global macro overview : a market update · global wealth is still incre asing, though at a slower...

Global Macro Overview:

A Market Update

Economic Backdrop

PresenterPresentation NotesDifferent colour

-15

-10

-5

0

5

10

15

20

25

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

% change in total Global Wealth

Global Wealth is still increasing, though at a slower pace more recentlyAnnual Percentage Change in Total Global Wealth (2000 – 2017)

Source: James Davies, Rodrigo Lluberas and Anthony Shorrocks, Credit Suisse Global Wealth Databook 2016

Economic Backdrop

The US economy is growing, albeit slowlyUS GDP Growth Rate (Q1 2006 – Q1 2017)

Source: Trading Economics | U.S. Bureau of Economic Analysis

2006 2008 2010 2012 2014 2016

4

2

0

-2

-4

-6

Economic Backdrop

PresenterPresentation Notes

V2 – make it look like slide 3, rough data

The economy is looking strong at the employment levelJob Vacancy vs. Unemployment Rate – US Beveridge Curve

Source: Bureau of Labor Statistics, Current Population Survey and Job Openings and Labor Turnover Survey. The Beveridge Curve is a graphical representation of the relationship between unemployment and the job vacancy rate (the number of unfilled jobs expressed as a proportion of the labor force).

1.0

1.5

2.0

2.5

3.0

3.5

4.0

2.5 3.5 4.5 5.5 6.5 7.5 8.5 9.5 10.5 11.5

Unemployment rate (%)

Economic Backdrop

Customers are fairly optimistic with regards the outlook for the US economyUniversity of Michigan: Consumer Sentiment (Jan 1995 - March 2017)

Source: University of Michigan, University of Michigan: Consumer Sentiment© [UMCSENT], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/UMCSENT

Ind

ex

50

60

70

80

90

100

110

120

Jan-1995 Jan-1998 Jan-2001 Jan-2004 Jan-2007 Jan-2010 Jan-2013 Jan-2016

Economic Backdrop

The Chinese are still growing three times as fast as the US, although off lofty peaksChina GDP Growth Rate (Q1 2006 - Q1 2017)

Source: Trading Economics | National Bureau Of Statistics of China

16

14

2006 2008 2010 2012 2014 2016

12

10

8

6

Economic Backdrop

But economic growth is still very muted for the EuropeansEU GDP Growth Rate (Q1 2006 to Q1 2017)

Source: Trading Economics | Eurostat

2

1

2006 2008 2010 2012 2014 2016

0

-1

-2

-3

-4

Economic Backdrop

And Japan continues to struggleJapan GDP Growth Rate (Q1 2006 to Q1 2017)

Source: Trading Economics | Cabinet Office, Japan

4

2

0

-2

-4

-6

2006 2008 2010 2012 2014 2016

Economic Backdrop

-4

-2

0

2

4

6

8

10

12

12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16

8 Rate cuts: 150bpFrom Nov. 2011 to Mar. 2016

4 Negative Deposit facility rate cutsFrom Jun 2014 to Mar. 2016

Various Asset Purchase Programs and Bank Refinancing Measures From Jul. 2009 to today

ECB Actions attempt to stimulate Euro Area Credit LendingEuro Area—Annual Growth Rate of Loans to Private Sector

(31 December 2006–31 December 2016)

Sources: European Central Bank, Aggregated balance sheet of euro area monetary financial institutions, excluding the Eurosystem. Annual Growth rate of loans to Private Sector.

Economic Backdrop

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

12/96 12/97 12/98 12/99 12/00 12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16

1st Negative Deposit Rate: -0.10% (Jan. 2016)

2nd Asset Purchase Program: Oct. 2010 to today

1st Asset Purchase Program: Mar. 2001-Mar.2006

Target 0% for 10-yr JGB yields (Sep. 2016)

3 Rate cuts: 45bpFrom Oct. 2008 to Oct. 2010

Bank of Japan is trying everything but literal helicopter money to escape deflationary environmentJapan Core CPI (Less Food and Energy)

(31 December 1996–31 December 2016)

Source: U.S. Bureau of Labor Statistics; Eurostat; Statistics Bureau, Ministry of Internal Affairs & Communication, Japan; Bloomberg. Japan figures adjusted for 2% consumption tax hike on 2/3 of Core CPI (April 1997–March 1998) and 3% consumption tax on 2/3 of Core CPI (April 2014–March 2015).

Economic Backdrop

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Bank of Japan Federal Reserve European Central Bank

BOJ93% in 1/1721% in 4Q07

ECB40% in 1/1716% in 4Q07

FED30% in 1/176% in 4Q07

Source: Federal Reserve, European Central Bank, and Bank of Japan. As a percent of 2008 GDP.

Monetary stimulus still going through the roof in Europe and JapanCentral Bank Assets, 30 September 2007–31 January 2017

GD

P (

%)

Economic Backdrop

Fixed Income and Currency Update

Select Currency Performance vs. US DollarFirst Quarter 2017

-0.92-3.41

9.388.35

8.006.22

5.364.52

4.213.74

3.152.51

1.991.421.391.371.161.10

0.840.44

Mexican peso (MXP)Russian ruble (RUB)

South Korean won (KRW)Taiwanese NT dollar (TWD)

Poland new zloty (PLZ)Indian rupee (INR)

Thailand baht (THB)Colombian peso (COP)

Peru new sol (PEI)Brazilian real (BRC)

South African rand (ZAR)Hungary forint (HUF)Czech koruna (CZK)

Malaysian ringgit (MYR)Chilean peso (CLP)

Indonesia rupiah (IDR)Chinese yuan (CNY)

Egyptian pound (EGP)Philippine peso (PHP)Turkish new lira (TRY)

Ranked Emerging Markets (%)

-0.24

6.01

5.35

4.67

3.39

1.75

1.54

1.40

1.39

1.20

0.55

0.25

0.22

Israel shekel (ILS)

Australian dollar (AUD)

Japanese yen (JPY)

Singapore dollar (SGD)

Swedish krona (SEK)

Swiss franc (CHF)

Euro (EUR)

Danish krone (DKK)

British pound (GBP)

Canadian dollar (CAD)

New Zealand dollar (NZD)

Norwegian krone (NOK)

Hong Kong dollar (HKD)

Ranked Developed Markets (%)

Most non-US developed markets currencies appreciated against the US dollar during the quarter, with the Israeli shekel and the Australian dollar experiencing the greatest appreciation. In emerging markets, the Mexican peso appreciated nearly 10%, while the Turkish lira depreciated almost 4%.

Past performance is not a guarantee of future results. Indices are not available for direct investment. Index performance does not reflect the expenses associated with the management of an actual portfolio.

Economic Backdrop

The USD has rallied significantly over the last 8 years…Trade Weighted U.S. Dollar Index (Jan 1995 – April 2017)

Source: Board of Governors of the Federal Reserve System (US), Trade Weighted U.S. Dollar Index: Broad [TWEXB], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/TWEXB

85

90

95

100

105

110

115

120

125

130

135

Jan-1995 Jan-2000 Jan-2005 Jan-2010 Jan-2015

60

65

70

75

80

85

90

95

100

105

110

115

120

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Emerging Market currencies are trading below previous crisis levelsJ.P. Morgan Emerging Markets Currency Index (Jan 2001 - Feb 2017)

-19% below 2002 levels

-25% below 2009 levels

Ind

ex L

evel

(U

SD

)

For Past performance is not an indicator or a guarantee of future performance. Indexes are unmanaged, and one cannot invest directly in an index. They do not reflect any fees, expenses or sales charges.Source: J.P. Morgan Chase & Co.

-40

-30

-20

-10

0

10

20

30

40

Turk

ey

Hun

gar

y

Sou

th A

fric

a

Rus

sia

Bra

zil

Per

u

Ind

ia

Rom

ania

Chi

na

Thai

land

Phi

lipp

ines

Pol

and

Kor

ea

Chi

le

Sin

gap

ore

Ind

ones

ia

Mex

ico

Col

omb

ia

Mal

aysi

a

REER Valuation in 2014 Latest REER Valuation in 2017

Overvaluation

Undervaluation

But great dispersion exists in respect to valuationsEmerging Markets: Real Effective Exchange Rate (REER) Valuation Change between 2014 and January 2017

1. REER Valuation 2014 data supplied by International Monetary Fund (IMF). Source: The 2015 External Sector Report—Individual Economy Assessments prepared by IMF staff and completed on 26 June 2015 and published on 27 July 2015. 2. REER Valuation 2017 data supplied by Bloomberg. Source: Bank for International Settlements.

2016 Ended with a Thud for Most BondsUS leveraged credit was the exception (US Dollar)

Source: Morningstar for rolling Qtr return and rolling year turns. Current Yields - Barclays Bloomberg, J.P. Morgan Securities, Citi Group directly. Notes: Asset class represented by Bloomberg Barclays US Treasury Bill 1-3 Month index (US Cash), Bloomberg Barclays US Aggregate Bonds Index (US Agg), Bloomberg Barclays US Corporate High Yield Bond Index (US High Yield), Bloomberg Barclays US Treasury Inflation Protected Securities index (US Infl Lkd), Citi Wold Government Bond Index (DM Gov Bonds), JP Morgan EM Bond Global Diversified Index (EM Gov Bonds), JP Morgan Government Bond Index Emerging Markets (EM Gov Bonds LCL)

0.10 0.822.70

1.26 1.553.87

6.50

0.30 0.44

16.39

1.48

-3.65

8.92

5.47

-5.00

0.00

5.00

10.00

15.00

20.00

US Cash US Agg US High Yield US Infl Lkd DM Gov Bonds EM Gov Bonds EM Gov Bonds(LCL)

Fixed Income Market Summary (As of March 2017)

Rolling Qtr Return Rolling Year

0.001.002.003.004.005.006.007.00

US Cash US Agg US High Yield US Infl Lkd DM Gov Bonds EM Gov Bonds EM Gov Bonds(LCL)

Current Yields (%) (As of April 2017)

The US Bond Market has experienced heavy prices losses in the final quarter of 2016, after a very long bull run10-Year Treasury Constant Maturity Rate (Jan 1987 – April 2017)

Source: Board of Governors of the Federal Reserve System (US), 10-Year Treasury Constant Maturity Rate [DGS10], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS10

Per

cent

0.00

2.00

4.00

6.00

8.00

10.00

12.00

1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017

UK and Europe bond investors are expecting negative real yields for 15 yearsCurrent real yield curves of USA, UK & Eurozone (As at March 2017)

Source: These expected returns are calculated by Research Affiliates LLC using data provided by Bloomberg.Real yield curves are estimated based on average historical 3 year inflation by country. Yield tenors not empirically available are interpolated from adjacent tenors.

-2

-1.5

-1

-0.5

0

0.5

1

1.5

3Months

1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 Year 11 Year 12 Year 13 Year 14 Year 15 Year

Eurozone UK USA

Rea

lYie

ld

Geographical Allocation

Source: Templeton Global Total Return Fund - A (Mdis) USD.

Currency Allocation (Top 5 Relative Weights)

Figures reflect certain derivatives held in the portfolio (or their underlying reference assets). Information is historical and may not reflect current or future portfolio characteristics.

Templeton Global Total Return Fund vs. Bloomberg Barclays Multiverse Index (As of March 2017)

-60 -40 -20 0 20 40 60

Non-US Americas

USA

Asia ex Japan

Japan

Non-EMU Europe

EMU Europe

Middle East / Africa

Over/Under Index % Portfolio %

-100 -50 0 50 100 150

US Dollar

Mexican Peso

Brazilian Real

Japanese Yen

Euro

PresenterPresentation NotesYM Update

Equity and Commodity Update

CommoditiesFirst Quarter 2017 Index Returns

The Bloomberg Commodity Index Total Return declined 2.33% during the first quarter of 2017.

The industrial and precious metals complexes were the top performers. Aluminum gained 15.21%, silver rose 13.75%, and gold climbed 8.06%.

Energy was the worst-performing complex. Natural gas declined 17.15%, while unleaded gas fell 12.31%. Heating oil declined 10.39%, and WTI crude oil fell 9.11%.

-0.02-0.50

-2.27-3.81

-6.74-7.07

-7.85-9.06-9.11

-10.39-12.31

-14.00-17.15

15.2113.75

8.067.707.28

5.325.01

1.631.42

AluminumSilverGold

CottonZinc

CopperLive cattle

WheatCorn

CoffeeNickel

Kansas wheatSoybean meal

SoybeansLean hogs

Brent oilSoybean oil

WTI crude oilHeating oil

Unleaded gasSugar

Natural gas

Ranked Returns for Individual Commodities (%)

Period Returns (%)

Asset Class 1 Year 3 Years** 5 Years** 10 Years**Commodities 8.71 -13.91 -9.54 -6.22

* Annualized

Past performance is not a guarantee of future results. Index is not available for direct investment. Index performance does not reflect the expenses associated with the management of an actual portfolio. All index returns are net of withholding tax on dividends. Securities and commodities data provided by Bloomberg.

Sheet1

Period Returns (%) * Annualized

Asset ClassYTD1 Year3 Years**5 Years**10 Years**

Commodities11.778.71-13.91-9.54-6.22

The oil market is settling down after rollercoaster prices moves over the last 10 years…Spot Crude Oil Price: West Texas Intermediate (WTI) (Jan 2007 – March 2017)

Source: Federal Reserve Bank of St. Louis, Spot Crude Oil Price: West Texas Intermediate (WTI) [WTISPLC], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/WTISPLC

Dol

lars

per

bar

rel

20

40

60

80

100

120

140

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

53%US Market $24.5 trillion

US StocksFirst Quarter 2017 Index Returns

The broad US equity market recorded positive absolute performance for the quarter.

Value underperformed growth indices across all size ranges.

Small caps underperformed large caps.

World Market Capitalization—US

Past performance is not a guarantee of future results. Indices are not available for direct investment. Index performance does not reflect the expenses associated with the management of an actual portfolio. Market segment (index representation) as follows: Marketwide (Russell 3000 Index), Large Cap (Russell 1000 Index), Large Cap Value (Russell 1000 Value Index), Large Cap Growth (Russell 1000 Growth Index), Small Cap (Russell 2000 Index), Small Cap Value (Russell 2000 Value Index), and Small Cap Growth (Russell 2000 Growth Index). World Market Cap represented by Russell 3000 Index, MSCI World ex USA IMI Index, and MSCI Emerging Markets IMI Index. Russell 3000 Index is used as the proxy for the US market. Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. MSCI data © MSCI 2017, all rights reserved.

8.91

6.03

5.74

5.35

3.27

2.47

-0.13

Large Growth

Large Cap

Marketwide

Small Growth

Large Value

Small Cap

Small Value

Ranked Returns for the Quarter (%)


Asset Class 1 Year 3 Years** 5 Years** 10 Years**

Marketwide 18.07 9.76 13.18 7.54

Large Cap 17.43 9.99 13.26 7.58

Large Cap Value 19.22 8.67 13.13 5.93

Large Cap Growth 15.76 11.27 13.32 9.13

Small Cap 26.22 7.22 12.35 7.12

Small Cap Value 29.37 7.62 12.54 6.09

Small Cap Growth 23.03 6.72 12.10 8.05

Sheet1



1Marketwide5.7418.079.7613.187.54Russell 3000 Index

2Large Cap6.0317.439.9913.267.58Russell 1000 Index

3Large Cap Value3.2719.228.6713.135.93Russell 1000 Value Index

4Large Cap Growth8.9115.7611.2713.329.13Russell 1000 Growth Index

5Small Cap2.4726.227.2212.357.12Russell 2000 Index

6Small Cap Value-0.1329.377.6212.546.09Russell 2000 Value Index

7Small Cap Growth5.3523.036.7212.108.05Russell 2000 Growth Index

Sheet2

Period Returns (%) * AnnualizedAll data as of December 31, 2016

Match Asset ClassYTD1 Year3 Years**5 Years**10 Years**PASTE DATA HEREUS Stocks

Russell 3000 IndexMarketwide5.7418.079.7613.187.54Data Series3 MonthsYTD1 Year3 Years5 Years10 Years

Russell 1000 IndexLarge Cap6.0317.439.9913.267.58Russell 1000 Growth IndexLarge Growth8.918.9115.7611.2713.329.13

Russell 1000 Value IndexLarge Cap Value3.2719.228.6713.135.93Russell 1000 IndexLarge Cap6.036.0317.439.9913.267.58

Russell 1000 Growth IndexLarge Cap Growth8.9115.7611.2713.329.13Russell 1000 Value IndexLarge Value3.273.2719.228.6713.135.93

Russell 2000 IndexSmall Cap2.4726.227.2212.357.12Russell 2000 Growth IndexSmall Growth5.355.3523.036.7212.108.05

Russell 2000 Value IndexSmall Cap Value-0.1329.377.6212.546.09Russell 2000 IndexSmall Cap2.472.4726.227.2212.357.12

Russell 2000 Growth IndexSmall Cap Growth5.3523.036.7212.108.05Russell 2000 Value IndexSmall Value-0.13-0.1329.377.6212.546.09

Russell 3000 IndexMarketwide5.745.7418.079.7613.187.54

International Developed StocksFirst Quarter 2017 Index Returns

In US dollar terms, developed markets outperformed the US equity market but underperformed emerging markets indices during the quarter.

Small caps outperformed large caps in non-US developed markets.

The value effect was negative across all size ranges in non-US developed markets.

Past performance is not a guarantee of future results. Indices are not available for direct investment. Index performance does not reflect the expenses associated with the management of an actual portfolio. Market segment (index representation) as follows: Large Cap (MSCI World ex USA Index), Small Cap (MSCI World ex USA Small Cap Index), Value (MSCI World ex USA Value Index), and Growth (MSCI World ex USA Growth). All index returns are net of withholding tax on dividends. World Market Cap represented by Russell 3000 Index, MSCI World ex USA IMI Index, and MSCI Emerging Markets IMI Index. MSCI World ex USA IMI Index is used as the proxy for the International Developed market. MSCI data © MSCI 2017, all rights reserved.

8.04

7.61

6.81

5.67

5.66

5.00

4.46

3.34

Growth

Small Cap

Large Cap

Value

Ranked Returns (%) Local currency US currency



Large Cap 11.93 0.35 5.38 1.13

Small Cap 11.58 2.70 7.78 2.72

Value 16.46 -0.67 5.19 0.31

Growth 7.47 1.27 5.48 1.87

36%International Developed Market $16.7 trillion

World Market Capitalization—International Developed

Sheet1



1Large Cap6.8111.930.355.381.13

2Small Cap7.6111.582.707.782.72

3Value5.6716.46-0.675.190.31

4Growth8.047.471.275.481.87

Sheet2

Period Returns (%) * AnnualizedPASTE DATA HERE

Match thisAsset ClassYTD1 Year3 Years**5 Years**10 Years**International Developed Stocks

MSCI World ex USA Index (net div.)Large CapERROR:#N/AERROR:#N/AERROR:#N/AERROR:#N/AERROR:#N/AData Series3 Months [USD]3 Months [LOC]YTD1 Year3 Years5 Years10 Years

MSCI World ex USA Small Cap Index (net div.)Small CapERROR:#N/AERROR:#N/AERROR:#N/AERROR:#N/AERROR:#N/AMSCI Emerging Markets Growth Index (net div.)12.809.0912.8017.0812.991.275.48

MSCI World ex USA Value Index (net div.)ValueERROR:#N/AERROR:#N/AERROR:#N/AERROR:#N/AERROR:#N/AMSCI Emerging Markets Index (net div.)11.447.7611.4417.2118.010.355.38

MSCI World ex USA Growth Index (net div.)GrowthERROR:#N/AERROR:#N/AERROR:#N/AERROR:#N/AERROR:#N/AMSCI Emerging Markets Small Cap Index (net div.)13.028.9613.0214.4916.812.707.78

MSCI Emerging Markets Value Index (net div.)10.166.5010.1617.4323.17-0.675.19

Emerging Markets StocksFirst Quarter 2017 Index Returns

In US dollar terms, developed markets outperformed the US equity market but underperformed emerging markets indices during the quarter.

Small caps outperformed large caps in non-US developed markets.

The value effect was negative across all size ranges in non-US developed markets.

Past performance is not a guarantee of future results. Indices are not available for direct investment. Index performance does not reflect the expenses associated with the management of an actual portfolio. Market segment (index representation) as follows: Large Cap (MSCI Emerging Markets Index), Small Cap (MSCI Emerging Markets Small Cap Index), Value (MSCI Emerging Markets Value Index), and Growth (MSCI Emerging Markets Growth Index). All index returns are net of withholding tax on dividends. World Market Cap represented by Russell 3000 Index, MSCI World ex USA IMI Index, and MSCI Emerging Markets IMI Index. MSCI Emerging Markets IMI Index used as the proxy for the emerging market portion of the market. MSCI data © MSCI 2017, all rights reserved.

6.50

7.76

9.09

8.96

10.16

11.44

12.80

13.02

Value

Large Cap

Growth

Small

Ranked Returns (%) Local currency US currency



Large Cap 17.21 1.18 0.81 2.72

Small Cap 14.49 1.66 2.87 3.92

Value 17.43 -0.10 -1.01 2.67

Growth 17.08 2.37 2.54 2.69

11%Emerging Markets$5.1 trillion

World Market Capitalization—Emerging Markets

Sheet1



1Large Cap11.4417.211.180.812.72MSCI Emerging Markets Index (net div.)

2Small Cap13.0214.491.662.873.92MSCI Emerging Markets Small Cap Index (net div.)

3Value10.1617.43(0.10)(1.01)2.67MSCI Emerging Markets Value Index (net div.)

4Growth12.8017.082.372.542.69MSCI Emerging Markets Growth Index (net div.)

Small Cap Growth31.1831.1814.192.9610.55

Sheet2

Period Returns (%) * AnnualizedPASTE DATA HERE

Matches thisAsset ClassYTD1 Year3 Years**5 Years**10 Years**Emerging Markets Stocks

MSCI Emerging Markets Index (net div.)Large Cap11.4417.211.180.812.72Data Series3 Months [USD]3 Months [LOC]YTD1 Year3 Years5 Years10 Years

MSCI Emerging Markets Small Cap Index (net div.)Small Cap13.0214.491.662.873.92MSCI Emerging Markets Growth Index (net div.)12.809.0912.8017.082.372.542.69

MSCI Emerging Markets Value Index (net div.)Value10.1617.43(0.10)(1.01)2.67MSCI Emerging Markets Index (net div.)11.447.7611.4417.211.180.812.72

MSCI Emerging Markets Growth Index (net div.)Growth12.8017.082.372.542.69MSCI Emerging Markets Small Cap Index (net div.)13.028.9613.0214.491.662.873.92

MSCI Emerging Markets Value Index (net div.)10.166.5010.1617.43-0.10-1.012.67

US Equities have outperformed equities in the rest of the world significantly over recent years… (Jan 1988 - April 2017)

Source: Morningstar. Using S&P 500 Index vs MSCI ACWI ex USA Index. AR – Annualised Returns.

0

50

100

150

200

250

300

1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

S&

P 5

00 R

elat

ive

Per

form

ance

vs

MS

CI A

CW

I ex-

US

($)

S&P Value Add vs MSCI ACWI ex-US

+9.4%


-7.4%


+8.6%

Jan 2002 – Dec 2009 Ann Rtn (%)

S&P 500 1.6

MSCI ACWI ex0US (N) 9.0

Jan 1988 – Dec 2001 Ann Rtn (%)

S&P 500 14.4


Jan 2019 - Present Ann Rtn (%)

S&P 500 13.3


PresenterPresentation NotesYM Tables

Source: Yale University

0

5

10

15

20

25

30

35

40

45

50

1860 1880 1900 1920 1940 1960 1980 2000 2020 2040

US

Pric

e-E

arni

ngs

Rat

io (

CA

PE

, P/E

10)

CAPE Price E10 Ratio

2000

1929

1901

1921

1966

.. but they are expensive now versus its own history

Price-EarningsRatio

Source: These expected returns are calculated by Research Affiliates LLC using data provided by MSCI Inc. and Bloomberg. The number shown on per regionindicates the current P/E Schiller as per the date disclosed. The graph also indicates the Max Schiller P/E, the 75th percentile Schiller P/E, the Median SchillerP/E, the 25th percentile Schiller P/E, and the Minimum Schiller P/E per region, as illustrated for Japan’s region.

… and the US, particularly small cap, also looks expensive versus other markets, while emerging markets remain cheap despite strong returns in 2016Shiller P/E of selected markets (April 2017)

Max

Min

75th

25th

Median

Current

MASECO regional allocations underweights overvalued regions, also resulting in more diversification

Source: Regional Allocations data from MSCI (ACWI Cap Weighted & ACWI GDP weighted), Equal Weighting is representative of an equal exposure across allregions, Maseco allocation shows current regional exposure in core models

0%

20%

40%

60%

80%

100%

ACWI Cap Weighted Index ACWI GDP Weighted Index Equal Weighting Maseco Allocation

US DM ex US EM

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Global Macro Overview:�A Market UpdateSlide Number 2Slide Number 3Slide Number 4Slide Number 5Slide Number 6Slide Number 7Slide Number 8Slide Number 9Slide Number 10Slide Number 11Slide Number 12Slide Number 13Slide Number 14Slide Number 15Slide Number 16Slide Number 17Slide Number 18Slide Number 19Slide Number 20Slide Number 21Slide Number 22Slide Number 23Slide Number 24Slide Number 25Slide Number 26Slide Number 27Slide Number 28Slide Number 29Slide Number 30Slide Number 31Slide Number 32

global macro overview : a market update · global wealth is still incre asing, though at a slower...

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