January 27, 2016 RESEARCH TEAM. January 27, Lori Calvasina US Equity Strategist

US Equity Strategy Equity Research Americas/United States Lessons From Past Recessions The Playbook From Recent Recessions & Answers To Other FAQs Amid The Equity Market Sell Off January 27, 2016 RESEARCH TEAM Lori Calvasina US Equity Strategist +1 212-538-6396 lori.calvasina@credit-suisse.com Sara Mahaffy, CFA Vice President +1 212-325-6824 sara.mahaffy@credit-suisse.com Joseph Eddy Research Associate +1 212-325-5608 joseph.eddy@credit-suisse.com CREDIT SUISSE SECURITIES RESEARCH & ANALYTICS BEYOND INFORMATION Client-Driven Solutions, Insights and Access DISCLOSURE APPENDIX AT THE BACK OF THIS REPORT CONTAINS IMPORTANT DISCLOSURES, ANALYST CERTIFICATIONS, AND THE STATUS OF NON-US ANALYSTS. US Disclosure: Credit Suisse does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the Firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. January 27, 2016

Table of Contents Click on titles to navigate through the report APPENDIX: JANUARY PERFORMANCE IN A NUTSHELL OVERVIEW APPENDIX: VALUATION UPDATE RECESSION PLAYBOOK 2

APPENDIX: JANUARY PERFORMANCE IN A NUTSHELL OVERVIEW APPENDIX: VALUATION UPDATE RECESSION PLAYBOOK Overview

Lessons From Past Recessions Recession Playbook: Preparing for the Worst Case Scenario Context: US equity markets have stumbled mightily in 2016, as investor concerns about falling oil prices, potential policy error by the Fed, and the prospect of weakness in China spilling over into a global recession have mounted. CS economists believe that the most likely scenario for the next two years is sustained real growth of just over 2%, though they note downside risks related to credit markets, Energy, and China. Given these risks and escalating investor fears, we have taken a deep dive into the implications for US equities if the US falls into recession. Our Approach: Although every downturn has been different, we use history as our starting point. We examined the performance of the major US size and style indices and industry groups around past recessionary periods, drawing on as much history as was available for each index. Considering the period from one year before the start of each recession to one year after its end, we focused on two distinct moves the decline from index peak to trough heading into/during the recession and the rebound from the equity market trough to its next peak. The Key Thing To Remember: Examining S&P 500 pricing dating back to 1929 as a gauge of broad market performance, we ve found that recessionary periods see a 33% pullback in equities on average. But rebounds have averaged 62%, a reminder that recessionary sell-offs tend to provide buying opportunities in US equities for longer-term investors. The Recent Decline in Context: If a recession is unfolding, the historical playbook suggests that a bottom in US equities may still be far off. Through their January 2016 lows, the Russell 2000 and S&P 500 had fallen 23% and 13% from their 2015 highs far less than the average and median drops in these indices in the past five economic downturns (37% and 34% for the Russell 2000, respectively, and 32% and 27% for the S&P 500). Takeaways For the Broader Market & Size Indices: Small vs. Large Takeaways For the Style Indices: Growth vs. Value Takeaways For Sectors: The 24 Industry Groups in Small Cap & Large Cap Appendix: Our Answers to Other Recent FAQs Decline: Based on the 5 previous recessions, large cap tends to be more resilient than small cap. The Russell 2000 has averaged a decline of 37%, while the S&P 500 has tended to hold in more favorably at 32%. Small underperformed large in each of the 5 recessionary declines. Recovery: Small caps have typically led after equity markets have bottomed, with the Russell 2000 seeing returns of 86% on average vs. 51% for the S&P 500. Small cap outperformed large in each of the 5 recessionary recoveries. Decline: Based on the 3 previous recessions of 1990-1991, 2001, and 2007-2009, style leadership is not consistent across recessionary pullbacks. Growth has lagged value in small and large on average, but led 2 out of 3 times in small and 1 out of 3 times in large. Recovery: Similar to pullbacks, style leadership is not consistent across recessionary rebounds. Value has typically outperformed growth in small cap (led 2 out of 3 times and on average), but has typically underperformed growth in large cap (lagged 2 out of 3 times and on average). Decline: Based on the 3 previous recessions of 1990-1991, 2001, and 2007-2009, a handful of defensive groups have tended to be the safest places to be. In both small cap and large cap, Food Beverage & Tobacco, HC Equipment & Services, Household & Personal Products, and Utilities outperformed in each of the 3 recessions and are among the top performers on average. On the flipside, in both small cap and large cap, the most consistent underperformers have been Media and Semis. On average, the worst performing groups have been the 3 Tech groups (Semis, Software & Services, and Tech HW) along with small cap Telecom, small cap Media, and large cap Diversified Financials though for most of these groups, underperformance was not consistent across the time periods we examined, and much of the Tech weakness occurred after the TMT bubble burst. Recovery: The best performing groups after equity markets have bottomed have been found in Consumer Discretionary and large cap Financials, while the laggards have been defensive in nature. In both small cap and large cap, Consumer Durables & Apparel, Consumer Services, and Retailing have seen consistent outperformance (in 3 out of 3 recession recovery trades), while Autos & Components has been the top performing group overall. In large cap, Banks, Diversified Financials, and Insurance showed similar consistency and strength during recovery trades. By contrast, Food & Staples Retailing, Telecom, and Utilities underperformed the broader market in each of the recessionary rebound trades that we examined. Telecom and Utilities also stood out as the two worst performers in both small and large cap, on average. How Do Broad Market Valuations Look? Our S&P 500 model, which has been sending a strong warning signal for the past year, suggests that US equities are still overvalued. Small cap looks fairly valued again relative to its own history and cheap vs. large (but above 1990 s trough). What Industries Are Cheap? Energy, Transports, Tech HW & Equip in small and large, plus large cap Semis and Media, small cap Cap Goods. What s Been Hit Hardest in 2016? Micro caps, small caps, small cap growth, Energy, small cap Pharm/Bio, and large cap Banks, Semis, Autos. 4

APPENDIX: JANUARY PERFORMANCE IN A NUTSHELL OVERVIEW APPENDIX: VALUATION UPDATE RECESSION PLAYBOOK Recession Playbook Source: CS Small & Mid Cap US Equity Strategy, evestment

S&P 500 Performance Recession Declines Since 29 Since 1929, the S&P 500 has averaged a decline of 33% during recessionary pullbacks. Recessionary pullbacks in the S&P 500 have had an average duration of 298 trading days, and a median duration of 319 trading days. How to read the chart: We examined the period from 1 year before the start of each recession to the end of the recession, capturing peak to trough performance for the S&P 500. We studied as many recessions as were available for analysis of daily pricing data the previous 14, spanning back to 1929. Broad Market Peak to Trough Performance Around Recessionary Period Includes previous 14 recessions, S&P 500, based on price returns -1-2 -3-4 -5-6 -7-8 -9-10 Source: CS US Equity Strategy, S&P Capital IQ ClariFi, NBER 6

Size Performance During Recent Recession Declines In more recent rescessionary declines, large cap tends to show more resilience than small cap. Large cap tends to see a 32% decline, while small cap sees a 37% decline. How to read the chart: We examined the period from 1 year before the start of each recession to the end of the recession, capturing average peak to trough performance for each respective index. We studied as many recessions as were available for comparison between the Russell indices and the S&P 500 (the previous 5 --1980, 1981-1982, 1990-1991, 2001, and 2007-2009). Average Size Index Peak to Trough Performance Around Recessionary Period Includes previous 5 recessions, based on price returns -5% -1-15% -2-25% -3-35% -4 Small underperformed large in each of the 5 recessionary declines R2000 R1000 S&P 500 Source: CS US Equity Strategy, Russell, S&P Capital IQ ClariFi, NBER 7

Style Performance During Recent Recession Declines In more recent recessionary declines, value has outperformed growth on average, but not consistently. While growth has lagged value in small and large cap on average, growth led value during 2 of the past 3 recessionary periods in small (1990-1991 and 2007-2009), and during 1 period in large (2007-2009). How to read the charts: We examined the period from 1 year before the start of each recession to the end of the recession, capturing average peak to trough performance for each respective index. We studied as many recessions as were available for comparison using daily data for the Russell style indices (the previous 3 1990-1991, 2001 and 2007-2009 ). Small Cap Style Index Peak to Trough Performance Around Recessionary Period Includes previous 3 recessions, based on total returns Large Cap Style Index Peak to Trough Performance Around Recessionary Period Includes previous 3 recessions, based on total returns -1-1 -2-2 -3-3 -4-4 -5-5 -6-6 -7 1990-1991 2001 2007-2009 Average -7 1990-1991 2001 2007-2009 Average R2000 Growth R2000 Value R1000 Growth R1000 Value Source: CS US Equity Strategy, Russell, S&P Capital IQ ClariFi, NBER 8

Index Performance During Recent Recession Declines The value and large cap indices tend to be most resilient, the small cap and growth indices are hit hardest. Small cap growth, small cap core, and large cap growth have been the worst performing indices, while large cap value and the S&P 500 have experienced the least dramatic pullbacks. Mid cap falls in the middle of the pack. How to read the chart: We examined the period from 1 year before the start of each recession to the end of the recession, capturing average peak to trough performance for each respective index. We studied as many recessions as were available for comparison on all of the major size and style indices tracked by Russell and S&P, using daily data (the previous 3 1990-1991, 2001 and 2007-2009). Average Index Peak to Trough Performance Around Recessionary Period Includes previous 3 recessions, based on total returns -1-2 -3-4 -5-6 R2000G R2000 R1000G RMid R2000V R1000 S&P 500 R1000V Source: CS US Equity Strategy, Russell, S&P Capital IQ ClariFi, NBER 9

Industry Groups In Recession Declines (Consistency) The chart classifies industry groups based on performance relative to benchmark from peak to trough of the pullback in the period around the recessions of 1990-1991, 2001, and 2007-2009. Consistently Underperforms (Lagged 3 of Past 3 Times) Usually Underperforms (Lagged 2 of Past 3 Times) Usually Outperforms (Led 2 of Past 3 Times) Consistently Outperforms (Led 3 of Past 3 Times) Small Cap (Russell 2000) Media Semis & Semi Equipment Telecom Services Banks Capital Goods Consumer Durables & Apparel Consumer Services Diversified Financials Materials Real Estate Retailing Tech Hardware & Equipment Transportation Autos & Components Commercial & Professional Services Energy Insurance Pharma/Biotech & Life Sciences Software & Services Food & Staples Retailing Food Bev & Tobacco HC Equip & Services HH & Personal Products Utilities Large Cap (Russell 1000) Media Semis & Semi Equipment Autos & Components Banks Capital Goods Consumer Durables & Apparel Diversified Financials Insurance Materials Real Estate Software & Services Tech Hardware & Equipment Commercial & Professional Services Consumer Services Food & Staples Retailing Retailing Transportation Energy Food Bev & Tobacco HC Equip & Serivces HH & Personal Products Pharma/Biotech & Life Sciences Telecom Services Utilities Source: CS US Equity Strategy, Russell, S&P Capital IQ ClariFi, NBER 10

Industry Groups In Recession Declines (Avg Perf) Defensives tend to outperform while Tech groups are hit hard. Utilities, Consumer Staples, and Health Care groups have generally been the most resilient groups in both small and large cap. All 3 tech groups were hit especially hard in both small and large cap, along with small cap Telecom Services, small cap Media, and large cap Diversified Financials. How to read the charts: We examined the period from 1 year before the start of each recession to the end of the recession, capturing average performance for each respective industry group vs. the benchmark during the benchmark peak to trough period. We studied as many recessions as were available for comparison (the previous 3 --1990-1991, 2001, and 2007-2009). Average Small Cap Industry Group Relative Performance During Recessionary Index Pullback Recessions: 90-91; 01; 07-09, perf relative to R2000 Utilities Food Beverage & Tobacco Health Care Equipment & Services Insurance Food & Staples Retailing Household & Personal Products Real Estate Diversified Financials Banks Energy Consumer Services Transportation Materials Capital Goods Commercial & Professional Services Retailing Pharma/Biotechnology & Life Sciences Consumer Durables & Apparel Automobiles & Components Software & Services Media Technology Hardware & Equipment Semis & Semi Equipment Telecommunication Services -4-2 2 4 Average Large Cap Industry Group Relative Performance During Recessionary Index Pullback Recessions: 90-91; 01; 07-09, perf relative to R1000 Food Beverage & Tobacco Food & Staples Retailing Household & Personal Products Pharma/Biotechnology & Life Sciences Utilities Energy Health Care Equipment & Services Commercial & Professional Services Materials Telecommunication Services Real Estate Transportation Consumer Services Consumer Durables & Apparel Retailing Banks Insurance Capital Goods Media Automobiles & Components Software & Services Diversified Financials Technology Hardware & Equipment Semis & Semi Equipment -4-2 2 4 Source: CS US Equity Strategy, Russell, S&P Capital IQ ClariFi, NBER 11

S&P 500 Performance Recession Recoveries Since 29 Since 1929, the S&P 500 has averaged a gain of 62% during recessionary rebounds. Recessionary rebounds in the S&P 500 have had an average duration of 284 trading days, and a median duration of 298 trading days. How to read the chart: We examined the period from the beginning of each recession to 1 year after its end, capturing trough to peak performance for the S&P 500. We studied as many recessions as were available for analysis of daily pricing data the previous 14, spanning back to 1929. Broad Market Peak to Trough Performance Around Recessionary Period Includes previous 14 recessions, S&P 500, based on price returns 20 18 16 14 12 10 8 6 4 2 Source: CS US Equity Strategy, S&P Capital IQ ClariFi, NBER 12

Size Performance During Recent Recession Recoveries Small cap tends to outperform large cap. Small cap has averaged a gain of 86% while large cap has seen a 51% return. How to read the chart: We examined the period from the beginning of each recession to 1 year after its end, capturing average trough to peak performance for each respective index. We studied as many recessions as were available for comparison between the Russell indices and the S&P 500 (the previous 5 --1980, 1981-1982, 1990-1991, 2001, and 2007-2009). Average Size Index Trough to Peak of Rebound Performance Around Recessionary Period Includes previous 5 recessions, based on price returns 10 9 8 Small outperformed large in each of the 5 recessionary recoveries 7 6 5 4 3 2 1 R2000 R1000 S&P 500 Source: CS US Equity Strategy, Russell, S&P Capital IQ ClariFi, NBER 13

Style Performance During Recent Recession Recoveries Style leadership has not been consistent. Performance: Value has outperformed growth on average in small cap, lagging in only 1 of the past 3 recessionary periods (1990-1991). However, value has underperformed growth on average in large cap, leading in only 1 period (2007-2009). How to read the chart: We examined the period from the beginning of each recession to 1 year after its end, capturing average trough to peak performance for each respective index. We studied as many recessions as were available for comparison using daily data for the Russell style indices (the previous 3 1990-1991, 2001 and 2007-2009 ). Small Cap Style Trough to Peak of Rebound Performance Around Recessionary Period Includes previous 3 recessions, based on total returns 14 12 10 8 6 4 2 Large Cap Style Trough to Peak of Rebound Performance Around Recessionary Period Includes previous 3 recessions, based on total returns 10 9 8 7 6 5 4 3 2 1 1990-1991 2001 2007-2009 Average 1990-1991 2001 2007-2009 Average R2000 Growth R2000 Value R1000 Growth R1000 Value Source: CS US Equity Strategy, Russell, S&P Capital IQ ClariFi, NBER 14

Index Performance During Recent Recession Recoveries The small cap indices have tended to outperform the large cap indices. While the best performers were the Russell 2000 indices, the worst performers were the S&P 500 and the Russell 1000 indices. How to read the chart: We examined the period from the beginning of each recession to 1 year after its end, capturing average trough to peak performance for each respective index. We studied as many recessions as were available for comparison on all of the major size and style indices tracked by Russell and S&P, using daily data (the previous 3 1990-1991, 2001 and 2007-2009). Average Index Trough to Peak of Rebound Performance Around Recessionary Period Includes previous 3 recessions, based on total returns 9 8 7 6 5 4 3 2 1 S&P 500 R1000V R1000 R1000G RMid R2000 R2000G R2000V Source: CS US Equity Strategy, Russell, S&P Capital IQ ClariFi, NBER 15

Industry Groups In Recession Recoveries (Consistency) The chart classifies industry groups based on performance relative to benchmark from trough to peak of the rebound in the period around the recessions of 1990-1991, 2001, and 2007-2009. Consistently Underperforms (Lagged 3 of Past 3 Times) Usually Underperforms (Lagged 2 of Past 3 Times) Usually Outperforms (Led 2 of Past 3 Times) Consistently Outperforms (Led 3 of Past 3 Times) Small Cap (Russell 2000) Food & Staples Retailing Food Bev & Tobacco Telecom Services Utilities Banks Capital Goods Commercial & Professional Services Energy HC Equipment & Services Insurance Pharma/Biotech & Life Sciences Real Estate Diversified Financials HH & Personal Products Materials Media Software & Services Tech Hardware & Equipment Transportation Autos & Components Consumer Durables & Apparel Consumer Services Retailing Semis & Semi Equipment Large Cap (Russell 1000) Food & Staples Retailing Telecom Services Utilities Energy Food Bev & Tobacco HC Equipment & Services Media Pharma/Biotech & Life Sciences Real Estate Tech Hardware & Equipment Autos & Components Capital Goods Commercial & Professional Services HH & Personal Products Insurance Banks Consumer Durables & Apparel Consumer Services Diversified Financials Materials Retailing Semis & Semi Equipment Software & Services Transportation Source: CS US Equity Strategy, Russell, S&P Capital IQ ClariFi, NBER 16

Industry Groups In Recession Recoveries (Avg Perf) Consumer Discretionary and Financials groups have tended to lead while defensives have lagged. Autos & Components has tended to be the best performer by far in both small and large cap. Utilities and Telecom Services have been the two worst performers in both size segments. The 3 Tech groups on average beat or are in line with the benchmark, but are not among the strongest groups. How to read the charts: We examined the period from the beginning of each recession to 1 year after its end, capturing average performance for each respective industry group vs. the benchmark during the benchmark trough to peak period. We studied as many recessions as were available for comparison (the previous 3 --1990-1991, 2001, and 2007-2009). Average Small Cap Industry Group Relative Performance During Recessionary Index Rebound Recessions: 90-91; 01; 07-09, perf relative to R2000 Automobiles & Components Consumer Durables & Apparel Retailing Diversified Financials Semis & Semi Equipment Pharma/Biotechnology & Life Media Materials Software & Services Consumer Services Transportation Technology Hardware & Equipment Household & Personal Products Health Care Equipment & Services Banks Capital Goods Real Estate Commercial & Professional Services Insurance Energy Food Beverage & Tobacco Food & Staples Retailing Telecommunication Services Utilities -10-5 5 10 15 20 Average Large Cap Industry Group Relative Performance During Recessionary Index Rebound Recessions: 90-91; 01; 07-09, perf relative to R1000 Automobiles & Components Banks Diversified Financials Consumer Durables & Apparel Software & Services Retailing Transportation Semis & Semi Equipment Real Estate Insurance Consumer Services Capital Goods Media Materials Health Care Equipment & Services Technology Hardware & Equipment Commercial & Professional Services Household & Personal Products Food Beverage & Tobacco Pharma/Biotechnology & Life Food & Staples Retailing Energy Utilities Telecommunication Services -10-5 5 10 Source: CS US Equity Strategy, Russell, S&P Capital IQ ClariFi, NBER 17

Recent Declines Examined - Dates, Duration, Magnitude Recession Period Russell 2000 Russell 2000 Growth Russell 2000 Value Russell Mid Cap Peak Trough % Chg Trd Days Peak Trough % Chg Trd Days Peak Trough % Chg Trd Days Peak Trough % Chg Trd Days Jan 80 - July 80 2/8/80 3/27/80-27% 34 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A July 81 - Nov 82 6/15/81 8/12/82-29% 303 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A July 90 - Mar 91 10/9/89 10/31/90-34% 269 10/9/89 10/16/90-32% 258 9/8/89 11/1/90-33% 291 10/9/89 10/11/90-27% 255 Mar 01 - Nov 01 3/9/00 9/21/01-38% 384 3/9/00 9/21/01-6 384 8/16/01 9/21/01-19% 21 9/1/00 9/21/01-29% 261 Dec 07 - June 09 7/13/07 3/9/09-6 416 10/10/07 3/9/09-58% 354 6/4/07 3/9/09-62% 444 7/19/07 3/9/09-6 412 2015-2016 Turmoil 6/23/15 1/19/16-23% 144 6/23/15 1/19/16-24% 144 6/23/15 1/25/16-23% 148 4/23/15 1/20/16-18% 187 Average -37% 281-5 332-38% 252-39% 309 Median -34% 303-58% 354-33% 291-29% 261 Recession Period Russell 1000 Russell 1000 Growth Russell 1000 Value S&P 500 Peak Trough % Chg Trd Days Peak Trough % Chg Trd Days Peak Trough % Chg Trd Days Peak Trough % Chg Trd Days Jan 80 - July 80 2/13/80 3/27/80-18% 31 N/A N/A N/A N/A N/A N/A N/A N/A 2/13/80 3/27/80-17% 31 July 81 - Nov 82 11/28/80 8/12/82-28% 444 N/A N/A N/A N/A N/A N/A N/A N/A 11/28/80 8/12/82-27% 444 July 90 - Mar 91 7/16/90 10/11/90-2 62 7/16/90 10/11/90-21% 62 10/9/89 10/11/90-2 255 7/16/90 10/11/90-2 62 Mar 01 - Nov 01 9/1/00 9/21/01-38% 261 3/23/00 9/21/01-55% 374 5/21/01 9/21/01-21% 82 3/24/00 9/21/01-37% 373 Dec 07 - June 09 10/9/07 3/9/09-57% 355 10/31/07 3/9/09-51% 339 7/13/07 3/9/09-6 416 10/9/07 3/9/09-57% 355 2015-2016 Turmoil 5/21/15 1/20/16-14% 167 7/20/15 1/20/16-12% 127 5/21/15 1/20/16-17% 167 5/21/15 1/20/16-13% 167 Average -32% 231-43% 258-33% 251-32% 253 Median -28% 261-51% 339-21% 255-27% 355 Source: CS US Equity Strategy, Russell, S&P Capital IQ ClariFi, Thomson Reuters, NBER, as of January 26 th, 2016 18

Recent Rebounds Examined - Dates, Duration, Magnitude Recession Period Russell 2000 Russell 2000 Growth Russell 2000 Value Russell Mid Cap Trough Peak % Chg Trd Days Trough Peak % Chg Trd Days Trough Peak % Chg Trd Days Trough Peak % Chg Trd Days Jan 80 - July 80 3/27/80 6/15/81 88% 317 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A July 81 - Nov 82 8/12/82 6/24/83 11 226 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A July 90 - Mar 91 10/31/90 2/12/92 78% 324 10/16/90 2/12/92 95% 335 11/1/90 3/3/92 78% 336 10/11/90 2/12/92 72% 338 Mar 01 - Nov 01 9/21/01 4/16/02 38% 141 9/21/01 1/4/02 38% 72 9/21/01 5/3/02 44% 154 9/21/01 3/19/02 29% 122 Dec 07 - June 09 3/9/09 4/23/10 116% 284 3/9/09 4/23/10 11 284 3/9/09 4/23/10 131% 284 3/9/09 4/23/10 111% 284 Average 86% 258 81% 230 84% 258 71% 248 Median 88% 284 95% 284 78% 284 72% 284 Recession Period Russell 1000 Russell 1000 Growth Russell 1000 Value S&P 500 Trough Peak % Chg Trd Days Trough Peak % Chg Trd Days Trough Peak % Chg Trd Days Trough Peak % Chg Trd Days Jan 80 - July 80 3/27/80 11/28/80 46% 176 N/A N/A N/A N/A N/A N/A N/A N/A 3/27/80 11/28/80 43% 176 July 81 - Nov 82 8/12/82 10/10/83 7 302 N/A N/A N/A N/A N/A N/A N/A N/A 8/12/82 10/10/83 69% 302 July 90 - Mar 91 10/11/90 1/15/92 47% 318 10/11/90 1/14/92 64% 317 10/11/90 2/20/92 44% 343 10/11/90 1/15/92 42% 318 Mar 01 - Nov 01 9/21/01 3/19/02 22% 122 9/21/01 12/5/01 28% 52 9/21/01 3/19/02 22% 122 9/21/01 1/4/02 21% 72 Dec 07 - June 09 3/9/09 4/23/10 83% 284 3/9/09 4/23/10 8 284 3/9/09 4/23/10 94% 284 3/9/09 4/23/10 8 284 Average 53% 240 57% 218 53% 250 51% 230 Median 47% 284 64% 284 44% 284 43% 284 Source: CS US Equity Strategy, Russell, S&P Capital IQ ClariFi, Thomson Reuters, NBER 19

2016 Consensus GDP Expectations Have Been Falling 2016 GDP forecasts have tumbled in recent months we are watching for a break below 2%. Small caps tend to lag large caps when GDP forecasts fall, as has been the case recently. Sell Side GDP Forecasts vs. Small Cap Performance Relative Performance to Large Cap 3.6 1.20 3.2 1.15 2.8 1.10 2.4 1.05 2.0 1.00 1.6 0.95 1.2 0.90 R2 Rel to R1 2010 2011 2012 2013 2014 2015 2016 Source: CS US Equity Strategy, Bloomberg, as of January 22 nd, 2016 20

US Equities Struggle in 0-2% GDP Stocks tend to rise in years where real GDP is above 2%, but struggle in the 0-2% range. Even if recession is avoided in the next year, we are keeping an eye on where consensus GDP expectations drift down for 2016. Normally, both small caps and large caps struggle in the 0-2% real GDP range. Most 0-2% years have occurred around recessions or major equity market crises marked by global growth scares (1990, 2001, 2002, 2007, 2011, 2013). CS economists believe the most likely scenario for the next two years is sustained real growth of just over 2%, though they note downside risks related to credit markets, energy and China. Small vs. Large Returns In Real US GDP Ranges Starts In 1979, Based On Price Returns Real GDP R2000 S&P 500 R2 Less SP5 Range Avg % Up Avg % Up Avg % Beat Above 5% -1 1% 10-11% 4% to 5% 16% 71% 18% 86% -2% 71% 3% to 4% 1 78% 1 89% 44% 2% to 3% 19% 88% 14% 88% 5% 75% 1% to 2% -3% 2 1% 4-3% 4 to 1% 1% 10-13% 14% 10-1% to 14% 67% 5% 67% 1 10 Below -1% 23% 10 19% 10 4% 10 Small vs. Mid vs. Mega Returns in Real US GDP Ranges Starts In 1986, Based On Price Returns Current CS forecast for 2016 Where equities struggle Real GDP R2000 RMid RTop 200 Mid Less R2 Mid Less Top 200 Range Avg % Up Avg % Up Avg % Beat Avg % Up Avg % Up Above 5% NA NA NA NA NA NA NA NA NA NA 4% to 5% 11% 6 15% 50 17% 8 4% 6-2% 4 3% to 4% 7% 75% 11% 60 9% 88% 4% 75% 2% 5 2% to 3% 21% 10 21% 70 16% 10-1% 43% 5% 86% 1% to 2% -3% 2 20 1% 6 3% 8-1% 6 to 1% 1% 10-7% -16% -8% 9% 10-1% to 4% 5-3% 10-6% 5-7% 3% 5 Below -1% 25% 10 38% 10 21% 10 12% 10 16% 10 Source: CS US Equity Strategy, Bloomberg, S&P Capital IQ/ClariFi Current CS forecast for 2016 Where equities struggle 21

APPENDIX: JANUARY PERFORMANCE IN A NUTSHELL OVERVIEW APPENDIX: VALUATION UPDATE RECESSION PLAYBOOK Appendix: Valuation Update

Large Cap Valuations Have Come Down, But Still Stretched Our large cap valuation model remains elevated, even after the sell-off seen so far in January. Our multi factor S&P 500 valuation composite is at 0.62 standard deviations above its 30 year average. On average, large caps have gained 6% on a 12 month forward basis from these levels. Early in 2015, this model was at more than 1.5 standard deviations, a level typically followed by declines in the S&P 500 over the next 12 months. At its high, this model was above pre-financial crisis highs but was below Tech bubble highs. Although valuations are below their 1H15 highs, we continue to view stock market valuations as a negative in our six DRIVERs framework, and believe that they remain a key headwind for US equities as 2016 gets off to a start. Large Cap Valuation - Long Term Model S&P 500; unweighted median LTM P/E ex negative EPS, P/B, LTM P/S, NTM P/E ex negative EPS 3 75% Large Cap Valuation Test - Long Term Model Average 12 month forward return of the S&P 500 from specified range on our multi factor valuation composite 3 2 1 0-1 5 25% -25% 25% 2 15% 1 5% -2-5 -3-75% -5% -1 12 Month Forward Return (right axis) Valuation Composite (left axis) Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, Thomson Reuters/IBES, Compustat; as of January 19 th, 2016 (near market lows) 23

Small Cap Valuations Starting to Look More Compelling Small cap valuations have dropped from their 2014/early 2015 highs, now on the cusp of attractive territory. After early January s sell-off, our multi factor Russell 2000 valuation composite is just barely below its 30 year average (-0.10 standard deviations), now in a range where small cap gains have averaged 12% over the next 12 months. Interestingly, this model has fallen well below the lows of 2003-2007. Valuations for small cap (as well as large cap) stayed in a narrow range throughout much of this time frame without ever turning cheap again. This break could be signaling that small caps are likely to return to clearly inexpensive territory before a sustainable uptrend in US equity markets can be found. Small Cap Valuation - Long Term Model Russell 2000; unweighted median LTM P/E ex negative EPS, P/B, LTM P/S, NTM P/E ex negative EPS 3 2 1 0-1 -2-3 75% 5 25% -25% -5-75% Small Cap Valuation Test - Long Term Model Average 12 month forward return of the Russell 2000 from specified range on our multi factor valuation composite 45% 4 35% 3 25% 2 15% 1 5% 12 Month Forward Return (right axis) Valuation Composite (left axis) Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, Thomson Reuters/IBES, Compustat; as of January 19 th, 2016 (at market lows) 24

Small Caps Even More Attractive vs. Large Small caps have become the cheapest they ve been relative to large cap since the Tech bubble. Our multi factor R2000/S&P 500 valuation composite is at -1.13 standard deviations below its 30 year average, a level approaching its 1990 low. On average, small/large relative returns have been 8% from these levels over the next 12 months. While it is difficult to get bullish on small caps relative to large caps in the short term, we view any near-term underperformance as a buying opportunity in small caps for the longer-term. Small/Large Relative Valuation - Long Term Model Russell 2000 vs. S&P 500; unweighted median LTM P/E ex negative EPS, P/B, LTM P/S, NTM P/E ex negative EPS 3 33% Small/Large Relative Valuation Test - Long Term Model Average 12 month forward return of the Russell 2000 relative to the S&P 500 from specified range 2 2 22% 15% 1 0-1 -2-3 11% -11% -22% -33% 1 5% -5% -1 12 Month Forward Relative Return (right axis) Valuation Composite (left axis) Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, Thomson Reuters/IBES, Compustat; as of January 19 th, 2016 (near market lows) 25

Mid Cap Valuations Also Remain Stretched Mid cap valuations are well below the record highs achieved earlier this year, but are still elevated. Our multi factor Russell mid cap valuation composite is 0.42 standard deviations above its 30 year average, where mid cap returns have averaged 12% on a 12 month forward basis. Mid Cap Valuation - Long Term Model Russell mid cap; unweighted median LTM P/E ex negative EPS, P/B, LTM P/S, NTM P/E ex negative EPS 3 2 1 0-1 -2-3 75% 5 25% -25% -5-75% Mid Cap Valuation Test - Long Term Model Average 12 month forward return of the Russell mid cap index from specified range on our multi factor valuation composite 45% 4 35% 3 25% 2 15% 1 5% 12 Month Forward Return (right axis) Valuation Composite (left axis) Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, Thomson Reuters/IBES, Compustat; as of January 19 th, 2016 (near market lows) 26

Mid Remains Extremely Expensive vs. Small After sell-off in January so far, mid cap valuations have become even more expensive relative to small cap. Our multi factor mid/small valuation composite is at 1.76 standard deviations vs. its 11 year average, a new high (post 2003). On average, mid lags small by about 13% from these levels. Mid/Small Relative Valuation - Short Term Model Russell mid cap relative to Russell 2000; unweighted median LTM P/E Ex Neg EPS, P/B LTM P/S, Normalized P/E, NTM EV/Sales, NTM P/E Ex Neg EPS, NTM P/CF 3 15% Mid/Small Relative Valuation Test - Short Term Model Average 12 month forward return of the Russell mid cap index relative to the 2000 from specified range 1 2 1 5% 1 0 5% -1-5% -5% -2-3 -1-15% -1 12 Month Forward Relative Return (right axis) Valuation Composite (left axis) -15% Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, Thomson Reuters/IBES, Compustat; as of January 19 th, 2016 (near market lows) 27

Mid Has Become Neutral vs. Mega Mid caps valuations have slipped to neutral relative to mega caps. Our multi factor mid/mega cap valuation composite is at -0.02 standard deviations below its 30 year average. This model is now just barely within a range where mid typically leads mega cap by about 4%. Mid/Mega Relative Valuation - Long Term Model Russell mid cap relative to Russell Top 200; unweighted median LTM P/E ex negative EPS, P/B, LTM P/S, NTM P/E ex negative EPS 3 2 1 0-1 -2-3 3 2 1-1 -2-3 Mid/Mega Relative Valuation Test - Long Term Model Average 12 month forward return of the Russell mid cap index relative to Top 200 from specified range 14% 12% 1 8% 6% 4% 2% -2% -4% 12 Month Forward Relative Return (right axis) Valuation Composite (left axis) Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, Thomson Reuters/IBES, Compustat; as of January 19 th, 2016 (near market lows) 28

Small Growth Attractive vs. Value on P/E, Neutral on PEG Growth looks attractive vs. value on a relative P/E basis, but neutral on a relative PEG basis. Note that we compare current readings to 12 year averages, and exclude the Tech bubble of the late 1990 s from our valuation analysis. Small Cap Growth/Value Relative Forward P/E vs. 12 Month Forward Return NTM Ex Negative EPS, Unweighted Median Small Cap Growth/Value Relative PEG Ratio vs. 12 Month Forward Return Ex Negative EPS, Unweighted Median 1.39 25% 1.01 2 1.34 2 0.96 15% 15% 1.29 0.91 1 1 1.24 5% 0.86 5% 1.19 0.81 1.14-5% 0.76-5% 1.09-1 1.04 0.71-1 -15% 0.99-2 0.66-15% 0.94-25% 0.61-2 Forward Return (right axis) NTM P/E ex Neg EPS (left axis) Forward Return (right axis) PEG (left axis) Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, Compustat, IBES; as of January 19 th, 2016 (near market lows) 29

Mid Growth Still Attractive vs. Value on P/E and PEG The mid cap growth/value relative multiple has slipped from its 12 year average on P/E and fallen sharply on PEG to a new 12 year low. Mid Cap Cap Growth/Value Relative Forward P/E vs. 12 Month Forward Return Ex Negative EPS, Unweighted Median Mid Cap Growth/Value Relative PEG Ratio vs. 12 Month Forward Return Ex Negative EPS, Unweighted Median 1.36 2 1.03 2 1.31 15% 1.26 1 0.93 1 1.21 5% 1.16 0.83 1.11-5% 1.06-1 0.73-1 1.01-15% 0.96-2 0.63-2 Forward Return (right axis) NTM P/E ex Neg EPS (left axis) Forward Return (right axis) PEG (left axis) Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, Compustat, IBES; as of January 19 th, 2016 (near market lows) 30

Large Growth Still Attractive vs. Value on P/E and PEG The large cap growth/value relative multiple has slipped on P/E and fallen sharply on PEG to a new 12 year low. Large Cap Cap Growth/Value Relative Forward P/E vs. 12 Month Forward Return Ex Negative EPS, Unweighted Median Large Cap Growth/Value Relative PEG Ratio vs. 12 Month Forward Return Ex Negative EPS, Unweighted Median 1.37 2 1.00 21% 1.32 15% 0.95 14% 1.27 1 1.22 5% 0.90 7% 1.17 0.85 1.12-5% 0.80-7% 1.07-1 1.02-15% 0.75-14% 0.97-2 0.70-21% Forward Return (right axis) NTM P/E ex Neg EPS (left axis) Forward Return (right axis) PEG (left axis) Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, Compustat, IBES; as of January 19 th, 2016 (near market lows) 31

Valuations Industry Groups Relative to Benchmark Transports, Energy, Tech HW & Equip, and Div d Financials are undervalued in both small and large cap. Large cap Software & Services, small cap Commercial & Professional Services, and small cap Capital Goods also have compelling valuations vs. the broader market. At the start of 2016, many defensive groups (Health Care, Food Beverage & Tobacco, large cap Food & Staples Retail) looked very expensive relative to the broad market. After strong outperformance in January so far, Utilities now also looks expensive vs. the broad market in small and large cap. In small cap, Telecom and Insurance are also among the groups that appear to be most overvalued. Pharma/Biotech valuations have improved in small cap, now fairly valued, though the group still looks expensive in large cap. Small Cap Industry Group Valuation Model Rankings Russell 2000, Relative to Benchmark, Z Score vs. Post 2004 Average, ex REITs HC Equipment & Svcs Utilities Food Beverage & Tobacco Telecom Svcs Insurance Autos & Components Media Software & Services Banks Consumer Services HH & Personal Products Semis & Semi Equipment Pharma, Biotech & Life Sci Food & Staples Retailing Retailing Consumer Durables & Apparel Materials Diversified Financials Capital Goods Commercial & Professional Svcs Tech HW & Equipment Transportation Energy -3-2 -1 0 1 2 3 Large Cap Industry Group Valuation Model Rankings Russell 1000, Relative to Benchmark, Z Score vs. Post 2004 Average, ex REITs Food Beverage & Tobacco Utilities Food & Staples Retailing Pharma, Biotech & Life Sci HC Equipment & Svcs Materials Commercial & Professional Svcs Consumer Services HH & Personal Products Capital Goods Consumer Durables & Apparel Insurance Autos & Components Retailing Banks Telecom Svcs Semis & Semi Equipment Media Diversified Financials Software & Services Tech HW & Equipment Energy Transportation -3-2 -1 0 1 2 3 Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, ThomsonReuters/IBES, Compustat; updated as of January 19 th, 2016 (near market lows) 32

Valuations Against the Industry Groups Own History Many groups in large cap continue to look overvalued relative to their own history. Within small cap, most groups look undervalued. Defensive groups including Food Beverage & Tobacco, Utilities, HC Equipment & Services, small cap Telecom, large cap Food & Staples Retail, and large cap Pharma/Biotech look particularly overvalued relative to history. Energy and Transports are the most undervalued groups in small and large cap on this basis. Small Cap Industry Group Valuation Model Rankings Russell 2000, Absolute, Unweighted Medians, Z Score vs. Post 2004 Average, ex REITs Utilities Food Beverage & Tobacco Telecom Svcs HC Equipment & Svcs Media Insurance Autos & Components Consumer Services Software & Services HH & Personal Products Banks Semis & Semi Equipment Pharma, Biotech & Life Sci Food & Staples Retailing Retailing Diversified Financials Consumer Durables & Apparel Tech HW & Equipment Materials Commercial & Professional Svcs Capital Goods Transportation Energy -2-1 0 1 2 3 Large Cap Industry Group Valuation Model Rankings Russell 1000, Absolute, Unweighted Medians, Z Score vs. Post 2004 Average, ex REITs Food Beverage & Tobacco Utilities Food & Staples Retailing Pharma, Biotech & Life Sci HC Equipment & Svcs Materials Commercial & Professional Svcs Consumer Services HH & Personal Products Insurance Consumer Durables & Apparel Capital Goods Software & Services Autos & Components Retailing Media Tech HW & Equipment Telecom Svcs Semis & Semi Equipment Banks Diversified Financials Transportation Energy -2-1 0 1 2 3 Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, ThomsonReuters/IBES, Compustat; updated as of January 19 th, 2016 (near market lows) 33

Industry Group Valuations - Mid vs. Small & Large How the industry groups stack up in mid cap vs. small cap and mega cap on forward P/E. Groups that look overvalued in mid cap relative to small cap include Capital Goods, Commercial & Professional Services, and Tech HW while Media, Semis, and Banks look especially undervalued in mid relative to small. Groups that look overvalued in mid cap relative to mega cap include Tech HW and Food & Staples Retail while Capital Goods, Energy, and Retail look undervalued. Mid vs Small Cap Relative Valuation Rankings NTM P/E ex Neg EPS, Z Score since '04, RMid, R2000 Capital Goods Commercial & Professional Services Tech HW & Equipment Food & Staples Retailing Materials Food Beverage & Tobacco Insurance Pharma, Biotech & Life Sci Consumer Durables & Apparel Household & Personal Products Health Care Equipment & Services Utilities Transportation Energy Automobiles & Components Software & Services Diversified Financials Retailing Consumer Services Banks Semis & Semi Equipment Media (2) (1) - 1 2 3 4 Mid vs Mega Cap Relative Valuation Rankings NTM P/E ex Neg EPS, Z Score since '04, RMid, RTop 200 Tech HW & Equipment Food & Staples Retailing Insurance Health Care Equipment & Services Automobiles & Components Semis & Semi Equipment Consumer Durables & Apparel Food Beverage & Tobacco Banks Household & Personal Products Consumer Services Media Transportation Utilities Materials Diversified Financials Software & Services Pharma, Biotech & Life Sci Commercial & Professional Services Retailing Energy Capital Goods (3) (2) (1) - 1 2 3 Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, ThomsonReuters/IBES, Compustat; as of Jan 19 th, 2016 (near market lows); Telecom omitted due to low data quality 34

APPENDIX: JANUARY PERFORMANCE IN A NUTSHELL OVERVIEW APPENDIX: VALUATION UPDATE RECESSION PLAYBOOK Appendix: January Performance in a Nutshell

Size & Style: Microcaps & Small Caps Hit Hardest Microcaps and small caps have lagged the most so far in January. Growth underperformed value within small cap, but in large cap value underperformed growth. In mid cap there has been no meaningful difference in performance. Performance below is capturing month to date trends through the close on January 20 th. Major Size Index Returns: January 2016 MTD Price Returns Major Style Index Returns: January 2016 MTD Price Returns S&P 500 Index -9. Russell 2000 Growth -12.6% Russell 2000 Value -11.5% Russell 1000 Index -9.4% Russell Mid Cap Index -10.5% Russell Mid Cap Growth Index -10.4% NASDAQ Composite Index -10.7% Russell Mid Cap Value Index -10.6% Russell 2000 Index -12. Russell 1000 Growth Index -8.8% Russell Microcap Index -13.3% Russell 1000 Value Index -10. -2-15% -1-5% -15% -1-5% Source: CS US Equity Strategy, Russell, Bloomberg, performance through 1/20/2016 36

Industry Groups: Defensives Held Up Best Many defensive groups Utilities, large cap Telecom Services, Food Beverage & Tobacco, HH & Personal Products and large cap Food & Staples Retail have outperformed so far in January. Autos, Energy, large cap Banks, small cap Pharma/Biotech, Materials, large cap Semis and Diversified Financials have been hit hardest. Small Cap Industry Groups Ranked by Jan MTD Perf Relative Total Returns (vs. Idx), R2000 Industry Groups Large Cap Industry Groups Ranked by Jan MTD Perf Relative Total Returns (vs. Idx), R1000 Industry Groups Utilities Food Beverage & Tobacco Household & Personal Products Consumer Services Commercial & Prof Svcs Retailing HC Equipment & Svcs Insurance Media Semis & Semi Equipment Real Estate Software & Services Telecommunication Services Banks Capital Goods Consumer Durables & Apparel Food & Staples Retailing Tech HW & Equipment Transportation Automobiles & Components Diversified Financials Materials Pharma, Biotech & Life Sci Energy -2-1 1 Utilities Telecommunication Services Food Beverage & Tobacco Household & Personal Products Food & Staples Retailing Media HC Equipment & Svcs Commercial & Prof Svcs Consumer Services Real Estate Pharma, Biotech & Life Sci Software & Services Insurance Consumer Durables & Apparel Capital Goods Tech HW & Equipment Retailing Transportation Diversified Financials Materials Semis & Semi Equipment Energy Banks Automobiles & Components -2-15% -1-5% 5% 1 15% Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, performance through 1/20/2016 37

Correlations: Climbed Higher In December & Early January One month realized correlations have climbed higher across small, mid and large caps, but still remain below September 2015 peak levels. 1 Mth IPC: Small Cap Calculated using daily total returns, past 21 business days, Russell 2000 8 7 6 5 4 3 2 1 1 Mth IPC: Large Cap Calculated using daily total returns, past 21 business days, S&P 500 8 7 6 5 4 3 2 1 1 Mth IPC: Mid Cap Calculated using daily total returns, past 21 business days, Russell Mid Cap 8 7 6 5 4 3 2 1 Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, as of 1/20/2016 1 Mth IPC by Size Index as of January 20th, 2016 Calculated using daily total returns, past 21 business days, R2000, RMid, S&P 500 8 7 6 5 4 3 2 1 Small Cap Mid Cap Large Cap 38

Correlations: Elevated in Banks & Autos Relative to other industry groups, realized correlations are high in Banks, Autos, Insurance, Pharma/Biotech, Energy large cap Telecom and small cap Semis. Small Cap Industry Groups Ranked by 1 Mth IPC as of Jan 20, 2016 Calculated using daily total returns, past 21 business days, Russell 2000 Banks Automobiles & Components Semis & Semi Equipment Pharma, Biotech & Life Sci Insurance Energy Capital Goods Materials Commercial & Professional Svcs Real Estate Food & Staples Retailing Technology Hardware & Equipment Telecommunication Services Transportation Utilities Software & Services Retailing HC Equipment & Svcs Food Beverage & Tobacco Consumer Durables & Apparel Diversified Financials Consumer Services Household & Personal Products Media 2 4 6 8 10 Large Cap Industry Groups Ranked by 1 Mth IPC as of Jan 20, 2016 Calculated using daily total returns, past 21 business days, Russell 1000 Banks Automobiles & Components Insurance Telecommunication Services Diversified Financials Energy Pharma, Biotech & Life Sci Transportation Commercial & Professional Svcs Media Capital Goods Food & Staples Retailing Real Estate Utilities Software & Services Food Beverage & Tobacco Semis & Semi Equipment Technology Hardware & Equipment Materials HC Equipment & Svcs Household & Personal Products Consumer Services Consumer Durables & Apparel Retailing 2 4 6 8 10 Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, as of 1/20/2016 39

Historical Context: Pullbacks Come In a Variety of Depths In the latest pullback in US equities, peak to trough declines have been worse than the drops seen after the 9/11 terrorist attacks and in the summer of 2010. However, there is considerable room to travel before reaching the depths achieved in the summer of 2011 and the 1998 LTCM crisis. Typically, small caps get hit harder than large caps in major broad market declines this has also been true in the most recent retreat. EVENT Russell 2000 Russell 1000 S&P 500 Peak Date Trough Date % Pullback Peak Date Trough Date % Pullback Peak Date Trough Date % Pullback Asian Crisis/Russian Crisis/LTCM 4/21/1998 10/8/1998-37% 7/17/1998 10/8/1998-2 7/17/1998 8/31/1998-19% Tech Bubble 3/9/2000 10/9/2002-46% 9/1/2000 10/9/2002-5 3/24/2000 10/9/2002-49% 9/11 Sell-Off 9/7/2001 9/21/2001-15% 9/10/2001 9/21/2001-12% 9/10/2001 9/21/2001-12% Financial Crisis 7/13/2007 3/9/2009-6 10/9/2007 3/9/2009-57% 10/9/2007 3/9/2009-57% Summer of 2010 6/15/2010 7/6/2010-12% 6/18/2010 7/2/2010-9% 6/18/2010 7/2/2010-8% Summer of 2011 7/7/2011 10/3/2011-29% 7/7/2011 10/3/2011-2 7/7/2011 10/3/2011-19% 2015-2016 Global Growth Scare 6/23/2015 1/19/2016-23% 5/21/2015 1/20/2016-14% 5/21/2015 1/20/2016-13% Median % Pullback Ex Tech Bubble & Financial Crisis: -22% -16% -15% Average % Pullback Ex Tech Bubble & Financial Crisis: -23% -15% -15% Median % Pullback Ex 9/11: -37% -2-19% Average % Pullback Ex 9/11: -37% -31% -31% Source: CS US Equity Strategy, Russell, S&P Capital IQ/ClariFi, ThomsonReuters; as of January 26 th, 2016 40

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