ETF.com Webinar: Emerging Markets & Smart Beta: New Approaches

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1 ETF.com Webinar: Emerging Markets & Smart Beta: New Approaches Sponsored by:

2 Panelists: Andres Garcia Executive Director J.P. Morgan Asset Management Curtis Butler Managing Director J.P. Morgan Asset Management

3 Moderator: Rachael Revesz Editor ETF.com Europe

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7 Accessing the coming opportunity in Emerging Market Equities December 1, 2015 Andres Garcia-Amaya, Executive Director, Macro Analyst, Emerging Markets and Asia Pacific Equities team Curtis Butler, Managing Director, Client Portfolio, Emerging Market and Asia Pacific Equities team FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

8 Agenda In search of Catalysts: 1) Relative economic growth 2) Rise in earnings expectations Valuations 3) Stable currencies Strategic Beta Solution in Emerging Markets 8 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

9 EM has underperformed DM significantly in absolute & relative terms MSCI EM vs. S&P 500 (YTD, Index=100) 115 MSCI EM vs. S&P 500 (Last 5 years, Index=100) % 95 12% EM S&P 500 EM S&P 500 Source: J.P. Morgan Asset Management, FactSet. Data as of October 31, Past performance is not indicative of future results. Indices do not include fees or operating expenses and are not available for actual investment. 9 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

10 1) Relative economic growth matters to EM relative performance GTM U.S. Page 52 EM vs. DM growth and equity performance Monthly, consensus expectations for GDP growth in 12 months 5% 4% EM DM GDP growth EM growth & equity outperformance MSCI EM / MSCI DM EM earnings by region EPS for next 12-month consensus, local currency, rebased to EM Europe EM Asia 3% EM Latin America '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 International 2% 1% 0% EM growth & equity underperformance -1% '95 '97 '99 '01 '03 '05 '07 '09 '11 ' EM vs. DM relative valuation Price-to-book ratio, EM/DM, last twelve months 1.4x 1.1x 0.8x 0.5x Average: 0.74x EM more expensive than DM Oct. 2015: 0.64x EM less expensive than DM 0.2x '98 '00 '02 '04 '06 '08 '10 '12 '14 Source: FactSet, MSCI, J.P. Morgan Asset Management, (Left) Consensus Economics. EM DM GDP Growth is consensus estimates for EM growth in the next twelve months minus consensus estimates for DM growth in the next twelve months, provided by Consensus Economics. MSCI EM / MSCI DM is the USD MSCI Emerging Markets Index price level over the USD MSCI The World Index price level, rebased to 1995=100. Guide to the Markets U.S. Data are as of October 31, FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

11 1) Relative economic growth A global growth scare epicentered in EM (and particularly China) GTM U.S. Page 44 Nov'13 Dec'13 Jan'14 Feb'14 Mar'14 Apr'14 May'14 Jun'14 Jul'14 Aug'14 Sep'14 Oct'14 Nov'14 Dec'14 Jan'15 Feb'15 Mar'15 Apr'15 May'15 Jun'15 Jul'15 Aug'15 Sep'15 Oct'15 Global Developed Markets Emerging Markets U.S Canada U.K Euro Area Germany France Italy Spain Greece Ireland Australia Japan China Indonesia Korea Taiw an India Brazil Mexico Russia Source: Markit, J.P. Morgan Asset Management. Heatmap colors are based on PMI (Purchasing Managers' Index) relative to the 50 level, which indicates acceleration or deceleration of the sector, for the time period shown. Guide to the Markets U.S. Data are as of October 31, FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

12 2) Improvement in earnings expectations EM earnings have been downgraded steadily for five years. Are we close to the bottom? EPS Estimates - USD Index, Jan 2014=100, USD Consensus EPS Target By Calendar Year GEM EAFE ? 90 AC WORLD JAPAN USA ene-14 mar-14 may-14 jul-14 sep-14 nov-14 ene-15 mar-15 may-15 jul-15 sep Source: J.P. Morgan Asset Management. IBES. Data as of September 30, EPS = Earnings per share. Past performance does not guarantee future results. 12 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

13 3) Currency Stabilization The drivers of a rising US Dollar can persist, but EM currencies are now in the cheap category EM Equity Weight REER Ratio Back to 98 levels Currency valuation and support: EM currencies leaning cheap 120 EM Reer Ratio REER vs CARRY BR ene 97 ene 99 ene 01 ene 03 ene 05 ene 07 ene 09 ene 11 ene 13 ene 15 Policy Rate less US LOW CARRY HIGH CARRY RU EG 8 ID TR IN 6 ZA CO 4 MY CN CL PH AU MX NZ 2 TW PL SG HK JP HU KR TH 0 US CHEAP REER Relative to Fair Value EXPENSIVE Source: J.P. Morgan Asset Management, data as of October 31, Source: J.P. Morgan Asset Management estimates. Data as of October 31, 2015 REER (real effective exchange rate) relative to fair value (export-adjusted 10 year average REER) on the x axis and policy rate on the y axis. CARRY (a currency with a high interest rate) Countries over the line of best fit provide good carry for their currency valuation 13 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

14 Should EM fear rising U.S. Rates or the U.S. Dollar? Fear a surging dollar, not rising U.S. rates. A quieter dollar would be quite positive for EM 12 Month Rolling Returns Dec 87 to Dec 14 USD (%) Dollar Flat/Falling Rising Dollar* 10-Year UST Yield (bp) Rates Flat/Falling Rates Rising?? You are here Median 12- month returns Source: FactSet, JPMIM. U.S. Dollar measured by the U.S. Dollar Real Trade-Weighted Exchange Rate Index, Broad Definition (this is an inflation adjust weighted average of the foreign exchange value of the U.S. dollar against the currencies of a broad group of major U.S. trading partners). Absolute measures 12-month rolling returns of the MSCI Emerging Market Index. Relative measures MSCI EM Index returns vs. MSCI ACWI returns. Trigger to count EM returns if the dollar rose more than 2% in prior 12 months. Trigger to count EM returns if the 10 year yield rose more than 50bps in prior 12 months. Shown for illustrative purposes only. Past performance is no guarantee of future results. 14 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

15 Emerging markets: Valuations and returns GTM UK MSCI Emerging Markets Index: Price to book ratio 3.00 x std. dev MSCI Emerging Markets Index: Price to book and returns Price to book ratio and next 12 months price return 80 % Current level std. dev. Average: 1.80x 31 Oct 2015: 1.43x 0.75 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 ' Source: (All charts) FactSet, MSCI, J.P. Morgan Asset Management. Guide to the Markets - UK. Data as of 31 October FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

16 Sources and Catalysts of Total Returns Valuation EM is cheap vs. its own history and relative to others Catalysts 1) Relative Economic Growth 2) Rise in earnings expectations 3) Stable currencies Shown for illustrative purposes only. Opinions, estimates, and statements of financial market trends that are based on current market conditions constitute our judgment and are subject to change without notice. 16 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

17 J.P. Morgan s Strategic Beta Solution in Emerging Markets FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

18 Process: Combining insights to improve beta exposure Portfolio Construction Security Selection J.P. Morgan Strategic Beta Distribute risk across regions and sectors Multi-factor screen Combining differentiated insights with the goal of providing better risk-adjusted returns and a smoother experience for clients Avoid undue concentrations of risk associated with bubbles, and refine universe of stocks based on multiple characteristics that drive performance Shown for illustrative purposes only. 18 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

19 Process: Combining risk weighting with multi-factor stock filter J.P. MORGAN INVESTMENT AND RISK MANAGEMENT EXPERIENCE IN A FTSE-MANAGED INDEX Start Process Result Market Cap-Weighted Index Strategic Beta Index FTSE Emerging Index Risk Weighting Multi-Factor Stock Screen FTSE Emerging Diversified Factor Index (adjusted) Annual Return Volatility 9.4% 22.8% Volatility-weighted Regions & Sectors Own top 70% based on Composite Rank 12.9% 21.7% Sharpe Ratio Seeks Higher Sharpe Ratio OUR PROCESS MAKES ADJUSTMENTS THAT ARE INTENDED TO PRODUCE HIGHER RISK-ADJUSTED RETURNS Source: J.P. Morgan Asset Management, FTSE, Worldscope IBES. Backtest results do not include transaction costs. Includes adjustment for rebalance cycle timing. Performance of the FTSE Emerging Index and FTSE EM Diversified Factor Index since inception date of 1/1/2001 to 9/30/ FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

20 Results: Portfolio characteristics as of 09/30/2015 Region Allocations Super Sector Allocations North Asia FTSE Emerging JPEM Industrials FTSE Emerging LATAM Financials EMEA Defensives China / India / Pakistan Consumer ASEAN 0% 10% 20% 30% 40% 50% Commodities 0% 5% 10% 15% 20% 25% 30% 35% Factor Characteristic JPEM FTSE Emerging Dead-Weight 1 Value Price to Earnings 10.89x 11.45x 22.00x Price to Book 1.46x 1.46x 1.74x Quality ROE 13.4% 12.7% 7.9% Momentum Price Momentum (8 month) -5.9% -6.0% -13.8% Beta* N/A Source: FTSE, J.P. Morgan Asset Management. Data as of 09/30/2015. Numbers may not sum to 100% due to rounding 1 Dead-Weight is a hypothetical portfolio of stocks that is not included in the FTSE Emerging Diversified Factor Index. *Since inception 01/07/ FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

21 Results: FTSE Emerging Diversified Factor Index provided improved risk-adjusted returns Performance since inception* Strategic Beta Index(1) Market Cap-Weighted Index(2) MSCI Emerging Markets Index $596,399 $374,984 Log Scale $100,000 Upside Capture: 100% Downside Capture: 88% $339,386 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Index USD 1YR 3YR 5YR 10YR Since Inception* Return Vol Sharpe Ratio Return Vol Sharpe Ratio Return Vol Sharpe Ratio Return Vol Sharpe Ratio Return Vol Sharpe Ratio Strategic Beta Index Market Cap Weighted Index MSCI Emerging Markets Index All data as of 9/30/2015. Source: FTSE, J.P. Morgan Asset Management. 1 FTSE Emerging Diversified Factor Index (Adjusted) 2 FTSE Emerging index. All indices shown are net of tax. Net of fee performance in USD with annual expense ratio of 47 bps (includes Acquired Fund Fees and Expenses - estimated to be 0.02% in the current fiscal year). Upside/Downside capture percentages reflect the since inception Net Tax, Adjusted performance relative to the FTSE Emerging Index. See appendix for additional disclosures. *As of common inception date of January Past performance does not guarantee future results. 21 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

22 J.P. Morgan emerging markets equity investment team: Speaker Bios Andres Garcia-Amaya Andres Garcia-Amaya, is a Macro Research Analyst in the Emerging Markets and Asia Pacific Equities Team. In his role, Andres performs in depth macro research on economies and markets which informs the team s country and sector top-down views. Prior to joining the Emerging Markets and Asia Pacific Equities Team, Andres was a Global Market Strategist within the Global Market Insights Strategy Team, where he was responsible for delivering timely market and economic insight to financial advisors globally. Prior to joining the firm in 2011, he worked in Morgan Stanley s Institutional Equity division for five years and was awarded the Morgan Stanley MBA Fellowship. Andres is a CFA charterholder and obtained a M.B.A. from the Wharton School of the University of Pennsylvania, where he received both the Joseph Wharton Fellowship and the Robert A. Toigo Foundation Fellowship. Andres received a B.S. in Finance from Villanova University. Curtis Butler Curtis Butler, is a Client Portfolio Manager with the Emerging Markets and Asia Pacific Equities Team. An employee since 2012, Curtis served previously as chief investment officer and lead portfolio manager for Emerging Market Equities at Lombard Odier Asset Management and spent six years co-managing Emerging Markets portfolios for Batterymarch Financial Management in Boston. Prior to that, Curtis held senior analyst and Latin America portfolio manager positions at Scudder Investments/Deutsche Asset Management and Chase Asset Management. Curtis also held senior analyst positions at Lazard Frères & Co. LLC and the Federal Reserve Bank of New York. Curtis obtained an M.A. in International Relations from the Johns Hopkins University and a B.A. in Economics and Modern Languages from Union College. Curtis is a holder of the CFA and CMT designations. There can be no assurance that the professionals currently employed by J.P. Morgan Asset Management will continue to be employed by J.P. Morgan Asset Management or that the past performance or success of any such professional serves as an indicator of such professional's future performance or success. 22 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

23 Appendix FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

24 If Fed hikes while ECB and BoJ ease, monetary divergence will likely drive US dollar higher Year Yield U.S 2 year yield German 2 year yield Japan 2 year yield Source: Factset, As of October 30, Past performance does not guarantee future results. 24 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

25 JPEM region and sector definitions REGIONS SUPER-SECTORS ASEAN: Indonesia, Malaysia, Philippines, Thailand North Asia: Taiwan China, India, Pakistan EMEA: UAE, Czech Republic, Egypt, Hungary, Morocco, Poland, Russia, Turkey, South Africa LATAM: Brazil, Chile, Colombia, Mexico, Peru Consumer: Consumer Goods (ICB 3000); Consumer Services (ICB 5000) Commodities: Oil & Gas (ICB 0001); Basic Materials (ICB 1000) Industrials: Industrials (ICB 2000); Technology (ICB 9000) Financials: Financials (ICB 8000) Defensives: Health Care (ICB 4000); Utilities (ICB 7000); Telecommunications (ICB6000) Source: FTSE, J.P. Morgan Asset Management as of 9/30/15. ICB is the Industry Classification Benchmark. 25 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

26 Currency glossary MYR Malaysian Ringgit INR Indian Rupee CNY Chinese Yuan Renminbi COP Colombian Peso TWD Taiwan New Dollar TRY Turkish Lira RUB Russian Rouble PLN Polish Zloty IDR Indonesian Rupiah HUF Hungarian Forint THB Thai Baht Rate ZAR South African Rand KRW South Korean Won EGP Egyptian Rand Rate MXN Mexican Peso CLP Chilean Peso BRL Brazilian Real PHP Philippine Peso CZK Czech Koruna 26 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

27 J.P. Morgan emerging markets equity investment team: Portfolio Manager Bios Anuj Arora Anuj Arora is a portfolio manager within the Emerging Markets Equity Team based in London. An employee since 2006, he is responsible for managing the GEM Diversified strategy, as well as overseeing all aspects of research related to quantitative strategies within the Emerging Markets Equity Team, including asset allocation and risk management. Prior to joining the firm, Anuj was a quantitative analyst for Mesirow Financial and an analyst at Birkelbach Investment Securities. He holds an M.S. in finance from the Illinois Institute of Technology. Joyce Weng Joyce Weng is a product-focused analyst covering the GEM Diversified strategy within the Emerging Markets Equity Team based in New York. She was previously in the U.S. Equity Behavioral Finance Team at JPMorgan. Prior to joining the firm, Joyce worked as a senior analyst at Goldman Sachs Asset Management. Joyce holds a B.A. in economics (cum laude) and a M.A. in statistics from Harvard University. There can be no assurance that the professionals currently employed by J.P. Morgan Asset Management will continue to be employed by J.P. Morgan Asset Management or that the past performance or success of any such professional serves as an indicator of such professional's future performance or success. 27 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

28 Disclosure The opinions, estimates, forecasts, and statements of financial markets expressed are those held by J.P. Morgan Asset Management at the time of going to print and are subject to change. Reliance upon information in this material is at the sole discretion of the recipient. Any research in this document has been obtained and may have been acted upon by J.P. Morgan Asset Management for its own purpose. References to specific securities, asset classes and financial markets are for illustrative purposes only and are not intended to be, and should not be interpreted as advice or a recommendation relating to the buying or selling of investments. Furthermore, this material does not contain sufficient information to support an investment decision and the recipient should ensure that all relevant information is obtained before making any investment. Forecasts contained herein are for illustrative purposes, may be based upon proprietary research and are developed through analysis of historical public data. INDEX DEFINITIONS: FTSE Emerging Diversified Factor Index (adjusted) - The FTSE Emerging Diversified Factor Index is comprised of large and mid cap equity securities selected from the FTSE Emerging Index, and uses a rules- based risk allocation and multi-factor selection process developed in partnership with J.P. Morgan Asset Management. The Index utilizes investment characteristics including attractive relative valuation, positive price momentum, low volatility and small market capitalization, and seeks to equally diversify risk across global regions and industries.. The index deducts fees of 47bps representative of JPEM fund (includes Acquired Fund Fees and Expenses - estimated to be 0.02% in the current fiscal year), inception is 1/1/2001. FTSE Emerging Index - The FTSE Emerging Index is a market-capitalization weighted index representing the performance of large and mid cap companies in emerging markets. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world s investable market capitalization MSCI ACWI - The MSCI ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The performance of the index does not reflect the deduction of expenses associated with a fund, such as investment management fees. By contrast, the performance of the Fund reflects the deduction of the fund expenses, including sales charges if applicable. Total return figures assume the reinvestment of dividends. An individual cannot invest directly in an index. MSCI EAFE - The MSCI EAFE (Europe, Australia, Far East) Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The performance of the index does not reflect the deduction of expenses associated with a fund, such as investment management fees. By contrast, the performance of the Fund reflects the deduction of the fund expenses, including sales charges if applicable. Total return figures assume the reinvestment of dividends. An individual cannot invest directly in an index. MSCI Emerging Markets - The MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Fund reflects the deduction of the mutual fund expenses, including sales charges if applicable. Total return figures assume the reinvestment of dividends. An individual cannot invest directly in an index. S&P 500 Index - The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The performance of the index does not reflect the deduction of expenses associated with an ETF, such as management fees. By contrast, the performance of the Fund reflects the deduction of the fund expenses. An individual cannot invest directly in an index. HYPOTHETICAL PERFORMANCE: The JPMorgan Diversified Return Emerging Markets Equity ETF is a new product. Performance of the FTSE Emerging Diversified Factor Index prior to November 28, 2014, inception data of the index, is hypothetical index performance and does not represent the actual performance of the index, or J.P. Morgan Asset Management's belief of how the strategy will perform at any point in time. Data results prior to inception are based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, and cannot account for all financial risk that may affect the actual performance of the ETF. Actual performance may vary significantly from pre inception performance data. Index returns for the FTSE Emerging Diversified Factor Index have been shown with the current fees and charges of the fund deducted. Data has been provided by FTSE. This hypothetical performance has been constructed using methodologies of FTSE based on historical security level data. Index launch date November 28, More information on the methodology of the index is available upon request. 28 FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

29 Disclosure Investors should carefully consider the investment objectives and risks as well as charges and expenses of the ETF before investing. The prospectus contains this and other information about the ETF. Read the prospectus carefully before investing. Call JPM-ETF or visit to obtain a prospectus. Any securities/portfolio holdings mentioned throughout the presentation are shown for illustrative purposes only and should not be interpreted as recommendations to buy or sell. A full list of firm recommendations for the past year are available upon request. Adjusted refers to the net of cost for all ETFs. All indices shown are net of tax. Until 3/1/16, the Investment Advisor and Administrator have contractually agreed to waive fees and/or reimburse expenses for JPEM the extent that Total Annual Operating Expenses (excluding Acquired Fund Fees and Expenses (estimated to be 0.02% in the current fiscal year), dividend expenses relating to short sales, interest, taxes, expenses related to litigation and potential litigation, and extraordinary expenses) exceed 0.45%. Investing involves risk, including possible loss of principal. Shares are bought and sold market price, and are not individually redeemed from a fund. Brokerage commissions will reduce returns. International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations. Narrowly focused investments typically exhibit higher volatility. Emerging markets involve heightened risks related to the same factors as well as increased volatility and decreased trading volume. A fund uses derivatives, which may be riskier than other types of investments and may increase the volatility of a fund. A fund may not track the return of its underlying index for a number of reasons, such operating expenses incurred by a fund that are not applicable to an index, and the time difference between calculating the value of an index and the net asset value of a fund. There is no guarantee the funds will meet their investment objective. Diversification may not protect against market loss. All rights in the FTSE Indexes (the "Indexes") vest in FTSE International Limited ("FTSE"). "FTSE " is a trade mark of the London Stock Exchange Group companies and is used by FTSE under license. The Funds have been developed solely by J.P. Morgan. The Indexes are calculated by FTSE or its agent. FTSE and its licensors are not connected to and do not sponsor, advise, recommend, endorse or promote the Funds and do not accept any liability whatsoever to any person arising out of (a) the use of, reliance on or any error in the Index or (b) investment in or operation of the Funds. FTSE makes no claim, prediction, warranty or representation either as to the results to be obtained from the Funds or the suitability of the Indexes for the purpose to which it is being put by J.P. Morgan. J.P. Morgan Exchange-Traded Funds are distributed by SEI Investments Distribution Co, One Freedom Valley Dr., Oaks, PA 19456, which is not affiliated with JPMorgan Chase & Co. or any of its affiliates. J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc. J.P. Morgan Asset Management, 270 Park Ave., New York, NY JPMorgan Chase & Co., October FOR INSTITUTIONAL USE ONLY NOT FOR PUBLIC DISTRIBUTION

30 No se puede mostrar la imagen en este momento. Thank You.