 6.9% 3.1% 100.0%
Russell Growth weight 1.6% 1.4% 3.0% 7.2% 17.1% 42.9% 7.4% 1.6% 12.2% 5.7% 0.0% 100.0%
Russell Value weight 7.8% 4.1% 20.0% 10.0% 6.0% 8.8% 8.0% 4.8% 17.3% 7.2% 6.0% 100.0%
Russell 2000 weight 6.1% 4.0% 17.3% 14.8% 10.2% 12.8% 2.7% 6.4% 18.9% 3.4% 3.4% 100.0%
QTD 2.3 -7.1 -3.1 -4.7 4.4 -6.2 -12.7 -11.0 -5.2 -6.6 -6.0 -4.9
YTD 34.9 -23.7 -21.2 -20.7 -29.9 -31.4 -39.0 -28.8 -13.1 -11.8 -6.5 -23.9
Since market peak 
(February 2020)
52.0 19.0 3.4 3.3 9.3 18.4 -14.0 -4.5 21.8 12.9 1.8 10.4
Since market low 
(March 2020)
244.7 86.1 81.1 77.1 60.1 72.0 20.4 53.3 69.0 48.7 58.2 66.8
Beta to S&P 500 1.3 1.1 1.1 1.1 1.2 1.1 1.1* 0.8 0.8 c 0.6 0.5 1.0 β
Correl. to Treas. yields -0.1 -0.4 -0.4 -0.4 -0.6 -0.7 -0.6 -0.5 -0.5 c -0.3 -0.3 -0.6 ρ 
Foreign % of sales 38.6 56.3 21.6 32.5 34.3 58.2 41.7 16.6 36.9 44.5 1.8 40.2 %
NTM earnings growth 6.5% -2.8% 6.6% 20.1% 23.7% 7.8% 7.4% 7.4% 0.6% 5.7% 4.9% 7.6%
20-yr avg. 86.4% 17.1% 20.9% 13.9% 16.6% 13.8% 10.3%* 6.6% 8.6% 7.8% 4.1% 11.3%
Forward P/E ratio 7.9x 12.4x 10.8x 15.1x 23.1x 18.5x 13.4x 15.7x 15.0x 18.6x 17.8x 15.1x
20-yr avg. 13.8x 14.7x 12.4x 16.2x 19.1x 18.1x 19.2x* 16.6x 15.1x 17.2x 15.2x 15.5x
Buyback yield 1.9% 3.3% 4.1% 2.5% 2.0% 2.3% 4.5% -1.9% 1.7% 1.2% -0.4% 2.4%
20-yr avg. 1.5% 0.8% 0.3% 2.2% 2.4% 2.9% 1.5% -1.3% 1.9% 1.8% -1.0% 1.7%
Dividend yield 3.6% 2.5% 2.5% 2.1% 1.0% 1.2% 1.2% 3.8% 1.8% 3.0% 3.4% 1.9%
20-yr avg. 2.7% 2.4% 2.3% 2.2% 1.4% 1.1% 1.2%* 4.0% 1.9% 2.8% 3.9% 2.1%
W
e
ig
h
t
D
iv
R
e
tu
rn
 (
%
)
E
P
S
P
/E
Bb
k
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 YTD Ann. Vol.
Momen. Min. Vol. Value Small Cap High Div. Cyclical Value Value Momen. Small Cap Momen. Min. Vol. Cyclical Momen. Value Defens. Momen. Small 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% -7.5% 11.8% 22.5%
Defens. Defens. Cyclical
Multi- 
Factor
Min. Vol. Value Small Cap Min. Vol. Min. Vol. High Div. Cyclical Momen. Quality Cyclical Cyclical High Div. Quality Value
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% -15.7% 11.5% 20.7%
Quality High Div.
Multi- 
Factor
Momen. Defens. Small Cap
Multi- 
Factor
High Div. Quality Value Quality High Div. Momen. Small Cap Quality Min. Vol. Cyclical Cyclical
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% -17.3% 11.2% 19.9%
Multi- 
Factor
Quality Small Cap Cyclical Quality
Multi- 
Factor
Cyclical
Multi- 
Factor
Cyclical Cyclical Value Defens. Min. Vol. Quality
Multi- 
Factor
Multi- 
Factor
Min. Vol. Momen.
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% -22.7% 10.5% 17.7%
Min. Vol. Small Cap Quality High Div.
Multi- 
Factor
Momen. Momen. Momen. High Div.
Multi- 
Factor
Multi- 
Factor
Cyclical Value
Multi- 
Factor
Defens. Value
Multi- 
Factor
Multi- 
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% -23.5% 10.1% 17.7%
Value Value High Div. Min. Vol. Momen. Quality Quality Cyclical
Multi- 
Factor
Min. Vol. High Div. Quality
Multi- 
Factor
Min. Vol. High Div. Small Cap High Div. Quality
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% -25.1% 9.4% 15.7%
High Div.
Multi- 
Factor
Min. Vol. Quality Value Min. Vol. High Div. Defens. Defens. Quality Min. Vol.
Multi- 
Factor
Small Cap Defens. Min. Vol. Momen. Defens. High Div.
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% -26.3% 9.1% 15.1%
Cyclical Momen. Momen. Value Cyclical Defens. Defens. Quality Small Cap Defens. Small Cap Small Cap High Div. High Div. Small Cap Quality Value Defens.
-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% -27.7% 9.1% 13.9%
Small Cap Cyclical Defens. Defens. Small Cap High Div. Min. Vol. Small Cap Value Momen. Defens. Value Defens. Value Momen. Cyclical Small Cap Min. Vol.
-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% -30.2% 8.7% 13.2%
2007 - 2021
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
 
26%
-10%
15%
17%
1%
26%
15%
2%
12%
27%
-7%
26%
4%
7%
-2%
34%
20%
31%
27%
20%
-10%
-13%
-23%
26%
9%
3%
14%
4%
-38%
23%
13%
0%
13%
30%
11%
-1%
10%
19%
-6%
29%
16%
27%
-25%
-17%-18%
-17%
-7%
-13%
-8%
-9%
-34%
-8%-8%
-20%
-6%
-6%
-5%
-9%
-3%
-8%
-11%
-19%
-12%
-17%
-30%
-34%
-14%
-8%
-7%
-8%
-10%
-49%
-28%
-16%
-19%
-10%
-6%
-7%
-12%
-11%
-3%
-20%
-7%
-34%
-5%
-25%
-60%
-40%
-20%
0%
20%
40%
'80 '85 '90 '95 '00 '05 '10 '15 '20
YTD
Return needed to reach January 2022 peak of 4797
S&P 500 level as of September 30, 2022 is 3,586
Bull and bear markets
Jul 1926 152% 37 Sep 1929 -86% 32
Mar 1935 129% 23 Mar 1937 -60% 61
Apr 1942 158% 49 May 1946 -30% 36
Jun 1949 267% 85 Aug 1956 -22% 14
Oct 1960 39% 13 Dec 1961 -28% 6
Oct 1962 76% 39 Feb 1966 -22% 7
Oct 1966 48% 25 Nov 1968 -36% 17
May 1970 74% 31 Jan 1973 -48% 20
Mar 1978 62% 32 Nov 1980 -27% 20
Aug 1982 229% 60 Aug 1987 -34% 3
Oct 1990 417% 113 Mar 2000 -49% 30
Oct 2002 101% 60 Oct 2007 -57% 17
Mar 2009 401% 131 Feb 2020 -34% 1
Mar 2020 114% 21 Jan. 2022** -25% 8
Averages 162% 51 - -41% 20
Duration 
(months)*
Bull markets
Bull begin 
date
Bull return
Duration 
(months)
Market 
peak
Bear return*
Bear markets
S&P 500 total returns
Source: FactSet, J.P. Morgan Asset Management. Market high is 4797. Current market level is xx 
7.9%
9.4%
12.1%
17.6%
35.7%
0% 5% 10% 15% 20% 25% 30% 35% 40%
5-yrs
4-yrs
3-yrs
2-yrs
1-yr
Implied avg. annualized total return
Implied cumulative total returnX%
35.7%
38.2%
40.8%
43.5%
46.2%
X%
Recession
Market Low
December 2007 – June 2009
4.5%
5.5%
6.5%
7.5%
8.5%
9.5%
10.5%
95
115
135
155
175
195
215
-18-14-10 -6 -2 2 6 10 14 18
March 2001 – November 2001
July 1990 – March 1991July 1981 – November 1982January 1980 – July 1980
April 1960 – February 1961
4.5%
5.5%
6.5%
7.5%
80
100
120
140
-18 -14 -10 -6 -2 2 6 10 14 18
October 1960
December 1969 – November 1970
3%
4%
5%
6%
90
110
130
150
-18 -14 -10 -6 -2 2 6 10 14 18
November 1973 – March 1975
4.5%
5.5%
6.5%
7.5%
8.5%
9.5%
75
100
125
150
175
-18 -14 -10 -6 -2 2 6 10 14 18
5%
6%
7%
8%
65
85
105
125
145
-18 -14 -10 -6 -2 2 6 10 14 18
7%
8%
9%
10%
11%
90
110
130
150
170
-18 -14 -10 -6 -2 2 6 10 14 18
5.0%
5.5%
6.0%
6.5%
7.0%
7.5%
95
105
115
125
135
145
-18 -14 -10 -6 -2 2 6 10 14 18
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
100
120
140
160
180
200
-30 -26 -22 -18 -14 -10 -6 -2 2 6
June 1970 September 1974
March 1980 July 1982 October 1990
October 
2002
Unemployment Rate
S&P 500 Total Return
February
2009
March 2020
March 2020 – April 2020
3%
6%
9%
12%
15%
80
100
120
140
160
180
200
-18 -14 -10 -6 -2 2 6 10 14 18
March 2020
0
20
40
60
80
100
120
140
1921 1927 1938 1949 1958 1970 1980 1991 2009
Length of expansions and recessions
Months
The Great Depression and post-war recessions
Length and severity of recession
-26.7%
-3.4%
-12.7%
-1.5%-2.4%
-3.0%
-0.1%
-0.2%
-3.1%
-2.2%
-2.5%
-1.4%
-0.4%
-4.0%
-10.1%
0-yrs
1-yrs
2-yrs
3-yrs
4-yrs
5-yrs
1910 1930 1950 1970 1990 2010
L
e
n
g
th
 o
f 
re
c
e
s
s
io
n
 i
n
 y
e
a
rs
Financial Crisis:
4.0% decline in real GDP
Great Depression:
26.7% decline in real GDP
Average length (months):
Expansions: 47 months
Recessions: 14 months
Pandemic recession:
10.1% decline in real GDP
Post-WWII demobilization:
12.7% decline in real GDP
Real GDP Components of GDP
Billions of chained (2012) dollars, seasonally adjusted at annual rates 2Q22 nominal GDP, USD trillions
68.4% Consumption
17.5% Gov't spending
13.6% Investment ex-housing
4.6% Housing
-4.1% Net exports-$2
$2
$6
$10
$14
$18
$22
$26
$12,000
$13,000
$14,000
$15,000
$16,000
$17,000
$18,000
$19,000
$20,000
$21,000
'01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Trend growth: 
2.0%
 GDP (%) 3Q21 4Q21 1Q22 2Q22
 Q/Q saar 2.7 7.0 -1.6 -0.6
 Y/Y 5.0 5.7 3.7 1.8
% change, last six months
Variables used by the NBER in making recession determination*
% change month-over-month
J
a
n
F
e
b
M
a
r
A
p
r
M
a
y
J
u
n
J
u
l
A
u
g
S
e
p
O
c
t
N
o
v
D
e
c
J
a
n
F
e
b
M
a
r
A
p
r
M
a
y
J
u
n
J
u
l
A
u
g
S
e
p
O
c
t
N
o
v
D
e
c
J
a
n
F
e
b
M
a
r
A
p
r
M
a
y
J
u
n
J
u
l
A
u
g
S
e
p
O
c
t
N
o
v
D
e
c
J
a
n
F
e
b
M
a
r
A
p
r
M
a
y
J
u
n
J
u
l
A
u
g
Real personal income less transfers
Nonfarm payroll employment
Household survey employment
Real consumer spending 
Real wholesale + retail sales
Industrial production
2022202120202019
0.2%
1.5% 1.4%
0.7%
-3.1%
1.6%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
Real personal income less
transfers
Nonfarm payroll
employment
Household survey
employment
Real consumer spending Real wholesale + retail
sales
Industrial production
Residential investment as a % of GDP Business fixed investment as a % of GDP
Quarterly, seasonally adjusted Quarterly, seasonally adjusted
Light vehicle sales Total business inventory/sales ratio
Mil vehicles, seasonally adjusted ann. rate Days of sales, monthly, seasonally adjusted
2Q22: 4.6%
2%
3%
4%
5%
6%
7%
'68 '73 '78'83 '88 '93 '98 '03 '08 '13 '18
Recession
2Q22: 13.0%
10%
11%
12%
13%
14%
15%
16%
'68 '73 '78 '83 '88 '93 '98 '03 '08 '13 '18
Aug. 2022: 
13.2m
8
10
12
14
16
18
20
'76 '81 '86 '91 '96 '01 '06 '11 '16 '21
Jul. 2022: 40.2 days
35
37
39
41
43
45
47
49
51
53
55
'81 '86 '91 '96 '01 '06 '11 '16 '21
Average: 14.8m
Average: 4.4%
Average: 12.8%
Average: 43.0 days
U.S. home price growth by city Housing affordability index*
S&P Case-Shiller Home Price Index, Jul. 2022, y/y % change Index
Credit score at mortgage origination
Median, quarterly
Jul. 2022: 
102.2
60
80
100
120
140
160
180
200
220
'81 '85 '89 '93 '97 '01 '05 '09 '13 '17 '21
9.4%
10.8%
11.7%
12.7%
13.3%
13.7%
14.5%
15.6%
15.7%
15.8%
22.4%
22.8%
24.7%
31.7%
0% 10% 20% 30% 40%
Washington D.C.
San Francisco
Portland
Chicago
Boston
New York City
Seattle
Denver
Los Angeles
National home price
Phoenix
Atlanta
Dallas
Miami
2Q22: 
773
680
700
720
740
760
780
800
'99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Average: 749
More affordable
Less affordable
Housing inventories Single-family housing starts
Inventory of new and existing single family homes for sale, thous, SA* Seasonally adjusted annual rate (SAAR), thous houses
Rental vacancy rate Multi-family housing starts
Percent Seasonally adjusted annual rate (SAAR), thous houses
Aug. 2022: 1,536
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
4,500
'82 '85 '88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21
Average: 2,399
2Q22: 5.6%
4%
5%
6%
7%
8%
9%
10%
11%
12%
'56 '60 '64 '68 '72 '76 '80 '84 '88 '92 '96 '00 '04 '08 '12 '16 '20
Average: 7.3%
Aug. 2022: 935
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
'59 '63 '67 '71 '75 '79 '83 '87 '91 '95 '99 '03 '07 '11 '15 '19
Average: 1,017
Aug. 2022: 621
0
200
400
600
800
1,000
'59 '63 '67 '71 '75 '79 '83 '87 '91 '95 '99 '03 '07 '11 '15 '19
Average: 364
The 2022 federal budget Federal budget surplus/deficit
CBO Baseline forecast, USD trillions % of GDP, 1990 – 2032, CBO Baseline Forecast
Federal net debt (accumulated deficits)
% of GDP, 1940 – 2032, CBO Baseline Forecast, end of fiscal year
CBO's Baseline economic assumptions
2022 '23-'24 '25-'26 '27-'32
Real GDP growth 4.4% 2.4% 1.5% 1.7%
10-year Treasury 2.1% 2.9% 3.3% 3.8%
Headline inflation (CPI) 6.6% 3.0% 2.3% 2.4%
Unemployment 3.9% 3.6% 3.9% 4.5%
Medicare & 
Medicaid: 
$1,531bn (26%)
Income: 
$2,623bn (45%)
Social 
Security: 
$1,212bn (21%)
Corporate: $395bn (7%)
Defense: 
$760bn (13%)
Social 
insurance: 
$1,465bn (25%)
Non-defense 
disc.: $962bn 
(16%)
Net int.: $399bn (7%) Other: $354bn (6%)
Other: $1,009bn (17%) Borrowing: $1,036bn (18%)
$0.0
$1.0
$2.0
$3.0
$4.0
$5.0
$6.0
$7.0
Total spending: $5.9tn
-18%
-14%
-10%
-6%
-2%
2%
'90 '95 '00 '05 '10 '15 '20 '25 '30
2021: 
-12.4%
2022: 
-4.2%
Forecast
2020: 
-15.0%
Total government spending Sources of f inancing
20%
40%
60%
80%
100%
120%
'40 '48 '56 '64 '72 '80 '88 '96 '04 '12 '20 '28
2032: 
109.6%
2021: 
99.6%
Forecast
Excess personal savings relative to pre-pandemic trend
Disposable personal income less consumer outlays, minus pre-pandemic trend 
growth***, $ trillions, monthly
Consumer balance sheet
2Q22, trillions of dollars outstanding, not seasonally adjusted
Household debt service ratio
Debt payments as % of disposable personal income, SA
Other financial assets: 39%
Mortgages: 66%
Pension funds: 18%
Deposits: 10%
Other tangible: 5%
Homes: 28%
$0
$20
$40
$60
$80
$100
$120
$140
$160
$180
Total liabilities: $18.9tn
Total assets: $162.7tn
Assets Liabilities
3Q07 Peak $85.2tn
1Q09 Low $74.0tn
Other non-revolving: 2%
Revolving*: 6%
Auto loans: 7%
Other liabilities: 10%
Student debt: 9%
-0.2
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
'19 '20 '21 '22
Savings drawdown: $0.91tn
Cumulative excess 
savings: $2.01tn
Net excess savings remaining: $1.01tn
1Q80: 
10.6%
4Q07: 13.2%
3Q22**: 
9.5%
8%
9%
10%
11%
12%
13%
14%
'80 '85 '90 '95 '00 '05 '10 '15 '20
Consumer Sentiment Index and subsequent 12-month S&P 500 returns
Apr. 2020: 
+43.6%
Feb. 2020: 
+29.0%
Jan. 2015: -2.7%
Aug. 2011: 
+15.4%
Nov. 2008: 
+22.2%
Jan. 2007: 
-4.2%
Oct. 2005: 
+14.2%
Jan. 2004: 
+4.4%
Mar. 2003: 
+32.8%
Jan. 2000: -2.0%
Oct. 1990: +29.1%
Mar. 1984: +13.5%
May 1980: 
+20.0%
May 1977: +1.2%
Feb. 1975: 
+22.2%
Aug. 1972: 
-6.2%
Sep. 2022: 
58.6
40
50
60
70
80
90
100
110
120
'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
Average: 85.6
Sentiment cycle turning point and subsequent 
12-month S&P 500 Index return
Avg. subsequent 12-mo. S&P 500 returns
 8 sentiment peaks +4.1%
 8 sentiment troughs +24.9%
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
JOLTS layoffs
Total nonfarm layoffs, thousands, seasonally adjusted
Jul. 2022: 4,179
1,000
2,000
3,000
4,000
5,000
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
Jul. 2022: 1,398
1,000
1,500
2,000
2,500
3,000
3,500
4,000
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
13,500
Jul./Aug. 2022: 
1.87
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
2.2
'73 '76 '79 '82 '85 '88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21
Recession
Civilian unemployment rate and year-over-year wage growth
Private production and non-supervisory workers, seasonally adjusted, percent
May 1975: 9.0%
Nov. 1982: 10.8%
Jun. 1992: 7.8%
Jun. 2003: 6.3%
Oct. 2009: 10.0%
Apr. 2020: 14.7%
Aug. 2022: 3.7%
Aug. 2022: 6.1%
0%
2%
4%
6%
8%
10%
12%
14%
16%
'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
50-year avg.
Unemployment rate 6.2%
Wage growth 4.0%
CPI and core CPI
% change vs. prior year, seasonally adjusted
-3%
0%
3%
6%
9%
12%
15%
'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
Recession
50-yr. avg. Jul. 2022 Aug. 2022
Headline CPI 4.0% 8.5% 8.2%
Core CPI 3.9% 5.9% 6.3%
Food CPI 4.1% 10.9% 11.4%
Energy CPI 4.9% 32.9% 23.9%
Headline PCE deflator 3.5% 6.4% 6.2%
Core PCE deflator 3.3% 4.7% 4.9%
Contributors to headline inflation Inflation expectations, next 5 years
Contribution to y/y % change in CPI, not seasonally adjusted % change vs. prior year, non-seasonally adjusted
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
'12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
10yr Avg. Sep. 2022
Consumer expectations 2.7% 2.7%
Professional forecasters 2.3% 2.8%
5yr inflation breakevens 1.8% 2.1%
5.3%
5.4%
6.2%
6.8%
7.0%
7.5%
7.9%
8.5%
8.3%
8.6%
9.1%
8.5%
8.3%
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
Aug '21 Oct '21 Dec '21 Feb '22 Apr '22 Jun '22 Aug '22
Energy New and used vehicles
Food at homeOther
Shelter
Restaurants, hotels and transp.
The U.S. dollar The U.S. trade balance
U.S. Dollar Index Current account balance, % of GDP
Developed markets interest rate differentials
Difference between U.S. and international 10-year yields*
2Q22: -4.0%
-7%
-6%
-5%
-4%
-3%
-2%
-1%
0%
'97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Sep. 30, 2022: 
112.1
60
70
80
90
100
110
120
130
'97 '00 '03 '06 '09 '12 '15 '18 '21
Sep. 30, 2022: 1.8%
-1%
0%
1%
2%
3%
'97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Change in production and consumption of liquid fuels Price of oil
Production, consumption and inventories, millions of barrels per day WTI crude, nominal prices, USD/barrel
Production 2019 2020 2021 2022* 2023* Growth since '19
 U.S. 19.5 18.6 19.0 20.2 21.4 9.7%
 OPEC 34.6 30.7 31.7 34.1 34.5 -0.3%
 Russia 11.5 10.5 10.8 10.9 9.3 -18.7%
 Global 100.3 93.9 95.7 100.1 101.3 1.0%
Consumption
 U.S. 20.5 18.2 19.9 20.4 20.8 1.0%
 China 14.0 14.4 15.3 15.3 16.0 13.9%
 Global 100.7 91.8 97.499.5 101.5 0.8%
Inventory Change -0.4 2.1 -1.7 0.6 -0.2
U.S. crude oil inventories and rig count**
Million barrels, number of active rigs
Jul. 3, 2008: 
$145.29
Feb. 12, 2009: 
$33.98
Jun. 13, 2014: 
$106.91
Feb. 11, 2016: 
$26.21
Oct. 3, 2018: 
$76.41
Apr. 21, 2020: $11.57
Sep. 30, 
2022: 
$79.49
$0
$20
$40
$60
$80
$100
$120
$140
$160
'02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
0
500
1,000
1,500
2,000
800
900
1,000
1,100
1,200
1,300
'13 '14 '15 '16 '17 '18 '19 '20 '21 '22
Inventories (incl. SPR)
Active rigs
Global investment in energy transition Cost of wind, solar, natural gas, nuclear and coal
Billions USD, nominal Mean LCOE*, 2021, dollar per megawatt hour
$0
$100
$200
$300
$400
'09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
$0
$100
$200
$300
$400
$500
$600
$700
$800
'04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
Renewable energy
Storage, electrification, carbon capture, other
Wind Solar Natural gas Coal Nuclear
 Federal funds rate expectations
 FOMC and market expectations for the federal funds rate
4.21%
4.20%
4.00%
3.13%
4.40%
4.60%
3.90%
0%
1%
2%
3%
4%
5%
6%
7%
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22 '24
2.50%
Federal funds rate
Long run
FOMC year-end estimates
FOMC long-run projection*
Market expectations
 FOMC September 2022 forecasts
 Percent
2022 2023 2024 2025
Long
run*
 Change in real GDP, 4Q to 4Q 0.2 1.2 1.7 1.8 1.8
 Unemployment rate, 4Q 3.8 4.4 4.4 4.3 4.0
 Headline PCE inflation, 4Q to 4Q 5.4 2.8 2.3 2.0 2.0
 Core PCE inflation, 4Q to 4Q 4.5 3.1 2.3 2.1
The Federal Reserve balance sheet
USD trillions
$0
$1
$2
$3
$4
$5
$6
$7
$8
$9
$10
'03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24 '25
Treasuries
MBS
Other
Loans
 Balance sheet expansion under rounds of quantitative easing (QE), USD billions
Announced Terminated Length (m) Treasuries MBS Loans** Balance sheet
 QE1 11/25/2008 3/31/2010 16 $300 $1,074 $0 $1,403
 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
 QE4 3/23/2020 3/15/2022 24 $3,286 $1,343 $62 $4,779
Forecast*
Nominal and real U.S. 10-year Treasury yields
-5%
0%
5%
10%
15%
20%
'58 '61 '64 '67 '70 '73 '76 '79 '82 '85 '88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21
Sep. 30, 1981: 
15.84%
Sep. 30, 2022:
-2.52%
Sep. 30, 2022:
3.83%
Average
(1958 - YTD 2022) Sep. 30, 2022
 Nominal yields 5.79% 3.83%
 Real yields 2.13% -2.52%
 Inflation 3.65% 6.32%
Real 10-year U.S. Treasury yield
Nominal 10-year U.S. Treasury yield
Return Impact of a 1% rise or fall in interest rates
 U.S. Treasuries 9/30/2022 12/31/2021
2022 
YTD
Avg. 
Maturity
Correlation 
to 10-year
Correlation 
to S&P 500
Total return, assumes a parallel shift in the yield curve
 2-Year 4.22% 0.73% -4.59% 2 years 0.71 -0.25
 5-Year 4.06% 1.26% -10.79% 5 0.93 -0.21
 TIPS 1.68% -1.04% -13.61% 10 0.61 0.30
 10-Year 3.83% 1.52% -16.85% 10 1.00 -0.19
 30-Year 3.79% 1.90% -31.49% 30 0.93 -0.20
 Sector
 U.S. Aggregate 4.75% 1.75% -14.61% 8.5 0.85 0.18
 IG Corps 5.69% 2.33% -18.72% 11.0 0.50 0.46
 Convertibles 7.14% 3.66% -19.85% - -0.20 0.87
 U.S. HY 9.68% 4.21% -14.74% 5.7 -0.14 0.75
 Municipals 4.04% 1.11% -12.13% 12.8 0.47 0.20
 MBS 4.83% 1.98% -13.66% 8.1 0.78 0.09
 ABS 5.50% 1.96% -3.66% 2.3 0.11 -0.03
 Leveraged Loans 10.52% 4.60% -2.66% 2.5 -0.04 0.24
Yield
8.0%
2.7%
-1.1%
-3.1%
5.6%
5.4%
-1.4%
-1.4%
-12.2%
-4.2%
-1.3%
-0.3%
2.4%
13.0%
7.0%
10.8%
11.2%
13.8%
9.7%
12.8%
11.0%
24.2%
12.6%
10.5%
8.6%
6.2%
-20% -10% 0% 10% 20% 30%
Leveraged Loans
ABS
MBS
Municipals
U.S. HY
Convertibles
IG Corps
U.S. Aggregate
30Y UST
10Y UST
TIPS
5Y UST
2Y UST
1% fall
1% rise
U.S. Treasury yield curve
3.92%
4.05%
4.22% 4.25%
4.06%
3.97%
3.83%
4.08%
3.79%
0.19%
0.39%
0.73%
0.97%
1.26%
1.44%
1.52%
1.94% 1.90%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
Dec. 31, 2021
Yield range over past 10 years
Sep. 30, 2022
3m 1y 2y 3y 5y 7y 10y 20y 30y
Default rate and spread-to-worst
Percent
0%
4%
8%
12%
16%
20%
'90 '93 '96 '99 '02 '05 '08 '11 '14 '17 '20
Long-run avg. Sep. 30, 2022
 Default rate 3.59% 1.20%
 Spread-to-worst 5.69% 5.75%
 Recovery rate 39.90% 65.10%
Recession
Yield-to-worst across fixed income sectors
Percent, past 10 years
1.4%
3.8% 3.1%
2.7%
1.5%
1.0%
5.5%
6.3%
4.9%
4.5%
6.0%
5.7%
4.1%
6.8%
5.7%
4.8% 4.8%
4.2%
9.6%
7.3%
7.9%
9.0%
9.7%
10.5%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
U.S.
Treasuries
Municipals* IG corps MBS ABS Euro IG EMD ($) EMD (LCL) EM Corp Euro HY U.S. HY Leveraged
Loans
10-year median Current10-year range
Axis
16.0%
14.0%
12.0%
8.0%
4.0%
0.0%
2.0%
10.0%
6.0%
-2
-1
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Jul '21 Sep '21 Nov '21 Jan '22 Mar '22 May '22 Jul '22 Sep '22
Market pricing for central bank hikes in 2022
Number of 25bp hikes priced into OIS contracts for year-end 2022**
Fed
BoJ
ECB
BoE
-$2,000
-$1,000
$0
$1,000
$2,000
$3,000
$4,000
$5,000
$6,000
'16 '17 '18 '19 '20 '21 '22 '23
Forecast*
Developed market central bank bond purchases
USD billions, 12-month rolling flow
Fed
BoJ
ECB
BoE
Total
Global bond market
Aggregates 9/29/2022 12/31/2021 Local USD Duration
Correlation 
to 10-year
USD trillions
 U.S. 4.70% 1.75% -14.35% -14.35% 6.2 years 0.90
 Gbl. ex-U.S. 3.03% 1.07% - -23.40% 7.10 0.51
 Japan 0.58% 0.18% -3.15% -22.87% 9.30 0.56
 Germany 2.89% 0.05% -14.00% -26.14% 6.30 0.38
 UK 4.71% 1.18% -21.93% -36.40% 8.30 0.42
 Italy 3.95% 0.76% -16.65% -28.42% 6.10 0.23
 China 2.80% 2.75% 6.01% -8.95% 5.90 0.53
Sector
 Euro Corp. 4.30% 0.52% -14.85% -26.87% 4.5 years 0.34
 Euro HY 9.03% 3.55% -15.27% -27.24% 3.20 -0.05
 EMD ($) 9.60% 5.27% - -24.02% 5.70 0.26
 EMD (LCL) 7.36% 5.72% -9.53% -19.04% 4.80 0.14
 EM Corp. 7.85% 4.11% - -16.15% 4.80 0.14
Yield 2022 Return
$0
$10
$20
$30
$40
$50
$60
$70
$80
$90
$100
$110
$120
$130
$140
'89 '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
EM: $36tn
U.S.: $50tn
12/31/1989 3/31/2022
 U.S. 57.5% 36.3%
 Dev. ex-U.S. 41.3% 37.5%
 EM 1.2% 26.3%
Developed 
ex-U.S.: $52tn
Global bond market
Aggregates 9/30/2022 12/31/2021 Local USD Duration
Correlation 
to 10-year
USD trillions
 U.S. 4.75% 1.75% -14.61% -14.61% 6.2 years 0.90
 Gbl. ex-U.S. 3.00% 1.07% - -22.95% 7.10 0.54
 Japan 0.58% 0.18% -3.08% -22.89% 9.30 0.58
 Germany 2.83% 0.05% -13.71% -25.66% 6.30 0.43
 UK 4.66% 1.18% -21.60% -35.38% 8.40 0.47
 Italy 3.84% 0.76% -16.14% -27.76% 6.10 0.28
 China 2.82% 2.75% 7.07% -7.76% 5.90 0.56
Sector
 Euro Corp. 4.24% 0.52% -14.58% -26.41% 4.5 years 0.38
 Euro HY 9.01% 3.55% -15.11% -26.87% 3.20 0.00
 EMD ($) 9.57% 5.27% - -23.95% 5.80 0.31
 EMD (LCL) 7.31% 5.72% -9.32% -18.57% 4.80 0.17
 EM Corp. 7.86% 4.11% - -16.21% 4.90 0.19
Yield 2022 Return
$0
$10
$20
$30
$40
$50
$60
$70
$80
$90
$100
$110
$120
$130
$140
'89 '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
12/31/1989 12/31/2021
 U.S. 57.6% 35.9%
 Dev. ex-U.S. 41.3% 38.3%
 EM 1.2% 25.8%
EM: $35tn
Developed 
ex-U.S.: $52tn
U.S.: $49tn
Muni tax-equivalent and Treasury yield curves State and local and federal net debt
% of GDP, 1930-2021, end of fiscal year
5.2%5.3%
5.3%5.4%
5.7%
7.2%
7.5%
3.3%
4.2%
4.1%4.0%
3.8%
4.1%
3.8%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
Muni tax-equivalent yield curve
U.S. Treasury yield curve
3m 1y 2y 3y 5y 7y 10y 20y 30y
0%
20%
40%
60%
80%
100%
120%
'30 '36 '42 '48 '54 '60 '66 '72 '78 '84 '90 '96'02 '08 '14 '20
Federal debt
State and local debt
Dec. 2021:
99.6%
Dec. 2021:
14.0%
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
16
3
1 2
3
6
33
8
15
22
15
3
8
15
9
16
7
10
-3
19
4
10
9
-1
12
8
10
4 4
2
4
7
5 6
7
8
4
-2
6
1
3 4
0
9
8
-2
-15
-1
-2 -2
-7
-9
-4
-2
-4
-5
-2 -2
-5
-2 -2 -3
-1
-2 -2
-7
-2
-4
-2 -3
-4
-3
-4
-2
-5 -5
-2 -2 -2
-5
-2
-3
-2 -1
-5
-1
-3
-4
-2
-3
-2 -2
-4
-15
-20%
-10%
0%
10%
20%
30%
40%
'76 '81 '86 '91 '96 '01 '06 '11 '16 '21
Returns
Local USD Local USD Ann. Beta
Regions
U.S. (S&P 500) - -23.9 - 28.7 10.7 0.90
AC World ex-U.S. -15.8 -26.2 13.5 8.3 4.2 1.07
EAFE -14.1 -26.8 19.2 11.8 4.1 1.04
Europe ex-UK -21.0 -31.2 24.4 16.5 4.8 1.18
Emerging markets -20.5 -26.9 0.1 -2.2 4.8 1.18
Selected Countries
United Kingdom -1.3 -18.6 19.6 18.5 2.3 1.02
France -17.1 -28.6 29.7 20.6 4.7 1.22
Germany -27.0 -37.1 13.9 5.9 4.7 1.31
Japan -7.1 -26.1 13.8 2.0 3.4 0.72
China -29.4 -31.1 -21.6 -21.6 5.8 1.10
India -0.8 -9.4 28.9 26.7 6.7 1.26
Brazil 8.6 11.8 -11.2 -17.2 0.9 1.50
Korea -27.8 -40.0 0.8 -7.9 5.9 1.49
2022 YTD 2021 15-years
Weights in MSCI All Country World Index
% global market capitalization, float adjusted
Europe ex-
UK
11%
Japan 5%
Pacific 3%
Canada 3%
United 
States
62%
Emerging 
markets
11%
Representation of key sectors in international markets
% of index market capitalization
26%
11%
28%
18%
7%
13% 11%
1% 0%
11%
21%
14%
23%
10% 10%
27%
25%
48%
7%
14%
9%
14% 14%
5%
20%
33%
21%
0%
20%
40%
60%
S&P
500
ACWI
ex-U.S.
EM
North
Asia
EM Europe Japan EM
South
Asia
EM
LATAM
EM
EMEA
Technology Financials Commodities 
 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
World ex-U.S.
Difference
60
65
70
75
80
85
90
95
100
105
110
115
-4%
-3%
-2%
-1%
0%
1%
2%
3%
4%
5%
6%
'84 '87 '90 '93 '96 '99 '02 '05 '08 '11 '14 '17 '20 '23
U.S. - International GDP growth U.S. dollar 
41.4%
21.4%
17.1%
27.2%
17.1%
-45.2%
42.1%
11.6%
-13.3%
17.4%
15.8%
-3.4%
-5.3%
5.0%
27.8%
-13.8%
22.1%
11.1%8.3%
-26.2%
-60%
-40%
-20%
0%
20%
40%
60%
'03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Local currency return
Currency return
U.S. dollar return
'87-'91 92-'00 01-'11 12-'19 20-'25
U.S. 2.6% 3.7% -1.1% 2.4% 1.9%
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%
MSCI EAFE and MSCI USA relative performance
U.S. dollar, total return, cumulative outperformance*
-50%
0%
50%
100%
150%
200%
250%
300%
350%
400%
'71 '76 '81 '86 '91 '96 '01 '06 '11 '16 '21
210%
(15.0 years)
64%
(7.3 years)
220%
(6.2 years)
(1.4 years)
36%
99%
(4.2 years)
(6.1 years)
374%
51%
(4.0 years)
89%
(2.0 years)
28%
(3.3 years)
80%
(2.5 years)
U.S. outperformance
EAFE outperformance
Regime change determined when there is sustained outperformance
of one region over the other for a cumulative 12 months. 
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
Sep. 30, 2022: 
-28.8%
-40%
-35%
-30%
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
'02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
+1 Std. dev: -7.0%
Average: -14.8%
-1 Std. dev: -22.6%
-2 Std. dev.: -30.3%
-3 Std. dev.: -38.1%
Sep. 30, 2022: 
1.9%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2.0%
'02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
+1 Std. dev.: 1.4%
Average: 1.2%
-1 Std. dev.: 0.9%
+2 Std. dev: 1.6%
20 yr. avg. P/E 
ratio
Current P/E 
ratio
S&P 500 15.4x 15.1x
ACWI ex-U.S. 13.1x 10.8x
Global earnings growth Global valuations 
Calendar year consensus estimates Current and 25-year next 12 months price-to-earnings ratio
15.1x
11.8x
10.5x 10.4x
9.6x
21.2x
14.7x 14.6x
11.8x 11.7x
5x
9x
13x
17x
21x
25x
29x
33x
37x
U.S. Japan Europe EM China
25-year average
49x
25-year range
12/31/2021
Current
8%
4%
8%
7%
8%8%
16%
4%
2%
5%
9%
14%
12%
6%
6%
34%
40%
50%
53%
57%
0%
15%
30%
45%
60%
0%
5%
10%
15%
20%
U.S. China EM Europe Japan
2022
2023
2024
% cyclical sectors* (RHS)
 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
Change in international sector weightings
% point change from Dec. 31, 2005
-12%
2%
-1%
2%
0%
1%
8%
-4%
-11%
4%
1% 1%
6%
2%
-15%
-10%
-5%
0%
5%
10%
15%
Commod. Financials Indust. Other Tech Health
Care
Consumer
EAFEEM
50
100
150
200
250
300
350
400
450
500
550
'14 '15 '16 '17 '18 '19 '20 '21
EM Asia tech
U.S. growth
European luxury goods 
AC World ex-U.S.
European renewable energy
44%
50%
60%
67%
0%
20%
40%
60%
80%
Europe Japan U.S. EM
Aug Sep*
Global 49.3 49.5
Manufacturing 50.3 50.1
Services 49.2 49.9
DM 46.9 -
EM 53.4 -
U.S. 44.6 49.3
Japan 49.4 50.9
UK 49.6 48.4
Euro Area 48.9 48.2
Germany 46.9 45.9
France 50.4 51.2
Italy 49.6 -
Spain 50.5 -
China 53.0 -
India 58.2 -
Brazil 53.2 -
Russia 50.4 -
D
e
v
e
lo
p
e
d
2020 2021 2022
E
m
e
rg
in
g
2022
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Global Composite (manufacturing & services combined) Purchasing Managers’ Index, quarterly
Year-over-year headline inflation by country and region, quarterly 
Jul Aug
Global 7.7% 7.6%
DM 8.0% 8.0%
EM 5.6% 5.3%
U.S. 8.5% 8.3%
Canada 7.6% 7.0%
Japan 2.6% 3.0%
UK 10.1% 9.9%
Euro Area 8.9% 9.1%
Germany 8.5% 8.8%
France 6.8% 6.6%
Italy 8.4% 9.1%
Spain 10.7% 10.5%
Greece 11.3% 11.2%
China 2.7% 2.5%
Indonesia 4.9% 4.7%
Korea 6.3% 5.7%
Taiwan 3.7% 3.2%
India 6.7% 7.0%
Brazil 10.1% 8.7%
Mexico 8.2% 8.7%
Russia 15.1% 14.3%
201820172010 2011 2012 2013 2014
E
m
e
rg
in
g
D
e
v
e
lo
p
e
d
2009 2015 2016 2019 2020 2021 2022
2022
Global PMI suppliers’ delivery times*
Figure shown is 100 - Global PMI suppliers’ delivery times index
Global PMI input and output prices**
'05 '07 '09 '11 '13 '15 '17 '19 '21
40
45
50
55
60
65
70
Aug. 
2022:
55.2
Slower 
delivery time
Faster
delivery time
40
45
50
55
60
65
70
75
'10 '12 '14 '16 '18 '20 '22
Input prices
Output prices
Aug. 2022: 
55.2
Aug.
2022: 
44.8
Prices rising
Prices falling
Growth of the middle class
Percent of total population
Regional contribution to middle class growth: 2020 to 2030
Millions of people
1%
4%
0%
30%
40%
21%
30%
41%
55%
73%
79%
41%
72%
61%
79%
0%
20%
40%
60%
80%
100%
India Indonesia China Brazil Mexico
1995 2020F 2030F
India,
883
China,
453
Rest of 
Asia, 133
80
57
32 10 -3
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
Asia Pacific Sub-Saharan
Africa
Middle East
and North
Africa
Central and
South America
North America Europe
6%
10%
14%
18%
22%
26%
'09 '11 '13 '15 '17 '19 '21
China real GDP contribution
Year-over-year % change for GDP, contribution to GDP for components
Monetary stimulus: Reserve requirement ratio
Large banks Small and medium banks
Fiscal stimulus: Fiscal deficit*
% GDP
-18%
-16%
-14%
-12%
-10%
-8%
-6%
-4%
-2%
0%
'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21F
-14%
-18%
-16%
-14%
-12%
-10%
-8%
-6%
-4%
-2%
0%
'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22F
-12%
0.4%
-4.0%-1.1%
-0.6%
0.2%
-0.2%-0.1%
0.5%
-0.9%
0.3%
-0.5%
0.7%0.6% 1.7%
0.2%
1.0%
4.2% 5.4% 5.0%
6.3%
4.4%
3.9% 4.2%
4.9%
4.6% 4.0% 4.4%
3.5%
-0.5%
5.3%
3.3%
-0.8%
5.1%
8.0%
6.7% 3.9%
3.3%
4.1% 3.3%
1.6% 3.1%
2.6%
2.8%
1.9%
2.2%
1.1%
1.3%
0.3%
9.7%
9.4%
10.6%
9.6%
7.9% 7.8%
7.4%
7.0%
6.8%
6.9%
6.7%6.1%
2.3%
8.1%
4.8%
0.4%
-5%
0%
5%
10%
15%
3Q21 4Q21 1Q22 2Q22
Investment 0.4% -0.5% 1.3% 0.3%
Consumption 0.7% 1.1% 3.3% -0.8%
Net exports 3.8% 3.4% 0.2% 1.0%
Total GDP 4.9% 4.0% 4.8% 0.4%
Latin 
America
12%
Asia ex-China, 
Korea & Taiwan
18%
A-shares
2%H-shares 
10%
Red-chips
4%
P-chips 8%
Foreign 
listed
8%
Korea
12%
EMEA 12% 
Taiwan
15%
Latin 
America
11%
Asia ex-China, 
Korea & Taiwan
17%
A-shares
4%
H-shares
8%
Red-chips
4%
P-chips
8%
Foreign 
listed
9%
Korea
12%
Taiwan
12%
EMEA
15%
MSCI Emerging Markets Index: Inclusion of China A-shares 
Weight of China in bond universe and bond indices 
May 2019
China: 32%
November 2019
China: 34%
U.S.
Europe, 
Middle East & 
Africa
Latin 
America
China
Other
Asia ex-
China
14% 8% 10% 7% 5%
18%
18%
30% 36%
14%
3%
1%
29% 25%
33%
25%
30%
29% 32%
48%36% 38%
5% 6%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Global bond universe Global aggregate Local EMD sovereigns USD EMD corporates USD EMD sovereigns
September 2022
China: 32%
Latin 
America
8%
Asia ex-China, 
Korea & Taiwan
17%
A-shares 
5%
H-
shares 
7%
Red-
chips 
2%
P-chips 
15%
Foreign 
listed 
3%
Korea
13%
Taiwan
15%
EMEA
14%
https://am.jpmorgan.com/us/en/asset-management/institutional/resources/china/guide/
U.S. 
Large 
Cap EAFE EME Bonds
Corp. 
HY Munis Currcy. EMD Cmdty. REITs
Hedge 
funds
Private 
equity Gold
Ann. 
Volatility
U.S. Large Cap 1.00 0.89 0.76 0.25 0.85 0.34 -0.42 0.68 0.43 0.77 0.84 0.79 0.09 0.15
EAFE 1.00 0.90 0.24 0.87 0.37 -0.57 0.75 0.47 0.64 0.86 0.82 0.17 0.15
EME 1.00 0.30 0.82 0.42 -0.69 0.80 0.49 0.52 0.76 0.76 0.37 0.18
Bonds 1.00 0.37 0.86 -0.35 0.66 -0.18 0.41 -0.02 -0.08 0.56 0.04
Corp. HY 1.00 0.45 -0.49 0.86 0.50 0.68 0.81 0.72 0.26 0.08
Munis 1.00 -0.34 0.74 -0.12 0.55 0.14 0.16 0.47 0.04
Currencies 1.00 -0.57 -0.44 -0.20 -0.32 -0.53 -0.55 0.06
EMD 1.00 0.29 0.61 0.57 0.54 0.50 0.08
Commodities 1.00 0.32 0.62 0.58 0.34 0.17
REITs 1.00 0.59 0.54 0.17 0.16
Hedge funds 1.00 0.81 0.03 0.05
Private equity 1.00 0.04 0.08
Gold 1.00 0.15
2y UST
5y UST 10y UST
30y UST
TIPS
Floating rate
U.S. HY
MBS
U.S. Aggregate
Munis 
U.S. corps
Convertibles
Japan
Germany
UK
Euro Corp.
Euro HY
EMD (LCL)
EMD ($)
EM Corp.
Direct lending
Infra.
U.S. Real estate
APAC Real estate
Europe Real estate
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
-0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0
Equity market correlations and yields
Hedge-adjusted yield, last 12 months, 10-year correlations, quarterly
H
e
d
g
e
-a
d
ju
s
te
d
y
ie
ld
Correlation to S&P 500
Higher yielding 
sectors
Stronger correlation
to equities
International
U.S. government 
U.S. non-government
Alternatives
Hedge fund returns in different market environments
Average return in up and down months for Bloomberg Agg.
Alternative asset class yields Hedge fund returns in different market environments
Average return in up and down months for S&P 500 
1.2%
-1.5%
3.3%
-4.3%
-6%
-4%
-2%
0%
2%
4%
S&P 500 up S&P 500 down
0.6%
-0.1%
0.9%
-0.8%-1.0%
-0.5%
0.0%
0.5%
1.0%
Bloomberg Agg up Bloomberg Agg down
14.7%
8.70%
5.1%
4.1%
3.7% 3.7%
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
11%
12%
13%
14%
15%
16%
HFRI FW Comp.
S&P 500
HFRI FW Comp.
Bloomberg U.S. Agg.
Bloomberg Commodity Index
Since index inception, total returns
Commodity prices
Bloomberg commodity index constituents 
120
180
240
300
360
420
480
'01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Sub-indices
Energy $45.81 48.3% -26.1%
WTI crude oil $84.53 17.9% -30.4%
Natural gas $0.29 85.1% -25.0%
Brent crude $459.25 30.9% -24.3%
Low sulphur gas oil $296.33 70.4% -22.3%
RBOB gasoline $423.18 30.5% -30.9%
ULS diesel $4.89 35.2% -11.7%
Grains $49.30 17.2% -12.4%
Corn $13.76 21.4% -7.1%
Soybeans $75.78 17.4% -21.1%
Soybean meal $775.95 8.1% 0.2%
Wheat $45.81 12.4% -16.9%
Soybean oil $94.26 25.5% -15.5%
HRW w heat $130.02 7.3% -22.3%
Industrial metals $143.44 -17.0% -22.1%
Copper $305.35 -24.3% -22.6%
Aluminum $30.47 -23.5% -21.7%
Zinc $96.19 -12.9% -18.5%
Nickel $200.98 1.8% -25.1%
Precious metals $473.06 -10.9% -10.5%
Gold $180.72 -10.2% -10.8%
Silver $169.75 -19.8% -13.7%
Softs $47.18 -1.7% -11.5%
Sugar $91.08 -3.0% -7.6%
Coffee $13.70 -0.4% -3.9%
Cotton $30.51 -8.6% -31.4%
Livestock $21.98 -2.0% -0.6%
Live cattle $54.50 -3.2% -0.1%
Lean hogs $3.96 0.1% -3.3%
Constituents
Current 
price level
YTD change
Change 
since 
6/9/2022*
Bloomberg Commodity Index
Jun. 9, 2022
293
Mar. 18, 2020
127
Apr. 29, 2011
353
Mar. 2, 2009
293
Jul. 2, 2008
474
Nov. 5, 2001
148
+131%
-64%
+72%
-57%
+220%
Sep. 30, 2022
241
-18%
U.S. real estate cap rate spreads
Transaction based, spread to 10y UST, 4-quarter rolling average
U.S. vacancy rates by property type
Percent
Apartment
Industrial
Office
Retail
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
0%
1%
2%
3%
4%
5%
'98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Average: 2.9%
Jun. 2022: 
2.3%
https://am.jpmorgan.com/us/en/asset-management/adv/insights/market-insights/guide-to-alternatives/
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 YTD Ann. Vol.
EM 
Equity
Fixed 
Income
EM 
Equity
REITs REITs REITs
Small 
Cap
REITs REITs
Small 
Cap
EM 
Equity
Cash
Large 
Cap
Small 
Cap
REITs Comdty.
Large 
Cap
REITs
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% 13.6% 10.6% 23.2%
Comdty. Cash
High 
Yield
Small 
Cap
Fixed 
Income
High 
Yield
Large 
Cap
Large 
Cap
Large 
Cap
High 
Yield
DM 
Equity
Fixed 
Income
REITs
EM 
Equity
Large 
Cap
Cash
Small 
Cap
EM 
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% 0.6% 8.7% 22.9%
DM 
Equity
Asset 
Alloc.
DM 
Equity
EM 
Equity
High 
Yield
EM 
Equity
DM 
Equity
Fixed 
Income
Fixed 
Income
Large 
Cap
Large 
Cap
REITs
Small 
Cap
Large 
Cap
Comdty.
Fixed 
Income
REITs
Small 
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% -14.6% 7.5% 22.5%
Asset 
Alloc.
High 
Yield
REITs Comdty.
Large 
Cap
DM 
Equity
Asset 
Alloc.
Asset 
Alloc.
Cash Comdty.
Small 
Cap
High 
Yield
DM 
Equity
Asset 
Alloc.
Small 
Cap
Asset 
Alloc.
High 
Yield
Comdty.
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% -19.1% 6.6% 19.1%
Fixed 
Income
Small 
Cap
Small 
Cap
Large 
Cap
Cash
Small 
Cap
High 
Yield
Small 
Cap
DM 
Equity
EM 
Equity
Asset 
Alloc.
Large 
Cap
Asset 
Alloc.
DM 
Equity
Asset 
Alloc.
High 
Yield
Asset 
Alloc.
DM 
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% -19.1% 6.1% 18.9%
Large 
Cap
Comdty.
Large 
Cap
High 
Yield
Asset 
Alloc.
Large 
Cap
REITs Cash
Asset 
Alloc.
REITs
High 
Yield
Asset 
Alloc.
EM 
Equity
Fixed 
Income
DM 
Equity
Large 
Cap
EM 
Equity
Large 
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% -23.9% 4.8% 16.9%
Cash
Large 
Cap
Asset 
Alloc.
Asset 
Alloc.
Small 
Cap
Asset 
Alloc.
Cash
High 
Yield
High 
Yield
Asset 
Alloc.
REITs
Small 
Cap
High 
Yield
High 
Yield
High 
Yield
Small 
Cap
DM 
Equity
High 
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% -25.1% 4.1% 12.2%
High 
Yield
REITs Comdty.
DM 
Equity
DM 
Equity
Fixed 
Income
Fixed 
Income
EM 
Equity
Small 
Cap
Fixed 
Income
Fixed 
Income
Comdty.
Fixed 
Income
Cash Cash
DM 
Equity
Fixed 
Income
Asset 
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% -26.8% 4.1% 11.7%
Small 
Cap
DM 
Equity
Fixed 
Income
Fixed 
Income
Comdty. Cash
EM 
Equity
DM 
Equity
EM 
Equity
DM 
Equity
Comdty.
DMEquity
Comdty. Comdty.
Fixed 
Income
EM 
Equity
Cash
Fixed 
Income
-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% -26.9% 0.8% 3.3%
REITs
EM 
Equity
Cash Cash
EM 
Equity
Comdty. Comdty. Comdty. Comdty. Cash Cash
EM 
Equity
Cash REITs
EM 
Equity
REITs Comdty. Cash
-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% -27.9% -2.6% 0.7%
2007 - 2021
-39%
-8%
-15%
-3% -2%
1%
-1% 1%
2%
6%
1%
5%
47%
43%
33%
28%
23% 21%
19%
16% 16% 17%
12%
14%
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
1-yr. 5-yr.
rolling
10-yr.
rolling
20-yr.
rolling
Range of stock, bond and blended total returns
Annual total returns, 1950 - 2021
Annual avg. 
total return
Growth of $100,000 over 
20 years
Stocks 11.5% $880,148
Bonds 5.8% $308,786
50/50 portfolio 9.0% $562,115
Equities vs. 60/40 portfolio: Last 20 years’ daily market performance by decile
20-year annualized returns by asset class (2002 – 2021)
11.2%
10.0%
9.5% 9.4%
8.2%
7.4%
6.8%
6.4%
4.3% 4.2%
3.6%
2.2%
1.8%
1.2%
0%
2%
4%
6%
8%
10%
12%
REITs EM Equity S&P 500 Small Cap High Yield 60/40 DM Equity 40/60 Bonds Homes Average
Investor
Inflation Commodity Cash
-1.15%
-0.58%
-0.26%
-0.06%
0.05%
0.21%
0.43%
0.71%
1.19%
-0.66%
-0.34%
-0.16%
-0.03%
0.04%
0.14%
0.26%
0.42%
0.71%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
10th 20th 30th 40th 50th 60th 70th 80th 90th
S&P 500
60/40 portfolio*
10.0%
5.4%
3.3%
0.5% 0.3%
5.5%
3.0%
2.6%
1.8%
5.0%
9.6%
7.0%
6.7%
3.6%
2.1%
8.3%
5.3%
4.1%
2.9% 2.9%
5.8%
2.9%
2.8%
2.1%
4.6%
0%
2%
4%
6%
8%
10%
12%
1980s 1990s 2000s 2010s 2020s so far*
Average annualized return on 6-month CD vs. annualized CPI inflation and subcomponents
By decade, derived from subcomponents of the consumer price index
6-mo. CD rate
Education inflation
Headline inflation
Medical inflation 
Housing inflation
Percent of Republicans and Democrats who rate national economic conditions as excellent or good
Percent
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
Republican / Lean Republican
Total
Democrat / Lean Democrat
5%
13%
20%
Avg. ann. return
Jan. ’01 – Jan. ’09 -4.5%
Jan. ’09 – Jan. ’17 16.3%
Jan. ’17 – Jan. '21 16.0%
Jan. '21 - today -2.7%
Last 30 years 10.6%
Election DayElection Day Election Day
U.S. Equity: 
46.6%
Non-U.S. 
Equity: 
14.0%
U.S. Bond: 
25.2%
Non-U.S. 
Bond: 4.5%
Cash: 7.8%
Other*: 2.0%
-2.7%
-2.0%
-2.0%
0.9%
1.3%
2.5%
-3.5% -2.0% -0.5% 1.0% 2.5% 4.0%
Large Blend
Foreign Large Blend
Interm. Core-Plus Bond
Cash
Large Value
Interm. Core Bond
Asset allocation: Current portfolio positioning
Average moderate (60/40) allocation as of June 2022
Biggest portfolio shifts
Largest % allocation changes by Morningstar category, last 3 months**
-2.7%
-2.0%
-2.0%
0.9%
1.3%
2.5%
-3.5% -2.0% -0.5% 1.0% 2.5% 4.0%
Large Blend
Foreign Large Blend
Interm. Core-Plus Bond
Cash
Large Value
Interm. Core Bond
0%
1%
2%
3%
4%
5%
6%
7%$0.0
$0.4
$0.8
$1.2
$1.6
$2.0
$2.4
'00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
5.0%
5.5%
6.0%
6.5%
7.0%
7.5%
8.0%
8.5%
9.0%
9.5%
'92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
Pension return assumptions 
Asset allocation: Corporate DB plans. endowments Corporate pension liabilities and 10-year UST yield
2.9%
3.3%
3.7%
4.3%
3.8%
49.9%
32.1%
4.4%
15.7%
5.4%
12.3%
18.0%
9.0%
35.2%
0% 10% 20% 30% 40% 50% 60%
Cash
Other Alternatives
Real Estate
Private Equity
Hedge Funds
Fixed Income
Equities
Endowments
Corporate DB plans
10yr UST (inv.)
Liabilities ($tn)
State & local governments
S&P 500 companies
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. 
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-adjustedmarket 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.
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 betweensecurities, 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.
J.P. Morgan Asset Management is the brand for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
To the extent permitted by applicable law, we may record telephone calls and monitor electronic communications to comply with our legal and regulatory obligations and internal policies. Personal data will be collected, stored and 
processed by J.P. Morgan Asset Management in accordance with our privacy policies at https://am.jpmorgan.com/global/privacy.
This communication is issued by the following entities: 
In the United States, by J.P. Morgan Investment Management Inc. or J.P. Morgan Alternative Asset Management, Inc., both regulated by the Securities and Exchange Commission; in Latin America, for intended recipients’ use only, 
by local J.P. Morgan entities, as the case may be. In Canada, for institutional clients’ use only, by JPMorgan Asset Management (Canada) Inc., which is a registered Portfolio Manager and Exempt Market Dealer in all Canadian 
provinces and territories except the Yukon and is also registered as an Investment Fund Manager in British Columbia, Ontario, Quebec and Newfoundland and Labrador. In the United Kingdom, by JPMorgan Asset Management 
(UK) Limited, which is authorized and regulated by the Financial Conduct Authority; in other European jurisdictions, by JPMorgan Asset Management (Europe) S.à r.l. In Asia Pacific (“APAC”), by the following issuing entities and in 
the respective jurisdictions in which they are primarily regulated: JPMorgan Asset Management (Asia Pacific) Limited, or JPMorgan Funds (Asia) Limited, or JPMorgan Asset Management Real Assets (Asia) Limited, each of which 
is regulated by the Securities and Futures Commission of Hong Kong; JPMorgan Asset Management (Singapore) Limited (Co. Reg. No. 197601586K), this advertisement or publication has not been reviewed by the Monetary 
Authority of Singapore; JPMorgan Asset Management (Taiwan) Limited; JPMorgan Asset Management (Japan) Limited, which is a member of the Investment Trusts Association, Japan, the Japan Investment Advisers Association, 
Type II Financial Instruments Firms Association and the Japan Securities Dealers Association and is regulated by the Financial Services Agency (registration number “Kanto Local Finance Bureau (Financial InstrumentsFirm) No. 
330”); in Australia, to wholesale clients only as defined in section 761A and 761G of the Corporations Act 2001 (Commonwealth), by JPMorgan Asset Management (Australia) Limited (ABN 55143832080) (AFSL 376919). For all 
other markets in APAC, to intended recipients only.
For U.S. only: If you are a person with a disability and need additional support in viewing the material, please call us at 1-800-343-1113 for assistance.
Copyright 2022 JPMorgan Chase & Co. All rights reserved
Google assistant is a trademark of Google Inc.
Amazon, Alexa and all related logos are trademarks of Amazon.com, Inc. or its affiliates.
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 September 30, 2022 or most recently available.
Guide to the Markets – U.S.
JP-LITTLEBOOK | 0903c02a82565a44
https://am.jpmorgan.com/global/privacy