Long-Term Capital Market Assumptions 2022 Fading scars, enduring policies FOR PRESS USE ONLY LTCMAs by the numbers… 197 Assets 70 3 in 6,219 9 languages people regions 16 currencies CIO endorsed 1 | FOR FOR PRESS INTERNAL ONLY USEUSE ONLY 6 +160% for U.S. Webcast attendees 59 Organic views due to SEO optimization 18 569%+ Landing page views Social media posts +91% Virtual events months >9,000 110,000+ research hours clients reached Full report downloads Key takeaways from the 2022 LTCMAs Fading scars, enduring policies Post-pandemic, the economy has suffered limited scarring, but policy choices will have an enduring impact The new old normal Improving productivity keeps growth forecasts broadly stable, but we now see upside as well as downside risks to inflation Long term themes set the tone Key secular issues like ESG, new asset markets, and disruptive forces like crypto are shaping the investment landscape Low real rates hold back bonds Sovereign and IG returns a little better, but the outlook remains bleak as rates rise further; high yield returns a little lower Stable, if cyclical, equity returns Changing sector mix implies more resilient margins and valuations, but an active stance is more important than ever Full spectrum investing Many alpha levers available: active management in public markets, international diversification, and alternative assets Source: J.P. Morgan Asset Management; estimates as of September 30, 2021. Outlooks and past performance are not reliable indicators of future results. Opinions, estimates, forecasts, projections and statements of financial market trends that are based on current market conditions constitute our judgment and are subject to change without notice. There can be no guarantee they will be met. For further information, see “Understanding long-term estimates” at the end of this presentation. 2 | FOR FOR PRESS INTERNAL ONLY USEUSE ONLY The long-term picture: 10-15 year risk-return outlook 60/40 marginally higher Stock-bond frontiers: 2022 vs. 2021 and 2008 assumptions (USD) USD 60/40 return forecast increases from 4.2% to 4.3%, led by the bond component. 9% Private Equity 8% Wide dispersion of asset returns U.S. Core RE 6% Compound Return EM Equity EAFE Equity 7% EM Debt (HC) Bond returns are higher this year but remain low by historical standards. Alternatives offer attractive returns, monetizing a range of risk premia. AC World Equity 5% Div. Hedge Funds U.S. Large Cap 4% U.S. HY 3% U.S. Agg Bonds U.S. Intermediate Treasuries 2% World Government Bonds (H) 1% Post-COVID19 distinct to post-GFC U.S. Cash 0% 0% 5% 2008 Stock-Bond Frontier 60/40 Portfolio (2008) 10% 15% Volatility 2021 Stock-Bond Frontier 60/40 Portfolio (2021) 20% 25% 2022 Stock-Bond Frontier 60/40 Portfolio (2022) Beta no longer enough: low return expectations make active management and alpha important. Source: J.P. Morgan Asset Management; estimates as of September 2007, September 2020 and September 2021. *EM: Emerging Markets; DM: Developed Markets. 3 | FOR FOR PRESS INTERNAL ONLY USEUSE ONLY The near term picture: MAS 4Q21 asset allocation views Asset class Equities MAIN Duration ASSET Credit CLASSES Cash Europe UK Japan FIXED INCOME Emerging markets CURRENCY MAIN ASSET CLASSES EQUITY U.S. U.S. Treasuries G4 ex-U.S. sovereigns EMD hard currency EMD local FX Corporate inv. grade Corporate high yield USD EUR JPY EM FX 4 | FOR INTERNAL USE ONLY UW l l l l N l l l l l l l l OW Chg Conviction High l Low Low l Moderate Moderate l Moderate l Moderate l Low Low l Low l Moderate ▼ Low Key Takeaways and “Big ideas” ▪ Global growth above trend, U.S. in mid-cycle, Rest of World a little further back ▪ Inflation elevated for now, but set to return toward target in 2022 ▪ Fiscal and monetary policy accommodative but focus is on Fed tapering ▪ Yields drift up slowly; negative stock-bond correlation back in play ▪ Dollar supported near-term by rates, but long-run trend likely to be lower ▪ Further EPS upside supports stocks while multiples decline further ▪ OW equities balanced across developed market regions; still too soon for EM ▪ Prefer a blend of quality, value and cyclical sectors in equities ▪ Key risks: supply chain issues, new virus strains, growth disappoints Source: J.P. Morgan Asset Management Multi-Asset Solutions; assessments are made using data and information up to Sept 2021. For illustration only. These asset class views apply to a 12- to 18- month horizon. Up/down arrows indicate a positive (↑) or negative (↓) change in view since the prior quarterly Strategy Summit. This summary of our individual asset class views shows relative direction and strength of conviction, but is independent of portfolio construction considerations. These views should not be construed as a recommended portfolio. The opinions and views expressed here are those held by the author at the date of publication which are subject to change and are not to be taken as or construed as investment advice. Forecasts, projections and other forward looking statements are based upon current beliefs and expectations. They are for illustrative purposes only and serve as an indication of what may occur. Given the inherent uncertainties and risks associated with forecasts, projections and other forward statements, actual events, results or performance may differ materially from those reflected or contemplated. Fading scars, enduring policies Global government debt % of GDP Contributions (%) to DM Real GDP Growth Forecasts DM and EM debt/GDP 140 120 2,0% 2021 1,5% 0,7 2022 0,8 2021 2021 2022 0,6 100 1,0% 80 0,4 0,8 0,7 0,8 60 0,6 0,5% 40 2022 2021 2022 0,5 0,7 0,5 0,6 0,5 0,5 0,4 20 0,0% WW1 WW2 GFC 0,3 0,1 0,1 -0,2 0,0 CV19 0,2 0,2 -0,2 0,2 0 1880 1890 1900 1910 1920 1930 1940 1950 1960 1970 1980 1990 2000 2010 2020 -0,5% US Advanced Economies Emerging Markets EMU Labor JP Capital UK TFP Source: Our World in Data, IIF, OECD, IMF, J.P. Morgan Asset Management. . Values are GDP weighted. Short-term interest rates are the rates at which short-term borrowings are affected between financial institutions or the rate at which short-term government paper is issued or traded in the market. *2021 growth rate figures are shown relative to 2019. Data are as of October 31, 2021. Contributions do not include the cyclical bonuses incorporated into 2021 LTCMA real GDP forecasts. TFP-Total Factor Productivity. EMU-European Monetary Union. 5 | FOR FOR PRESS INTERNAL ONLY USEUSE ONLY Slow moving forces are creating upward inflation pressure Long-term influence on U.S. Inflation Impact on U.S. inflation Economic Forces Last global expansion (2008-2019) Next 10-15 years Income distribution -+ 0 + ? + + -0 + Globalization Dollar Fiscal policy Online markets & information availability Energy spikes Union membership ESG Source: J.P. Morgan Asset Management; forecasts and assumptions as of September 30, 2021. 6 | FOR FOR PRESS INTERNAL ONLY USEUSE ONLY Despite a year of strong returns, LTCMA forecasts are quite stable Selected assets, 10-15yr average annual expected returns 35% 1,3% 1,1% U.S. Cash U.S. Treasuries* 1,5% Selected assets, returns from 9/30/2020 to 9/30/2021 30,0% 2022 LTCMA 2,1% 30% 2021 LTCMA 2,8% 2,5% U.S. IG 4,8% EAFE Equity 5% 6,9% 7,2% EM Equity 0,1% 0% 5,8% 5,9% U.S. Core Real Est -5% 4,3% 4,2% 1% 2% 3% 4% 5% Source: Bloomberg, J.P. Morgan Asset Management; data as of September 2020 and September 2021. 7 | FOR FOR PRESS INTERNAL ONLY USEUSE ONLY 11,3% 10% 6,5% 6,5% 60/40 Portfolio 13,6% 15% 4,1% 4,1% U.S. Large Cap 0% 18,2% 20% 3,9% U.S. HYs 25,7% 25% 6% 7% 8% -1,4% 1,7% 16,1% But even then, beta alone can’t deliver the returns we want There is a 2-pt gap between historic 60/40 returns and our forecasts… …due largely to a difficult starting point of low yields and high valuations 10% 12% Delivered 60/40 Returns (ACWI / U.S. Agg) 10% LTCMA 60/40 Forecast 8% 6% 8% 4% 6% 2% point gap to fill… 2% 0% 4% -2% 2% -4% 0% 2009 2012 2015 2018 2021 2024 2027 2030 60/40 Historic Returns & LTCMA Forecast 60/40 60-40 Historic Average (post-GFC) 60/40 (LTCMA) -6% U.S. Equity Euro Area Emerging Japanese UK Equity Equity Market Equity Equity Cyclical Return Source: Bloomberg, Datastream, Haver, J.P. Morgan Asset Management; data as of October 2021. 60/40 portfolios are composite of 60% AC World Equity and 40% U.S. Aggregate Bonds, in USD terms. 8 | FOR FOR PRESS INTERNAL ONLY USEUSE ONLY Equilibrium Return ACWI FX U.S. High U.S. 10U.S. USD 60/40 Yield Year Bond Aggregate Bonds 2022 LTCMA Estimate, USD What do we do about the 40% in our 60/40? Real yields have trended downward over the last quarter century 8% 7% 6% 5% 4% 3% 2% 1% 0% -1% -2% -3% -4% 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 Real Yields Over The Past 25 Years U.S. 10-Year U.S. BBB Corporates France 10-Year* European BBB Corporates Source: Barclays, BLS, Datastream, Bloomberg, J.P. Morgan Asset Management; estimates as of September 30, 2021, and September 30, 2020. U.S. and France 10-Year yields are yield to maturity; BBBs are yield to worst. Note: * France 10-yr used in LTCMAs as proxy for eurozone sovereign yield 9 | FOR FOR PRESS INTERNAL ONLY USEUSE ONLY Where to find income? Real estate EM Local Ccy Debt 5,90% EM Sov. Debt 5,20% EM Corp. Bonds 4,80% Euro HY 4,20% U.S. HY 3,90% U.S. core RE spread vs. BBB remains wide 60 50 40 30 20 10 0 0 50 100 150 200 250 # of times (‘04 – ‘21) Extended fixed income U.S. IG (2.80%) -50 Equity dividends 0 50 100 150 200 Current 300 350 400 450 500 550 250 300 350 400 450 500 Infrastructure Dividends as % of total portfolio income 15% 70% 10% Annualized income Annualized capital return Global 50% 5% U.S. 30% 0% 10% -5% '96 '00 '04 '08 '12 '16 '20 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 Source: (Top Left) J.P. Morgan Asset Management; estimates as of September 30, 2021. (Top Right) J.P. Morgan Asset Management; data as of June 30, 2021. Spread data is quarterly from 1Q-2004 to 2Q-2021. (Bottom Left) J.P. Morgan Multi-Asset Solutions; data as of June 30, 2021. (Bottom Right) MSCI, J.P. Morgan Asset Management; quarterly data as of June 30, 2021. (Bottom Left) Source: Bloomberg, Datastream, JPMAM. August 2021. Based on MSCI ACWI /S&P 500 dividend yield and yield to maturity of Global Aggregate / US Aggregate. Portfolios are 60/40. Note: Ccy = Currency, Sov. = Sovereign, HY = High Yield. 10 | FOR FOR PRESS INTERNAL ONLY USEUSE ONLY Full spectrum investing: what levers can we use to enhance returns? Alpha opportunities turning 14% 12% 10% International diversification Alternative investments 2022 LTCMAs (USD) Equity long bias Event-driven Relative value Macro 2022 LTCMAs (USD) 9% 8% 7% 8% 6% 6% 5% 4% 4% Private Equity 8,2% 7,1% 6,9% U.S. Mid Cap 6,7% 4,1% 2% 0% +3.80% 4.30% 5,0% 3% 2% 8.10% Direct Lending U.S. High Yield 6.90% +3.00% 3.90% 1% -2% 0% -4% '03 '05 '07 '09 '11 '13 '15 '17 '19 '21 Hedge Fund Alpha China Europe EM Dom. Local FX Japan UK U.S. USD Return Source: (Left) J.P. Morgan Asset Management; data as of September 30, 2021. For illustrative purposes only. J.P. Morgan Asset & Wealth Management; estimates as of September 30, 2021. Note: Dom. = Domestic, LC = Large Cap, RE = Real Estate, IG = Investment Grade. 11 | FOR FOR PRESS INTERNAL ONLY USEUSE ONLY U.S. Core RE U.S. Corp. IG 5.80% +3.00% 2.80% For the near term, we continue to prefer a pro-risk tilt Policy and non-price sensitive demand is anchoring yields Nominal government investment across key regions S&P 500 EPS growth with breakdown 3,5% 100% 3,0% 80% 2,5% 2,0% 60% 1,5% 40% 1,0% 20% 0,5% 0% 0,0% -0,5% -20% -1,0% -40% -1,5% 2013 Q1 2014 2015 U.S. 10-Year Real Rates 2016 2017 2018 U.S. 10-Year Breakevens 2019 2020 2021 Q2 Q3 Q4 2020 Q1 Q2 Q3 Q4 Q1 Q2 2021 Q3 Q4 2022 U.S. 10-Year Yields Revenue Margins Change Net Income Earnings per share Buybacks Source: Our World in Data, IIF, OECD, IMF, J.P. Morgan Asset Management. . Values are GDP weighted. Short-term interest rates are the rates at which short-term borrowings are affected between financial institutions or the rate at which short-term government paper is issued or traded in the market. *2021 growth rate figures are shown relative to 2019. Data are as of October 31, 2021. 12 | FOR FOR PRESS INTERNAL ONLY USEUSE ONLY Longer term, investors may not be well positioned for beta or alpha Asset mix for selected investor types LTCMA 2022 selected returns 100% Cash 1,3% U.S. Agg 90% 80% 2,6% Hedge Funds 70% 3,6% 60% U.S. HY 3,9% U.S. Equity 50% 40% 4,1% Real Estate 30% 5,8% 20% Int'l Equity 6,5% Pvte Equity 10% 0% 8,1% E&F >1Bn 0% 2% 4% 6% 8% 10% Pvte Equity E&F <1Bn Int'l Equity US Corp Pens US Public Pens Real Estate U.S. Equity U.S. HY Global Pens Hedge Funds Typical 401k U.S. Agg Cash Source: Bloomberg, EBRI, WillisTowersWatson, NACUBO, Morningstar J.P. Morgan Asset Management; data as of October 2021. Notes: Global pensions represents global 1000 corporate pension plans, 401k is consolidated allocations across age groups, Portfolio insights is average asset allocation for all moderate portfolios tested in Portfolio Insights tool in October, some datasets mapped back to LTCMA asset classes by assuming allocation within aggregates based on market cap weight 13 | FOR FOR PRESS INTERNAL ONLY USEUSE ONLY Takeaways 1. A constructive view: Respectable long-term growth; expect growth above trend in 2022 2. Inflation elevated but set to decline: Inflation should settle a little higher this cycle than last 3. Bonds struggle: Even without yields rising sharply, a world of negative real rates is a challenge 4. Opportunities in equities: Further upside to earnings in 2022, a better alpha environment ahead 5. Alts the sweet-spot: Solid returns across alternative assets, but get comfortable with the tradeoffs 14 | FOR INTERNAL USE ONLY DISCLAIMERS NOT FOR RETAIL DISTRIBUTION: This communication has been prepared exclusively for institutional/wholesale/professional clients and qualified investors only as defined by local laws and regulations. JPMAM Long-Term Capital Market Assumptions: Given the complex risk-reward trade-offs involved, we advise clients to rely on judgment as well as quantitative optimization approaches in setting strategic allocations. Please note that all information shown is based on qualitative analysis. Exclusive reliance on the above is not advised. This information is not intended as a recommendation to invest in any particular asset class or strategy or as a promise of future performance. Note that these asset class and strategy assumptions are passive only – they do not consider the impact of active management. References to future returns are not promises or even estimates of actual returns a client portfolio may achieve. Assumptions, opinions and estimates are provided for illustrative purposes only. They should not be relied upon as recommendations to buy or sell securities. Forecasts of financial market trends that are based on current market conditions constitute our judgment and are subject to change without notice. W e believe the information provided here is reliable, but do not warrant its accuracy or completeness. This material has been prepared for information purposes only and is not intended to provide, and should not be relied on for, accounting, legal or tax advice. The outputs of the assumptions are provided for illustration/discussion purposes only and are subject to significant limitations. “Expected” or “alpha” return estimates are subject to uncertainty and error. For example, changes in the historical data from which it is estimated will result in different implications for asset class returns. Expected returns for each asset class are conditional on an economic scenario; actual returns in the event the scenario comes to pass could be higher or lower, as they have been in the past, so an investor should not expect to achieve returns similar to the outputs shown herein. References to future returns for either asset allocation strategies or asset classes are not promises of actual returns a client portfolio may achieve. Because of the inherent limitations of all models, potential investors should not rely exclusively on the model when making a decision. The model cannot account for the impact that economic, market, and other factors may have on the implementation and ongoing management of an actual investment portfolio. Unlike actual portfolio outcomes, the model outcomes do not reflect actual trading, liquidity constraints, fees, expenses, taxes and other factors that This disclaimer should be added at the back of any LTCMA-only materials whose intended use on Nexus is Institutional/Financial Professionals. could impact the future returns. The model assumptions are passive only – they do not consider the impact of active management. A manager’s ability to achieve similar outcomes is subject to risk factors over which the manager may have no or limited control. The views contained herein are not to be taken as advice or a recommendation to buy or sell any investment in any jurisdiction, nor is it a commitment from J.P. Morgan Asset Management or any of its subsidiaries to participate in any of the transactions mentioned herein. 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Material ID: 09nb212311131425 15 | FOR FOR PRESS INTERNAL ONLY USEUSE ONLY