Escolar Documentos
Profissional Documentos
Cultura Documentos
As at 31 December 2014
Europe
Asia
Stephanie H. Flanders
Tai Hui
Andrew D. Goldberg
Geoff Lewis
Vincent Juvyns
Yoshinori Shigemi
Julio C. Callegari
Ian Hui
David M. Lebovitz
Ben Luk
Gabriela D. Santos
Lucia Gutierrez
Ainsley E. Woolridge
Hannah J. Anderson
Alexander W. Dryden
Abigail B. Dwyer
Nandini L. Ramakrishnan
New York
New York
Houston
Chicago
So Paulo
New York
New York
New York
New York
New York
London
Milan
Luxembourg
Madrid
Frankfurt
London
Hong Kong
Hong Kong
Tokyo
Hong Kong
Hong Kong
Hong Kong
Madrid
London
London
London
Past performance is no guarantee of comparable future results. For China and Australia distribution, please note this communication is
for intended recipients only and is for wholesale clients only in Australia. For details, please refer to the full disclaimer at the end.
Unless otherwise stated, all data is as at 31 December 2014 or most recently available.
Page Reference
European Economy
3.
4.
5.
6.
7.
8.
9.
10.
Global Economy
11.
12.
13.
14.
15.
16.
17.
18.
19.
20.
21.
22.
23.
24.
25.
26.
27.
28.
29.
30.
31.
32.
33.
34.
Equities
35.
36.
37.
38.
39.
40.
41.
42.
43.
44.
45.
46.
47.
48.
49.
50.
51.
52.
53.
Fixed Income
54.
55.
56.
57.
58.
59.
60.
61.
62.
63.
64.
Europe Economy
Inflation
Avg since
1999
3Q14
0,3%
0,3%
Real GDP
1,0
Avg since
1999
Nov 2014
Headline CPI*
2,4%
0,4%
Core CPI
1,9%
0,8%
Average
4
0,5
0,0
3
-0,5
-1,0
2
-1,5
-2,0
-2,5
-3,0
'99
'01
'03
'05
'07
'09
'11
'13
0
'99
'01
'03
'05
'07
Source: (Both charts) Eurostat, FactSet, J.P. Morgan Asset Management. *CPI is the Consumer Price Index. Core CPI is defined as CPI excluding unprocessed food
and energy. Guide to the Markets - Europe. Data as at 31 December 2014.
'09
'11
'13
Europe Economy
Economic sentiment
Index level
65
Index level
120
Germany
Italy
France
Spain
Greece
60
110
55
50
100
45
90
40
35
Germany
Italy
30
France
Spain
Greece
25
'07
'08
'09
'10
'11
Unemployment rate
'12
'13
70
'07
'14
12
'11
'10
'12
'14
'13
France
Germany
'09
'08
'15
Retail sales
Eurozone
14
80
Oct 2014:
1,4%
%
2
10
0
-2
6
4
'99
-4
'01
'03
'05
'07
'09
'11
'13
-6
'00
'01
'02
'03
'04
'05
'06
'07
'08
Source: (Top left) Markit, J.P. Morgan Asset Management. (Bottom left) Eurostat, J.P. Morgan Asset Management. (Top right) European Commission, FactSet,
J.P. Morgan Asset Management. (Bottom right) Eurostat, FactSet, J.P. Morgan Asset Management. Guide to the Markets - Europe. Data as at 31 December 2014.
'09
'10
'11
'12
'13
'14
Europe Economy
100
110
%
3
105
Stronger
loan demand
100
50
95
90
Non-periphery banks
Eurozone aggregate
85
Periphery banks
1
0
80
'10
'11
'12
-1
-2
15
%
12
-3
'13
-50
-4
-5
Weaker loan
demand
-6
'04
'06
'07
'08
'09
'11
'12
'13
3
0
-3
-150
'03
House purchases
Non-financial companies
'14
-6
'03
'04
'05
'06
'07
'08
'09
'10
'11
Source: (Left) ECB, Eurostat, FactSet, J.P. Morgan Asset Management. (Top and bottom right) ECB, FactSet, J.P. Morgan Asset Management. Guide to the Markets - Europe.
Data as at 31 December 2014.
'12
'13
'14
Europe Economy
Eurozone Divergences
Corporate lending rates
Gross exports
6,5
120
Periphery
5,5
110
100
4,5
Spain
Portugal
Germany
90
3,5
Core
2,5
'05
'06
'07
'08
'09
'10
'11
'12
'13
'14
80
70
'07
'08
'09
'10
Italy
Ireland
France
'11
'12
'13
Inflation
30
%
25
'14
Greece
Spain
Portugal
20
Core
Italy
15
Ireland
1
10
0
-1
Periphery
-2
'05
'06
'07
'08
'09
'10
'11
'12
'13
'14
5
0
'99
'01
'03
'05
'07
'09
Source: (Top left) ECB, Thomson Reuters Datastream, J.P. Morgan Asset Management. (Bottom left, top and bottom right) Eurostat, FactSet, J.P. Morgan Asset Management.
Core includes Germany and France; periphery includes Spain, Italy, Greece, Portugal and Ireland. All aggregations are based on simple averages. Guide to the Markets Europe. Data as at 31 December 2014.
'11
'13
Europe Economy
LTRO
25
20
Greece
Portugal
Italy
UK
Spain
Ireland
Germany
31 Dec 2014
yield
9,4%
2,7
1,9
1,8
1,6
1,2
0,5
One-year
change
+115 bps
-336
-221
-127
-253
-221
-139
OMT
15
TLTRO
10
0
'06
'07
'08
'09
'10
'11
'12
Source: Tullett Prebon, FactSet, J.P. Morgan Asset Management. The ECB announced the second round of Long-Term Refinancing Operations (LTRO) in February 2012.
The Outright Monetary Transaction (OMT) programme was formally outlined in September 2012. The ECB conducted the first round of Targeted Long-Term Refinancing
Operations (TLTRO) in September 2014. Guide to the Markets - Europe. Data as at 31 December 2014.
'13
'14
Europe Economy
trillions
3,5
trillions
ABS
Covered bonds
3,0
1
2,5
0
'03
'04
'05
'06
'07
'08
'09
'10
'11
'12
'13
Q2
2014
115
1,5
1,0
'05
'06
'07
'08
'09
'10
'11
'12
'13
'14
1,6
105
2,0
100
2,4
95
0,5
'04
110
90
'07
Euro REER
(lhs)
'08
'09
2,8
'10
'11
'12
Source: (Left) ECB, FactSet, J.P. Morgan Asset Management. (Top right) ECB, European Covered Bond Council (ECBC), Security Industry and Financial Markets Association
(SIFMA), J.P. Morgan Asset Management. (Bottom right) ECB, J.P. Morgan Economic Research, J.P. Morgan Asset Management. *ABS is asset-backed securities. Yearly
covered bond amounts are from ECBC and 2Q14 amount is from ECB. Guide to the Markets - Europe. Data as at 31 December 2014.
'13
3,2
'14
Europe Economy
3,5
5.000
Income
Inflation (y/y)
2007: 4.580
4.000
3,0
2,5
Nov 2014:
1,5tn
2,0
3.000
Dec 2014:
365
1,5
2.000
1.000
1,0
0,5
0,0
'06
'07
'08
'09
'10
'11
'12
'13
'14
'00
'02
'04
'06
'08
Source: (Left) ECB, J.P. Morgan Asset Management. (Right) Bloomberg, Eurostat, J.P. Morgan Asset Management. Orange marker points represent year on year inflation
and illustrates how the value of income would have been eroded due to inflation. Guide to the Markets - Europe. Data as at 31 December 2014.
'10
'12
'14
Europe Economy
Asia
10%
320
Europe
54%
300
Americas
25%
280
260
Average: 261%
4Q14:
4,6x
240
220
5
Average: 4,1x
4Q14:
186%
200
3
2
'97
'99
'01
'03
'05
'07
'09
'11
'13
180
'97
'99
'01
'03
'05
'07
'09
Source: (Top left) MSCI, Thomson Reuters Datastream, Worldscope, J.P. Morgan Asset Management. (Right and bottom left) MSCI, FactSet, J.P. Morgan Asset Management.
*RoW denotes revenues coming from the world excluding Europe, Asia and the Americas. Guide to the Markets - Europe. Data as at 31 December 2014.
10
'11
'13
Global Economy
Gross domestic
product (GDP)
Switzerland
Sweden
United States
Netherlands
United Kingdom
Germany
Finland
France
Japan
Eurozone
Italy
Spain
Greece
Russia
Brazil
China
India
Real GDP
%
Inflation
%
per
capita
billions
2014*
2015*
2014*
2015*
62.449
44.677
44.028
41.076
37.588
37.114
36.685
35.611
28.969
28.885
27.516
23.471
18.700
11.366
8.919
5.742
1.253
499
431
13.932
690
2.383
3.049
193
2.248
3.687
11.188
1.692
1.112
201
1.631
1.793
7.749
1.530
1,8
1,9
2,3
0,7
3,0
1,5
-0,2
0,4
0,3
0,8
-0,4
1,3
0,3
0,5
0,2
7,4
5,4
1,8
2,4
3,0
1,4
2,6
1,2
0,7
0,8
1,0
1,1
0,4
1,8
1,7
-1,2
0,9
7,0
5,5
0,0
-0,2
1,7
0,4
1,5
0,9
1,2
0,6
2,8
0,5
0,2
-0,1
-1,2
7,6
6,3
2,1
7,2
0,1
0,7
1,5
0,7
1,4
1,1
1,0
0,6
1,5
0,6
0,3
0,3
-0,1
8,2
6,4
2,0
6,7
Policy rate
%
Unemployment
%
-0,25
0,00
0,25
0,05
0,50
0,05
0,05
0,05
0,10
0,05
0,05
0,05
0,05
8,25
11,75
5,60
8,00
3,2
7,4
5,8
8,0
6,0
6,6
8,2
9,9
3,5
11,5
12,8
23,7
25,5
4,9
4,8
4,1
8,8
Source: Bloomberg, FactSet, various national statistical agencies, J.P. Morgan Asset Management. Table ordered by GDP per capita. Nominal GDP figure is latest quarter
annualised. *Forecasts are Bloomberg consensus estimates. Guide to the Markets - Europe. Data as at 31 December 2014.
11
Europe
Emerging
Developed
Global Economy
Dec
Nov
Oct
Sep
Aug
Jul
Jun
May
Apr
Mar
Feb
Jan
Dec
Nov
Oct
Sep
Aug
Jul
Jun
2014
Global
50,1 51,4 50,8 51,0 50,1 50,4 50,4 50,6 51,5 51,7 51,9 52,9 52,9 53,0 53,2 52,4 51,9 52,2 52,6 52,4 52,6 52,2 52,2 51,8 51,6
Eurozone
46,1 47,9 47,9 46,8 46,7 48,3 48,8 50,3 51,4 51,1 51,3 51,6 52,7 54,0 53,2 53,0 53,4 52,2 51,8 51,8 50,7 50,3 50,6 50,1 50,6
France
44,6 42,9 43,9 44,0 44,4 46,4 48,4 49,7 49,7 49,8 49,1 48,4 47,0 49,3 49,7 52,1 51,2 49,6 48,2 47,8 46,9 48,8 48,5 48,4 47,5
Germany
46,0 49,8 50,3 49,0 48,1 49,4 48,6 50,7 51,8 51,1 51,7 52,7 54,3 56,5 54,8 53,7 54,1 52,3 52,0 52,4 51,4 49,9 51,4 49,5 51,2
Italy
46,7 47,8 45,8 44,5 45,5 47,3 49,1 50,4 51,3 50,8 50,7 51,4 53,3 53,1 52,3 52,4 54,0 53,2 52,6 51,9 49,8 50,7 49,0 49,0 48,4
Spain
44,6 46,1 46,8 44,2 44,7 48,1 50,0 49,8 51,1 50,7 50,9 48,6 50,8 52,2 52,5 52,8 52,7 52,9 54,6 53,9 52,8 52,6 52,6 54,7 53,8
Ireland
51,4 50,3 51,5 48,6 48,0 49,7 50,3 51,0 52,0 52,7 54,9 52,4 53,5 52,8 52,9 55,5 56,1 55,0 55,3 55,4 57,3 55,7 56,6 56,2 56,9
UK
50,6 51,0 48,1 50,1 50,4 52,0 52,5 54,5 58,4 56,8 56,3 57,7 57,0 56,6 56,4 55,5 57,0 56,6 56,7 54,9 52,9 51,4 53,3 53,3 52,5
US
54,0 55,8 54,3 54,6 52,1 52,3 51,9 53,7 53,1 52,8 51,8 54,7 55,0 53,7 57,1 55,5 55,4 56,4 57,3 55,8 57,9 57,5 55,9 54,8 53,9
Japan
45,0 47,7 48,5 50,4 51,1 51,5 52,3 50,7 52,2 52,5 54,2 55,1 55,2 56,6 55,5 53,9 49,4 49,9 51,5 50,5 52,2 51,7 52,4 52,0 52,1
Brazil
51,1 53,2 52,5 51,8 50,8 50,4 50,4 48,5 49,4 49,9 50,2 49,7 50,5 50,8 50,4 50,6 49,3 48,8 48,7 49,1 50,2 49,3 49,1 48,7 50,2
Russia
50,0 52,0 52,0 50,8 50,6 50,4 51,7 49,2 49,4 49,4 51,8 49,4 48,8 48,0 48,5 48,3 48,5 48,9 49,1 51,0 51,0 50,4 50,3 51,7 48,9
India
54,7 53,2 54,2 52,0 51,0 50,1 50,3 50,1 48,5 49,6 49,6 51,3 50,7 51,4 52,5 51,3 51,3 51,4 51,5 53,0 52,4 51,0 51,6 53,3 54,5
China
51,5 52,3 50,4 51,6 50,4 49,2 48,2 47,7 50,1 50,2 50,9 50,8 50,5 49,5 48,5 48,0 48,1 49,4 50,7 51,7 50,2 50,2 50,4 50,0 49,6
Korea
50,1 49,9 50,9 52,0 52,6 51,1 49,4 47,2 47,5 49,7 50,2 50,4 50,8 50,9 49,8 50,4 50,2 49,5 48,4 49,3 50,3 48,8 48,7 49,0 49,9
Taiwan
50,6 51,5 50,2 51,2 50,7 47,1 49,5 48,6 50,0 52,0 53,0 53,4 55,2 55,5 54,7 52,7 52,3 52,4 54,0 55,8 56,1 53,3 52,0 51,4 50,0
12
May
Apr
Mar
Feb
2013
Jan
Dec
2012
50
Source: Markit, J.P. Morgan Economic Research, J.P. Morgan Asset Management. The Purchasing Managers Index (PMI) assesses the economic health of the
manufacturing sector by surveying output and employment intentions. Heatmap colours are based on PMI relative to 50, which indicates expansion or contraction of
the sector for the time period shown. Guide to the Markets - Europe. Data as at 31 December 2014.
DM output gap
Global Economy
%
Narrow output gap
1
115
1.000
900
800
700
110
Pre-2006 trend
Potential
600
-1
500
105
-2
400
Actual
300
-3
100
-4
200
95
Wide output gap
90
13
-6
100
'04
'06
'08
'10
'12
'14
-5
'81 '83 '85 '87 '89 '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13
Source: (Left) J.P. Morgan Economic Research, J.P. Morgan Asset Management. (Right) MSCI, IMF World Economic Outlook October 2014, J.P. Morgan Asset Management.
*The output gap is the difference between actual output and the output that could be achieved if the economy were running at full capacity (also referred to as potential GDP).
DM stock market is the MSCI World Index. Guide to the Markets - Europe. Data as at 31 December 2014.
Global Economy
2,3
-0,3
2,4
UK (lhs)
US (lhs)
3,8
2,5
%
2,0
1,5
-0,6
3,6
2,2
3,4
2,1
3,2
2,0
3,0
1,9
-0,9
Food (lhs)
1,0
Energy (lhs)
-1,2
Industrial goods (lhs)
-1,5
Services (lhs)
CPI* (rhs)
-1,8
Jan 13 Apr 12 Jul 13 Oct 13
0,5
0,0
Jan 14
Apr 14
Jul 14 Oct 14
2,8
1,8
5
%
4
Consumer confidence
-5
-10
3
2,6
1,7
-15
-20
-25
1
2,4
1,6
-30
0
2,2
Dec 12
14
Jun 13
Dec 13
Jun 14
1,5
Dec 14
-1
'03
-35
'04
'05
'06
'07
'08
'09
'10
Source: (Left) Bloomberg, J.P. Morgan Asset Management. (Top and bottom right) Eurostat, FactSet, J.P. Morgan Asset Management. *CPI is the Consumer Price Index.
5-year/5-year breakeven inflation expectations is the market expectation for inflation over 5 years beginning in 5 years time, derived from the breakevens in the long term
forwards market. Guide to the Markets Europe. Data as at 31 December 2014.
'11
'12
'13
-40
'14
2,0
US
120
Global Economy
UK
%
US
1,8
UK
115
Eurozone
1,6
Eurozone
core
110
Dec 2016:
1,50%
1,4
1,2
Dec 2016:
1,30%
105
1,0
100
Dec 2015:
0,80%
0,8
Eurozone
periphery
0,6
95
Dec 2015:
0,60%
Japan
0,4
90
0,2
Dec 2015: 0,05%
0,0
85
'08
15
'09
'10
'11
'12
'13
'14
'15
'16
Source: (Left) Various national statistics agencies, FactSet, J.P. Morgan Asset Management. (Right) Bloomberg, J.P. Morgan Asset Management. Eurozone core is Germany
and France; periphery is Spain, Italy, Greece, Portugal and Ireland. There is no active Japanese futures market and therefore we cannot derive the market expectations for
Japans target policy rate. Guide to the Markets Europe. Data as at 31 December 2014.
'17
US Dollar
US Dollar Index
Real broad effective exchange rate (REER)
130
Nov 2014
95,7
89,0
US Dollar Index
1985: Plaza
Accord
120
Global Economy
110
1973-78:
-21,8%
100
1978-85:
+52,6%
1987: Louvre
Accord
1985-88:
-30,0%
1995-02:
+34,2%
2002-11:
-28,6%
2011-14:
+10,5%
90
80
'73
'77
'81
'85
'89
'93
'97
'01
'05
'09
'13
% of GDP
7,0
%
6,0
2,4
%
2,2
2014
16
%
11,7
12
1,8
14,1
Euro
Japanese
Yen
9,0
2,0
5,0
13,9
12,5
6,2
4,0
1,6
3,0
1,4
2,0
1,2
'99
'01
'03
'05
'07
'09
'11
'13
2,5
0
Chinese
Renminbi
British
Pound
Canadian
Dollar
Swiss
Franc
Mexican
Peso
Source: (Top) US Federal Reserve, J.P. Morgan Asset Management. (Bottom left) BEA, FactSet, J.P. Morgan Asset Management. (Bottom right) FactSet, J.P. Morgan Asset
Management. Guide to the Markets - Europe. Data as at 31 December 2014.
16
8
China
10%
Indonesia
5%
India
Malaysia
Global Economy
5
4
Korea
Singapore
Turkey
3
Australia
UK
Mexico
US
South Africa
Brazil
Japan
Germany
France
Russia
EU
Portugal
Spain
Greece
Italy
Emerging markets
-1
Developed markets
-2
0
20
40
60
80
100
120
140
160
180
17
Source: IMF World Economic Outlook October 2014, FactSet, Barclays, J.P. Morgan Asset Management. Borrowing costs based on local currency debt. EU overall borrowing cost
based on Barclays Capital Euro-Aggregate 7-10 Year Treasury Index. South Africas borrowing costs are based on seven-year government bond yield due to data availability.
Guide to the Markets - Europe. Data as at 31 December 2014.
240
200
Forecast
Global Economy
2010-2013
Italy
Portugal
2013-2016F
120
Ireland
US
Spain
France
100
UK
3
80
Germany
2
60
40
0
UK
18
US
Eurozone**
Japan
20
'04
'05
'06
'07
'08
'09
'10
'11
'12
'13
Source: (Both charts) IMF World Economic Outlook October 2014, FactSet, J.P. Morgan Asset Management. *Structural deficit is the cyclically adjusted budget deficit or the
deficit that would prevail if the economy were running at full capacity. **Eurozone data is change between 2013 and 2015 due to data availability. Guide to the Markets - Europe.
Data as at 31 December 2014.
'14
'15
'16
Global Economy
Brazil 1,2
India
1,9
1,9
China
2,2
2,0
1,2
3,0
2,7
Eurozone
1,9
UK
1,7
7,0
1,1
Italy
7,6
26,2%
14,6%
18,5%
1,0
8,3
1,8
20,7%
24,6%
11,2
14,7
10
19,6%
9,0
1,4
9,9
3,9
15
37,6%
16,6
20
25
30
Source: IMF, FactSet, J.P. Morgan Asset Management. Numbers represent goods exports only and would be higher if services were included. Values may not sum to total
exports due to rounding. *BRIC is Brazil, Russia, India and China. Guide to the Markets - Europe. Data as at 31 December 2014.
19
Other
9,4%
9,8
2,4
13,2
14,1
1,7
Germany
2,3
2,5
France 1,2
BRIC*
24,9%
16,1
3,2
7,9
Eurozone
16,0%
1,5
10,1
US 1,2 1,2
Japan
US
10,8
4,3
Russia 0,6
10,8%
5,5
35
40
Global Economy
$ trillions
5
$
4
Forecast
Other
US Treasuries
3,5
1
Agency MBS
3,0
0
'08
'09
'10
'11
'12
'13
'14
'15
2,5
2,0
New purchases*
Reinvested purchases*
1,5
1,0
40
20
0,5
0
0,0
2015
2016
2017
Source: (All charts) US Federal Reserve, FactSet, J.P. Morgan Asset Management. *New purchases are the stated purchases from the US Federal Reserve. Reinvested
purchases are bonds purchased with the principal received from maturing bonds. Guide to the Markets - Europe. Data as at 31 December 2014.
20
Longer run
Global Economy
Real GDP
Avg since
1999
3Q14
2,0%
5,0%
%
8
Components of GDP
3Q14 nominal GDP, $ trillions
18
3,2% Housing
$
16
14
12
Average
10
68,2% Consumption
-2
-4
-6
-8
-2
'01
'03
'05
'07
'09
'11
'13
Source: (Both charts) BEA, FactSet, J.P. Morgan Asset Management. SAAR denotes seasonally adjusted annual rate. Percentages may not sum to 100% due to
rounding. Guide to the Markets - Europe. Data as at 31 December 2014.
21
US Employment
Unemployment rate
Seasonally adjusted
11
Global Economy
%
10
66
65
64
63
'93
7
'95
'97
'99
'01
'03
'05
'07
'09
'11
'13
Average: 6,1%
6
Nov 2014:
5,8%
3
4
3
'65
Sep 2014:
2,2%
1
'70
'75
'80
'85
'90
'95
'00
'05
'10
'15
'85
'87
'89
'91 '93
Source: (All charts) BLS, FactSet, J.P. Morgan Asset Management. Guide to the Markets - Europe. Data as at 31 December 2014.
22
'95
'97
'99 '01
'03
'05 '07
'09
'11
'13
US Inflation
Inflation
Change year on year
15
Headline CPI*
Global Economy
Core CPI
Avg
since
1964
Avg
since
1999
Nov 2014
4,2%
2,4%
1,3%
4,1%
2,0%
1,7%
12
1,25
1,30
2014
2015
1,85
1,90
2016
2017
2,00
1,0
0,5
0,0
6
Longer run
4,5
%
4,0
3,5
15
3,0
10
2,5
2,0
5
-3
'64
23
1,0
0
'69
'74
'79
'84
'89
'94
'99
'04
'09
'14
1,5
'87 '89 '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13
Source: (Left) BLS, FactSet, J.P. Morgan Asset Management. (Top right) US Federal Reserve, J.P. Morgan Asset Management. (Bottom right) National Federation
of Independent Business (NFIB), BLS, FactSet, J.P. Morgan Asset Management. *CPI is the Consumer Price Index. **Personal consumption expenditure (PCE)
measures the prices paid by consumers for goods and services, excluding food and energy prices. ***Wages & salaries is the civilian employment cost index (ECI).
Guide to the Markets - Europe. Data as at 31 December 2014.
US Cyclical Indicators
Light vehicle sales
Millions, SAAR
24
48
Global Economy
22
Dec 2014:
16,8
20
18
16
46
44
42
14
Average: 15,3
Oct 2014:
39,5
40
12
38
10
8
'93
'95
'97
'99
'01
'03
'05
'07
'09
'13
'11
36
'93
'95
'97
'99
'01
'03
'05
'07
'09
'11
'13
Housing starts
Thousands, SAAR
2.400
2.000
Nov 2014:
1.028
1.600
60
1.200
Average: 1.349
Average: 57,4
55
800
50
400
0
'93
45
'95
'97
'99
'01
'03
'05
'07
'09
'11
'13
'99
'01
'03
'05
'07
'09
Source: (Top left) BEA, FactSet, J.P. Morgan Asset Management. (Top and bottom right and bottom left) US Census Bureau, FactSet, J.P. Morgan Asset Management. *Capital
goods orders deflated using the producer price index for capital goods. SAAR is seasonally adjusted annual rate. Guide to the Markets - Europe. Data as at 31 December 2014.
24
'11
'13
US Consumer Finances
Household net worth
$ billions, SAAR
2Q07:
$67.874
80.000
$
70.000
Global Economy
4Q14*:
$82.907
60.000
150
50.000
40.000
30.000
+21,2%
125
20.000
'90
'92
'94
'96
'98
'00
'02
'04
'06
'08
'10
'12
'14
100
+42,9%
75
13
Price index
Existing home sales
12
50
Housing starts
11
+115,0%
10
'80
25
4Q14*: 9,9%
'85
'90
'95
'00
'05
'10
25
'99
'01
'03
'05
'07
Source: (Top and bottom left) US Federal Reserve, FactSet, J.P. Morgan Asset Management. (Right) National Association of Realtors, US Census Bureau, FactSet,
J.P. Morgan Asset Management. Price index is the mean existing home sale price. SAAR is seasonally adjusted annual rate. *4Q14 numbers for US household net
worth and debt service ratio are J.P. Morgan Asset Management forecasts. Guide to the Markets - Europe. Data as at 31 December 2014.
'09
'11
'13
Avg since
1999
3Q14
0,2%
-0,5%
Global Economy
Real GDP
Avg since
1999
Nov 2014
Headline CPI*
-0,1%
2,4%
Core CPI
-0,4%
2,1%
Inflation
Change year on year
%
4
Average
0
1
-1
0
-2
-1
-3
-2
-4
'99
26
'01
'03
'05
'07
'09
'11
'13
'99
'01
'03
'05
'07
Source: (Left) Japan Statistics Bureau & Statistics Centre, FactSet, J.P. Morgan Asset Management. (Right) Japan Ministry of Health, Labour and Welfare, FactSet,
J.P. Morgan Asset Management. *CPI is the Consumer Price Index. Core CPI is defined as CPI excluding food and energy. Guide to the Markets - Europe.
Data as at 31 December 2014.
'09
'11
'13
Global Economy
% of nominal GDP
90
Japan
%
Eurozone
US
60
20.000
per $
130
18.000
Change in 2014
Yen
-14,1%
Nikkei 225
7,1%
UK
30
120
16.000
110
0
'06
'07
'08
'09
'10
'11
'12
'13
'14
'15
14.000
100
12.000
3
%
2
Core inflation
Wage growth
90
10.000
1
0
80
8.000
-1
-2
'97
27
'99
'01
'03
'05
'07
'09
'11
'13
6.000
'03
'04
'05
'06
'07
'08
'09
'10
Source: (Top left) US Federal Reserve, Bank of England, Bank of Japan, ECB, J.P. Morgan Economic Research, J.P. Morgan Asset Management. (Bottom left) Japan
Ministry of Health, Labour and Welfare, FactSet, J.P. Morgan Asset Management. (Right) FactSet, J.P. Morgan Asset Management. *Projections are based on central
banks stated economic intentions. Guide to the Markets - Europe. Data as at 31 December 2014.
'11
'12
'13
70
'14
Food CPI
2,3%
30
Headline CPI**
1,4%
18
Core CPI
1,3%
15
Real GDP growth
Global Economy
Nov 2014
14
25
13
12
6
12
20
0
-6
'99
11
15
'01
'03
'05
'07
'09
'11
'13
1960
1990
2013
10
10
25
20
15
5
10
5
6
0
'00
28
'02
'04
'06
'08
'10
'12
'14
0
1820
1870
1900
1930
Source: (Left and top right) National Bureau of Statistics of China, FactSet, J.P. Morgan Asset Management. (Bottom right) Angus Maddison, J.P. Morgan Asset
Management. *Li Keqiang index refers to an unofficial economic index used to gauge economic activity in China. Popularised by Chinese Premier Li Keqiang, such an index
may include a variety of economic indicators. **CPI is the Consumer Price Index. Core CPI is defined as CPI excluding food and energy. Guide to the Markets - Europe.
Data as at 31 December 2014.
External Accounts
100
%
80
GDP growth
21
%
Investment
Global Economy
Consumption
18
Net exports
15
12
Exports (lhs)
100
$bn
80
60
Imports (lhs)
60
40
40
20
20
-20
-20
-40
9
-40
'04
'06
'08
'10
'12
'14
China
50
%
45
40
EM Asia ex-China
35
0
30
25
-3
DM
20
Latin America
15
-6
'90
'92
'94
'96
'98
'00
'02
'04
'06
'08
'10
'12
'14
'82
'86
'90
'94
'98
'02
Source: (Left and top right) National Bureau of Statistics of China, FactSet, J.P. Morgan Asset Management. (Bottom right) IMF World Economic Outlook October 2014,
J.P. Morgan Asset Management. 2014 GDP figure is 3Q14 values. Guide to the Markets - Europe. Data as at 31 December 2014.
29
'06
'10
'14
% of GDP
350
%
300
Japan (1965)
Global Economy
Household debt
200
150
130
100
50
80
0
1
27
53
79
105
Japan
131
US
Eurozone
China
Korea
% of GDP
50
%
40
100
Average: 93%
30
80
20
60
10
40
'76
UK
% of GDP
140
%
120
30
250
China (1998)
180
Public debt
'80
'84
'88
'92
'96
'00
'04
'08
'12
0
'96
'98
'00
'02
'04
'06
Source: (Top left) BIS, CEIC, Lombard Street Research, J.P. Morgan Asset Management. (Bottom left) World Bank, J.P. Morgan Asset Management. (Top right) BIS,
Lombard Street Research, IMF World Economic Outlook October 2014, J.P. Morgan Asset Management. (Bottom right) Bloomberg, Oxford Economics, FactSet,
J.P. Morgan Asset Management. Foreign exchange reserves are year-end percentages for all years until 2014; 2014 data is the most recent available data.
Guide to the Markets - Europe. Data as at 31 December 2014.
'08
'10
'12
'14
% of global consumption
40
%
35
60.000
US
50.000
Japan
30
25
Global Economy
2012: 36%
2012: 27%
EM consumption
20
40.000
US consumption
15
'90
30.000
'94
'98
'02
'06
'10
South
Korea
6
%
20.000
10.000
China
0
Global economic growth
EM growth
India
0
0
31
20
40
60
Urbanisation ratio
80
100
DM growth
-3
'80
'84
'88
'92
'96
'00
Source: (Left) IMF, J.P. Morgan Asset Management. (Top right) United Nations, J.P. Morgan Asset Management. (Bottom right) IMF World Economic Outlook October
2014, J.P. Morgan Asset Management. Urbanisation ratio refers to the proportion of the total population living within an urban area defined by national statistical offices.
*Forecast for 2014 from the IMF World Economic Outlook October 2014. Guide to the Markets - Europe. Data as at 31 December 2014.
'04
'08
'12
Global Economy
%
5,0
8,5
Brazil
Thailand
China (rhs)
Turkey
Indonesia (rhs)
Russia
India (rhs)
%
8,0
4
%
3
Emerging
markets
2
1
0
7,5
4,0
-1
Developed
markets
-2
7,0
3,0
-3
'04
6,5
2,0
6,0
1,0
'05
'06
'07
'08
'09
'10
'11
'12
'13
'14
90
200
5,5
0,0
100
150
110
5,0
-1,0
100
-2,0
Jan 13 Apr 13 Jul 13 Oct 13
4,5
Jan 14 Apr14
Jul 14
Oct 14
0
'93
'95
'97
'99
'01
'03
'05
'07
Source: (Left) Bloomberg, J.P. Morgan Asset Management. (Top right) J.P. Morgan Economic Research, J.P. Morgan Asset Management. (Bottom right) MSCI, FactSet,
J.P. Morgan Asset Management. *REER is real effective exchange rate. Guide to the Markets - Europe. Data as at 31 December 2014.
32
120
50
'09
'11
'13
130
-0,1
Thai Baht
Global Economy
Philippine Peso
-0,8
Indonesian Rupiah
-1,7
Indian Rupee
-2,0
Chinese Renminbi
-2,4
125
115
105
-4,0
Malaysian Ringgit
95
-6,3
Turkish Lira
'05
-8,1
Mexican Peso
-11,1
Brazilian Real
-11,2
-9,5
Chilean Peso
-13,4
Hungarian Forint
Russian Rouble
'09
'10
'11
'12
'14
Financial crisis
Asian crisis
Eurozone
crisis
Taper
Tantrum
-45,2
0
-40
-30
-20
-10
'94
'96
'98
'00
'02
'04
'06
'08
Source: (Left) FactSet, J.P. Morgan Asset Management. (Top right) MSCI, FactSet, J.P. Morgan Asset Management. (Bottom right) Bloomberg, J.P. Morgan Asset Management.
Guide to the Markets - Europe. Data as at 31 December 2014.
33
'13
-18,7
-50
'08
-17,4
Columbian Peso
'07
'06
'10
'12
'14
MSCI EM Index in USD, rebased to 100 on the date of first rate hike
150
Qatar
UAE
Global Economy
30 Jun 2004
30 Jun 1999
-33,7
-28,3
-14,2
Russia
Columbia
Mexican
4 Apr 1994
125
Egypt
Malaysia
Brazil
Peru
China
Indonesia
100
Turkey
Czech Rep.
-7,4
-2,7
0,6
0,9
1,5
2,4
2,8
3,4
3,4
3,5
3,9
3,9
4,3
4,7
5,4
6,2
6,4
6,8
7,6
7,7
Hungary
Poland
Philippines
Greece
Chile
South Africa
India
Korea
75
Taiwan
Thailand
50
-250
-125
0
125
Number of trading days before and after the first rate hike
250
-40
-30
-20
Source: (Left) MSCI, US Federal Reserve, J.P. Morgan Asset Management. (Right) BP, various national statistics agencies, IMF, J.P. Morgan Asset Management.
Guide to the Markets - Europe. Data as at 31 December 2014.
34
-10
10
Equities
Local
35
4Q14
Ten-yr
Ann.
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
55,0%
MSCI EM
35,8%
20,2%
MSCI
Europe
19,6%
26,7%
MSCI Asia
ex-Japan
38,0%
-23,0%
Japan
TOPIX
-40,6%
73,4%
MSCI EM
62,8%
35,4%
Sm all Caps
24,4%
5,5%
US S&P 500
2,1%
20,8%
MSCI Asia
ex-Japan
19,7%
27,2%
Sm all Caps
35,8%
29,5%
US S&P 500
13,7%
9,5%
US S&P 500
4,9%
11,0%
MSCI Asia
ex-Japan
10,0%
45,3%
Japan
TOPIX
45,2%
19,6%
MSCI Asia
ex-Japan
28,6%
26,1%
MSCI EM
33,6%
-33,7%
US S&P 500
-37,0%
67,2%
MSCI Asia
ex-Japan
67,2%
28,3%
MSCI Asia
ex-Japan
15,6%
3,5%
HDY Equity
1,5%
18,1%
MSCI
Europe
16,4%
26,7%
US S&P 500
32,4%
19,7%
MSCI Asia
ex-Japan
7,7%
7,3%
Sm all Caps
5,1%
10,1%
MSCI EM
10,3%
41,9%
MSCI Asia
ex-Japan
24,1%
18,6%
MSCI EM
28,8%
4,6%
Portfolio
11,1%
-37,9%
HDY Equity
-34,4%
40,2%
Sm all Caps
40,8%
27,5%
MSCI EM
14,4%
-5,7%
Sm all Caps
-8,7%
16,8%
MSCI EM
17,4%
21,5%
Japan
TOPIX
54,4%
16,5%
Sm all Caps
6,7%
4,6%
MSCI Asia
ex-Japan
2,3%
9,3%
Sm all Caps
8,2%
33,8%
Sm all Caps
23,3%
16,0%
HDY Equity
21,6%
3,2%
MSCI
Europe
6,5%
-38,6%
Sm all Caps
-40,4%
37,6%
Portfolio
35,8%
23,9%
Japan
TOPIX
1,0%
-5,8%
Portfolio
-7,5%
16,3%
Sm all Caps
18,4%
20,5%
MSCI
Europe
22,3%
16,2%
HDY Equity
8,7%
3,1%
Portfolio
2,2%
8,9%
US S&P 500
7,7%
33,6%
Portfolio
23,9%
12,5%
Portfolio
19,4%
-1,0%
HDY Equity
4,7%
-40,3%
Portfolio
-40,1%
34,0%
HDY Equity
30,2%
23,1%
US S&P 500
15,1%
-7,5%
MSCI
Europe
-8,8%
15,6%
Portfolio
17,1%
15,3%
Portfolio
23,6%
15,3%
Portfolio
8,2%
2,3%
HDY Equity
1,1%
8,5%
Portfolio
8,0%
27,0%
HDY Equity
17,7%
5,2%
Sm all Caps
13,6%
-4,9%
US S&P 500
5,5%
-43,3%
MSCI
Europe
-38,5%
32,5%
MSCI
Europe
28,6%
20,9%
Portfolio
11,1%
-9,6%
Japan
TOPIX
-17,0%
14,2%
US S&P 500
16,0%
13,9%
HDY Equity
20,5%
11,8%
MSCI EM
5,6%
1,5%
Japan
TOPIX
6,3%
8,2%
HDY Equity
7,7%
26,7%
MSCI
Europe
25,5%
3,6%
US S&P 500
15,8%
-8,8%
Sm all Caps
-3,8%
-49,8%
MSCI Asia
ex-Japan
-47,7%
22,5%
US S&P 500
26,5%
16,2%
HDY Equity
8,0%
-14,3%
MSCI Asia
ex-Japan
-14,6%
13,6%
HDY Equity
14,0%
-1,1%
MSCI Asia
ex-Japan
6,2%
10,1%
Japan
TOPIX
10,3%
-0,1%
MSCI
Europe
0,0%
6,4%
MSCI
Europe
6,4%
20,9%
US S&P 500
4,9%
-8,7%
Japan
TOPIX
3,0%
-14,5%
Japan
TOPIX
-11,1%
-50,8%
MSCI EM
-45,7%
1,5%
Japan
TOPIX
7,6%
11,7%
MSCI
Europe
7,5%
-15,4%
MSCI EM
-12,5%
5,9%
Japan
TOPIX
20,9%
-6,5%
MSCI EM
3,8%
7,4%
MSCI
Europe
5,2%
-0,2%
MSCI EM
0,1%
3,5%
Japan
TOPIX
3,9%
Source: MSCI, TOPIX, Standard & Poors, FactSet, J.P. Morgan Asset Management. Local return is analogous to the return from a hedged position. Annualised return covers the
period 2005 to 2014. HDY Equity is the MSCI AC World High Dividend Yield Index. Small Caps is the MSCI Europe Small Cap Index. Hypothetical portfolio (for illustrative
purposes only and shouldnt be taken as a recommendation): 15% EM Equity, 10% Asia ex Japan, 30% Europe, 10% Japan, 10% HDY Equity, 20% S&P 500, 5% Small Cap. All
indices are total return. Guide to the Markets - Europe. Data as at 31 December 2014.
Cons.
staples
Health
care
Industrials
Cons.
disc.
Energy
Materials
Telecom
Utilities
Tech
Europe
Europe weight
Growth weight
Value weight
4Q14
Equities
2014
Since market peak*
Since market low*
36
Beta to Europe
4.000
3.500
3.000
Equities relatively
less expensive
2.500
2.000
1.500
1.000
Equities
500
0
1
10 11 12 13 14 15%16
Average: 1,7%
Equities relatively
more expensive
1.500
-2
1.000
500
0
-4
10 11 12 13 14 15 %16
'89
'91
'93
'95
'97
'99
'01
'03
'05
'07
Source: (All charts) Tullett Prebon, Standard & Poors, FactSet, J.P. Morgan Asset Management. *The equity risk premium is the S&P 500 forward earnings yield less the US
Treasury 10-year yield. Guide to the Markets - Europe. Data as at 31 December 2014.
37
'09
'11
'13
Characteristic
4 Sep 2000:
P/E = 21,3x
1.623
1.600
Index level
1.623
1.641
1.379
14,1x
21,3x
13,5x
Dividend yield
1,9%
2,9%
3,3%
5,4%
4,5%
1,0%
16 Jul 2007:
P/E = 13,5x
1.641
31 Dec 2014:
P/E = 14,1x
1.379
Equities
1.400
Total return
+133%
-55%
-54%
+180%
+140%
1.200
1.000
800
12 Mar 2003:
P/E = 11,9x
676
31 Dec 1996:
P/E = 16,3x
714
'96
38
'97
'98
'99
'00
'01
'02
'03
'04
9 Mar 2009:
P/E = 8,3x
714
'05
'06
'07
'08
'09
'10
'11
Source: MSCI, FactSet, BofA/Merrill Lynch, J.P. Morgan Asset Management. Local currency returns. P/E ratios are forward P/E ratios. Forward P/E ratio is a bottom-up
calculation based on the most recent price data divided by the mean consensus estimates for earnings in the next 12 months and is provided by FactSet Market
Aggregates. Euro government bond is the BofA/Merrill Lynch Euro Government (7-10Y) Index. Return calculations shown in green are based on the total return index.
Guide to the Markets - Europe. Data as at 31 December 2014.
'12
'13
'14
14
x
%
25
Earnings yield
(inverse of forward P/E)
12
20
31 Dec 2014:
14,1x
Average: 13,7x
15
10
Equities
10
5
'99
'01
'03
'05
'07
'09
'11
'13
31 Dec 2014:
7,1%
%
8
European corporate
bond yield
31 Dec 2014:
3,3%
10-year European
bond yield
2
2
0
39
Dividend yield
'01
'03
'05
31 Dec 2014:
1,4%
'07
'09
'11
'13
31 Dec 2014:
1,0%
0
'00
'02
'04
'06
'08
'10
Source: (Top left) FactSet, J.P. Morgan Asset Management. (Bottom left) Barclays, MSCI, FactSet, J.P. Morgan Asset Management. (Right) MSCI, BofA/Merrill Lynch,
FactSet, J.P. Morgan Asset Management. Forward P/E ratio is a bottom-up calculation based on the most recent price data divided by consensus estimates for earnings
in the next 12 months and is provided by FactSet Market Aggregates. Earnings yield is calculated as the inverse of the forward P/E ratio. Guide to the Markets - Europe.
Data as at 31 December 2014.
'12
'14
profits
index level
1.600
1.500
70
60
5
10
1.400
50
0
-5
40
Equities
1.300
-10
Manufacturing PMI
Revenue growth
-15
8
30
'03
1.200
'04
'05
'06
'07
'08
'09
'10
'11
'12
'13
'14
'15
1.000
900
6
Earnings per share/sales per share for MSCI Europe and S&P 500*
11
%
US
10
9
Europe
800
7
5
'07
'08
'09
'10
'11
'12
'13
700
'14
6
'04
'05
'06
'07
'08
Source: (Left) MSCI, FactSet, J.P. Morgan Asset Management. (Top right) Markit, MSCI, FactSet, J.P. Morgan Asset Management. (Bottom right) MSCI,
Standard & Poors, FactSet, J.P. Morgan Asset Management. *Data is last 12 months. Guide to the Markets - Europe. Data as at 31 December 2014.
40
'09
'10
'11
'12
'13
'14
Characteristic
2.000
31 Dec 2014:
P/E = 16,2x
2.059
Index level
1.527
1.565
2.059
25,6x
15,2x
16,2x
Dividend yield
1,1%
1,8%
2,1%
10-year Treasury
6,2%
4,7%
2,2%
Equities
1.800
9 Oct 2007:
P/E = 15,2x
1.565
24 Mar 2000:
P/E = 25,6x
1.527
1.600
1.400
Total return
+116%
+121%
-47%
-55%
+244%
1.200
1.000
800
31 Dec 1996:
P/E = 16,0x
741
'96
41
'97
'98
9 Mar 2009:
P/E = 10,3x
677
9 Oct 2002:
P/E = 14,1x
777
'99
'00
'01
'02
'03
'04
'05
'06
'07
'08
'09
'10
'11
Source: Standard & Poors, FactSet, J.P. Morgan Asset Management. The P/E ratios are forward P/E ratios. Forward P/E ratio is a bottom-up calculation based on the most
recent price data divided by the mean consensus estimates for earnings in the next 12 months and is provided by FactSet Market Aggregates. Return calculations shown in
green are based on the total return index. Guide to the Markets - Europe. Data as at 31 December 2014.
'12
'13
'14
11
28
x
31 Dec 1999:
25,4x
24
10
31 Dec 2014:
6,2%
Baa corporate
bond yield
20
31 Dec 2014:
16,2x
16
Equities
Average: 16,2x
12
'89
'91
'93
'95
'97
'99
'01
'03
'05
'07
'09
'11
'13
31 Dec 2014:
27,3x
x
40
30
30 Nov 2014:
4,7%
42
'91
'93
'95
'97
'99
'01
'03
20
10
Earnings yield
(inverse of forward P/E)
3
'89
Average:
16,5x
'05
'07
'09
'11
'13
0
'00
'10
'20
'30
'40
'50
'60
'70
Source: (Left) Standard & Poors, Moodys, IBES, FactSet, J.P. Morgan Asset Management. (Top right) Standard & Poors, FactSet, J.P. Morgan Asset Management.
Forward P/E ratio is a bottom-up calculation based on the most recent price data divided by consensus estimates for earnings in the next 12 months and is provided by
FactSet Market Aggregates. (Bottom right) Robert Shiller, FactSet, J.P. Morgan Asset Management. Guide to the Markets - Europe. Data as at 31 December 2014.
'80
'90
'00
'10
130
2.000
120
1.800
1.600
Equities
6
4
110
2
0
100
'93
'95
'97
'99
'01
'03
'05
'07
'09
'11
'13
1.400
90
1.200
80
1.000
70
60
'07
60
Employee compensation
Corporate profits
12
58
10
56
54
52
800
'08
'09
'10
'11
'12
'13
600
'14
50
'60
'65
'70
'75
'80
'85
'90
'95
Source: (Left and top right) Standard & Poors, FactSet, J.P. Morgan Asset Management. (Bottom right) BEA, FactSet, J.P. Morgan Asset Management. *Data is last 12
months. **3Q14 profit margins are based on an estimate from Standard & Poors. Guide to the Markets - Europe. Data as at 31 December 2014.
43
3Q14**:
10,1%
'00
'05
'10
2
'15
S&P 500
MSCI Europe
0,6
Positive
relationship
between yield
movements and
equity returns
0,2
Correlation
Equities
0,4
S&P 500
price return
87
87-89
94-95
99-00
04-06
Initial reaction
-5%
-8%
-10%
-7%
-8%
Subsequent
market
reaction
32%
27%
7%
18%
20%
Total reaction
26%
17%
-2%
10%
11%
0,0
-0,2
Negative
relationship
between yield
movements and
equity returns
-0,4
-0,6
-0,8
0
44
8
10-year Treasury yield
10
12
Source: Standard & Poors, US Treasury, MSCI, FactSet, J.P. Morgan Asset Management. Returns are based on price index only and do not include dividends. The initial
reaction represents the period during which, in our judgment, markets began pricing the first rate hike through the date of the second rate hike. The subsequent market
reaction is the period from the second rate hike to a point determined to be the end of the rate hiking cycle. The total reaction is the market movement across the full rate
hiking cycle. Guide to the Markets - Europe. Data as at 31 December 2014.
14
16
Equities
+6 Std Dev
45
+5 Std Dev
Expensive
relative to
world
+4 Std Dev
+3 Std Dev
Expensive
relative to
own history
+2 Std Dev
+1 Std Dev
Average
Current
Average
-1 Std Dev
Cheap relative
to own history
-2 Std Dev
-3 Std Dev
Cheap
relative to
world
-4 Std Dev
-5 Std Dev
Italy
Spain
UK
France
Germany
Japan
ACWI
DM Index Switzerland
Current
US
10-year average
Current composite
index
Forward P/E
P/B
P/CF
Dividend yield
Forward P/E
P/B
P/CF
Dividend yield
Italy
-2,27
12,5x
0,9x
3,7x
3,5%
11,4x
1,0x
3,8x
4,4%
Spain
-1,94
14,0
1,3
4,8
5,4
11,1
1,4
4,5
6,1
UK
-0,76
13,8
1,8
7,3
3,9
11,7
1,8
7,1
3,8
France
-0,68
13,8
1,4
7,7
3,3
11,6
1,3
6,0
3,9
Germany
-0,58
12,9
1,6
7,5
2,9
11,6
1,5
5,3
3,5
Japan
0,63
14,3
1,4
8,1
1,8
16,5
1,2
6,2
2,1
ACWI
0,65
14,8
2,1
8,7
2,5
13,3
2,0
7,3
2,6
DM Index
1,00
15,4
2,2
9,3
2,4
13,6
1,9
7,5
2,7
Switzerland
1,32
15,7
2,5
11,3
3,2
13,9
2,3
10,2
3,1
US
2,55
16,4
2,8
11,0
1,9
14,2
2,3
8,7
2,1
Source: MSCI, FactSet, J.P. Morgan Asset Management. Each valuation index shows an equally weighted composite of four metrics: price to forward earnings (forward
P/E), price to current book (P/B), price to last 12 months cash flow (P/CF) and price to last 12 months dividends. Results are then normalised using means and average
variability over the last 10 years. The grey bars represent valuation index variability relative to that of the All Country World Index (ACWI). Guide to the Markets - Europe.
Data as at 31 December 2014.
+7 Std Dev
Equities
+6 Std Dev
+4 Std Dev
Expensive
relative to
own history
+3 Std Dev
+2 Std Dev
+1 Std Dev
Current
Average
Average
-1 Std Dev
Cheap
relative to
own history
-2 Std Dev
-3 Std Dev
Cheap
relative to
world
-4 Std Dev
-5 Std Dev
-6 Std Dev
Russia
46
Expensive
relative to
world
+5 Std Dev
Russia
Brazil
China
EM Index
Taiwan
S. Korea
ACWI
S. Africa
Mexico
Current
India
10-year average
Current composite
index
Forward P/E
P/B
P/CF
Dividend yield
Forward P/E
P/B
P/CF
Dividend yield
-5,32
3,8x
0,4x
1,8x
6,6%
7,1x
1,1x
3,8x
2,7%
Brazil
-2,50
10,2
1,2
5,2
4,5
10,0
1,9
5,7
3,3
China
-2,31
9,4
1,4
4,0
3,2
11,8
2,1
4,5
2,8
EM Index
-1,48
11,0
1,4
5,4
2,8
11,1
1,9
6,0
2,7
Taiwan
-0,56
13,2
1,9
6,9
3,0
14,5
1,9
6,3
3,7
S. Korea
0,02
9,6
1,0
5,8
1,3
9,6
1,4
5,4
1,7
ACWI
0,65
14,8
2,1
8,7
2,5
13,3
2,0
7,3
2,6
S. Africa
1,36
15,7
2,6
11,0
3,0
12,0
2,5
8,8
3,2
Mexico
2,91
18,3
2,6
7,1
1,4
15,0
2,9
6,7
1,9
India
3,71
16,7
3,0
12,2
1,5
15,8
3,2
12,5
1,4
Source: MSCI, FactSet, J.P. Morgan Asset Management. Each valuation index shows an equally weighted composite of four metrics: price to forward earnings (forward
P/E), price to current book (P/B), price to last 12 months cash flow (P/CF) and price to last 12 months dividends. Results are then normalised using means and average
variability over the last 10 years. The grey bars represent valuation index variability relative to that of the All Country World Index (ACWI). Guide to the Markets - Europe.
Data as at 31 December 2014.
3,00
x
2,75
80
60
Equities
2,25
40
2,00
20
1,75
0
Average: 1,81x
1,50
-20
Dec 2014: 1,52x
1,25
-40
-2,0 Std dev
-60
1,00
0,75
'95
'97
'99
'01
'03
'05
'07
'09
'11
'13
-80
0,75
1,00
1,25
1,50
1,75
2,00
2,25
2,50
Source: (Both charts) MSCI, FactSet, J.P. Morgan Asset Management. Linear regression of price-to-book ratios on next 12 months price return from September 1995 through
December 2014 results in a R-squared of 0,17%. Guide to the Markets - Europe. Data as at 31 December 2014.
47
2,75
3,00
3,25
17%
16%
Defensive
13%
17%
EMEA
Asia
14%
Latin America
Financials
18%
8%
Tech
68%
Equities
29%
Consumer
9%
80
17%
7%
11%
10%
4%
15%
17%
13%
9%
11%
11%
20%
26%
10%
15%
18%
11%
3%
18%
2%
14%
4%
60
58%
18%
35%
25%
15%
20%
10%
0
Brazil
17%
41%
49%
Russia
Consumer
12%
36%
22%
9%
India
Defensive
Tech
23%
4%
20
40%
42%
40
China
Mexico
S. Korea
32%
19%
Turkey
Indonesia
Source: (All charts) MSCI, FactSet, J.P. Morgan Asset Management. Defensive is comprised of health care, telecommunication services and utility sectors. Ind. & mat. is
industrials and materials sectors. Percentages may not sum to 100% due to rounding. Guide to the Markets - Europe. Data as at 31 December 2014.
48
Energy
500
-27,4
Hungary
Colombia
-19,8
EM EPS (fwd)
450
Brazil
-13,7
Poland
-13,6
Chile
Equities
EM DPS
DM EPS (fwd)
400
-12,2
S. Korea
-10,7
Malaysia
-10,7
Mexico
DM DPS
350
300
-9,2
-1,8
MSCI EM
250
DM Index
5,5
S. Africa
5,7
China
200
8,3
16,8
Thailand
Turkey
150
19,1
India
100
23,9
Philippines
26,4
Indonesia
27,2
Egypt
50
29,3
-50
-40
-30
-20
-10
10
20
30
40 % 50
0
'95
'97
'99
'01
'03
'05
'07
Source: (Left) MSCI, FactSet, J.P. Morgan Asset Management. (Right) MSCI, IBES, FactSet, J.P. Morgan Asset Management. Regular dividends only in local currency.
Guide to the Markets - Europe. Data as at 31 December 2014.
49
'09
'11
'13
Equity Income
S&P 500 total return: Dividends and capital appreciation
Capital appreciation
Dividends
15
12,6%
3,0%
5
4,7%
5,4%
6,0%
4,4%
3,3%
5,1%
-10
1926-1929
1930s
5,9%
4,4%
4,2%
1940s
1950s
1960s
1970s
+115%
High dividend
yield total return
+47%
Price return
4
3
-9%
100
1980s
'01
'02 '03
'04 '05
'06
'07
'08
'09
2000s
50
'00
1990s
2010-2014
1926-2014
6,2
'10
'11
'12
'13
'14
3,3
6,6
3,8
1,0
0,5
'99
4,0%
7
%
6
5
Total return
150
2,7%
Sources of income
50
2,5%
1,8%
-2,7%
16,6%
15,3%
1,6%
-5,3%
-5
Equities
13,6%
13,9%
10
0,1
Cash
Bunds
Euro
corp
Source: (Top) Standard & Poors, Ibbotson, J.P. Morgan Asset Management. (Bottom left) MSCI, FactSet, J.P. Morgan Asset Management. (Bottom right) Eurostat, Tullett Prebon, Barclays,
J.P. Morgan Economic Research, MSCI, BofA/Merrill Lynch, FactSet, J.P. Morgan Asset Management. Total return index is the S&P 500. European corporate: BarCap European Aggregate Credit Corporate Index;
Emerging markets debt: JP Morgan EMBI+; High yield: BofA/Merrill Lynch High Yield Master II; EME: MSCI Emerging Markets Index, Converts is the Barclays Global Convertibles. Global REITs: FTSE NAREIT Index.
Yields for the bond indices are yield-to-worst and dividend yields for the equity indices. *Returns in local currency. Guide to the Markets - Europe. Data as at 31 December 2014.
EM
Debt
High
Yield
US
120
Defensive
sectors more
expensive
Average: 0,73
Europe
0,7
Emerging markets
115
Equities
0,6
110
0,5
105
0,4
'04
Cyclical
sectors more
expensive
'05
'06
'07
'08
'09
'10
'11
'12
'13
95
400
303
90
300
232
200
85
83
100
0
80
'00
'02
'04
'06
'08
'10
'12
'14
Emerging
Markets
Europe
Source: (Left) IBES, Compustat, FactSet, J.P. Morgan Asset Management. (Top and bottom right) MSCI, FactSet, J.P. Morgan Asset Management.
Guide to the Markets - Europe. Data as at 31 December 2014.
51
US
Japan
'14
Sovereign Debt
Crisis
Great Depression
60
Lehman
Bankruptcy
1987 Crash
Cuban Missile Crisis
50
OPEC Oil
Crisis
40
30
20
10
Equities
Dec 2014:
37,4%
Average: 27,0%
0
'26
'32
'38
'44
'50
'56
'62
'74
Volatility measures
DJIA (left)
VIX (right)
VDAX
2,5
'68
'80
'86
2008 peak
3,30%
80,9
74,0
'92
Average
0,71%
20,0
22,2
'98
'04
'10
Latest
0,56%
19,2
19,5
90
75
60
2,0
45
1,5
30
1,0
15
0,5
0,0
'30
'35
'40
'45
'50
'55
'60
'65
'70
'75
'80
'85
'90
'95
'00
'05
Source: (Top) Empirical Research Partners LLC, Standard & Poors, J.P. Morgan Asset Management. (Bottom) CBOE, Deutsche Boerse, Dow Jones, FactSet, J.P. Morgan Asset Management.
Capitalisation-weighted correlation of top 750 stocks by market capitalisation, daily returns, 1926 2014. DJIA volatility is represented as three-month moving average of the daily absolute
percentage change in the Dow Jones Industrial Average. Guide to the Markets - Europe. Data as at 31 December 2014.
52
'10
0
'15
Despite average intra-year drops of 15,6% (median 11,9%), annual returns are positive in 27 of 35 years
39
40
%
28
30
20
28
22
21
18
17
13
13
23
22
20
20
16
15
16
12
12
9
10
Equities
Intra-year decline
35
34
34
6
4
-10
-4
-3
-4
-6
-7
-11
-11
-10
-15
-20
-4
-8
-6
-5
-6
-8
-9
-11
-11
-16
-18
-19
-12
-12 -12
-12
-12
-15
-18
-18
-12 -12
-15
-22
-24
-25
-26
-30
-31
-31
-35
-40
-35
-37
-41
-50
'80
53
'82
'84
'86
'88
'90
'92
'94
'96
'98
'00
'02
'04
'06
-48
'08
Source: MSCI, FactSet, J.P. Morgan Asset Management. Returns are based on price only and do not include dividends. Intra-year decline refers to the largest market
fall from peak to trough within a short time period during the calendar year. Returns shown are calendar years from 1980 to 2014. Guide to the Markets - Europe.
Data as at 31 December 2014.
'10
'12
'14
Fixed Income
Local
2006
2007
2008
2009
2010
2011
2012
2013
2014
4Q14
Ten-yr
Ann.
28,9%
EM Sov
(USD)
11,9%
9,8%
Global HY
12,2%
7,5%
US Treas.
9,0%
14,2%
US Treas.
13,7%
58,2%
Global HY
57,7%
23,7%
EM Sov
(LC)
11,1%
12,9%
EM Sov
(USD)
9,2%
18,6%
Global HY
19,2%
6,2%
Global HY
6,5%
20,9%
EM Sov
(USD)
6,2%
3,4%
EM Sov
(USD)
-0,9%
9,0%
EM Sov
(USD)
7,7%
22,5%
EM Sov
(LC)
10,7%
3,1%
EM Sov
(LC)
8,6%
6,5%
EM Sov
(LC)
6,4%
8,8%
Govt.
(ex-US)
8,1%
22,0%
EM Sov
(USD)
25,9%
19,6%
EM Sov
(USD)
11,8%
10,6%
US Treas.
9,8%
16,2%
EM Sov
(USD)
18,0%
0,9%
Govt.
(ex-US)
1,1%
9,2%
Govt.
(ex-US)
9,2%
2,9%
Govt.
(ex-US)
2,9%
8,0%
EM Sov
(LC)
8,9%
6,4%
Portfolio
5,4%
2,2%
Portfolio
5,2%
3,4%
Govt.
(ex-US)
4,9%
0,1%
Portfolio
1,0%
18,2%
EM Sov
(LC)
8,6%
15,2%
Global HY
15,1%
5,8%
Portfolio
6,0%
15,0%
EM Sov
(LC)
14,4%
-0,1%
Global IG
0,1%
8,5%
EM Sov
(LC)
9,0%
1,9%
US Treas.
1,9%
7,3%
Global HY
8,3%
4,4%
Global HY
5,6%
1,4%
Global IG
3,6%
3,2%
Portfolio
4,9%
-0,3%
EM Sov
(LC)
10,9%
16,6%
Global IG
16,6%
8,8%
Portfolio
7,1%
5,2%
Global IG
4,8%
10,7%
Global IG
10,9%
-1,5%
Portfolio
0,2%
7,9%
Portfolio
7,3%
1,7%
Global IG
1,8%
5,5%
Portfolio
5,9%
4,4%
Govt.
(ex-US)
5,5%
1,2%
Govt.
(ex-US)
3,4%
1,8%
Global IG
3,2%
-5,0%
EM Sov
(USD)
-9,7%
13,9%
Portfolio
13,1%
7,2%
Global IG
7,2%
4,9%
Govt.
(ex-US)
4,2%
9,2%
Portfolio
9,5%
-2,9%
US Treas.
-2,7%
7,5%
Global IG
7,6%
1,5%
Portfolio
1,7%
4,6%
Global IG
5,1%
2,3%
Global IG
3,5%
0,9%
US Treas.
3,1%
0,6%
Global HY
2,0%
-5,3%
Global IG
-5,1%
2,4%
Govt.
(ex-US)
2,3%
6,1%
US Treas.
5,9%
3,5%
Global HY
3,6%
5,2%
Govt.
(ex-US)
5,4%
-12,3%
EM Sov
(USD)
-8,3%
5,0%
US Treas.
5,1%
-1,5%
EM Sov
(LC)
2,3%
4,3%
Govt.
(ex-US)
4,7%
1,6%
US Treas.
2,8%
-1,2%
EM Sov
(USD)
10,5%
-4,0%
EM Sov
(USD)
6,5%
-27,9%
Global HY
-25,2%
-3,8%
US Treas.
-3,6%
3,0%
Govt.
(ex-US)
2,9%
1,5%
EM Sov
(LC)
9,7%
1,9%
US Treas.
2,0%
-12,9%
EM Sov
(LC)
-0,2%
2,3%
Global HY
2,6%
-1,7%
Global HY
-1,6%
4,0%
US Treas.
4,4%
Source: Barclays Capital, FactSet, J.P. Morgan Asset Management. Annualised return covers the period from 2005 to 2014. Global HY: Barclays Global High Yield; US Treasury: Barclays US Aggregate
Government Treasury; Govt. (ex-US): Barclays Global Treasury ex-US; EM Sov Debt (USD): JP Morgan EMBI+; Global Corp (IG): Barclays Global Aggregate Corporates; EM Sov Debt (LC):
JPMorgan GBI-EM Global. Hypothetical portfolio (for illustrative purposes only and shouldnt be taken as a recommendation): 15% US Treasury; 30% Treasury (ex-US); 5% EM Debt (USD); 10% Global
HY; 10% EM Sov Debt (LC); 30% Global Corp (IG). Multi-currency indices are hedged. Guide to the Markets - Europe. Data as at 31 December 2014.
54
Mkt. value
($ billions)
1-3 years
106
1.754
1,9 years
0,31%
5-7 years
59
1.251
6,0
10+ years
122
2.937
1-3 years
95
5-7 years
10-20 years
Return*
10-year correlation
4Q14
2014
10-year
Bund
10-year
Treasury
0,36%
0,12%
1,55%
0,44
0,17
0,76
1,03
1,72
9,99
0,83
0,58
21,3
1,94
2,43
7,95
26,97
0,85
0,66
2.528
2,0 years
0,68%
0,60%
0,19%
0,63%
0,46
0,65
39
986
6,1
1,85
2,04
1,83
4,84
0,74
0,95
14
128
13,4
2,31
2,71
4,83
14,53
0,79
1,00
410
5.070
6,5 years
2,60%
2,88%
1,79%
6,08%
0,63
0,80
IG credit
8.914
7.583
8,8
2,57
2,61
0,06
3,15
0,08
0,25
High yield
3.366
2.128
6,3
6,68
6,04
-2,51
0,01
-0,29
-0,20
Floating rate
492
343
2,1
0,71
0,54
-0,16
0,65
-0,26
-0,21
Convertibles
821
358
0,0
3,34
3,12
1,09
6,02
-0,45
-0,41
328
516
12,3
5,66
5,32
-0,61
7,15
0,06
0,22
553
412
6,7
5,78
4,99
-2,08
3,91
-0,04
0,11
EMD LC sovereign
431
1.750
7,3
5,41
5,44
-4,19
-1,91
-0,19
-0,09
Europe Treasuries
Europe bonds
Fixed Income
US Treasuries
55
Sector
MBS
Source: Barclays Capital, FactSet, J.P. Morgan Asset Management. Fixed income sectors shown are represented by the following indices: Europe Treasuries Barclays Pan-Euro
Aggregate Government-Treasury indices, US Treasuries Barclays US Treasury indices, MBS Barclays US Aggregate Securitized-MBS, IG Credit Barclays Global AggregateCorporates, High yield Barclays Global High Yield, Floating rate Barclays US Floating Rate Notes, Convertibles Barclays Global Convertibles Composite, EMD USD
sovereign Barclays Emerging Markets USD Aggregate Sovereign, EMD USD corporate Barclays Emerging Markets USD Aggregate Corporate, EMD LC sovereign
Barclays Emerging Market Local Currency Government. *Return is in local currency of the index and unhedged. Guide to the Markets - Europe. Data as at 31 December 2014.
US Federal Reserve
%
6
Base rate
31 Dec 2014:
0,50%
Fed funds
31 Dec 2014:
0,25%
-2
-2
Fixed Income
'99
'01
'03
'05
'07
'09
'11
'13
'99
'01
'03
'05
'07
'09
'11
'13
Bank of Japan
2,0
%
1,5
%
4
Call rate
31 Dec 2014:
0,10%
1,0
0,5
0,0
Repo rate
31 Dec 2014:
0,05%
-1,0
-1,5
56
-0,5
'01
'03
'05
'07
-2,0
-2,5
'09
'11
'13
'99
'01
'03
'05
'07
Source: (Top left) Bank of England, ONS, FactSet, J.P. Morgan Asset Management. (Top right) US Federal Reserve, BLS, FactSet, J.P. Morgan Asset Management.
(Bottom left) ECB, Eurostat, FactSet, J.P. Morgan Asset Management. (Bottom right) Bank of Japan, Japanese Statistics Bureau & Statistics Centre, FactSet,
J.P. Morgan Asset Management. Real interest rate is policy rate less core CPI inflation. Guide to the Markets - Europe. Data as at 31 December 2014.
'09
'11
'13
How to
interpret this
chart
Max
15
10
Average
Current
Min
Fixed Income
Treasury:
Europe
10+ years
Illustration of the impact a 1% rise in local interest rates may have on selected indices
Assumes a parallel shift in the yield curve and spreads are maintained
0
%
Price return
-5
Total return
-10
-15
57
Treasury:
Europe
1-3 years
5-7 years
10+ years
$ billions
900
bps
3.500
600
$
Current yield
800
159
500
700
3.000
93
600
400
102
2.500
Fixed Income
500
2.000
300
400
56
1.500
200
1.000
43
300
27
200
22
100
500
12
100
0
0
0
'01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14
Global
HY
EMD
EMD
USD Sovereign
Global
IG
US IG
Euro
US
UK Gilts
Aggregate
Treasuries
Govt
Source: (Left) Federal Reserve Bank of New York, Barclays, J.P. Morgan Asset Management. (Right) Barclays, FactSet, J.P. Morgan Asset Management. Interest rate risks chart assumes that
all investments are issued at par and are made on 31 December 2014, with no re-investment of income and with no consideration to convexity characteristics. Fixed income sectors shown are provided
58
by Barclays Capital and are represented by Barclays Global High Yield, Barclays Emerging Market Local Currency Government, Barclays Emerging Markets USD Aggregate, Barclays Global
Credit Corporate, Barclays US Aggregate Credit - Corporate - Investment Grade, Barclays US Aggregate Government - Treasury (7-10 Y), Barclays UK Gilt (7-10 Y), Barclays Euro
Aggregate Government - Treasury (7-10 Y). Guide to the Markets Europe. Data as at 31 December 2014.
4.500
Other bonds
$
4.000
Retail funds
$
4.000
Government bonds
Foreign official
G4 central banks
3.500
3.500
3.000
3.000
Estimated
$2.600 bn
2.500
Fixed Income
2.500
2.000
2.000
1.500
1.500
1.000
1.000
500
500
-500
-500
'07
'08
'09
'10
'11
'12
'13
'14
'15
Estimated
$2.000 bn
'07
'08
'09
'10
Source: (Both charts) Central bank sources, ICI, Bloomberg, IMF, J.P. Morgan Securities, J.P. Morgan Asset Management. Guide to the Markets - Europe.
Data as at 31 December 2014.
59
'11
'12
'13
'14
'15
5,5
10
%
8
5,0
US
6
UK
4,5
Germany
4
4,0
2
UK
Eurozone
3,5
0
'06
3,0
Fixed Income
US
'07
'08
'09
'10
'11
'12
'13
'14
2,5
3,0
US
UK
2,5
2,0
Germany
2,0
1,5
1,5
1,0
0,5
'06
60
1,0
'07
'08
'09
'10
'11
'12
'13
'14
0,5
'10
'11
'12
Source: (Left and bottom right) Tullett Prebon, FactSet, J.P. Morgan Asset Management. (Top right) Barclays, FactSet, J.P. Morgan Asset Management. Investment grade
bond yields shown are provided by Barclays Capital and are represented by US: Barclays US Aggregate Corporate Investment Grade, UK: Barclays Sterling Aggregate
Non-Gilts Corporate, Eurozone: Barclays Euro-Aggregate Corporate. Guide to the Markets - Europe. Data as at 31 December 2014.
'13
'14
Asset class
Average
Latest
2.000
1,9%
bps
1.500
HY defaults (lhs)
4,0%
15
HY spread (rhs)
576bps
571bps
440bps
526bps
1.000
10
500
Fixed Income
'86
'88
'90
'92
'94
'96
'98
'00
'02
'04
'06
$ billions
60
Average: 41,8 cents
50
'08
'10
'12
'14
2014:
$342,9bn
400
$
Refinancing
300
Acquisition/LBO
General*
40
200
30
20
100
10
0
0
'82
61
'85
'88
'91
'94
'97
'00
'03
'06
'09
'12
'05
'06
'07
'08
'09
'10
'11
Source: (Top) US Treasury, J.P. Morgan Economic Research, Credit Suisse, J.P. Morgan Asset Management. Default rates are defined as the par value percentage of the
total market trading at or below 50% of par value and include any Chapter 11 filing, prepackaged filing or missed interest payments. Leveraged loan spread is the discount
margin to maturity. (Bottom left and right) J.P Morgan, J.P. Morgan Asset Management. *General issuance includes issuance for the purpose of paying dividends.
Guide to the Markets - Europe. Data as at 31 December 2014.
'12
'13
'14
Asset class
20
Average
Latest
HY spread (rhs)
662bps
395bps
HY defaults (lhs)
5,2%
1,0%
2.500
bps
2.000
15
1.500
10
1.000
5
Fixed Income
500
'98
'99
'00
'01
'02
'03
'04
'05
'06
'09
'10
'11
'12
'13
'14
CCC
B
60
'08
billions
90
'07
Global
60
BB
30
30
0
'03
62
'04
'05
'06
'07
'08
'09
'10
'11
'12
'13
'14
0
'05
'06
'07
'08
'09
'10
'11
Source: (Top) Credit Suisse, FactSet, J.P. Morgan Asset Management. (Bottom left) J.P. Morgan Economic Research, FactSet, J.P. Morgan Asset Management. (Bottom right)
FactSet, Barclays, J.P. Morgan Asset Management. European high yield is the BofA/Merrill Lynch European High Yield index. Global high yield is the Barclays High Yield index.
Guide to the Markets - Europe. Data as at 31 December 2014.
'12
'13
'14
14
6
%
4
Developed markets
Emerging markets
2
12
0
-2
-4
Fixed Income
10
%
6,5
EMBIG*
6,0
5,5
6
EM sovereign (local currency)
5,0
EM sovereign (USD)
4,5
Baa corporate
bond (USD)
EM corporate (USD)
4
'01
63
'03
'05
'07
'09
'11
'13
4,0
'09
'10
'11
'12
Source: (Left and top right) J.P. Morgan Economic Research, FactSet, J.P. Morgan Asset Management. (Bottom right) Moodys, J.P. Morgan Economic Research, FactSet,
J.P. Morgan Asset Management. EM sovereign (local currency) is the JP Morgan GBI-EM; EM sovereign (USD) is the JP Morgan EMBI+; EM corporate (USD) is the JP Morgan
CEMBI. *The JP Morgan EMBI Global (EMBIG) Index is a USD-denominated external debt index tracking bonds issued by sovereigns and quasi-sovereigns in developing nations.
Guide to the Markets Europe. Data as at 31 December 2014.
'13
'14
% of the index
$ trillions
3,5
100
%
EM corporate (USD)
90
EM sovereign (USD)
3,0
70
2,5
Fixed Income
60
BB
2,0
IG
50
1,5
40
30
1,0
20
0,5
10
0,0
0
1994-97 1998-01 2002-05 2006-09 2010-13
64
2014
'01
'02
'03
'04
'05
'06
'07
'08
'09
'10
Source: (Both charts) J.P. Morgan Economic Research, J.P. Morgan Asset Management. *The JP Morgan EMBI Global (EMBIG) is a USD-denominated external debt index
tracking bonds issued by sovereigns and quasi-sovereigns in developing nations. EM corporate (USD) is the CEMBI; EM sovereign (USD) is the JP Morgan EMBI Global; EM
sovereign (local currency) is the Global Bond Index Emerging Market Broad Diversified Index (GBI-EM). Guide to the Markets - Europe. Data as at 31 December 2014.
'11
'12
'13
'14
65
Ten-yr
Ann.
2010
2011
2012
2013
Govt bonds
9,1%
EME
62,8%
REITS
27,6%
REITS
7,3%
REITS
20,1%
World
equities
29,6%
REITS
27,1%
REITS
12,4%
EME
10,3%
Cmdty
16,2%
Cash
5,7%
HY bonds
57,7%
Cmdty
16,8%
EMD
7,0%
HY bonds
19,2%
Portfolio
9,7%
World
equities
10,4%
World
equities
3,4%
HY bonds
8,3%
World
equities
16,1%
Hedge
funds
12,6%
IG bonds
-5,1%
EMD
34,2%
HY bonds
15,1%
Govt bonds
5,5%
EMD
17,9%
Hedge
funds
9,7%
Govt bonds
8,1%
Govt bonds
2,7%
EMD
7,8%
Portfolio
12,6%
Hedge
funds
13,9%
Portfolio
7,3%
EMD
-14,7%
REITS
27,4%
EME
14,4%
IG bonds
4,8%
EME
17,4%
HY bonds
6,5%
IG bonds
7,6%
IG bonds
1,8%
REITS
7,5%
EMD
12,3%
Portfolio
12,7%
Govt bonds
5,6%
Hedge
funds
-19,1%
World
equities
26,5%
EMD
12,8%
HY bonds
3,6%
World
equities
16,4%
EME
3,8%
Portfolio
7,0%
Portfolio
1,5%
World
equities
6,9%
REITS
8,3%
HY bonds
12,2%
World
equities
5,2%
Portfolio
-22,6%
Portfolio
26,3%
Hedge
funds
10,9%
Cash
1,7%
Portfolio
12,6%
REITS
3,2%
EME
5,6%
Hedge
funds
0,7%
Portfolio
6,8%
Hedge
funds
7,6%
EMD
10,0%
EMD
5,2%
HY bonds
-25,2%
Cmdty
18,9%
Portfolio
10,7%
Portfolio
-1,1%
IG bonds
10,9%
Cash
0,2%
EMD
4,8%
EME
0,1%
Hedge
funds
5,8%
HY bonds
5,6%
IG bonds
3,6%
Cash
4,4%
Cmdty
-35,6%
Hedge
funds
18,6%
World
equities
10,6%
Hedge
funds
-2,5%
Hedge
funds
7,7%
Govt bonds
0,1%
Hedge
funds
4,1%
Cash
0,0%
IG bonds
5,1%
Govt bonds
5,0%
Govt bonds
3,3%
IG bonds
3,2%
REITS
-37,3%
IG bonds
16,6%
IG bonds
7,2%
World
equities
-5,0%
Govt bonds
4,5%
IG bonds
0,1%
HY bonds
2,6%
HY bonds
-1,6%
Govt bonds
4,6%
IG bonds
3,5%
Cash
3,0%
HY bonds
2,0%
World
equities
-38,3%
Cash
2,3%
Govt bonds
3,6%
EME
-12,5%
Cash
1,2%
EMD
-4,1%
Cash
0,3%
EMD
-1,7%
Cash
2,2%
Cash
2,2%
Cmdty
2,1%
REITS
-17,8%
EME
-45,7%
Govt bonds
1,0%
Cmdty
-13,3%
Cmdty
-1,1%
Cmdty
-9,5%
Cmdty
-17,0%
Cmdty
-12,1%
Cmdty
-1,9%
2006
2007
EME
35,8%
REITS
34,4%
EME
33,6%
Cmdty
21,4%
EME
28,8%
World
equities
16,3%
2008
Cash
1,1%
2014
4Q14
2009
2005
Source: MSCI, Barclays Capital, Bloomberg/UBS, NAREIT, J.P. Morgan Economic Research, Credit Suisse/Tremont, FactSet, J.P. Morgan Asset Management. Returns are in base currency of the index.
Annualised return covers the period from 2005 to 2014. EME: MSCI EM Emerging Market; Govt bonds: Barclays Global Aggregate Government Treasuries; HY bonds: Barclays Global High Yield; EMD:
Barclays Emerging Markets (USD); IG bonds: Barclays Global Aggregate Corporates; Cmdty: Bloomberg/UBS Commodity; REITS: FTSE NAREIT All REITS; DM equities: MSCI World; Hedge funds:
Credit Suisse/Tremont Hedge Fund; Cash: JP Morgan Cash Index ECU (3M). Hypothetical portfolio (for illustrative purposes only and shouldnt be taken as a recommendation): 15% government bonds; 5%
HY bonds; 15% IG bonds; 5% EMD; 5% commodities; 5% cash; 5% REITS; 5% hedge funds; 7,5% EM equities; 32,5% World equities. Multi-currency indices are hedged. Guide to the Markets - Europe.
Data as at 31 December 2014.
10-year correlations
MSCI
Europe
S&P 500
Global
bonds
Cmdty
Hedge
funds
MSCI
Europe
1,00
0,76
0,80
0,77
-0,14
0,54
0,72
-0,29
0,36
0,70
0,67
0,19
S&P 500
0,39
1,00
0,64
0,65
-0,04
0,27
0,50
0,12
0,30
0,44
0,53
0,22
MSCI EM
0,51
0,40
1,00
0,96
-0,09
0,59
0,67
-0,18
0,48
0,68
0,61
0,04
MSCI Asia
ex-Japan
0,44
0,42
0,95
1,00
-0,03
0,54
0,64
-0,09
0,39
0,62
0,58
0,02
Pan Europe
bonds
0,06
0,14
0,35
0,40
1,00
0,15
-0,13
0,59
-0,13
-0,28
-0,21
-0,15
EM debt
0,63
0,12
0,64
0,57
0,39
1,00
0,75
-0,25
0,25
0,54
0,53
-0,08
High yield
bonds
0,70
0,21
0,57
0,47
0,25
0,79
1,00
-0,33
0,34
0,79
0,88
-0,13
Global
bonds
-0,37
0,26
0,08
0,18
0,64
-0,06
-0,21
1,00
-0,03
-0,42
-0,25
-0,15
Cmdty
0,31
0,24
0,30
0,27
0,11
0,32
0,42
0,22
1,00
0,50
0,40
0,24
Hedge
funds
0,73
0,27
0,42
0,39
0,12
0,43
0,61
-0,35
0,12
1,00
0,81
0,09
Leveraged
loans
0,57
0,17
0,49
0,40
0,08
0,57
0,81
-0,27
0,36
0,69
1,00
-0,05
Real
estate
-0,04
0,03
-0,35
-0,30
-0,44
-0,61
-0,55
-0,35
-0,45
-0,10
-0,39
1,00
MSCI EM
MSCI Asia
ex-Japan
Pan Europe
bonds
EM debt
High yield
bonds
Leveraged
loans
Three-year correlations
66
Source: Citigroup, Barclays, Credit Suisse, NCREIF, Standard & Poors, MSCI, Federal Reserve, Bloomberg, J.P. Morgan Economic Research, Bloomberg/UBS, J.P. Morgan Asset Management. Pan
Europe bonds: Citigroup Europe Government Bond; EM debt: JP Morgan EMBI Global; High yield bonds: JP Morgan Domestic High Yield; Global bonds: Barclays Global Aggregate; Lev. Loans: Credit
Suisse Leveraged Loans; Cmdty: Bloomberg/UBS Commodity; Hedge Funds: CS/Tremont Multi-Strategy; Real estate: blended index, which includes NCREIF Property Index data and Federal Reserve
estimates of changes in capital value. Ten-year correlation values are calculated for period December 2004 to December 2014. All indices except Real Assets are total return based on monthly return data
in euros; real asset correlations are based on quarterly data and are as at 30 September 2014. Guide to the Markets - Europe. Data as at 31 December 2014.
Real
estate
Commodity Returns
4Q14
Crude Oil
6,8%
Coffee
37,7%
Wheat
21,8%
Gold
8,0%
Wheat
9,7%
Nat. gas
5,0%
Nickel
7,3%
Corn
19,7%
Copper
6,9%
Crude Oil
-3,7%
Silver
7,0%
Copper
-8,8%
Gold
-1,8%
Gold
-2,3%
Silver
6,0%
Corn
30,5%
Silver
-10,2%
Gold
6,0%
Nickel
-20,1%
Alum inum
-3,1%
Copper
-5,9%
Nickel
0,4%
Gold
22,7%
Copper
29,4%
Coffee
-11,2%
Copper
4,9%
Alum inum
-20,8%
Wheat
-9,5%
Alum inum
-6,4%
Corn
-3,1%
Wheat
-39,4%
Coffee
10,1%
Gold
28,5%
Alum inum
-21,7%
Alum inum
-4,1%
Wheat
-27,2%
Corn
-13,3%
Nickel
-7,6%
Coffee
-5,8%
Coffee
-6,4%
Alum inum
-41,0%
Crude Oil
4,2%
Wheat
21,0%
Copper
-24,5%
Nickel
-10,3%
Gold
-28,7%
Copper
-16,6%
Silver
-8,8%
Alum inum
-6,1%
Coffee
1,0%
Nickel
-16,9%
Copper
-53,8%
Corn
-10,3%
Alum inum
5,2%
Nickel
-24,7%
Crude Oil
-11,8%
Corn
-30,3%
Silver
-20,5%
Coffee
-15,8%
Wheat
-8,1%
Coffee
-11,7%
Crude Oil
-16,7%
Alum inum
-18,9%
Crude Oil
-53,9%
Wheat
-26,1%
Crude Oil
3,7%
Wheat
-34,0%
Nat. gas
-30,7%
Coffee
-30,6%
Nat. gas
-30,8%
Nat. gas
-32,5%
Crude Oil
-9,4%
Corn
-18,4%
Nat. gas
-72,1%
Nat. gas
-22,9%
Nickel
-56,8%
Nat. gas
-51,6%
Nat. gas
-40,7%
Nat. gas
-47,1%
Coffee
-41,6%
Silver
-36,7%
Crude Oil
-41,7%
Crude Oil
-40,7%
Nat. gas
-34,1%
2006
2007
2008
2009
2010
2011
2012
Copper
56,1%
Nickel
167,2%
Wheat
52,1%
Gold
2,4%
Copper
129,6%
Silver
81,6%
Gold
9,6%
Corn
18,9%
Nat. gas
52,8%
Copper
45,1%
Crude Oil
40,1%
Corn
-23,1%
Nickel
54,6%
Coffee
66,8%
Corn
1,1%
Silver
25,0%
Corn
40,0%
Gold
24,2%
Silver
-26,6%
Silver
47,4%
Nickel
32,0%
Crude Oil
21,9%
Silver
37,8%
Silver
9,1%
Coffee
-27,3%
Alum inum
33,6%
Alum inum
15,5%
Wheat
20,0%
Copper
4,1%
Nat. gas
-38,0%
Gold
13,8%
Alum inum
19,4%
Corn
-2,3%
Nickel
-8,1%
Gold
16,0%
Wheat
-8,8%
2013
Source: Bloomberg, UBS, FactSet, J.P. Morgan Asset Management. Returns are in base currency of the index. Annualised period covers 2005 to 2014.
Guide to the Markets - Europe. Data as at 31 December 2014.
67
Ten-yr
Ann.
2014
2005
Commodities
Commodity volatility
Gold price
2.500
5,9
Natural gas
Grains
3,5
Industrial metals
3,5
Gold price
$/oz.
4,5
Crude oil
31 Jan 1980:
$2.086
2.000
3,2
Precious metals
Bloomberg/UBS
Cmdty Index
ACWI
2,5
2,3
1,9
Livestock
1.500
Bloomberg/UBS
Commodity Index
Headline CPI*
80
%
60
40
20
-2
-20
-4
-40
-6
-60
'95
'97
'99
'01
'03
'05
'07
'09
'11
'13
1.000
31 Dec 2014:
$1.199
500
0
'69
'74
'79
'84
'89
'94
Source: (Top and bottom left) Bloomberg, UBS, MSCI, J.P. Morgan Asset Management. (Right) BLS, FactSet, J.P. Morgan Asset Management. *CPI is the Consumer
Price Index. Guide to the Markets - Europe. Data as at 31 December 2014.
68
'99
'04
'09
'14
Kuwait
3,1%
Syria
0,1%
14
Suez Canal
2,2%
12
Iraq
3,4%
Iran
3,5%
10
US
Saudi Arabia
Russia
Egypt
0,8%
Libya
1,1%
Saudi Arabia
12,9%
Strait of
Hormuz
17,0%
6
'01
'03
'05
'07
'09
'11
$
120
Brent Crude
-46%
WTI
-47%
100
80
60
40
'10
Sudan
0,3%
Change in
2014
$ per barrel
'13
'11
'12
'13
UAE
3,6%
Bab el-Mandeb
3,4%
Selected producers
Selected consumers
5%
4%
Saudi Arabia
4%
China
11% Russia
4%
Russia
12% Iran
4%
Eurozone
11% Brazil
3%
Africa
10% Brazil
3%
Japan
5%
Saudi Arabia
3%
China
5%
1%
Africa
4%
Germany
3%
Eurozone
'14
Source: (Top left) EIA, J.P. Morgan Asset Management. (Bottom left) FactSet, J.P. Morgan Asset Management. (Right) EIA, IMF, J.P. Morgan Asset Management.
Guide to the Markets - Europe. Data as at 31 December 2014.
69
100
25
Expected savings
shortfall (years)
94%
Savings expected
to last (years)
Men
Women
78%
80
20
70%
11
7
66%
10
15
60
8
8
10
10
10
47%
10
36%
14
10
UAE
10
Mexico
India
12
11
8
20
Brazil
Singapore
France
US
Australia
90 years
Canada
80 years
UK
0
0
70
11
10
China
Average
40
Source: (Left) ONS 2010-2012 Life Tables, J.P. Morgan Asset Management. (Right) The Future of Retirement: A new reality study by HSBC, J.P. Morgan Asset Management.
Figures represent the expected portion of retirement that will not be covered by retirement savings based on survey data. Guide to the Markets - Europe.
Data as at 31 December 2014.
Aug 2000:
-23,8%
-5
Jul 1989:
+4,4%
Jun 2007:
-22,5%
Jun 1995:
+17,7%
May 1986:
+12,1%
Nov 2010:
-8,3%
-10
Dec 2014
-15
Feb 1988:
+19,6%
Nov 1996:
+30,1%
-20
Mar 2003:
+32,5%
-25
Dec 2012:
+18,1%
-30
Mar 1993:
+19,4%
Mar 2009:
+44,7%
-35
'85
71
'87
'89
'91
'93
'95
'97
'99
'01
'03
'05
'07
'09
'11
Source: European Commission, FactSet, J.P. Morgan Asset Management. Peak is defined as the highest index value before a series of lower lows, while a trough is defined as
the lowest index value before a series of higher highs. Subsequent 12-month MSCI Europe Index returns are price returns only, which excludes dividends. Total period return is
the average 12-month rolling return. Guide to the Markets - Europe. Data as at 31 December 2014.
'13
800
$
Bond funds
400
$1.175bn
1.200
$
Institutional
Institutional
+$590 billion
billion
+$626
1.000
0
Retail
Retail
-$649billion
billion
-$643
$837bn
-400
800
-800
'07
'08
'09
'10
'11
'12
'13
600
400
Equity funds
Bond funds
20
200
$107bn
$64bn
0
-20
-40
0
1997-2000
Tech bubble
2009-2012
Post crisis
-60
'10
'11
'12
Source: (Left) Strategic Insight, FactSet, J.P. Morgan Asset Management. (Top and bottom right) Investment Company Institute, FactSet, J.P. Morgan Asset Management.
Latest data November 2014. Guide to the Markets - Europe. Data as at 31 December 2014.
72
'13
'14
50/50 portfolio
61%
50
48%
49%
30%
25
24%
24%
21%
17%
17%
18%
13%
1%
0
-7%
-3%
-1%
-3%
4%
4%
1%
0%
-18%
-24%
-25
-43%
-50
1-yr rolling
5-yr rolling
10-yr rolling
20-yr rolling
Source: Strategas/Ibbotson, J.P. Morgan Asset Management. Returns shown are per annum and are calculated based on monthly returns from 1950 to November 2014
and includes dividends. Guide to the Markets - Europe. Data as at 31 December 2014.
73
15%
10
12%
30
%
20
10
10
11%
7%
2%
9%
8%
30
%
20
12%
10
na
0%
Environment
average
inflation
na
-1%
-10
-20
Govt
Equities Cash Cmdty bonds
High
yield*
-10
-10
-20
-20
74
17%
13%
16%
4%
-10
Govt
Equities Cash Cmdty bonds
High
yield*
30
%
20
High
yield*
11%
-20
Govt
Equities Cash Cmdty bonds
-20
Median
inflation:
3.2%
10
-10
-8%
10
10
-10
-10
-20
-20
30
%
20
11%
4%
3%
6%
5%
6%
7%
10
0
-10
Govt
Equities Cash Cmdty bonds
High
yield*
Source: (All charts) BLS, Barclays Capital, Robert Shiller, Federal Reserve, NCREIF, Dow Jones, Strategas/Ibbotson, J.P. Morgan Asset Management. Period returns are the arithmetic average of the
nominal annual returns for the years specified by category. High or low inflation distinction reflects whether inflation was in the top or bottom quartile based on data from 1972-2013. *High yield returns
based on the period 1984-2013. **Hedge funds based on the period 1994-2013. Rising or falling inflation distinction is relative to the previous year. Commodities returns are based on GSCI, equities on the
S&P 500 total return index, govt bonds are the Barclays Aggregate US Treasury Index, high yield is the Barclays US Corporate High Yield Index, real estate is a blended index based on NCREIF and
Federal Reserve data, utilities is a blended index based on the DJ Utilities Average Index and Hedge Funds on the Credit Suisse/Tremont Hedge Fund index.
Guide to the Markets - Europe. Data as at 31 December 2014.
-20
75
The MSCI All Country Asia Pacific ex-Japan Index is a free float-adjusted market capitalization weighted index that is
designed to measure the equity market performance of the developed and emerging markets in the Pacific region. The
MSCI All Country Asia Pacific ex-Japan Index consists of the following 11 developed and emerging market countries:
Australia, China, Hong Kong, Indonesia, Japan, Korea, Malaysia, New Zealand, Philippines, Singapore, Taiwan, and
Thailand.
The MSCI China Index is an unmanaged index considered representative of stocks of China.
The MSCI KOKUSAI Index is a free float-adjusted market capitalization index that is designed to measure the equity market
performance of developed markets excluding Japan. The MSCI KOKUSAI Index consists of the following 23 developed
market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong,
Ireland, Israel, Italy, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United
Kingdom, and the United States*.
The Nikkei 225 Index is a price-weighted average of the 225 top-rated Japanese companies listed in the first section of the
Tokyo Stock Exchange.
The Tokyo Price Index (TOPIX) is a capitalization-weighted index lists all firms that are considered to be under the 'first
section' on the TSE, which groups all of the large firms on the exchange into one pool. The second section groups all of the
remaining smaller firms.
The FTSE 100 Index is an index of the 100 largest companies (by market capitalization) in the United Kingdom.
The FTSE All Share Index is an index of the 630 largest companies (by market capitalization) in the United Kingdom.
The MSCI Value and Growth IndicesSM cover the full range of developed, emerging and All Country MSCI Equity indexes.
As of the close of May 30, 2003, MSCI implemented an enhanced methodology for the MSCI Global Value and Growth
Indices, adopting a two dimensional framework for style segmentation in which value and growth securities are categorized
using different attributes - three for value and five for growth including forward-looking variables. The objective of the index
design is to divide constituents of an underlying MSCI Standard Country Index into a value index and a growth index, each
targeting 50% of the free float adjusted market capitalization of the underlying country index. Country Value/Growth indices
are then aggregated into regional Value/Growth indices. Prior to May 30, 2003, the indices used Price/Book Value (P/BV)
ratios to divide the standard MSCI country indices into value and growth indices. All securities were classified as either
"value" securities (low P/BV securities) or "growth" securities (high P/BV securities), relative to each MSCI country index.
The following MSCI Total Return IndicesSM are calculated with gross dividends:
This series approximates the maximum possible dividend reinvestment. The amount reinvested is the dividend distributed to
individuals resident in the country of the company, but does not include tax credits.
The MSCI Europe IndexSM is a free float-adjusted market capitalization index that is designed to measure developed
market equity performance in Europe. As of June 2007, the MSCI Europe Index consisted of the following 16 developed
market country indices: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands,
Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom.
The MSCI Pacific IndexSM is a free float-adjusted market capitalization index that is designed to measure equity market
performance in the Pacific region. As of June 2007, the MSCI Pacific Index consisted of the following 5 Developed Market
countries: Australia, Hong Kong, Japan, New Zealand, and Singapore.
Credit Suisse/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 NCREIF Property Index is a quarterly time series composite total rate of return measure of investment performance of
a very large pool of individual commercial real estate properties acquired in the private market for investment purposes only.
All properties in the NPI have been acquired, at least in part, on behalf of tax-exempt institutional investors - the great
majority being pension funds. As such, all properties are held in a fiduciary environment.
76
The Euro Stoxx 600 Index represents large, mid and small capitalisation companies across 18 European countries.
The JPMorgan GBI-EM Global Diversified consists of regularly traded, liquid fixed-rate, domestic currency government
bonds to which international investors can gain exposure. The weightings among the countries are more evenly distributed
within this index.
The JPMorgan Corporate Emerging Markets Bond Index (CEMBI): The CEMBI tracks total returns of US dollardenominated debt instruments issued by corporate entities in Emerging Markets countries, and consists of an investable
universe of corporate bonds. Both indices are also available in Diversified version.
The JPMorgan CEMBI Index is a USD denominated external debt index tracking bond issued by sovereigns and quasisovereigns in the developing nations.
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 CS/Tremont Equity Market Neutral Index takes both long and short positions in stocks with the aim of minimizing
exposure to the systematic risk of the market (i.e., a beta of zero).
The CS/Tremont Multi-Strategy Index consists of funds that allocate capital based on perceived opportunities among
several hedge fund strategies. Strategies adopted in a multi-strategy fund may include, but are not limited to, convertible
bond arbitrage, equity long/short, statistical arbitrage and merger arbitrage.
The Barclays U.S. Dollar Floating Rate Note (FRN) Index provides a measure of the U.S. dollar denominated floating rate
note market.
*Market Neutral returns for November 2008 are estimates by J.P. Morgan Funds Market Strategy, and are based on a
December 8, 2008 published estimate for November returns by CS/Tremont in which the Market Neutral returns were
estimated to be +0.85% (with 69% of all CS/Tremont constituents having reported return data). Presumed to be excluded
from the November return are three funds, which were later marked to $0 by CS/Tremont in connection with the Bernard
Madoff scandal. J.P. Morgan Funds believes this distortion is not an accurate representation of returns in the category.
CS/Tremont later published a finalized November return of -40.56% for the month, reflecting this mark-down. CS/Tremont
assumes no responsibility for these estimates.
The Office of National Statistics (ONS) Index is a mix-adjusted average housing price index. The index is calculated
monthly using mortgage financed transactions that are collected via the Regulated Mortgage Survey by the Council of
Mortgage Lenders.
The Nationwide House Price Index is a mix adjusted index which is derived from Nationwide lending data on a monthly
basis across the UK.
The Halifax House Price Index is constructed from mortgage data derived from Halifax lending data on a quarterly basis
across the UK.
The MSCI AC World High Dividend Yield Index is composed of those securities that have higher-than-average dividend
yield within its parent index, a track record of consistent dividend payments and the capacity to sustain future dividend
payments.
Unless otherwise stated, all data as at 31 December 2014 or most recently available.
Guide to the Markets Europe
JP-LITTLEBOOK