Portfolio Strategist Update from State Street Global Advisors Active Opportunity ETF Portfolios

Transcription

1 Portfolio Strategist Update from State Street Global Advisors Active Opportunity ETF Portfolios As of Dec. 31, 2017 Ameriprise Financial Services, Inc. ("Ameriprise Financial") is the investment manager for Active Opportunity ETF Portfolios investments and has engaged State Street Global Advisors (SSGA) as the portfolio strategist. The portfolio strategist constructs and monitors the model portfolios. They do not have any discretionary authority or control with respect to purchasing or selling securities or making investments for investors. State Street Global Advisors is not affiliated with Ameriprise Financial. See fact sheet for additional details about the portfolio. Executive Summary Equity markets closed 2017 on firm footing as investors perpetuated broad equity market strength during the fourth quarter that was demonstrated throughout much of the year. Invigorated macroeconomic data globally, strong corporate earnings, and growth oriented fiscal policy offered tailwinds for equity investors. Meanwhile, broad measures of investment grade fixed income lagged equities, challenged by upward pressure on shorter and intermediate maturity yields. From an absolute return perspective, more aggressive portfolios outperformed more conservative portfolios benefiting from extraordinary equity market returns during the quarter and 2017 overall. Market Commentary 2017 demonstrated robust outcomes across broad equity markets and positive returns within most fixed income sectors. Market tailwinds stemmed from improvements in global fundamentals from both a macroeconomic and corporate profitability perspective. Global growth experienced broad based improvement across developed and emerging markets including Russia and Brazil s emergence from recessions. Across developed markets a series of better than anticipated economic data supported a resilient rebound as observed by the Citigroup US Economic Surprise Index for Major Economies 1. After falling fairly precipitously following a series of disappointing data releases during Q2, index readings (from Citigroup Economic Surprise Index for Major Economies) rebounded reaching the highest levels since 2010 in December. Data out of Europe buoyed investor sentiment as the German IFO Institute business climate survey released in November reached its highest level on record and the broader MarkIt Eurozone Composite Purchasing Managers Index 2 (PMI) continued to improve, reaching 57.5 in November. The world s largest economy continued to demonstrate signs of momentum as the Commerce Department reported in November a better than consensus increase of 3.3% GDP growth for Q3. From a policy standpoint, we witnessed a continuation in the modest global central bank policy shift away from the extraordinary monetary accommodation evident since the global financial crisis. The U.S. Federal Reserve Bank (Fed) began to conservatively roll down their balance sheet in October, representing the first step in what is expected to be a gradual process of balance sheet reduction. The markets took December s increase in the federal fund s target rate to 1.5% in stride, with the Fed achieving three increases in administered rates during The Fed has indicated expectations for three additional increases in In October, the European Central Bank (ECB) suggested that they will scale back their quantitative easing program by reducing bond purchases to 30 billion per month. Previously, we had suggested that a shift in policy support from central bank stimulus to fiscal stimulus would likely be required to achieve higher U.S. growth. In December, U.S. Congress passed a fiscal stimulus package by implementing the largest tax reforms since Although markets had priced some of this outcome leading up to the vote, sentiment remained elevated as a reduced corporate tax

2 rate should provide a boost to corporate earnings and, in our opinion, the individual tax breaks will likely further boost already elevated consumer confidence. Given this backdrop, it s not a surprise that equity markets were able to defy gravity through much of the quarter and 2017 as a whole. For example, U.S. equity markets and international equity markets measured by the S&P 500 Index and MSCI All Country World (ACWI) ex- US Index offered positive returns every month during the 2017 calendar year. Further, both realized and forecasted volatility remained at sedated levels. In fact, 2017 demonstrated the lowest percentage of days with an absolute move greater than 1% in the S&P 500 Index over the last 35 year period. 3 From a valuation point of view, U.S. equity valuations appear a bit stretched relative to their longer term historical averages as price multiples re-rated higher, pricing in expectations for more impressive corporate earnings. On the other hand, developed market equity valuations remained attractive relative to U.S. price to earnings (P/E) multiples as well as to their own history with current P/E multiples slightly below that of longer term averages. Inflation expectations remained fairly benign with the Fed s preferred inflation measure, the core Personal Consumption Expenditures (PCE) which excludes food and energy coming in at 1.45% in October. 4 The U.S. treasury curve flattened during the quarter with shorter maturity treasury yields moving higher as two- year yields rose over 40 basis points as markets priced in additional rate increases from the Fed. Conversely, anchored inflation prospects and forecasts for modest growth improvements had less of an impact on longer maturity yields, continuing the flattening trend in the treasury yield curve observed during much of Credit spreads, non-investment grade in particular, demonstrated some volatility intra-quarter. However, favorable credit conditions and low equity volatility aided further tightening in investment grade credit spreads, whereas, lower quality high yield spreads finished the quarter modestly tighter following mid-quarter indigestion. Performance Review The Active Opportunity ETF State Street U.S. Sector Rotation portfolio ( U.S. Sector Portfolio ) offered positive absolute returns during the quarter and for 2017, as a whole. The U.S. Sector Portfolio modestly lagged the S&P 500 Index on a gross and net of fee basis for the fourth quarter. However, for 2017 overall, the U.S. Sector Portfolio outperformed gross of fees while lagging net of fees. Sector selection generated modestly positive performance relative to the Blended Benchmark during the fourth quarter. However, cash offered a drag on performance. Financials and information technology outperformed the benchmark and represented the second and third best performing sectors for the quarter while industrials lagged the benchmark. Health care offered positive absolute returns for the quarter but weighed on portfolio performance as the sector lagged the benchmark. From an absolute return perspective, more aggressively allocated portfolios outperformed more conservatively positioned portfolios within Active Opportunity ETF State Global Allocation portfolio series ( Global Portfolios ). On a Blended Benchmark relative basis the moderate to conservative portfolios outperformed on a gross of fee basis but lagged net of fees for the fourth quarter. Less exposure to real assets and greater attribution benefits from fixed income sector positioning supported Blended Benchmark relative outcomes for these portfolios. The more aggressive portfolios lagged on a gross and net of fee basis for the quarter. Real asset allocations challenged Blended Benchmark relative returns through much of 2017 and the fourth quarter was no different, impacting more aggressive portfolios to a larger degree. REITs and commodities both lagged the S&P 500 Index offering a Blended Benchmark relative headwind. International equities as measured by the MSCI All Country World (ACWI) ex-us Index offered solid returns but lagged US equities. Emerging markets 2018 Ameriprise Financial, Inc. All rights reserved. Page 2 of 10

3 outpaced developed international markets during the quarter and for 2017 in entirety. 5 Positioning within international equity markets generated favorable Blended Benchmark relative results across profiles. Our targeted positioning to emerging markets attributed to Blended Benchmark relative outperformance. Further, country selection offered a beneficial boost to index relative return. Although positioning to German, Spanish and Norwegian equity markets contributed to underperformance, targeted allocations to Japanese, Hong Kong and Singaporean 6 equity markets during the quarter generated net positive benchmark relative performance. Indeed, Singapore and Japan proved the top two performing developed equity markets for the quarter and Hong Kong equity markets turned in the fourth best developed market performance outperforming the Blended Benchmark by approximately 200 basis points. Fixed income sector positioning proved beneficial for the quarter, outperforming the Bloomberg Barclays US Aggregate Bond Index. Positioning within credit was helpful overall as exposure to longer maturity corporates profited from tighter spreads. In addition to spread compression, both longer maturity corporate and long Treasury bond holdings were aided by reasonably mild moves at the longer end of the treasury curve and greater coupon payments relative to shorter maturity issues. High yield was a modest drag on Blended Benchmark relative performance as junk bond exposure slightly underperformed the index. Positioning The low volatility environment experienced across global equities and real assets throughout most of 2017 persisted during the final stanza of This low volatility regime has influenced benign volatility forecasts within our quantitative framework keeping the portfolios fully invested throughout the year. Indeed, a volatility triggered allocation to more defensive portfolio positioning would likely require a degree of higher magnitude price moves and persistence in market instability. For the U.S. Sector Portfolio and the Global Portfolios, equity sector positioning remained consistently biased towards industrials, information technology, health care and financial sectors throughout the quarter. In fact, information technology and industrials remained targeted sectors throughout 2017 with information technology turning in the best 2017 sector performance. The sector remained in favor as it scored well across all modeled factor groups including valuation, earnings and revenue sentiment and momentum indicators. Earnings expectations benefitted from a number of thematic tailwinds driving increased business and retail technology spending, supporting the robust upward price move. Industrials remained in favor as the sector is expected to be a beneficiary of increased capital investment supported by corporate tax reform as well as strong readings in business confidence and Institute of Supply Management (ISM) manufacturing indicators. Health care was a favored sector, although exposure was reduced during the quarter. The sector proved vulnerable to political headwinds. That said the sector remains in favor within our quantitative analysis given beneficial relative momentum readings and low valuations. We recommended a reintroduction to Financials in the portfolios in August and the position was increased during the fourth quarter. Financials are expected to benefit from attractive valuation and improved momentum signals over the second half. Further, we expect potential deregulation and rising rates to remain supportive for sector revenues and profitability. Within international equites, we built on our emerging market allocation recommendation during the quarter. In addition to favorable fundamentals such as attractive valuations relative to developed markets and firming commodity prices, our short-term technical indicators supported an increased allocation. Further, our expectations for improvement in global growth for 2018 should benefit more cyclically sensitive emerging market equities. The Global Portfolios positioning within developed 2018 Ameriprise Financial, Inc. All rights reserved. Page 3 of 10

4 markets continued the rotation away from the European region and into the Asia Pacific region. Within Europe exposure to Norwegian equity markets was maintained which is supported by low valuations, favorable relative price trends and indications of improving economic growth. Although the Global Portfolios maintain an allocation to German equities, exposure was trimmed during the quarter as momentum trends deteriorated. In addition, a stronger Euro along with a shift toward more balanced top down economic readings within our quantitative process, suggest potential stabilization in economic growth expectations restraining the near-term outlook. The Global Portfolios concluded the quarter with targeted allocations to Hong Kong, Singaporean and Japanese equity markets. The outlook for Singaporean equities was buoyed by bottom up metrics including valuations and robust earnings and revenue outlooks. Further, indications for stronger economic growth prospects and weakness in the Singapore dollar should offer tailwinds. During the quarter, the outlook for Japanese equities rebounded sharply. From a bottom up perspective, strengthening expectations in earnings growth offset somewhat expensive relative valuations. Top down indicators further supported the outlook which demonstrated positive trends in economic output over the last several quarters. In addition, fairly aggressive monetary support, along with potential for further fiscal stimulus following Prime Minister Abe s strengthened position following a snap October election all but ensures the status quo or potential additional policy stimulus. The Global Portfolio s position in Japanese equity markets was recommended based on a currency hedged basis as the US dollar has stabilized a bit and near-term monetary policy differentials may portend a weaker Yen relative to the U.S. dollar. Our outlook for rates and credit spreads remained broadly consistent throughout the quarter and we ended the quarter positioned in a similar fashion from where we started. Strengthening economic data supported the recommendation for a modest shift higher in U.S. treasury yields which was observed over the quarter. The Global Portfolio s positioning continued to favor longer maturity bonds in the form of both long maturity U.S. treasury and long maturity U.S. corporate exposures as our quantitative assessment continued to indicate expectations for shorter term rates to rise higher than longer term rates. Recent momentum trends along with expectations for further increases in administered rates by the Fed may pressure the front end of the curve whereas well anchored inflation expectations may temper moves in longer maturity yields. The Global Portfolio maintained a position to high yield as benign equity volatility indicators and attractive yield advantage supported an allocation to lower quality credits. In efforts to temper Blended Benchmark relative duration within the fixed income allocation the Global Portfolio maintained a position in U.S. Treasury bills resulting in portfolio duration that is approximately 0.5 years longer than the Bloomberg Barclays US Aggregate Bond Index duration. Within real assets, in the U.S. Sector Portfolio and the Global Portfolios, we recommended implementing a tactical bias towards commodities relative to REITs. This included tempering exposure to REITs as expectations for higher yields may challenge the asset class outlook. On the other hand, commodities are poised to benefit from the continuation in synchronized global growth propping demand with industrial production and Purchasing Managers Index (PMI) readings lending support to the demand outlook. The extension of the OPEC and non-opec oil production pact should continue to improve the supply imbalance in oil markets potentially stabilizing prices. Outlook It s difficult to fault investors that may view the transition from 2017 to 2018 with some degree of trepidation. Indeed, we view a repeat of Ameriprise Financial, Inc. All rights reserved. Page 4 of 10

5 as unlikely from a broad equity market performance and volatility standpoint. That being said, we remain constructive on the equity market outlook for 2018 supported by a continuation in firming global growth and corporate profit trends. We expect 2018 will demonstrate continued, albeit moderate, improvement in global economic growth in-line with the longer-term trend growth rate of 3.7%. Further, our expectations for increased inflation remains tempered. These factors should help preserve a favorable fundamental backdrop for growth assets, while suggesting interest rates and bond yields may gradually increase but remain moored. From a monetary policy standpoint, we expect a continuation in the gradual shift towards policy normalization led by the Fed. It s our view that the Fed will implement three increases to administered rates in According to Bloomberg, the market is currently pricing in two rate increases as indicated by implied probabilities of Fed Funds Futures 7 which may prompt volatility as markets digest additional rate increases. Meanwhile, the ECB will likely taper asset purchases. We anticipate that the Bank of Japan will not implement changes to policy tightening despite improvements in the macro backdrop as inflation remains well below target. We do see additional room for global equities to move higher in 2018 as we believe strong fundamentals will continue to support equity markets. U.S. tax reform should offer a tailwind as we do not believe the upside to earnings is fully priced into U.S. equity markets. International equity markets also look attractive particularly in Japan where P/E multiples have demonstrated restraint while expectations for earnings growth remain robust. Meanwhile, more cyclically sensitive emerging market equities should benefit from further improvements in global trade, higher commodity prices and a stable U.S. dollar. We expect interest rates to move higher but reasonably restrained given our modest outlook for rising inflation. In fact, the market implied outlook for inflation in five years by way of the breakeven inflation rate is merely 1.71%. 8 Investing in spread product, taxable bonds that are not Treasury securities, has proven fruitful over recent history. However, option adjusted spreads (OAS) for both investment and noninvestment grade credits are well below long term averages and near cycle lows. This may suggest modest upside for spread product relative to treasuries for However, with the credit backdrop favorable, we remain guardedly constructive on the space. We maintain a constructive outlook on broad commodities as we expect further synchronization in global growth to be supportive for demand. From a volatility perspective, with both implied and forecasted volatility at low levels for most of 2017, the stage may be set for volatility to rise in As central bankers continue to normalize monetary conditions, equity market volatility may begin to normalize as well. However, as we have suggested previously, expectations for clear signaling by central banks coupled with a low trajectory towards rate normalization may offer further runway for the current low volatility regime. Considering the rather linear upward trend in 2017 equity market outcomes, a dose of skepticism is warranted for the path forward for Lofty U.S. equity market valuations may suggest pause for concern as recent trends in strong reported earnings and robust macroeconomic data have set a high bar increasing the possibility for potential market disappointment along the way. Beyond market fundamentals investors were able to discount percolating geopolitical risks for the most part during However, exogenous geopolitical risks remain, leaving the market susceptible to a pullback. Although our baseline expectations for 2018 remain positive these risks may support a managed volatility strategy such as Target Volatility Triggers to offer tail risk mitigation in the event of persistent, elevated volatility Ameriprise Financial, Inc. All rights reserved. Page 5 of 10

6 Active Opportunity ETF State Street U.S. Equity Sector Rotation Portfolio Composite Performance (as of Dec. 31, 2017) The portfolio inception date 9/1/10. Active Opportunity ETF State Street Global Allocation Portfolios Composite Performance (as of Dec. 31, 2017) The portfolio inception date 6/1/16. Past performance does not guarantee future returns, and processes used may not achieve the desired results Ameriprise Financial, Inc. All rights reserved. Page 6 of 10

7 Disclosures Ameriprise Financial Services, Inc. is the investment manager for Active Opportunity ETF Portfolios investments. As the portfolio strategist, State Street Global Advisors constructs and monitors the model portfolios. They do not have discretionary authority or control with respect to purchasing or selling securities or making investments for investors. State Street Global Advisors is not affiliated with Ameriprise Financial. The views expressed in this material are the views of SSGA s Investment Solutions Group through the period ended Dec. 31, 2017 and are subject to change based on market and other conditions. This document may contain certain statements deemed to be forward-looking statements. All statements, other than historical facts, contained within this document that address activities, events or developments that SSGA expects, believes or anticipates will or may occur in the future are forward-looking statements. These statements are based on certain assumptions and analyses made by SSGA in light of its experience and perception of historical trends, current conditions, expected future developments and other factors it believes are appropriate in the circumstances, many of which are detailed herein. Such statements are subject to a number of assumptions, risks, uncertainties, many of which are beyond SSGA s control. Please note that any such statements are not guarantees of any future performance and that actual results or developments may differ materially from those projected in the forward-looking statements. This material is intended for informational purposes only and should not be construed as legal, accounting, tax, investment or other professional advice. Absolute return is the return that an asset achieves over a certain period of time. This measure looks at the appreciation or depreciation, expressed as a percentage, that an asset, such as a stock or a mutual fund, achieves over a given period of time. Relative return is the return an asset achieves over a period of time compared to a benchmark. The relative return is the difference between the asset's return and the return of the benchmark. Performance Individual account performance may vary and the actual return of a client s account will be reduced by the wrap fee and other expenses that will be incurred by that client. The performance information shown represents past performance and is not a guarantee of future results. Current performance may be lower or higher than the performance information shown. Depending on the portfolio, the composite performance may be calculated by Ameriprise Financial Services, Inc. or the Investment Manager. Annualized performance is calculated on a trailing basis. In nearly all cases, the composites are created on an asset and time-weighted basis using month-end market values and returns. Active Opportunity ETF State Street U.S. Equity Sector Rotation Composite performance as presented is comprised of 1) a single account invested in the portfolio model since the inception of the portfolio 9/1/10 to 12/31/10 and 2) all eligible fully discretionary accounts from 1/1/11 to present. All eligible accounts are added to the composite after one full calendar month of performance. Unless otherwise stated, the composite performance presented is shown both gross and net of Max Wrap Fee and other distributions and applicable expenses of the underlying mutual funds. The composite performance includes the reinvestment of dividends where permitted. Performance reflects Max Wrap Fee of 2.5% prior to 4/1/17 and 2.0% thereafter. Returns are annualized for periods of one year or greater. Individual account performance may vary. Past performance is not an indication of future results. Active Opportunity ETF State Street Global Allocation The composite performance is comprised of all eligible fully discretionary accounts from 6/1/16 to present. All eligible accounts are added to the composite after one full calendar month of performance. Unless otherwise stated, the composite performance presented is shown both gross and net of Max Wrap Fee and other distributions and applicable expenses of the underlying mutual funds. The composite performance includes the reinvestment of dividends where permitted. Performance reflects Max Wrap Fee of 2.5% prior to 4/1/17 and 2.0% thereafter. Returns 2018 Ameriprise Financial, Inc. All rights reserved. Page 7 of 10

8 are annualized for periods of one year or greater. Individual account performance may vary. Past performance is not an indication of future results. Blended Benchmarks The Blended Benchmark returns presented reflect a weighted combination of multiple indices. For the Active Opportunity ETF Portfolios, the Blended Benchmark used is selected by Ameriprise Financial Services, Inc., and corresponds to the asset allocation mix of the portfolios as reflected. The index performance is not illustrative of a specific investment. Indices are unmanaged and not available for direct investment. The Major Market Indices are presented as total return with dividends reinvested. These indices may not be similar to your portfolio. Indexes Standard & Poor s 500 Index ( S&P 500 ) is an index of common stocks frequently used as a measure of market performance. MSCI All Country World Index ex U.S. (net of taxes) (MSCI ACWI ex U.S. net) is a net of taxes, free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI consists of 47 country indices comprising 23 developed and 24 emerging market country indices as of December Bloomberg Barclays U.S. Aggregate Bond Index is a market value-weighted index of investment-grade fixed-rate debt issues, including government, corporate, asset-backed and mortgage securities, with maturities of one year or more. Citigroup 3-Month Treasury Bill Index is an index of three-month Treasury bills. MarkIt Eurozone Composite Purchasing Managers Index (PMI) is an indicator of the economic health of the manufacturing sector. The PMI is based on data collected through a survey of 400 purchasing managers in the manufacturing sector on major indicators including: new orders, inventory levels, production, supplier deliveries and the employment environment. MSCI Emerging Markets Index (net of taxes) (MSCI Emerging Markets - net) is a net of taxes index capturing largeand mid-cap representation across 24 Emerging Markets (EM) countries. With 846 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country, as of December Citi U.S. Economic Surprise Index is an objective and quantitative measure of economic news. It is the weighted historical standard deviations of data surprises (actual releases vs expected) Ameriprise Financial, Inc. All rights reserved. Page 8 of 10

9 Portfolio Strategist Update Sept. 30, 2017 Portfolio Risks The portfolios are subject to risks associated with the underlying funds including, but not limited to: market risk, credit risk, interest rate risk, foreign/emerging markets risk, sector risk and risks associated with alternative investments. See the fund prospectus for a definition of these and other specific risks associated with the underlying funds. Risks associated with equity investing include stock values which may fluctuate in response to the activities of individual companies and general market and economic conditions. Investing involves risk including the risk of loss of principal. Because of their narrow focus, sector investing tends to be more volatile than investments that diversify across many sectors and companies. International investing involves increased risk and volatility due to potential political and economic instability, currency fluctuations and differences in financial reporting and accounting standards and oversight. Risks are enhanced for emerging markets. There are risks associated with fixed-income investments, including credit risk, interest rate risk, and prepayment and extension risk. In general, bond prices rise when interest rates fall and vice versa. This effect is usually more pronounced for longer-term securities. Like real estate, REITs are subject to illiquidity, valuation and financing complexities, taxes, default, bankruptcy and other economic, political or regulatory occurrences. Commodity investments may be affected by the overall market and industry- and commodity-specific factors, and may be more volatile and less liquid than other investments. Investments that are concentrated in a specific industry, sector or geographic area may be subject to a higher degree of market risk than investments that are diversified. ETFs trade like stocks, are subject to investment risk, fluctuate in market value and may trade at prices above or below the ETFs net asset value. Brokerage commissions and ETF expenses will reduce returns. The U.S. government may be unable or unwilling to honor its financial obligations. Securities issued or guaranteed by federal agencies and U.S. government-sponsored instrumentalities may or may not be backed by the full faith and credit of the U.S. government. Non-investment-grade (high-yield or junk) securities present greater price volatility and more risk to principal and income than higher rated securities. Model Risk the portfolios uses quantitative models in an effort to enhance returns and manage risk. While SSGA expects these models to perform as expected, deviation between the forecasts and the actual events can result in either no advantage or in results opposite to those desired by SSGA. In particular, these models may draw from unique historical data that may not predict future trades or market performance adequately. There can be no assurance that the models will behave as expected in all market conditions. In addition, computer programming used to create quantitative models, or the data on which such models operate, might contain one or more errors. Such errors might never be detected, or might be detected only after the Portfolio has sustained a loss (or reduced performance) related to such errors. Availability of third-party models could be reduced or eliminated in the future. Management Risk The Portfolio is subject to management risk because it is an actively managed investment portfolio. SSGA s judgments about the attractiveness, relative value, or potential appreciation of a particular sector, security, and commodity or investment strategy or as to a hedging strategy may prove to be incorrect, and there can be no assurance that they will produce the desired results. Diversification and asset allocation do not ensure a profit or guarantee against loss. Please review the Ameriprise Managed Accounts Client Disclosure Brochure or if you have elected to pay a consolidated advisory fee, the Ameriprise Managed Accounts and Financial Planning Service Disclosure Brochure, for 2018 Ameriprise Financial, Inc. All rights reserved. Page 9 of 10

10 Portfolio Strategist Update Sept. 30, 2017 a full description of services offered, including fees and expenses. Investment products are not federally or FDIC insured, are not deposits or obligations of, or guaranteed by, any financial institution, and involves Investment risks including possible loss of principal and fluctuation in value. Investment advisory products and services are made available through Ameriprise Financial Services, Inc., a registered investment adviser. 1 Bloomberg LP: Citigroup Economic Surprise Index for Major Economies 2 Bloomberg LP: Market Eurozone Composite PMI Index 3 SSGA and Factset Research systems S&P 500 Price Return Index one day returns MSCI Emerging Markets Index Returns relative to MSCI World ex US Index in US Dollars 6 MSCI World ex US country returns in US Dollars 7 Bloomberg LP Implied probabilities of Fed Funds Rates using Fed Fund Futures 8 Factset Research Systems: Break Evens reflect market expectations for inflation by subtracting the 5 year treasury inflation protected security yield from the 5 year US treasury nominal yield 2018 Ameriprise Financial, Inc. All rights reserved. Page 10 of 10