Page 56 - DecDefComp

Markets, Asset Classes and Styles are Cyclical
2007 - 2021
2017 Vol. Ann. YTD 2021 2020 2019 2018 Large Small Large EM Source: Bloomberg, FactSet, MSCI, REITs Comdty. REITs Cash Cap Cap Cap Equity NAREIT, Russell, Standard & Poor’s, J.P. Morgan Asset 23.2% 10.6% 18.3% 41.3% 20.0% 31.5% 1.8% 37.8% Management. EM Small Large EM Fixed DM Cash REITs cap: Small 500, S&P cap: Large Equity Cap Cap Equity Income Equity MSCI Equity: EM 2000, Russell 22.9% 8.7% 0.7% 28.7% 18.7% 28.7% 0.0% 25.6% EAFE, MSCI Equity: DM EME, Commodity Bloomberg Comdty: Small Fixed
2016 Small Cap 21.3% High Yield 14.3% Large Cap 12.0% Comdty. 11.8% EM Equity 11.6% REITs 8.6% Asset Alloc. 8.3% Fixed Income 2.6% DM Equity 1.5% Cash 0.3%

2015 REITs 2.8% Large Cap 1.4% Fixed Income 0.5% Cash 0.0% DM Equity -0.4% Asset Alloc. -2.0% High Yield -2.7% Small Cap -4.4% EM Equity -14.6% Comdty. -24.7%

2014 REITs 28.0% Large Cap 13.7% Fixed Income 6.0% Asset Alloc. 5.2% Small Cap 4.9% Cash 0.0% High Yield 0.0% EM Equity -1.8% DM Equity -4.5% Comdty. -17.0%

2013 Small Cap 38.8% Large Cap 32.4% DM Equity 23.3% Asset Alloc. 14.9% High Yield 7.3% REITs 2.9% Cash 0.0% Fixed Income -2.0% EM Equity -2.3% Comdty. -9.5%

2012 REITs 19.7% High Yield 19.6% EM Equity 18.6% DM Equity 17.9% Small Cap 16.3% Large Cap 16.0% Asset Alloc. 12.2% Fixed Income 4.2% Cash 0.1% Comdty. -1.1%

2011 REITs 8.3% Fixed Income 7.8% High Yield 3.1% Large Cap 2.1% Cash 0.1% Asset Alloc. -0.7% Small Cap -4.2% DM Equity -11.7% Comdty. -13.3% EM Equity -18.2%

2010 REITs 27.9% Small Cap 26.9% EM Equity 19.2% Comdty. 16.8% Large Cap 15.1% High Yield 14.8% Asset Alloc. 13.3% DM Equity 8.2% Fixed Income 6.5% Cash 0.1%

2009 EM Equity 79.0% High Yield 59.4% DM Equity 32.5% REITs 28.0% Small Cap 27.2% Large Cap 26.5% Asset Alloc. 25.0% Comdty. 18.9% Fixed Income 5.9% Cash 0.1%

Mutual Funds 2008 2007 Fixed EM Income Equity 5.2% 39.8% Cash Comdty. 1.8% 16.2% Asset DM Alloc. Equity -25.4% 11.6% High Asset Yield Alloc. -26.9% 7.1% Small Fixed Cap Income -33.8% 7.0% Large Comdty. Cap -35.6% 5.5% Large Cash Cap -37.0% 4.8% High REITs Yield -37.7% 3.2% DM Small Equity Cap -43.1% -1.6% EM REITs Equity -53.2% -15.7%