April 21, U.S. equities 4 International equities 4 Sector Performance 5

Transcription

1 April 21, 2017 Cross Market Overview 2 Equity Markets U.S. equities 4 International equities 4 Sector Performance 5 Fixed Income Markets U.S. fixed income returns 6 U.S. fixed income spreads 7 U.S equity and fixed income correlations 9 Currency market 12 Commodity market 12 Performance Rankings Best and worst performing assets 13 International equity risk-adjusted ranking 13 U.S. equity risk-adjusted ranking 14 U.S. fixed income risk-adjusted ranking 14 Commodity risk-adjusted ranking 15 Currency risk-adjusted ranking 16 Asset Correlations Global equity return correlations 17 U.S. fixed income return correlations 17 U.S. equity and fixed income return correlations 18 U.S. fixed income spread change correlations 19 Currency return correlations 20 Commodity return correlations 20 * Source: Bloomberg, New York Life Investments ** Informational and for Internal Use Only

2 Cross Market Overview 2 US Treasury Yields Term Last 1-Week MTD YTD 1Y 0.97% Y 1.18% Y 1.40% Y 1.77% Y 2.06% Y 2.25% Y 2.90% s10s s30s Year US Treasury Yields 2Y 5Y 10Y 30Y 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% BFCIUS BFCIEU UST 10Y US 10-Year Yield 2.% 2.60% 2.40% 2.20% 2.00% 1.% 1.60% 1.40% 1.20% US Credit Spreads Aaa Aa A Baa US HY vs. Baa Spreads Baa HY US Financial Condition European Financial Condition * Dotted lines represent 20-day SMA

3 Cross Market Overview 3 VIX MSCI EAFE Gold Crude Oil EUR JPY Libor-OIS Spread OIS 3M Libor 1.40% 1.20% 1.00% 0.% 0.60% 0.40% 0.20% 0.00% VIX ,450 2,400 2,350 2,300 2,250 2, 2,150 2, 2,050 2,000 MSCI EAFE 1,850 1,0 1,750 1,700 1,650 1,600 1,550 1,500 Gold 1,400 1,350 1,300 1,250 1, 1,150 1, Crude Oil EUR JPY * Dotted lines represent 20-day SMA

4 Equity Markets 4 United States Nasdaq STOXX Nikkei Stock Last 1-Week MTD YTD 1-Year DJ Ind % -0.45% 4.71% 17.25% DJ Trans % 0.19% 1.33% 15.73% DJ Util % 1.25% 7.98% 15.43% % -0.49% 5.54% 14.71% S&P Mid % -0.07% 3.87% 19.12% S&P Small % -0.53% 0.53% 22.44% Nasdaq % 0.01% 10.14% 20.96% R2K % -0.40% 2.06% 23.25% R2K Growth % -0.23% 5.11% 19.66% R2K Value % -0.56% -0.69% 26.83% 1-Week Peformance 1-Year Cumulative Returns S&P Small DJ Trans R2K Growth R2K R2K Value S&P Mid Nasdaq DJ Ind DJ Util 0.51% 0.41% 0.87% 2.92% 2.92% 2.59% 2.58% 2.57% 2.19% 1.82% Nasdaq STOXX Nikkei 25% 20% 15% 10% 5% 0% -5% -10% -15% Europe Stock Last 1-Week MTD YTD 1-Year STOXX % -0.55% 5.56% 11.29% FTSE % -2.62% 0.94% 15.94% DAX % -2.15% 4.94% 15.45% CAC % -1.13% 4.32% 13.33% Portugal % -2.62% 4.22% -4.08% Italy % -3.67% 2.64% 5.39% Ireland % 1.47% 4.22% 10.99% Greece % 0.83% 4.48% 15.00% Spain % -0.56% 11.78% 16.88% Russia % -2.56% % -0.27% Asia and Pacific Stock Last 1-Week MTD YTD 1-Year Nikkei % -1.53% -1.83% 9.27% Australia % -0.18% 3.32% 11.03% China % -1.53% 2.24% 7.46% India % -0.86% 10.54% 15.00% Americas Stock Last 1-Week MTD YTD 1-Year Canada % 0.43% 2.14% 12.49% Brazil % -1.88% 5.87% 18.89% Mexico % 0.88% 7.28% 7.49%

5 Equity Markets 5 International Stock Last 1-Week MTD YTD 1-Year MSCI EAFE % -0.53% 6.68% 6.67% MSCI EM % 0.45% 11.95% 15.29% MSCI FM % 0.55% 9.49% 11.08% MSCI FM % 0.64% 11.79% 17.50% Sectors Stock Last 1-Week MTD YTD 1-Year % -0.49% 5.54% 14.71% IT % -0.10% 12.46% 24.76% Financials % -2.42% 0.04% 24.87% Health Care % -0.87% 7.43% 4.55% Cons Disc % 0.37% 8.85% 12.77% Industrials % 0.49% 5.07% 17.62% Energy % -3.00% -9.48% 3.86% Cons Staples % 0.69% 7.10% 9.53% Materials % -0.37% 5.46% 13.54% Utilities % 0.88% 7.33% 14.24% Telecom % -1.86% -5.76% 3.90%

6 Fixed Income Markets 6 US Fixed Income Total Returns Index 1-Week MTD YTD Agg 0.00% 0.93% 1.75% 1.34% Treasury 0.03% 0.96% 1.64% -0.07% Agency 0.03% 0.63% 1.39% 0.95% MBS -0.05% 0.73% 1.21% 0.95% ABS 0.03% 0.38% 0.92% 1.61% CMBS -0.05% 0.94% 1.82% 1.42% HY 0.13% 0.49% 3.20% 13.38% Loan 0.07% 0.30% 1.47% 8.45% Muni 0.30% 1.10% 2.69% 0.68% USD EM 0.28% 0.96% 4.27% 7.97% 144A 0.15% 0.83% 2.87% 4.43% TIPS -0.51% 0.32% 1.59% 2.49% Credit 0.02% 1.10% 2.41% 3.40% Credit Aaa 0.07% 0.79% 1.54% 0.61% Credit Aa 0.01% 1.01% 2.07% 1.75% Credit A -0.02% 1.15% 2.18% 2.53% Credit Baa 0.05% 1.16% 2.89% 5.15% Finance 0.01% 0.94% 2.23% 3.70% Industrial 0.01% 1.25% 2.49% 3.82% Utility -0.03% 1.42% 2.41% 3.12% Supranational 0.08% 0.60% 1.30% 0.59% Sovereign 0.30% 0.99% 4.36% 1.76% Build Am -0.03% 1.67% 3.05% 3.22% 1-Year US Fixed Income Excess Returns Index 1-Week MTD YTD 1-Year Agg -0.03% -0.03% 0.08% 1.07% Agency -0.02% 0.03% 0.30% 0.58% MBS -0.09% -0.09% -0.26% -0.14% ABS -0.02% 0.09% 0.32% 1.04% CMBS -0.08% -0.04% 0.04% 1.32% USD EM 0.23% -0.03% 2.57% 8.04% 144A 0.13% -0.10% 1.23% 4.37% HY 0.09% -0.19% 1.94% 12.97% Credit 0.00% -0.02% 0.47% 3.46% Credit Aaa 0.04% 0.06% 0.22% 0.41% Credit Aa -0.02% -0.02% 0.25% 1.83% Credit A -0.04% -0.03% 0.13% 2.64% Credit Baa 0.03% -0.03% 0.83% 5.27% Finance -0.02% -0.02% 0.54% 3.54% Industrial -0.01% 0.01% 0.35% 3.96% Utility -0.05% -0.04% -0.08% 3.58% Supranational 0.03% 0.05% 0.26% 0.15% Sovereign 0.29% -0.36% 2.05% 2.05% Build Am -0.05% -0.19% -0.04% 3.90%

7 Fixed Income Markets 7 US Fixed Income Spread Changes Index Last 1-Week MTD YTD 1-Year Agg Agency MBS ABS CMBS USD EM A HY Credit Credit Aaa Credit Aa Credit A Credit Baa Finance Industrial Utility Supranational Sovereign Build Am US Fixed Income Spread Z-Scores Index Last 20-Day Z-Score Mean Stdev 50-Day Z-Score Mean Stdev -Day Z-Score Mean Stdev Agg Agency MBS ABS CMBS USD EM A HY Credit Credit Aaa Credit Aa Credit A Credit Baa Finance Industrial Utility Supranational Sovereign Build Am

8 Fixed Income Markets 8 One-Year US Fixed Income Spread Trends HY HY S & P Finance Credit Industrial 144A MBS ABS CMBS * Dotted lines represent 20-day SMA

9 Fixed Income Markets 9 HY Finance Credit Industria 144A MBS ABS CMBS One-Year Equity and Fixed Income Correlations HY y = x R² = Finance y = x R² = Credit y = x R² = Industrial y = x R² = y = x R² = y = x R² = A MBS ABS y = x R² = CMBS y = x R² = * The green and red dots represent data points for the most recent 3 months and 5 days, respectively

10 Fixed Income Markets 10 Three-Year US Fixed Income Spread Trends HY HY A-14 O-14 A-15 O-15 A-16 O-16 A-17 S & P Finance A-14 O-14 A-15 O-15 A-16 O-16 A-17 Credit 220 A-14 O-14 A-15 O-15 A-16 O-16 A-17 Industrial A-14 O-14 A-15 O-15 A-16 O-16 A A A-14 O-14 A-15 O-15 A-16 O-16 A-17 MBS A-14 O-14 A-15 O-15 A-16 O-16 A-17 ABS A-14 O-14 A-15 O-15 A-16 O-16 A-17 CMBS A-14 O-14 A-15 O-15 A-16 O-16 A-17 * Dotted lines represent 50-day SMA

11 Fixed Income Markets 11 Three-Year Equity and Fixed Income Correlations HY y = x R² = Finance y = x R² = Credit 220 y = x R² = Industrial y = x R² = A y = x R² = MBS y = x R² = ABS y = x R² = CMBS y = x R² = * The green and red dots represent data points for the most recent 12 months and 5 days, respectively

12 Currency and Commodity Markets 12 Currencies * Currency Last 1-Week MTD YTD 1-Year DXY % 0.37% 2.23% -5.38% EUR % 0.76% 2.05% -4.92% JPY % 2.09% 7.23% 0.33% GBP % 2.10% 3.83% % CAD % -1.33% -0.43% -5.64% AUD % -1.10% 4.68% -2.49% NZD % 0.36% 1.40% 1.72% CHF % 0.68% 2.28% -2.11% MXN % -0.47% 10.20% -7.16% BRL % -0.81% 3.35% 12.14% RUB % -0.39% 8.98% 18.38% INR % 0.28% 5.15% 2.87% CNY % -0.19% 0.86% -5.93% Commodities Commodity Last 1-Week MTD YTD 1-Year CRY % -2.16% -5.53% 1.11% Gold % 2.78% 11.44% 2.89% Silver % -1.81% 12.67% 5.53% Copper % -3.82% 1.29% 11.56% Aluminum % -1.51% 12.84% 18.23% Crude Oil % -2.63% -8.28% 16.67% Gas % -2.79% % 49.95% Gasoline % -0.27% -6.96% 7.75% H. Oil % -1.48% -8.60% 20.49% Wheat % -5.04% -0.74% % Soybean % 0.53% -4.57% -6.65% Corn % -1.99% 1.42% -7.15% Rice % -1.26% 4.44% -8.39% Coffee % -6.78% -5.25% 5.10% Cattle % 8.21% 9.08% 2.61% Hogs % -4.04% -4.72% % Lumber % 4.48% 25.87% 42.37% DXY DXY CRY CRY S&P 2,450 2,400 2,350 2,300 2,250 2, 2,150 2, 2,050 y = x R² = , CRY * Foreign currency returns are stated from the perspective of a US investor ** The green and red dots in the charts represent data points for the most recent 3 months and 5 days, respectively

13 Performance Rankings 13 1wk Best Performers 1wk Worst Performers 1yr Best Performers 1yr Worst Performers Asset Return Asset Return Asset Return Asset Return Cattle 3.53% Crude Oil -7.35% Gas 49.95% Wheat % Lumber 3.51% Coffee -6.52% Lumber 42.37% Hogs % S&P Small 2.92% H. Oil -6.21% R2K Value 26.83% GBP % DJ Trans 2.92% Gasoline -5.79% R2K 23.25% Rice -8.39% R2K Growth 2.59% Wheat -5.76% S&P Small 22.44% MXN -7.16% R2K 2.58% Rice -3.93% Nasdaq 20.96% Corn -7.15% R2K Value 2.57% Gas -3.90% H. Oil 20.49% Soybean -6.65% GBP 2.48% Corn -3.77% R2K Growth 19.66% CNY -5.93% S&P Mid 2.19% Silver -3.30% S&P Mid 19.12% CAD -5.64% Nasdaq 1.82% CRY -3.14% Brazil 18.89% DXY -5.38% 30-Day International Equity Risk-Adjusted Ranking Index Risk Return Sharpe Portugal 4.24% 5.04% 1.19 Spain 3.64% 4.08% 1.12 Mexico 3.25% 3.59% 1.11 MSCI EAFE 2.75% 2.43% 0.88 STOXX 2.28% 1.94% 0.85 Greece 4.94% 3.69% 0.75 Australia 3.22% 2.00% 0.62 CAC % 1.82% 0.60 India 3.16% 1.66% 0.53 Ireland 3.09% 1.56% 0.50 Canada 2.77% 0.79% 0.29 DAX 2.72% 0.62% 0.23 Italy 4.46% 0.96% 0.22 Brazil 6.76% -1.06% Russia 5.29% -1.37% China 3.48% -1.31% Nikkei 4.50% -2.88% FTSE 3.33% -2.29% Year International Equity Risk-Adjusted Ranking Index Risk Return Sharpe Canada 9.13% 12.18% 1.33 India 11.51% 14.64% 1.27 FTSE 12.97% 15.63% 1.21 DAX 16.40% 15.72% 0.96 Australia 11.63% 11.13% 0.96 Brazil 21.39% 19.59% 0.92 Spain 21.07% 17.87% 0.85 CAC % 13.92% 0.83 STOXX 15.33% 11.88% 0.78 Greece 25.63% 17.33% 0.68 China 12.15% 7.93% 0.65 Ireland 19.72% 12.41% 0.63 Mexico 13.11% 8.08% 0.62 Nikkei 20.39% 10.95% 0.54 MSCI EAFE 13.99% 7.44% 0.53 Italy 24.62% 8.33% 0.34 Russia 13.81% 0.67% 0.05 Portugal 16.39% -2.82% Return Return 6% 4% 2% 0% -2% Spain Mexico STOXX MSCI EAFE CAC 40 Australia India DAX Ireland Canada China FTSE Portugal Italy Nikkei Greece Russia -4% 2% 3% 4% 5% 6% 7% 25% 20% 15% 10% 5% 0% FTSE India Canada Australia China Mexico MSCI EAFE Risk Russia DAX CAC 40 STOXX Portugal Brazil Spain Ireland Nikkei Greece -5% 5% 10% 15% 20% 25% Risk Italy Brazil

14 Performance Rankings Day US Equity Risk-Adjusted Ranking Index Risk Return Sharpe DJ Util 3.43% 3.39% 0.99 Nasdaq 2.85% 1.35% 0.47 R2K Growth 4.59% 2.08% 0.45 R2K 4.82% 1.73% 0.36 S&P Small 5.21% 1.73% 0.33 S&P Mid 3.82% 1.05% 0.27 R2K Value 5.18% 1.41% 0.27 DJ Trans 5.00% -0.70% % -0.47% DJ Ind 2.37% -1.34% Year US Equity Risk-Adjusted Ranking Index Risk Return Sharpe DJ Ind 9.52% 16.37% 1.72 Nasdaq 11.79% 19.73% 1.67 R2K Value 15.88% 25.03% % 14.20% 1.45 S&P Mid 12.99% 18.34% 1.41 R2K 15.70% 22.14% 1.41 S&P Small 15.72% 21.48% 1.37 R2K Growth 16.00% 19.23% 1.20 DJ Util 14.74% 15.44% 1.05 DJ Trans 15.55% 15.82% Day US Fixed Income Risk-Adjusted Ranking Index Risk Return Sharpe Muni 0.45% 2.19% 4.91 USD EM 0.61% 2.38% A 0.62% 2.02% 2.00 ABS 0.31% 0.78% 2.54 Agency 0.58% 1.41% 2.43 Credit 1.08% 2.53% 2.34 Agg 1.00% 2.19% 2.19 Treasury 1.01% 2.19% 2.16 MBS 0.97% 1.92% 1.98 CMBS 1.04% 1.89% 1.82 HY 0.94% 1.40% 1.49 TIPS 1.40% 1.92% Year US Fixed Income Risk-Adjusted Ranking Index Risk Return Sharpe HY 3.28% 12.61% 3.84 USD EM 3.89% 7.74% A 2.85% 4.37% 1.54 ABS 1.06% 1.60% 1.51 Credit 4.04% 3.42% 0.85 TIPS 4.26% 2.55% 0.60 Agency 2.01% 0.96% 0.48 CMBS 3.44% 1.47% 0.43 Agg 3.32% 1.38% 0.42 MBS 2.42% 0.97% 0.40 Muni 2.48% 0.70% 0.28 Treasury 3.% 0.00% 0.00 Return Return Return 4% 3% 2% 1% Nasdaq DJ Util S&P Mid R2K Growth R2K S&P Small R2K Value 0% -1% DJ Trans DJ Ind -2% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 5.0% 5.5% 26% 24% 22% 20% 18% 16% 14% DJ Ind Risk Nasdaq S&P Mid R2K Value R2K S&P Small R2K Growth DJ Util DJ Trans 12% 9% 10% 11% 12% 13% 14% 15% 16% 17% 3.0% 2.5% 2.0% 1.5% 1.0% ABS Muni Risk USD EM 144A Agency Agg MBS HY Credit Treasury CMBS TIPS 0.5% 0.0% 0.5% 1.0% 1.5% Return 14% 12% 10% 8% 6% Risk 4% 144A CMBS 2% ABS Agency MBS Agg Treasury Muni 0% 1.0% 2.0% 3.0% 4.0% Risk HY USD EM Credit TIPS

15 Performance Rankings Day Commodity Risk-Adjusted Ranking Index Risk Return Sharpe Cattle 4.63% 10.93% 2.36 Gold 3.14% 6.73% 2.15 Lumber 10.32% 13.91% 1.35 Silver 5.05% 5.69% 1.13 Gasoline 8.02% 7.39% 0.92 Aluminum 4.79% 3.69% 0.77 Rice 4.83% 3.29% 0.68 Gas 11.08% 4.78% 0.43 H. Oil 6.22% 0.72% 0.12 Crude Oil 7.55% 0.26% 0.03 Corn 5.53% -0.62% Copper 6.48% -1.19% CRY 2.61% -0.71% Wheat 8.46% -4.71% Hogs 11.32% -7.10% Coffee 7.82% -6.32% Soybean 3.59% -4.98% Return 15% 10% 5% 0% -5% -10% Lumber Cattle Gold Gasoline Silver Gas Aluminum Rice CRY Corn H. Oil Crude Oil Copper Soybean Wheat Coffee Hogs 2% 4% 6% 8% 10% 12% Risk 1-Year Commodity Risk-Adjusted Ranking Index Risk Return Sharpe Lumber 27.04% 38.94% 1.44 Aluminum 15.22% 17.90% 1.18 Gas 47.23% 51.62% 1.09 H. Oil 34.66% 24.60% 0.71 Copper 20.51% 13.03% 0.64 Crude Oil 35.10% 21.53% 0.61 Gasoline 35.73% 13.79% 0.39 Silver 22.56% 7.92% 0.35 Coffee 26.27% 8.41% 0.32 Gold 13.33% 3.73% 0.28 Cattle 22.% 5.20% 0.23 CRY 13.69% 2.03% 0.15 Corn 24.11% -4.52% Soybean 21.91% -4.49% Rice 24.76% -5.73% Hogs 37.93% % Wheat 26.87% % Return 60% 50% Gas 40% Lumber 30% H. Oil 20% Crude Oil Aluminum Copper Gasoline 10% Gold Silver Coffee Cattle 0% CRY Rice Soybean Corn -10% Hogs Wheat -20% 10% 15% 20% 25% 30% 35% 40% 45% 50% Risk

16 30-Day Currency Risk-Adjusted Ranking Index Risk Return Sharpe JPY 2.47% 5.25% 2.12 INR 1.82% 3.18% 1.75 GBP 3.45% 5.25% 1.52 RUB 3.65% 4.93% 1.35 MXN 4.29% 5.38% 1.26 DXY 2.01% 1.88% 0.93 CHF 2.11% 1.63% 0.77 NZD 2.68% 1.90% 0.71 EUR 2.58% 1.50% 0.58 BRL 4.93% 1.54% 0.31 CNY 1.16% 0.35% 0.30 AUD 2.93% 0.56% 0.19 CAD 2.16% 0.13% 0.06 Performance Rankings 16 Return 8% 7% 6% 5% 4% 3% INR JPY GBP RUB MXN 2% DXY NZD CHF EUR BRL 1% CNY AUD 0% CAD 1% 2% 3% 4% 5% Risk 1-Year Currency Risk-Adjusted Ranking Index Risk Return Sharpe RUB 14.48% 17.92% 1.24 BRL 15.36% 12.64% 0.82 INR 4.71% 2.93% 0.62 NZD 10.63% 2.27% 0.21 JPY 12.64% 1.12% 0.09 AUD 10.15% -2.01% CHF 7.28% -1.87% MXN 17.08% -5.96% EUR 7.96% -4.73% CAD 7.86% -5.50% GBP 13.87% % DXY 7.06% -5.28% CNY 3.58% -6.05% Return 20% 15% 10% 5% 0% -5% -10% INR DXY CNY CAD CHF EUR NZD AUD JPY GBP -15% 0% 5% 10% 15% Risk RUB BRL MXN

17 Asset Correlations 17 Equity return correlations between 4/21/16 and 3/9/17 4/21/2016 3/9/2017 S&P Mid S&P Small NASDAQ STOXX FTSE Nikkei Brazil Russia India China S&P Mid S&P Small NASDAQ STOXX FTSE Nikkei Brazil Russia India China Equity return correlations in between 3/10/17 and 4/21/17 3/10/ S&P Mid S&P Small NASDAQ STOXX FTSE Nikkei Brazil Russia India China S&P Mid S&P Small NASDAQ STOXX FTSE Nikkei Brazil Russia India China Fixed Income return correlations between 4/21/16 and 3/9/17 Agg Treasury Agency Credit MBS ABS CMBS 144A HY Muni TIPS Agg Treasury Agency Credit MBS ABS CMBS A HY Muni TIPS Fixed Income return correlations in between 3/10/17 and 4/21/17 Agg Treasury Agency Credit MBS ABS CMBS 144A HY Muni TIPS Agg Treasury Agency Credit MBS ABS CMBS A HY Muni TIPS

18 Asset Correlations 18 US equity and fixed income return correlations between 4/21/16 and 3/9/17 S&P Mid S&P Small Nasdaq Agg Treasury Agency Credit MBS ABS CMBS S&P Mid S&P Small Nasdaq Agg Treasury Agency Credit MBS ABS CMBS US equity and fixed income return correlations in between 3/10/17 and 4/21/17 S&P Mid S&P Small Nasdaq Agg Treasury Agency Credit MBS ABS CMBS S&P Mid S&P Small Nasdaq Agg Treasury Agency Credit MBS ABS CMBS US equity and fixed income return correlations between 4/21/16 and 3/9/17 3/9/2017 S&P Mid S&P Small Nasdaq HY Muni USD EM 144A TIPS Glb. Agg DXY S&P Mid S&P Small Nasdaq HY Muni USD EM A TIPS Glb. Agg DXY US equity and fixed income return correlations in between 3/10/17 and 4/21/17 S&P Mid S&P Small Nasdaq HY Muni USD EM 144A TIPS Glb. Agg DXY S&P Mid S&P Small Nasdaq HY Muni USD EM A TIPS Glb. Agg DXY

19 Asset Correlations 19 Spread change correlations between 4/21/16 and 3/9/17 Credit Finance Industrial Utility Supranationa HY MBS ABS CMBS 144A Build Am Credit Finance Industrial Utility Supranational HY MBS ABS CMBS A Build Am Spread change correlations in between 3/10/17 and 4/21/17 Credit Finance Industrial Utility Supranationa HY MBS ABS CMBS 144A Build Am Credit Finance Industrial Utility Supranational HY MBS ABS CMBS A Build Am Spread change correlations between 4/21/16 and 3/9/17 Credit Aaa Credit Aa Credit A Credit Baa CMBS Aaa CMBS Aa CMBS A CMBS Bbb ABS Auto ABS Card ABS Flt Credit Aaa Credit Aa Credit A Credit Baa CMBS Aaa CMBS Aa CMBS A CMBS Bbb ABS Auto ABS Card ABS Flt Spread change correlations in between 3/10/17 and 4/21/17 Credit Aaa Credit Aa Credit A Credit Baa CMBS Aaa CMBS Aa CMBS A CMBS Bbb ABS Auto ABS Card ABS Flt Credit Aaa Credit Aa Credit A Credit Baa CMBS Aaa CMBS Aa CMBS A CMBS Bbb ABS Auto ABS Card ABS Flt

20 Asset Correlations 20 Currency return correlations between 4/21/16 and 3/9/17 EUR JPY GBP CAD AUD CHF NZD NOK SEK BRL MXN EUR JPY GBP CAD AUD CHF NZD NOK SEK BRL MXN Currency return correlations in between 3/10/17 and 4/21/17 EUR JPY GBP CAD AUD CHF NZD NOK SEK BRL MXN EUR JPY GBP CAD AUD CHF NZD NOK SEK BRL MXN Commodity return correlations between 4/21/16 and 3/9/17 Crude Oil Gas Gold Silver Copper Wheat Soybean Corn Coffee Cattle Lumber Crude Oil Gas Gold Silver Copper Wheat Soybean Corn Coffee Cattle Lumber Commodity return correlations in between 3/10/17 and 4/21/17 Crude Oil Gas Gold Silver Copper Wheat Soybean Corn Coffee Cattle Lumber Crude Oil Gas Gold Silver Copper Wheat Soybean Corn Coffee Cattle Lumber