Americas
Europe
Asia
Karen Ward
London
Dr. David Kelly, CFA
New York
Tai Hui
Hong Kong
Chaoping Zhu,
CFA
Shanghai
David Lebovitz*
New York
Gabriela Santos
New York
Michael Bell, CFA
London
Vincent Juvyns
Luxembourg
Marcella Chow
Hong Kong
Meera Pandit, CFA*
New York
Jack Manley
New York
Hugh Gimber, CFA
London
Tilmann Galler, CFA
Frankfurt
Ian Hui
Hong Kong
Jordan Jackson
New York
Stephanie Aliaga
New York
Max McKechnie
London
Maria Paola Toschi
Milan
Adrian Tong
Hong Kong
Shogo Maekawa
Tokyo
Olivia Schubert
New York
Nimish Vyas*
New York
Natasha May
London
Elena Domecq
Madrid
Sahil Gauba
Mumbai
Agnes Lin
Taipei
Zara Nokes
London
Lucia Gutierrez Mellado
Madrid
Clara Cheong
Singapore
Kerry Craig, CFA
Melbourne
Global private capital fundraising
USD billions
$1,600
$1,498
Natural resources*
YTD Nov.
2022
Infrastructure
$1,400
Real estate
Private debt
Private equity
$1,296
$1,213
$1,217
$1,200
$1,204
$1,161
$1,045
$1,000
$827
$800
$706
$622
$600
$471
$400
$398
$200
$0
'11
'12
'13
'14
'15
'16
'17
'18
'19
'20
'21
'22
Dry powder by asset class
Cumulative dry powder, USD billions
$4,000
$3,500
$3,000
Asset class
Secondaries
Fund of funds
3Q22
$127
$149
% of total
4%
5%
Privtate debt
$421
13%
$696
$586
$1,258
$3,236
22%
18%
39%
Real assets*
Venture capital
Private equity
Total
$2,500
$2,000
$1,500
$1,000
$500
$0
'07
'08
'09
'10
'11
'12
'13
'14
'15
'16
'17
'18
'19
'20
'21
'22
Public and private market correlations
Crypto
Hedge
funds
Private
markets
Real assets
Global
real estate
Financial
assets
Quarterly returns
2008 - 2Q22
Global
Bonds
Global
Equities
U.S. Core
RE
Europe
Core RE*
APAC Core Global Core
Transport
RE
Infra
Global Bonds
1.0
Global Equities
0.4
1.0
U.S. Core RE
-0.2
0.0
1.0
Europe Core RE*
-0.3
0.2
0.8
1.0
APAC Core RE
-0.1
0.1
0.8
0.7
1.0
Global Core Infra
-0.1
-0.1
0.3
0.1
0.2
1.0
Transport
-0.2
-0.1
0.5
0.3
0.4
0.0
1.0
Timber
-0.2
-0.1
0.3
0.2
0.2
0.2
0.1
1.0
Direct Lending
0.0
0.7
0.3
0.4
0.3
0.2
0.1
-0.1
1.0
Venture Capital
0.1
0.6
0.3
0.5
0.2
0.1
0.1
0.0
0.5
1.0
Private Equity
0.1
0.8
0.3
0.5
0.4
0.1
0.1
-0.1
0.9
0.8
1.0
Equity Long/Short
0.3
0.9
-0.1
0.2
0.0
0.0
0.1
-0.1
0.7
0.7
0.9
1.0
Relative Value
0.2
0.9
-0.1
0.2
0.0
0.0
-0.1
-0.2
0.9
0.5
0.8
0.9
1.0
Macro
0.1
0.3
0.0
0.1
-0.1
0.0
-0.2
0.1
0.1
0.2
0.3
0.4
0.3
1.0
Bitcoin
0.1
0.1
0.1
-0.2
0.1
0.5
0.1
0.0
0.1
0.2
0.1
0.1
0.1
0.0
Timber
Direct
Lending
Venture
Capital
Private
Equity
Equity
Long/Short
Relative
Value
Macro
Bitcoin
1.0
Private and public dispersion
Based on returns over a 10-year window*
35%
34.8%
30%
26.5%
25%
20%
18.1%
Top quartile
14.5%
15%
Median
12.0%
10%
9.6%
10.4%
7.8%
5%
2.3%
0%
5.2%
Bottom quartile
2.2%
1.0%
0.3%
1.2%
Global Venture
Capital
Hedge Funds
-5%
U.S. Fund Global
Equities
U.S. Fund Global
Bonds
U.S. Core
Real Estate
U.S. Non-core
Real Estate
Global Private
Equity
Asset class yields
Percent
18%
16%
Equities
15.8%
Fixed income
Alternatives
14%
12%
10%
9.5%
8.6%
8%
6.2%
6%
4%
6.0%
5.3%
4.8%
4.2%
4.2%
4.0%
3.7%
3.7%
3.6%
3.2%
3.2%
2.6%
2%
0%
1.6%
Equity market correlations and yields
Hedge adjusted yield, last 12 months
16%
Transport
Stronger correlation
to equities
14%
U.S. government
Hedge adjusted yield
U.S. non-government
12%
International
10%
Direct lending
Alternatives
Euro HY
8%
6%
Higher yielding
sectors
EMD (LCL)
Europe Real estate Infra.
APAC Real estate
U.S. Real estate
5y UST
0%
-0.4
U.S. HY
Convertibles
EM Corp.
4%
2%
EMD ($)
Timber
CML - Senior*
Euro Corp.
Germany
U.S. Aggregate
MBS
30y UST
Japan
10y UST
2y UST
-0.2
0.0
UK
0.2
U.S. corps
TIPS
Floating rate
Munis
0.4
Correlation to S&P 500
0.6
0.8
1.0
Alternatives and portfolio risk/return
Annualized volatility and returns, 1989 – 2Q22
10.0%
40% Equities
30% Bonds
30% Alts
Annualized returns
9.5%
9.0%
50% Equities
20% Bonds
30% Alts
30% Equities
40% Bonds
30% Alts
80% Equities
20% Bonds
60% Equities
40% Bonds
8.5%
Portfolio allocation
Volatility
40 Equities/ 60 F.I.
6.76%
60 Equity/ 40 F.I.
9.66%
80 Equity/ 20 F.I.
12.82%
30 Alts/ 30 Equities / 40 F.I.
6.48%
30 Alts/ 40 Equities / 30 F.I.
7.97%
30 Alts/ 50 Equities / 20 F.I.
9.53%
8.0%
40% Equities
60% Bonds
7.5%
7.0%
6.0%
6.5%
7.0%
7.5%
8.0%
8.5%
9.0%
9.5%
10.0%
Annualized volatility
10.5%
11.0%
11.5%
Annualized returns
7.47%
8.39%
9.18%
8.58%
9.04%
9.48%
12.0%
12.5%
13.0%
2012-2021
2012
2013
2014
2015
P riva te Equity
V e nture
Ca pita l
V e nture
Ca pita l
Infra .
14 . 7 %
26.2%
26.9%
Dire c t Le nding
P riva te Equity
Infra .
14 . 0 %
20.5%
2017
2018
2019
2020
Infra .
Tra nsport
V e nture
Ca pita l
V e nture
Ca pita l
V e nture
Ca pita l
18 . 0 %
15 . 3 %
20.2%
20.5%
18 . 8 %
Tra nsport
Tra nsport
P riva te Equity
Infra .
15 . 5 %
16 . 2 %
13 . 4 %
19 . 9 %
12 . 3 %
P riva te Equity
V e nture
Ca pita l
P riva te Equity
Infra .
12 . 3 %
14 . 3 %
9.9%
Infra .
Tra nsport
P riva te Equity
V e nture
Ca pita l
13 . 3 %
18 . 8 %
13 . 3 %
15 . 0 %
2016
2Q22
Ann.
Vol.
V e nture
Ca pita l
U. S . Core RE
V e nture
Ca pita l
V e nture
Ca pita l
56.2%
46.7%
12 . 5 %
22.3%
10 . 9 %
P riva te Equity
P riva te Equity
P riva te Equity
Tra nsport
P riva te Equity
Tra nsport
17 . 0 %
23.4%
37.7%
9.2%
17 . 6 %
8.4%
He dge Funds
Tra nsport
Europe Core
RE
Infra .
He dge Funds
12 . 6 %
11. 8 %
27.7%
6.8%
12 . 8 %
7.4%
U. S . Core RE
Infra .
Tra nsport
P riva te Equity
.
2021
U. S . Core RE
Dire c t Le nding
Infra .
AP AC Core RE
He dge Funds
Asse t
Alloc a tion
12 . 5 %
15 . 0 %
11. 2 %
13 . 1%
9.5%
10 . 4 %
11. 4 %
22.2%
5.6%
12 . 5 %
7.4%
Asse t
Alloc a tion
Europe Core
RE
AP AC Core RE
Asse t
Alloc a tion
U. S . Core RE
Asse t
Alloc a tion
CML - S e nior*
Asse t
Alloc a tion
AP AC Core RE
Asse t
Alloc a tion
Infra .
9.4%
6.3%
19 . 9 %
3.9%
10 . 5 %
4.0%
Dire c t Le nding
U. S . Core RE
U. S . Core RE
Tra nsport
U. S . Core RE
U. S . Core RE
11. 6 %
13 . 9 %
U. S . Core RE
Asse t
Alloc a tion
10 . 9 %
13 . 7 %
11. 6 %
12 . 2 %
10 . 5 %
11. 7 %
8.3%
Europe Core
RE
Dire c t Le nding
Europe Core
RE
AP AC Core RE
Asse t
Alloc a tion
AP AC Core RE
Asse t
Alloc a tion
Dire c t Le nding
Tra nsport
Europe Core
RE
10 . 3 %
12 . 7 %
11. 5 %
11. 8 %
8.9%
11. 6 %
8.2%
9.0%
5.9%
14 . 4 %
2.3%
10 . 4 %
3 . 1%
Infra .
Dire c t Le nding
Asse t
Alloc a tion
Dire c t Le nding
Infra .
Asse t
Alloc a tion
Dire c t Le nding
Dire c t Le nding
10 . 2 %
12 . 7 %
9.6%
13 . 9 %
1. 6 %
9.7%
2.9%
AP AC Core RE
Europe Core
RE
CML - S e nior*
9.0%
Asse t
Alloc a tion
U. S . Core RE
Dire c t Le nding
Dire c t Le nding
CML - S e nior*
10 . 5 %
8.8%
8.6%
8 . 1%
8.4%
5.5%
AP AC Core RE
P riva te Equity
Europe Core
RE
He dge Funds
Tra nsport
AP AC Core RE
Europe Core
RE
Dire c t Le nding
P riva te Equity
Europe Core
RE
11. 5 %
9.4%
9.8%
7.8%
8.6%
7.7%
6.6%
2.3%
12 . 8 %
- 2 . 1%
9 . 1%
2.7%
V e nture
Ca pita l
He dge Funds
CML - S e nior*
Dire c t Le nding
He dge Funds
U. S . Core RE
Europe Core
RE
Europe Core
RE
Infra .
AP AC Core RE
He dge Funds
AP AC Core RE
Asse t
Alloc a tion
7.5%
9 . 1%
7.4%
5.5%
5.4%
7.6%
7.7%
6.2%
2.0%
12 . 0 %
- 5.6%
8.9%
2.7%
He dge Funds
AP AC Core RE
Tra nsport
CML - S e nior*
CML - S e nior*
Europe Core
RE
CML - S e nior*
U. S . Core RE
U. S . Core RE
He dge Funds
CML - S e nior*
He dge Funds
AP AC Core RE
6.4%
9 . 1%
6.9%
2.7%
2.9%
7.4%
2.6%
5.3%
1. 2 %
10 . 2 %
- 6.3%
5.8%
2 . 1%
CML - S e nior*
He dge Funds
Tra nsport
AP AC Core RE
CML - S e nior*
V e nture
Ca pita l
CML - S e nior*
Europe Core
RE
5.7%
- 4.7%
- 0.5%
- 0 . 1%
1. 9 %
- 10 . 0 %
4.5%
2.0%
CML - S e nior*
CML - S e nior*
He dge Funds
He dge Funds
V e nture
Ca pita l
4.7%
2.9%
3.0%
- 1. 1%
1. 2 %
U.S. real estate cap rate spreads
U.S. vacancy rates by property type
Percent
Transaction based, spread to 10y UST, 4-quarter rolling average
5%
18%
Apartment
Office
Industrial
Retail
16%
4%
14%
12%
3%
10%
Average: 2.9%
8%
2%
Sep. 2022:
1.7%
6%
4%
1%
2%
0%
0%
'98
'00
'02
'04
'06
'08
'10
'12
'14
'16
'18
'20
'22
'00
'02
'04
'06
'08
'10
'12
'14
'16
'18
'20
'22
U.S. office leasing activity
Most sought-after building attributes by large companies
In million square feet, quarterly
70
Flexible open space
68%
Shared meeting space
60
3Q22:
45.54
66%
Space for private phone calls &
meetings
53%
50
Flexible office space options
40
50%
Indoor air quality
47%
Sustainability
45%
Connected technologies &
building apps
44%
30
20
Onsite food & beverage
39%
Outdoor amenities
10
35%
Concierge services
31%
0
'16
'17
'18
'19
'20
'21
'22
0%
15%
30%
45%
60%
75%
U.S. online retails sales by segment
Change in number of retail establishments
% of total retail sales by segment, NSA
4Q11 – 4Q21, percent
Total
23.0%
1Q18
2%
Other*
Goods-producing
3Q22
3%
14.3%
Service-providing
24.4%
Personal care/services
7%
Clothing and general merchandise
13%
25.6%
Department/discount
21.8%
Restaurants/bars
Pharmacies and person care
9%
Furniture, building materials and
electronics
18.5%
13%
15.1%
Automobile dealers
6.5%
Grocery/liquor
3%
5.3%
Gas stations
Motor vehicle and parts
4%
4.4%
Furniture/furnishings
-9.9%
Entertainment goods
-10.0%
9%
Total online retails
-12.4%
Clothing
14%
Electronics/appliances
0%
3%
6%
9%
12%
15%
-19.9%
-30%
-20%
-10%
0%
10%
20%
30%
U.S. industrial rent growth
Industrial establishments and vacancy rate
Thousands of square feet, percent
Year-over-year % change, quarterly, 2004 – present
45,000
14%
14%
Warehouses and storage facilities
Data processing, hosting, and related services
Sep. 2022:
12.6%
40,000
Industrial property vacancy rate (%)
10%
12%
35,000
10%
6%
30,000
8%
25,000
2%
6%
20,000
-2%
4%
15,000
-6%
2%
10,000
5,000
-10%
'04
'06
'08
'10
'12
'14
'16
'18
'20
'22
0%
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
U.S. home price growth by city
U.S. residential foot traffic by region
S&P Case-Shiller Home Price Index, September 2022, y/y% change
Sentrilock home showings*, y/y% change, October 2022
Miami
24.6%
Northeast
Midwest
National
showings
West
South
0%
Atlanta
17.1%
Dallas
16.3%
Phoenix
-10%
12.6%
-11%
National home price
10.6%
New York
10.6%
Chicago
-20%
10.0%
Denver
-23%
9.3%
Boston
8.8%
Los Angeles
8.8%
-30%
-36%
-40%
Portland
6.7%
Washington D.C.
6.5%
Seattle
6.2%
-50%
San Francisco
2.3%
0%
5%
10%
15%
20%
25%
30%
-60%
-58%
-22%
Global online retail sales
Retail real estate per capita
Square feet per person
Percent of total retail sales, 3Q22*
30%
Indonesia
U.S.
APAC
25%
20%
15%
10%
EMEA
1
Russia
North America
1.4
APAC
South Korea
2.2
Germany
2.3
Thailand
2.3
Taiwan
2.4
EMEA
Italy
2.8
China
2.8
Spain
3.4
Switzerland
3.6
France
3.8
Netherlands
4.1
Japan
4.4
U.K.
4.6
5%
Australia
0%
11.1
Canada
16.8
U.S.
23.5
0
5
10
15
20
25
Global office and logistics pricing
Yields, 3Q 2022
7%
Prime Office
Prime Warehouse
6%
5%
4%
3%
2%
1%
0%
New York/
Seoul
North New Jersey
Singapore China Tier 1 Auckland
Sydney
Hong Kong
Tokyo
Paris
Munich
Milan
London
Madrid
U.S. REITs, real estate and equities
12-quarter rolling correlations, total return
1
0.8
0.6
0.4
0.2
0
-0.2
-0.4
-0.6
-0.8
Direct real estate/S&P 500 correlation
REIT/S&P 500 correlation
-1
'80 '82 '83 '85 '86 '88 '89 '91 '92 '94 '95 '97 '98 '00 '01 '03 '04 '06 '07 '09 '10 '12 '13 '15 '16 '18 '19 '21
Real estate income return and inflation
1978 – 3Q22, quarterly, year-over-year (%)
16%
1978 – 3Q22, quarterly, headline CPI, NCREIF ODCE Index, y/y %
14%
Headline CPI
12%
Real estate performance in different inflationary regimes
12%
11.9%
Income return
11.0%
10%
8.8%
8%
8%
5.7%
6%
4%
4%
0%
2%
0%
-4%
'79 '82 '85 '88 '91 '94 '97 '00 '03 '06 '09 '12 '15 '18 '21
High & rising
High & falling
Low & rising
Low & falling
2012-2021
2012
2013
2014
2015
Industria l
Lodging/
Re sorts
Mfgd. Home s
S e lf S tora ge
3 1. 3 %
27.2%
46.2%
2016
2017
2018
2019
Industria l
Da ta Ce nte rs
Re t. Fre e
S ta nding
Mfgd. Home s
40.6%
30.7%
28.4%
13 . 9 %
4 9 . 1%
Lodging/
Re sorts
Mfgd. Home s
Mfgd. Home s
Industria l
S e lf S tora ge
24.9%
11. 4 %
48.7%
12 . 9 %
.
2020
2021
YTD
Ann.
Vol.
Da ta Ce nte rs
Re giona l Ma lls
Lodging/
Re sorts
Industria l
Re giona l Ma lls
2 1. 0 %
9 2 . 1%
- 4.0%
2 1. 9 %
3 0 . 1%
S e lf S tora ge
Re t. Fre e
S ta nding
Mfgd. Home s
Lodging/
Re sorts
79.4%
- 6.7%
2 1. 8 %
28.5%
S hopping
Ce nte rs
S e lf S tora ge
S hopping
Ce nte rs
- 7.6%
18 . 5 %
27.6%
Re giona l Ma lls
Mfgd. Home s
Apa rtme nts
Mfgd. Home s
28.2%
10 . 5 %
39.6%
25.6%
24.3%
Industria l
He a lth Ca re
Da ta Ce nte rs
Industria l
S hopping
Ce nte rs
20.6%
7.6%
44.2%
12 . 2 %
6 5 . 1%
S hopping
Ce nte rs
S e lf S tora ge
He a lth Ca re
Apa rtme nts
Re t. Fre e
S ta nding
25.0%
9.5%
33.3%
16 . 5 %
17 . 0 %
Re giona l Ma lls
Re t. Fre e
S ta nding
Mfgd. Home s
Re t. Fre e
S ta nding
Industria l
All Equity
Apa rtme nts
O ffic e
Mfgd. Home s
Apa rtme nts
He a lth Ca re
All Equity
Re t. Fre e
S ta nding
22.5%
7.4%
32.6%
5.9%
14 . 2 %
8.7%
3.7%
3 1. 4 %
- 1. 7 %
63.6%
- 17 . 1%
12 . 2 %
20.8%
He a lth Ca re
Re t. Fre e
S ta nding
Lodging/
Re sorts
S hopping
Ce nte rs
O ffic e
Lodging/
Re sorts
S e lf S tora ge
All Equity
All Equity
Industria l
All Equity
Apa rtme nts
He a lth Ca re
20.4%
7.3%
32.5%
4.7%
13 . 2 %
7.2%
2.9%
28.7%
- 5 . 1%
62.0%
- 2 1. 0 %
12 . 2 %
20.5%
Re t. Fre e
S ta nding
S e lf S tora ge
S e lf S tora ge
O ffic e
S e lf S tora ge
Re giona l Ma lls
All Equity
O ffic e
Industria l
4.2%
8.6%
5.2%
- 2.5%
19 . 9 %
5.6%
3 1. 4 %
All Equity
S hopping
Ce nte rs
S hopping
Ce nte rs
All Equity
19 . 7 %
5.0%
30.0%
Apa rtme nts
He a lth Ca re
Mfgd. Home s
Re giona l Ma lls
26.3%
- 9.9%
42.0%
- 22.0%
10 . 9 %
18 . 3 %
S hopping
Ce nte rs
Re t. Fre e
S ta nding
All Equity
S e lf S tora ge
S hopping
Ce nte rs
Industria l
He a lth Ca re
S e lf S tora ge
All Equity
2.8%
6.4%
3.7%
- 4.0%
25.0%
- 10 . 5 %
4 1. 3 %
- 22.2%
7.7%
18 . 2 %
O ffic e
All Equity
All Equity
Industria l
S hopping
Ce nte rs
Apa rtme nts
Re giona l Ma lls
Re t. Fre e
S ta nding
Apa rtme nts
Da ta Ce nte rs
Da ta Ce nte rs
He a lth Ca re
O ffic e
14 . 2 %
2.9%
28.0%
2.6%
3.7%
3.7%
- 7.0%
24.8%
- 15 . 3 %
25.5%
- 22.8%
7.3%
16 . 8 %
Lodging/
Re sorts
He a lth Ca re
O ffic e
O ffic e
Industria l
O ffic e
Apa rtme nts
- 12 . 8 %
2 1. 2 %
- 18 . 4 %
22.0%
- 25.9%
7.3%
16 . 7 %
Lodging/
Re sorts
Re t. Fre e
S ta nding
Mfgd. Home s
Lodging/
Re sorts
Mfgd. Home s
Lodging/
Re sorts
Re giona l Ma lls
O ffic e
O ffic e
Apa rtme nts
Re t. Fre e
S ta nding
12 . 5 %
- 1. 0 %
25.9%
0.3%
2.9%
3 . 1%
He a lth Ca re
Re giona l Ma lls
He a lth Ca re
Da ta Ce nte rs
Lodging/
Re sorts
2 1. 0 %
- 7.2%
- 5.2%
0.9%
- 14 . 1%
15 . 6 %
- 23.6%
19 . 7 %
- 26.7%
5.7%
15 . 6 %
He a lth Ca re
Re t. Fre e
S ta nding
Lodging/
Re sorts
S e lf S tora ge
Re giona l Ma lls
O ffic e
S e lf S tora ge
S hopping
Ce nte rs
Lodging/
Re sorts
Apa rtme nts
Re giona l Ma lls
All Equity
- 7 . 1%
9.7%
- 24.4%
- 8 . 1%
- 2.7%
- 14 . 5 %
13 . 7 %
- 27.6%
18 . 2 %
- 27.3%
5 . 1%
14 . 9 %
S hopping
Ce nte rs
Re giona l Ma lls
Re giona l Ma lls
He a lth Ca re
O ffic e
Da ta Ce nte rs
Da ta Ce nte rs
- 14 . 5 %
- 9 . 1%
- 37.2%
16 . 3 %
- 32.3%
N/ A
N/ A
Mfgd. Home s
Apa rtme nts
7 . 1%
- 6.2%
Apa rtme nts
6.9%
Industria l
Da ta Ce nte rs
Da ta Ce nte rs
Da ta Ce nte rs
Da ta Ce nte rs
Da ta Ce nte rs
S hopping
Ce nte rs
N/ A
N/ A
N/ A
N/ A
N/ A
- 11. 4 %
Average annual infrastructure need
USD trillions, constant 2017 dollars
$4.0
$3.6
$3.5
$0.5
$3.0
$0.5
$2.5
$1.1
$2.0
$1.5
$0.1
$0.4
$1.0
$0.5
$0.1
$0.9
$0.0
Roads
Rail
Ports
Airports
Power
Water
Telecom
Total
Infrastructure deal count and value
800
$250
Number of deals < $1.5bn
Number of deals >= $1.5bn
700
Aggregate value of deals < $1.5bn
$200
Aggregate value of deals >= $1.5bn
600
Number of Deals
$150
400
$100
300
200
$50
100
0
$0
'10
'11
'12
'13
'14
'15
'16
'17
'18
'19
'20
'21
Total Enterprise Value ($bn)
500
Global core infrastructure returns
Rolling 4-quarter returns from income and capital appreciation
20%
Capital appreciation
Income
15%
10%
5%
0%
-5%
'09
'10
'11
'12
'13
'14
'15
'16
'17
'18
'19
'20
'21
'22
U.S. utilities allowed returns versus inflation
Household utility spending
Average allowed return on equity*
Household utility spending % of personal consumption expenditures
5.0%
16
Recession
14
4.5%
Utility allowed Return on Equity (%)
12
4.0%
10
8
3.5%
6
3.0%
4
2.5%
2
0
0
2
4
6
8
CPI YoY (%)
10
12
14
2.0%
'79
'83
'87
'91
'95
'99
'03
'07
'11
'15
'19
Energy related CO2 emissions
Share of global greenhouse gas emissions by sector
1990-2019, gigatons
% of global greenhouse gas emissions (2016), CO2 equivalent tons
35
Rest of the world
Advanced economies
30
Agriculture: 18%
Energy in industry:
24%
25
Wastewater /
landfill: 3%
20
Chemicals /
cement: 5%
15
10
Other energy: 15%
Energy in
buildings: 18%
5
Energy in transport: 16%
0
1991
1994
1997
2000
2003
2006
2009
2012
2015
2018
Planned U.S. electricity generating capacity
Cost of wind, solar, natural gas and coal
2022
Mean LCOE*, 2021, dollar per megawatt hour
1% 4%
Coal
Natural gas
Petroleum
Other*
$400
9%
Solar
Natural gas
Coal
Nuclear
$350
Total retirements:
7.4 GW
Wind
$300
$250
87%
$200
Solar
Natural gas
Onshore wind
Other**
10%
11%
$150
$100
31%
Total additions:
30.5 GW
48%
$50
$0
'09
'10
'11
'12
'13
'14
'15
'16
'17
'18
'19
'20
'21
Global energy mix
Share of global commodities mining production by region
Share of primary energy
2021
60%
50%
Oil
Coal
Gas
Renewables
Other non-fossil fuels
Forecast
Rare earths
Zinc
40%
Nickel
30%
Lithium*
20%
Copper
Cobalt
10%
0%
0%
'70 '75 '80 '85 '90 '95 '00 '05 '10 '15 '20 '25 '30 '35 '40 '45 '50
20%
40%
60%
United States
China
APAC*
North America*
Europe
Africa & RoW
80%
100%
South America
Number of electricity vehicle charging points
State power balances
In thousands, U.S.
Net electricity generation**, in million MWh, 2021
900
Forecasts*
800
California -50
800
Virginia
-32
Massachusetts
-31
700
600
560
500
Ohio
-22
Maryland
-21
West Virginia
400
300
33
Illinois
46
Texas
46
200
100
32
54
20
43
15
38
12
'12
'13
'14
'15
'16
'17
'18
77
99
Alabama
114
57
Pennsylvania
0
'19
'20
'21
'25
'30
98
-60
-40
-20
0
20
40
60
80
100
Timber returns and inflation
Global emissions covered by carbon pricing initiatives
Headline CPI, NCREIF Timberland Index, 5-yr. annualized change
% of global greenhouse gas emissions
25
0.3
China ETS
Japan carbon tax
South Korea ETS
EU ETS
Other
0.25
NCREIF timberland total return index
20
0.2
15
R² = 57%
0.15
10
0.1
5
0.05
0
0
'00
0%
1%
2%
3%
Headline CPI
4%
5%
'02
'04
'06
'08
'10
'12
'14
'16
'18
'20
World trade volume
World seaborne trade by product
Year-over-year, % change, 3-month moving average, monthly
Estimated in trillion ton-miles
60
50
Gas
Containers
40
Sep. 2022:
5.4%
Average 4.0%
Oil and oil
products
30
20
Dry bulk
10
0
'00
'02
'04
'06
'08
'10
'12
'14
'16
'18
'20
'22
Global fleet and orderbook
Idle containership capacity as % of fleet
Gross tonnage
10%
60%
1,800
World fleet
Orderbook as a % fleet
9%
8%
Orderbook
1,600
7%
Nov. 2022:
4.2%
6%
50%
1,400
5%
4%
40%
1,200
3%
2%
1%
1,000
0%
'11
30%
800
'12
'13
'14
'15
'16
'17
'18
'19
'20
Nov. 2022:
21.8 years
+100 gross tonnage, years
600
20
400
10%
200
0%
0
'05
'07
'09
'11
'13
'15
'17
'19
'21
'22
Global fleet age
22
20%
'21
18
16
'05
'07
'09
'11
'13
'15
'17
'19
'21
Global port calls*
Global port call duration**
Number of calls, 7-day moving average
Number of days, 30-day moving average
2.5
13,000
12,000
2
11,000
1.5
10,000
9,000
1
8,000
2019
2020
2021
2022
0.5
7,000
Jul
Europe
Africa & Middle East
North America
LATAM
6,000
Jan Feb Mar Apr May Jun
APAC
Aug Sep Oct Nov Dec
0
Jan '20
Jul '20
Jan '21
Jul '21
Jan '22
Jul '22
Average C02 emissions by mode of transportation
LNG carrier engine types
Share of on-water fleet, 2020
160
1%
140
140
Diesel 2-Stroke (dual-fuel)
Diesel electric
23%
41%
Steam turbine
120
34%
Combined
(g/tkm)
100
80
LNG carrier fleet age profile
Number of vessels, 2020
250
60
51
200
40
150
100
16
20
5
0
Road
Inland Waterway
Rail
Pipeline
50
0
0-5 yrs
6-10 yrs
11-15 yrs
16-20 yrs
> 20 yrs
Global wind net capacity additions
Offshore wind project locations
Onshore versus offshore, gigawatt
Distance from shore and water depth
90
25
Forecasted
average
annual
additions,
2023- 2025
80
20
70
Water depth (m)
60
50
40
15
10
30
20
5
10
0
0
2020
2021
2022
Main case*
Accelerated
case*
0
10
20
30
Distance from coast (km)
40
50
Average age of major airline aircraft
Narrow-body aircraft demand**
Years, U.S.
Year-to-date October 2022, number
14
12
13.4
13.3
12.7
12,000
11,049
11.8
10,000
10.4
10
8,000
8
6,000
6
4
4,000
2
2,000
0
1993
2000
2010
2018
1,519
726
0
2019
Deliveries
Gross orders
Percent of industry wide aviation fleet leased*
Wide-body aircraft demand**
Global
Year-to-date October 2022, number
50%
1,800
40%
1,500
Backlogs
1671
1,200
30%
900
20%
600
300
10%
0%
1970
134
178
Deliveries
Gross orders
0
1980
1990
2000
2010
2020
Backlogs
Private vs. public equity sector weights
Number of listed U.S. companies* and market cap.
Number, S&P 500 market capitalization in USD trillions
9,000
# of listed companies
Market cap.
45
12.1%
Tech
35.8%
8,000
7,000
Aug. 2022:
$33.3tn
Aug. 2022:
6,300
6,000
40
20.6%
Healthcare
16.5%
35
30
14.5%
Industrials
13.2%
5,000
25
15.3%
Cons. Disc.
U.S. private equity
11.0%
4,000
Russell 2000
20
14.6%
Financials
3,000
15
2,000
10
7.6%
2.0%
Comm. Services
6.3%
1,000
5
14.3%
Other**
2.8%
0
0
'91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
0%
10%
20%
30%
40%
U.S. applications for business formation
Seasonally adjusted, thousands
Growth in business establishments by private industry
December 2019 – March 2022
1,700
Total
9%
Information*
1,500
Recession
1,300
1,100
900
700
30%
Professional and business
services
15%
Other services**
15%
Education and health services
10%
Service-providing
10%
Financial activities
10%
Construction
6%
Manufacturing
5%
Goods-producing
5%
Leisure and hospitality
3%
Trade, transportation, and
utilities
3%
Natural resources and mining
1%
500
'06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
0%
7%
14%
21%
28%
35%
U.S. LBOs: purchase price multiples
U.S. LBO multiples and BAA corporate bond yields
Quarterly, 2005 – 3Q22
Equity and debt over trailing EBTIDA
13x
14
Equity
Debt
11.8x
11.4x 11.3x 11.2x
12
10.6x
10.4x
10.1x 10.0x
9.7x
9.1x8.9x
8.8x
8.5x
8.6x
8.2x
8
6
4.1x
2.9x
5.7x
3.8x 4.2x 4.4x
7.3x
2.6x
5.4x 5.5x 5.4x
4.6x 4.7x
7.9x
3.5x
11x
3.7x 3.5x 3.2x
3.7x
2.6x
3.8x
U.S. LBO multiples
9.9x
9.5x
10
12x
10x
9x
4
6.2x
5.5x 5.6x
2
5.2x
4.7x
4.6x
5.2x 5.3x 5.4x
5.8x 5.7x
5.8x 5.8x 5.9x 5.7x 5.8x 6.0x
5.5x
R² = 36%
8x
4.0x
7x
0
'04
'06
'08
'10
'12
'14
'16
'18
'20
'22
3%
4%
5%
6%
7%
BAA corporate bond yield
8%
9%
U.S. private equity deals
Private equity exits by type
USD billions
USD billions
$1,300
$1,200
$1,100
$1,000
$900
$900
3Q22
07-'21 avg.
B2B
29.1%
28.8%
B2C
11.9%
18.7%
Natural resources
7.7%
14.4%
Financial services
7.9%
9.0%
Health care
14.1%
12.4%
Technology
29.2%
16.8%
3Q22
07-'21 avg.
50.8%
37.3%
IPO
1.6%
18.8%
Corporate acquisition
47.6%
43.9%
$800
Secondary buyout
$700
$600
$800
$500
$700
$600
$400
$500
$300
$400
$200
$300
$200
$100
$100
$0
$0
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
Oil prices and natural resource exits
Global primary energy use and energy capex
Energy & material exits count, WTI oil price, y/y % change
USD billions, fossil fuel use as % of global primary energy
150%
$450
100%
Fossil fuel % of global primary energy
125%
$400
100%
$350
75%
$300
90%
80%
70%
60%
Energy & materials
exit count
(2Qma, 1Q lag)
50%
WTI oil price
$250
50%
$200
25%
40%
$150
0%
30%
Global energy capex*
-25%
$100
-50%
$50
20%
10%
$0
-75%
'11
'12
'13
'14
'15
'16
'17
'18
'19
'20
'21
'22
0%
'04
'06
'08
'10
'12
'14
'16
'18
'20
U.S. private equity deals by size
U.S. private equity deals by type
% of total deals, 2007 – 3Q22
% of total deals, 2007 – 3Q22
70%
70%
62.3%
60%
60%
Max: 57.5%
50%
50%
47.9%
Median: 46.3%
Max: 41.5%
Current
40%
40%
41.2%
Min: 37.1%
30.6%
30%
30.7%
Median: 31.3%
30%
25.4%
24.4%
23.0%
22.3%
20%
20%
19.7%
Current
Min: 17.7%
14.7%
10%
15.7%
10%
6.4%
3.8%
2.5%
0%
<$25M
$25-100M
$100-500M
>$500M
0%
Buyout/LBO
Add-on
PE growth/expansion
Secondary market volume
Secondary pricing*
USD billions
Percent of net asset value (NAV)
$140
100%
$132
95%
$120
$100
90%
91%
85%
86%
$88
$80
1H22
$74
80%
$60
$58
$60
77%
$57
75%
$42
$40
$40
$25
Buyout
$37
All
70%
$28
$20
Venture
65%
$0
'12
71%
Real Estate
'13
'14
'15
'16
'17
'18
'19
'20
'21
'22
60%
'13
'14
'15
'16
'17
'18
'19
'20
'21
'22
Change in share of VC investments by industry
Venture capital exits by type
2016 – 2021* vs. 2006 – 2010
USD billions
Consumer Goods & Services
6.8%
Software
$800
6.0%
2Q22
$700
Other
5.3%
$600
Transportation
4.9%
HC Services & Systems
3.2%
Pharma & Biotech
-1.3%
Media
-1.4%
07-'21 avg.
Secondary buyout
1.0%
5.1%
IPO
57.9%
47.9%
Corporate acquisition
41.1%
47.0%
$500
$400
$300
Commercial Services
-2.4%
Energy
HC Devices & Supplies
IT Hardware
$200
-5.5%
-6.1%
$100
-9.5%
$0
-15%
-10%
-5%
0%
5%
10%
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
Global M&A by acquirer type
Global M&A by sector
USD billions
USD billions
$7,000
$6,000
$5,000
Corporate M&A
Sponsor-backed
3Q22
61%
39%
07-'21 avg.
70%
30%
$6,000
$5,000
Sector
Technology
Health care
Financial services
Natural resources
B2C
B2B
3Q22
22%
11%
10%
12%
15%
28%
07-'21 avg.
15%
12%
12%
16%
19%
26%
$4,000
$4,000
$3,000
$3,000
$2,000
$2,000
$1,000
$1,000
$0
$0
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22
U.S. growth equity deal activity by investor type
Average LTM EBITDA purchase multiple
Total deal value, USD billions
20x
$60
18x
Type
2021 Avg. '07-21
Buyout
Growth
72%
28%
87%
13%
Growth Equity*
Buyout*
16x
Russell 2500**
14x
12x
$50
10x
8x
6x
$40
4x
2x
0x
'08
$30
'09
'10
'11
'12
'13
'14
'15
'16
'17
'18
'19
'20
'19
'20
Average annual EBITDA growth rates
22%
16%
$20
10%
4%
-2%
$10
-8%
Growth Equity*
Buyout*
-14%
$0
'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
Russell 2500**
-20%
'08
'09
'10
'11
'12
'13
'14
'15
'16
'17
'18
Private debt fundraising by type
USD billions
$275
$268
Other*
$250
YTD
Mezzanine
$226
Real estate & infra. debt
$225
$212
Distressed & special situations
Direct lending
$200
$191
$179
$175
'17
'18
$175
$160
$150
$131
$120
$125
$101
$100
$82
$107
$79
$75
$60
$50
$50
$37
$25
$0
'07
'08
'09
'10
'11
'12
'13
'14
'15
'16
'19
'20
'21
'22
U.S. leveraged loan market participants
Direct lending industry composition
Share of total market, percent
3Q22
100%
2%
6%
2%
90%
21%
13%
80%
70%
Participant
Non-bank*
60%
Banks & securities firms
LTM 3Q22
81%
19%
Avg. '00 - 21
79%
21%
1%
3%
50%
15%
3%
40%
30%
13%
20%
21%
10%
0%
'00
'02
'04
'06
'08
'10
'12
'14
'16
'18
'20
'22
Cons. Discretionary
Financials
Industrials
Materials
Utilities
Real Estate
Cons. Staples
Health care
Info. Tech.
Telecom. Services
Bus. Services & other
Expansion
Recession
Manufacturing ISM > 50 and rising
Manufacturing ISM <50 and falling
1.9%
2.0%
1.6%
4.0%
2.8%
3.0%
2.4%
1.1%
1.0%
1.7%
2.0%
0.7%
0.7%
0.8%
1.0%
0.3%
0.0%
0.0%
0.0%
-0.1%
-1.0%
-1.0%
10y UST
2y UST
U.S. IG
U.S. HY
U.S.
leveraged
loans
10y UST
U.S.
direct
lending
2y UST
U.S. IG
Late cycle cooling
Turnaround
Manufacturing ISM > 50 and falling
Manufacturing ISM<50 and rising
3.0%
7.0%
2.3%
2.5%
4.7%
3.0%
1.0%
0.7%
0.7%
0.7%
1.0%
0.0%
2y UST
U.S. IG
U.S. HY
U.S.
leveraged
loans
2.2%
2.0%
0.4%
10y UST
U.S.
direct
lending
4.0%
1.4%
0.5%
U.S.
leveraged
loans
5.8%
6.0%
5.0%
2.0%
1.5%
U.S. HY
U.S.
direct
lending
1.4%
0.9%
0.3%
0.0%
10y UST
2y UST
U.S. IG
U.S. HY
U.S.
leveraged
loans
U.S.
direct
lending
Public and private credit drawdown dispersion
Direct lending: Net realized gains (loss)*
Maximum – minimum drawdown, quarterly
0%
Trailing 4-quarter realized gain (loss), 2006 – 1Q22
2%
Leveraged
loans
Investment
grade
High yield
Direct lending
-0.3%
0.0%
-0.1%
-0.2%
Minimum
drawdown
1Q22: 0.49%
0%
Average
-4%
-2%
-8%
Maximum
drawdown
-9.8%
-12%
-4%
-16%
-6%
-18.7%
-20%
-8%
-24%
-25.2%
-28%
-27.5%
-10%
'05
'07
'09
'11
'13
'15
'17
'19
'21
New issue yields
New loan issuance by purpose
December 2010 – July 2022*, monthly, by EBITDA
10%
12-months ending September 30, 2022, leveraged loans
Recap &
dividend: 6%
Middle Market
($50M or Less)
9%
Corporate
finance**: 8%
Large Corporate
(more than $50M)
8%
Other***: 4%
Refinacning:
20%
7%
LBO: 29%
6%
Acquisiton:
32%
5%
4%
'10
'11
'12
'13
'14
'15
'16
'17
'18
'19
'20
'21
Private credit default rate
Covenant-lite loans
Quarterly, 2Q20 – 3Q22
% of total loans, 4Q10– 3Q22, quarterly
80%
10%
Large middle
market ($501M+)
8.1%
8%
60%
Middle market
6%
4.2%
4%
2.4%
1.3%
2%
0%
Jun-20
40%
3.6%
Dec-20
Jun-21
1.5%
1.0% 1.1%
Dec-21
1.2%
Jun-22
1.6%
20%
0%
'10
'11
'12
'13
'14
'15
'16
'17
'18
'19
'20
'21
U.S. distressed loan volume
Share of distressed leveraged loans by industry
In USD billions
U.S., October 2022
$110
Oct. 2022: $101bn
$100
Software
21%
Health Care Providers &
Services
16%
$90
IT Services
9%
$80
Media
$70
7%
Specialty Retail
4%
$50
Commercial Services &
Supplies
4%
$40
Professional Services
4%
$30
Building Products
3%
Pharmaceuticals
2%
Household Durables
2%
$60
$20
$10
$0
Jan '21
May '21
Sep '21
Jan '22
May '22
Sep '22
0%
5%
10%
15%
20%
25%
U.S. leveraged loans: Par amount outstanding
Sponsored and non-sponsored leveraged loan spreads
Sponsored vs. non-sponsored, in USD billions
Weighted average nominal spreads, monthly, since 1997
$1,800
600
Current as % of total Long-term average*
$1,600
Sponsored
61%
57%
Non-sponsored
39%
43%
Current Long-term average*
550
Sponsored
389.7
352.3
Non-sponsored
298.5
309.6
91.2
42.8
Difference
$1,400
500
$1,200
450
$1,000
400
$800
350
$600
300
$400
250
$200
$0
200
'97 '99 '01
'03 '05
'07 '09
'11 '13 '15 '17 '19 '21
'97
'99
'01
'03
'05
'07
'09
'11
'13
'15
'17
'19
'21
Commercial mortgage spreads
Commercial mortgage yields
Spreads over Treasury, basis points, senior loans
12-month income return, unlevered, senior loans, 3Q22
550
4.8%
Asset class
CML index
A-rated CML
BBB-rated CML
U.S. Corp. IG**
500
450
Current spread
227.5
209.4
245.6
150.1
4.3%
Avg. '14 - '21
209.9
193.5
226.3
124.6
4.0%
3.2%
400
350
2.4%
300
1.6%
250
200
0.8%
150
0.0%
100
50
'13
'14
'15
'16
'17
'18
'19
'20
'21
4.3%
4.2%
4.2%
4.0%
3.9%
3.8%
2012
2013
2014
2015
G loba l
Equitie s
G loba l
Equitie s
G loba l
Ma c ro
2017
2018
2019
Eq. Ma rke t
Ne utra l
Distre sse d
G loba l
Equitie s
Me rge r
Arbitra ge
G loba l
Equitie s
Equity
Long/ S hort
G loba l
Equitie s
G loba l
Ma c ro
G loba l
Equitie s
G loba l
Equitie s
16 . 8 %
23.4%
5.6%
4.3%
15 . 1%
24.6%
3.3%
27.3%
17 . 9 %
19 . 0 %
10 . 5 %
8.5%
17 . 5 %
Re la tive
V a lue
Equity
Long/ S hort
G loba l
Equitie s
Me rge r
Arbitra ge
G loba l
Equitie s
Equity
Long/ S hort
Re la tive
V a lue
Equity
Long/ S hort
G loba l
Equitie s
Distre sse d
Eq. Ma rke t
Ne utra l
Distre sse d
Equity
Long/ S hort
10 . 6 %
14 . 3 %
4.7%
3.3%
8.5%
13 . 3 %
- 0.4%
13 . 7 %
16 . 8 %
15 . 6 %
0.4%
7.3%
10 . 5 %
Distre sse d
Distre sse d
Re la tive
V a lue
Re la tive
V a lue
Re la tive
V a lue
HFRI
Composite
Eq. Ma rke t
Ne utra l
HFRI
Composite
HFRI
Composite
Equity
Long/ S hort
Me rge r
Arbitra ge
Equity
Long/ S hort
Distre sse d
10 . 1%
14 . 0 %
4.0%
- 0.3%
7.7%
8.6%
- 1. 0 %
10 . 4 %
11. 8 %
11. 7 %
0.3%
6.0%
9.3%
Equity
Long/ S hort
HFRI
Composite
Eq. Ma rke t
Ne utra l
Equity
Long/ S hort
Equity
Long/ S hort
G loba l
Bonds
G loba l
Bonds
Re la tive
V a lue
Distre sse d
Me rge r
Arbitra ge
Re la tive
V a lue
HFRI
Composite
HFRI
Composite
7.4%
9 . 1%
3 . 1%
- 1. 0 %
5.5%
7.4%
- 1. 2 %
7.4%
11. 8 %
10 . 6 %
- 2 . 1%
5.8%
7.8%
HFRI
Composite
Re la tive
V a lue
HFRI
Composite
HFRI
Composite
HFRI
Composite
Distre sse d
Distre sse d
G loba l
Bonds
G loba l
Bonds
HFRI
Composite
Distre sse d
Re la tive
V a lue
Re la tive
V a lue
6.4%
7 . 1%
3.0%
- 1. 1%
5.4%
6.3%
- 1. 7 %
6.8%
9.2%
10 . 2 %
- 5.0%
5.7%
6.0%
G loba l
Bonds
Eq. Ma rke t
Ne utra l
Equity
Long/ S hort
G loba l
Ma c ro
Me rge r
Arbitra ge
Re la tive
V a lue
G loba l
Ma c ro
Me rge r
Arbitra ge
G loba l
Ma c ro
G loba l
Ma c ro
HFRI
Composite
Me rge r
Arbitra ge
G loba l
Bonds
4.3%
6.5%
1. 8 %
- 1. 3 %
3.6%
5 . 1%
- 4 . 1%
6.8%
5.4%
7.7%
- 6.3%
4.8%
5.8%
Eq. Ma rke t
Ne utra l
Me rge r
Arbitra ge
Me rge r
Arbitra ge
G loba l
Equitie s
Eq. Ma rke t
Ne utra l
Eq. Ma rke t
Ne utra l
HFRI
Composite
G loba l
Ma c ro
Me rge r
Arbitra ge
Re la tive
V a lue
Equity
Long/ S hort
G loba l
Ma c ro
G loba l
Ma c ro
3.0%
4.7%
1. 7 %
- 1. 8 %
2.2%
4.9%
- 4.7%
6.5%
5.2%
7.6%
- 13 . 8 %
4.6%
4.7%
Me rge r
Arbitra ge
G loba l
Ma c ro
G loba l
Bonds
G loba l
Bonds
G loba l
Bonds
Me rge r
Arbitra ge
Equity
Long/ S hort
Distre sse d
Re la tive
V a lue
Eq. Ma rke t
Ne utra l
G loba l
Equitie s
G loba l
Bonds
Me rge r
Arbitra ge
2.8%
- 0.4%
0.6%
- 3.2%
2 . 1%
4.3%
- 7 . 1%
2.9%
3.4%
7 . 1%
- 14 . 6 %
4.4%
4.7%
G loba l
Ma c ro
G loba l
Bonds
Distre sse d
Distre sse d
G loba l
Ma c ro
G loba l
Ma c ro
G loba l
Equitie s
Eq. Ma rke t
Ne utra l
Eq. Ma rke t
Ne utra l
G loba l
Bonds
G loba l
Bonds
Eq. Ma rke t
Ne utra l
Eq. Ma rke t
Ne utra l
- 0 . 1%
- 2.6%
- 1. 4 %
- 8 . 1%
1. 0 %
2.2%
- 8.9%
2.3%
- 0 . 1%
- 4.7%
- 16 . 7 %
2.7%
3.0%
.
2020
YTD2021
YTD
2002-2021
Ann.
Vol.
2016
Hedge fund manager dispersion
Based on 10-year trailing returns
16%
15.4%
14.8%
14.7%
Top quartile
14%
13.2%
12%
11.6%
11.4%
11.5%
11.2%
10.8%
10%
8%
7.8%
Median
7.3%
7.1%
7.1%
6.5%
6.7%
6.3%
6%
5.3%
4.9%
4%
3.2%
3.0%
2%
1.6%
Bottom quartile
0%
0.6%
1.5%
1.0%
0.1%
0.2%
-0.1%
-2%
All hedge funds
Fixed income
relative value
Equity market
neutral
Event driven
Relative value
total
Relative value
multi-strategy
Macro total
Equity hedge
Emerging
markets
Hedge fund correlation with a 60/40 stock-bond portfolio*
1990 – August 2022, monthly
1
0.9
0.8
0.7
0.6
0.5
0.4
0.3
COVID-19
0.2
0.1
0
Tech bubble
-0.1
Early 1990’s
Recession/
Fed
tightening
concerns
-0.2
-0.3
-0.4
Government
shutdown(s)
Eurozone
double-dip
Global financial
crisis
9/11, Post techbubble recession
Energy weakness/
dollar strength
Sticky inflation/
hawkish Fed
-0.5
'90
'92
'94
'96
'98
'00
'02
'04
'06
'08
'10
'12
'14
'16
'18
'20
Hedge funds and volatility
Macro hedge fund relative performance & volatility
Average monthly hedge fund returns by VIX level, 1990 – present
VIX index level, y/y change in rel. perf. of HFRI Macro index
70
1.5%
40%
VIX
1.1%
1.1%
1.0%
60
30%
0.9%
0.6%
0.5%
0.8%
50
20%
0.8%
-0.1%
0.5%
0.3%
0.1%
0.0%
40
0.2%
0.1%
-0.3%
10%
30
-0.4%
-0.7%
-0.5%
0%
-0.3%
20
-1.0%
Alpha
Beta
-0.4%
-1.0%
-10%
10
Macro hedge fund relative performance to HFRI
-1.5%
0
10-15
15-20
20-25
25-30
30-35
>35
-20%
'96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20 '22
Low and falling
High and rising
Average year-over-year returns
Average year-over-year returns
20%
20%
17.5%
16%
15.1%
16%
14.3%
13.6%
11.4%
12%
12%
8%
8%
6.6%
5.7%
5.3%
5.8%
6.9%
4.4%
5.0%
4%
4%
0%
0%
Global Macro Rel. Value
High and falling
HFRI
Composite
Equity L/S MSCI ACWI Bloomberg
Global Agg.
Global
Macro
Rel. Value
HFRI
Composite
Low and rising
Average year-over-year returns
Average year-over-year returns
20%
20%
16%
12%
15.8%
Equity L/S MSCI ACWI Bloomberg
Global Agg.
15.6%
16%
13.5%
11.0%
12%
7.2%
8%
6.3%
10.1%
7.7%
8%
4.8%
4%
5.7%
5.8%
Rel. Value
HFRI
Composite
4.9%
4%
0%
Global Macro Rel. Value
HFRI
Composite
Equity L/S
MSCI ACWI Bloomberg
Global Agg.
0%
Global
Macro
Equity L/S MSCI ACWI Bloomberg
Global Agg.
S&P 500 Index dispersion*
Credit spread dispersion**
Monthly, 1991 – present
Historical range vs. current spreads, bps, last 10 years
60%
1500
50%
1250
40%
Nov. 2022: 1000
27%
750
30%
500
20%
Average: 24%
250
10%
0
0%
'91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 '21
Investment High yield Leveraged
grade
loans
CMBS
CLOs
Private
credit
Equity, interest rate and foreign exchange volatility
Z-score, 4-week moving average
Flow by firm as % of total U.S. equity market volume
2020 – 2Q22
30%
5
FX
Schwab
Interest rate
4
E*TRADE
TD
Equity
25%
Robinhood
3
20%
2
15%
1
0
10%
-1
5%
-2
-3
'18
'19
'20
'21
'22
0%
Jan-20 May-20 Sep-20
Jan-21 May-21 Sep-21
Jan-22 May-22
Transactions processed per second
Breakdown of hasher costs per region
Number
Percentage of total costs
4000
100%
3526
3500
90%
3000
Capital Equipment
Maintenance
Other
Utilities
Employees or contractors
7%
1%
6%
7%
9%
5%
5%
5%
16%
80%
6%
38%
70%
2500
2061
60%
49%
41%
21%
2000
50%
1500
40%
30%
1000
20%
52%
52%
Latin America*
North America
43%
37%
500
241
10%
3.3
3.18
0.26
Bitcoin
Ether
Litecoin
0
Visa
Mastercard
PayPal
0%
Asia-Pacific
Europe
Risk-on and risk-off assets
12-month rolling correlations, monthly
0.8
0.6
0.4
0.2
0
-0.2
-0.4
Risk-on
Risk-off
-0.6
-0.8
'11
'12
'13
'14
'15
'16
'17
'18
'19
'20
'21
'22
Alpha – Is the difference between an investment’s return and its expected return, given its level of beta.
Hedge Fund strategies:
Accredited investor – Defined by Rule 501 of Regulation D, an individual (i.e. non-corporate) "accredited investor" is either
a natural person who has individual net worth, or joint net worth with the person's spouse, that exceeds $1 million at the
time of the purchase OR a natural person with income exceeding $200,000 in each of the two most recent years or joint
income with a spouse exceeding $300,000 for those years and a reasonable expectation of the same income level in the
current year. For the complete definition of accredited investor, see the SEC website.
Relative Value/Arbitrage involves the simultaneous purchase and sale of similar securities to exploit pricing
differentials. Strategies in this sector offer potential to generate consistent returns while minimizing directional risk.
Capital commitment – A Limited Partner’s obligation to provide a specific amount of capital to a Closed-end Fund (defined
below) for investments. The Capital Commitment is “drawn down” or “called” over time, meaning a portion of the
commitment must be wired to the Closed-end Fund by a set date.
Long/Short (L/S) Equity involves long and/or short positions in equity securities deemed to be under- or overvalued,
respectively. Exposures to sectors, geographies, and market capitalizations are often flexible and will change over
time.
Capital called – The amount of capital wired to a fund that is “drawn down” over time as the General Partner selects
investments.
Merger Arbitrage/Event Driven strategies invest in opportunities created by significant corporate transactions and
events which tend to alter a company’s financial structure or operating strategy.
Carried interest (aka incentive fee) – A fee paid to a fund manager for generating returns over a benchmark; calculated as
a percentage of investment profits over a hurdle rate and charged in addition to a management fee. In Private Equity,
carried interest (typically up to 20% of the profits) becomes payable once the investors have achieved repayment of their
original investment in the fund, plus a defined hurdle rate.
Catch-up – This is a common term of the private equity partnership agreement. Once the general partner provides its
limited partners with their preferred return, if any, it then typically enters a catch-up period in which it receives the majority
or all of the profits until the agreed upon profit-split, as determined by the carried interest, is reached.
Clawback – A clawback obligation represents the general partner's promise that, over the life of the fund, the managers
will not receive a greater share of the fund's distributions than they bargained for. Generally, this means that the general
partner may not keep distributions representing more than a specified percentage (e.g., 20%) of the fund's cumulative
profits, if any. When triggered, the clawback will require that the general partner return to the fund's limited partners an
amount equal to what is determined to be "excess" distributions.
Closed-end fund – A fund that has a finite capital raising period and stated term (i.e. 5 years, 10 years, etc.). Clients will
have the ability to commit to the fund during the set fundraising period, after which point the fund will be closed to new
investors. Unlike an open-ended fund, there is limited flexibility on when a client may invest and there is no
liquidity/redemptions. Clients who invest are obligated to remain in the fund for the duration of the term; they will be
required to fulfill capital calls during the stated commitment period and will receive periodic distributions based on
underlying monetization of investments.
Opportunistic/Macro strategies involve investments in a wide variety of strategies and instruments, which often have
a directional stance based on the manager’s global macroeconomic views.
Distressed Securities invests in debt and equity securities of firms in reorganization or bankruptcy.
High watermark – The highest peak in value that an investment fund has reached. This term is often used in the context
of fund manager compensation. For example, a $1,000,000 investment is made in year 1 and the fund declines by 50%,
leaving $500,000 in the fund. In year 2, the fund returns 100%, bringing the investment value back to $1,000,000. If a fund
has a high watermark, it will not take incentive fees on the return in year 2, since the investment has never grown. The
fund will only take incentive fees if the investment grows above the initial level of $1,000,000.
Hurdle rate – The rate of return that the fund manager must meet before collecting incentive fees.
Internal rate of return (IRR) – The dollar-weighted internal rate of return. This return considers the daily timing of cash
flows and cumulative fair stated value, as of the end of the reported period.
J-Curve effect – Occurs when funds experience negative returns for the first several years. This is a common experience,
as the early years of the fund include capital drawdowns and an investment portfolio that has yet to mature. If the fund is
well managed, it will eventually recover from its initial losses and the returns will form a J-curve: losses in the beginning dip
down below the initial value, and later returns show profits above the initial level.
K-1 – Tax document issued for an investment in partnership interests to report your share of income, deductions and
credits. (Note that Private Investments generally issue a Schedule K-1 instead of a Form 1099 for tax reporting. K-1s may
at times be issued later than 1099s, requiring investors to file for an extension).
Commitment period – The period of time within which the fund can make investments as established in the Limited
Partnership Agreement (“LPA”), meaning the governing document, for the fund.
Limited partner – An investor in a Limited Partnership, which is a form of legal entity used for certain hedge funds, private
equity funds and real estate funds.
Direct co-investment – An investment made directly in a single underlying asset of a fund. Example: The General Partner
elects to invest in an operating company alongside a fund.
Management fee – Fee paid to a fund manager for managing the fund; typically calculated as a percentage of assets
under management.
Dispersion – Difference between the best-performing and worst-performing strategies.
Mezzanine finance – Loan finance that is half-way between equity and secured debt, either unsecured or with junior
access to security. A mezzanine fund is a fund focusing on mezzanine financing.
Distressed – A financial instrument in a company that is near or is currently going through bankruptcy. This usually results
from a company's inability to meet its financial obligations. As a result, these financial instruments have suffered a
substantial reduction in value. Distressed securities can include common and preferred shares, bank debt, trade claims
(goods owed) and corporate bonds.
Distributions – The total proceeds distributed by the fund to the Limited Partners, which may include both return of capital
and gain distributions.
General partner – The managing partner of a Limited Partnership. The General Partner is managed by the asset
management team responsible for making fund investments (i.e., the intermediary between investors with capital and
businesses seeking capital to grow).
Gross IRR – The dollar-weighted internal rate of return, before management fees and carried interest generated by the
fund.
Multiple of Invested Capital (MOIC) – Calculation performed by adding the remaining (reported) value and the
distributions received (cash out) and subsequently dividing that amount by the total capital contributed (cash in).
Net asset value (NAV) – This is the current fair stated value for each of the investments, as reported by the administrator
of the fund.
Net IRR – The dollar-weighted internal rate of return, net of management fees and carried interest generated by the fund.
This return considers the daily timing of all cash flows and the cumulative fair stated value, as of the end of the reported
period.
Open-ended fund – As it relates to private alternatives (not mutual fund structure), an open-ended
fund is a fund that has no stated term or maturity and allows clients to invest and redeem on an
ongoing basis. The frequency of investments (aka subscriptions) and / or redemptions may vary.
Redemptions from open-ended private alternative funds generally require advance notice in writing.
Pari Passu – At an equal rate or pace, without preference.
Portfolio company – A business entity that has secured at least one round of financing from one or
more private equity funds. A company in which a given fund has invested.
Post-money valuation – The valuation of a company immediately after the most recent round of
financing. For example, a venture capitalist may invest $3.5 million in a company valued at $2 million
“pre-money” (before the investment was made). As a result, the startup will have a post money
valuation of $5.5 million.
Pre-money valuation – The valuation of a company prior to a round of investment. This amount is
determined by using various calculation methods, such as multiples to earnings or comparable to other
private and/or public companies.
Preferred return – Also known as Hurdle Rate.
Private equity – Equity capital invested in a private company through a negotiated process.
Primary investment – An investment made in a newly formed limited partnership.
Real estate investment trust (REITs) – Stocks listed on an exchange that represent an interest in a
pool of real estate properties.
Realized value – The amount of capital extracted from an investment.
Reported/remaining value – The current stated value for each of the investments in a fund, as
reported by the General Partner of the fund.
Return on equity (RoE) - Amount of net income returned as a percentage of shareholders' equity.
Secondary market investment – The buying and selling of pre-existing investor commitments.
Seed money – The first round of capital for a start-up business. Seed money usually takes the
structure of a loan or an investment in preferred stock or convertible bonds, although sometimes it is
common stock. Seed money provides startup companies with the capital required for their initial
development and growth. Angel investors and early-stage venture capital funds often provide seed
money.
Tax documents – See K-1.
Total value – The combination of market value and realized value of an investment. Shows the total
worth of an investment.
Unfunded commitment – Money that has been committed to an investment but not yet transferred to
the General Partner.
Venture capital – A specialized form of private equity, characterized chiefly by high-risk investment in
new or young companies following a growth path in technology and other value-added sectors.
Vintage year – The year of fund formation and first draw-down of capital.
Write-down – A reduction in the value of an investment.
The Market Insights program provides comprehensive data and commentary on global markets without reference to products. Designed as a tool to help clients understand the markets and support investment
decision-making, the program explores the implications of current economic data and changing market conditions.
For the purposes of MiFID II, the JPM Market Insights and Portfolio Insights programs are marketing communications and are not in scope for any MiFID II / MiFIR requirements specifically related to investment research.
Furthermore, the J.P. Morgan Asset Management Market Insights and Portfolio Insights programs, as non-independent research, have not been prepared in accordance with legal requirements designed to promote the
independence of investment research, nor are they subject to any prohibition on dealing ahead of the dissemination of investment research.
This document is a general communication being provided for informational purposes only. It is educational in nature and not designed to be taken as advice or a recommendation for any specific investment product, strategy, plan
feature or other purpose in any jurisdiction, nor is it a commitment from J.P. Morgan Asset Management or any of its subsidiaries to participate in any of the transactions mentioned herein. Any examples used are generic,
hypothetical and for illustration purposes only. This material does not contain sufficient information to support an investment decision and it should not be relied upon by you in evaluating the merits of investing in any securities or
products. In addition, users should make an independent assessment of the legal, regulatory, tax, credit, and accounting implications and determine, together with their own financial professional, if any investment mentioned herein
is believed to be appropriate to their personal goals. Investors should ensure that they obtain all available relevant information before making any investment. Any forecasts, figures, opinions or investment techniques and strategies
set out are for information purposes only, based on certain assumptions and current market conditions and are subject to change without prior notice. All information presented herein is considered to be accurate at the time of
production, but no warranty of accuracy is given and no liability in respect of any error or omission is accepted. It should be noted that investment involves risks, the value of investments and the income from them may fluctuate in
accordance with market conditions and taxation agreements and investors may not get back the full amount invested. Both past performance and yields are not reliable indicators of current and future results.
J.P. Morgan Asset Management is the brand for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
To the extent permitted by applicable law, we may record telephone calls and monitor electronic communications to comply with our legal and regulatory obligations and internal policies. Personal data will be collected, stored and
processed by J.P. Morgan Asset Management in accordance with our privacy policies at https://am.jpmorgan.com/global/privacy.
This communication is issued by the following entities:
In the United States, by J.P. Morgan Investment Management Inc. or J.P. Morgan Alternative Asset Management, Inc., both regulated by the Securities and Exchange Commission; in Latin America, for intended recipients’ use only,
by local J.P. Morgan entities, as the case may be. In Canada, for institutional clients’ use only, by JPMorgan Asset Management (Canada) Inc., which is a registered Portfolio Manager and Exempt Market Dealer in all Canadian
provinces and territories except the Yukon and is also registered as an Investment Fund Manager in British Columbia, Ontario, Quebec and Newfoundland and Labrador. In the United Kingdom, by JPMorgan Asset Management
(UK) Limited, which is authorized and regulated by the Financial Conduct Authority; in other European jurisdictions, by JPMorgan Asset Management (Europe) S.à r.l. In Asia Pacific (“APAC”), by the following issuing entities and in
the respective jurisdictions in which they are primarily regulated: JPMorgan Asset Management (Asia Pacific) Limited, or JPMorgan Funds (Asia) Limited, or JPMorgan Asset Management Real Assets (Asia) Limited, each of which
is regulated by the Securities and Futures Commission of Hong Kong; JPMorgan Asset Management (Singapore) Limited (Co. Reg. No. 197601586K), this advertisement or publication has not been reviewed by the Monetary
Authority of Singapore; JPMorgan Asset Management (Taiwan) Limited; JPMorgan Asset Management (Japan) Limited, which is a member of the Investment Trusts Association, Japan, the Japan Investment Advisers Association,
Type II Financial Instruments Firms Association and the Japan Securities Dealers Association and is regulated by the Financial Services Agency (registration number “Kanto Local Finance Bureau (Financial Instruments Firm) No.
330”); in Australia, to wholesale clients only as defined in section 761A and 761G of the Corporations Act 2001 (Commonwealth), by JPMorgan Asset Management (Australia) Limited (ABN 55143832080) (AFSL 376919). For all
other markets in APAC, to intended recipients only.
For U.S. only: If you are a person with a disability and need additional support in viewing the material, please call us at 1-800-343-1113 for assistance.
Copyright 2022 JPMorgan Chase & Co. All rights reserved
Google assistant is a trademark of Google Inc.
Amazon, Alexa and all related logos are trademarks of Amazon.com, Inc. or its affiliates.
Prepared by: David P. Kelly, Jordan K. Jackson, David M. Lebovitz, John C. Manley, Meera Pandit, Gabriela D. Santos, Stephanie Aliaga, Sahil Gauba, Olivia C. Schubert and Nimish Vyas.
Unless otherwise stated, all data are as of November 30, 2022 or most recently available.
Guide to Alternatives
JP-GTA | 0903c02a8233e721