CMA FIVE-YEAR OUTLOOK: 2018

RETURN/RISK TABLE & CORRELATION MATRIX

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ASSET CLASS (ROWS):

FIXED INCOME
EQUITY
REAL ASSETS
ALTERNATIVES

FIVE-YEAR CMA FORECAST:

GEOMETRIC RETURN
ARITHMETIC RETURN
RISK

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              FIXED INCOME EQUITIES REAL ASSETS ALTERNATIVES
        FIVE-YEAR CMA FORECAST UNITED STATES EUROPE JAPAN UK CANADA AUSTRALIA GLOBAL DEVELOPED MARKETS EMERGING MARKETS GLOBAL
ASSET CLASS    
Benchmark
Geometric Return Arithmetic Return Risk Cash                                                                              
FIXED INCOME UNITED STATES Cash FTSE Treasury Bill 3 Mon 2.2 2.2 0.5 1.00 Inflation
Linked
                                                                           
Inflation Linked BBgBarc Gbl Infl Linked US TIPS 2.9 3.1 6.1 0.02 1.00 Investment
Grade
                                                                         
Investment Grade BBgBarc US Agg Bond 3.6 3.7 3.4 0.02 0.80 1.00 High Yield                                                                        
High Yield BBgBarc US Corporate High Yield 4.9 5.3 9.1 -0.10 0.35 0.24 1.00 Municipal                                                                      
Municipal BBgBarc Municipal 1-10Y Blend 1-12Y 3.2 3.2 3.0 0.00 0.59 0.75 0.22 1.00 Cash                                                                    
EUROPE Cash JPM GBI Germany 3 Mon -0.3 0.2 10.2 0.12 0.37 0.25 0.39 0.12 1.00 Inflation
Linked
                                                                 
Inflation Linked BBgBarc Euro Govt Infl Lkd 1.2 2.0 12.3 0.06 0.54 0.45 0.47 0.27 0.91 1.00 Investment
Grade
                                                               
Investment Grade BBgBarc Euro Agg Bond 1.8 2.4 10.6 0.06 0.49 0.44 0.40 0.28 0.95 0.97 1.00 Cash                                                              
JAPAN Cash JPM GBI Japan 3 Mon 0.0 0.5 9.6 0.04 0.36 0.41 -0.07 0.38 0.22 0.23 0.27 1.00 Inflation
Linked
                                                           
Inflation Linked BBgBarc JPN Govt Infl Lkd 0.5 1.0 10.4 0.00 0.55 0.52 0.18 0.44 0.32 0.39 0.38 0.90 1.00 Investment
Grade
                                                         
Investment Grade BBgBarc Japanese Aggregate 0.5 1.0 10.3 0.03 0.39 0.46 -0.08 0.41 0.22 0.25 0.29 0.98 0.90 1.00 Cash                                                        
UK Cash JPM GBI UK 3 Mon 0.9 1.3 9.1 0.11 0.22 0.02 0.41 -0.01 0.61 0.54 0.56 0.02 0.11 -0.01 1.00 Inflation
Linked
                                                     
Inflation Linked BBgBarc Gbl Infl Linked UK 1.7 2.3 11.0 0.02 0.59 0.42 0.51 0.28 0.56 0.63 0.61 0.13 0.31 0.15 0.68 1.00 Investment
Grade
                                                   
Investment Grade BBgBarc Sterling Agg 2.5 3.0 9.6 0.01 0.49 0.40 0.43 0.24 0.58 0.63 0.64 0.14 0.25 0.15 0.83 0.86 1.00 Cash                                                  
CANADA Cash FTSE TMX Canada 91 Day TBill 1.6 2.1 9.7 0.12 0.28 0.12 0.57 0.06 0.56 0.56 0.53 0.05 0.17 0.03 0.52 0.41 0.44 1.00 Inflation
Linked
                                               
Inflation Linked FTSE TMX Canada Real Return Bond 2.3 3.1 12.7 0.03 0.63 0.42 0.62 0.26 0.54 0.64 0.57 0.15 0.35 0.15 0.41 0.58 0.53 0.78 1.00 Investment
Grade
                                             
Investment Grade FTSE TMX Canada Universe Bond 2.9 3.4 9.7 0.08 0.50 0.40 0.61 0.27 0.58 0.65 0.62 0.17 0.31 0.17 0.48 0.52 0.54 0.93 0.88 1.00 High Yield                                            
High Yield ICE BofAML CA HY CA Isurs 4.5 5.3 12.5 0.03 0.28 0.20 0.60 0.02 0.58 0.59 0.57 0.03 0.14 0.01 0.52 0.46 0.52 0.88 0.75 0.87 1.00 Cash                                          
AUSTRALIA Cash ICE BofAML CA HY CA Isurs 2.5 3.3 13.0 0.06 0.45 0.28 0.58 0.12 0.72 0.71 0.70 0.13 0.28 0.12 0.56 0.55 0.57 0.73 0.75 0.76 0.75 1.00 Investment
Grade
                                       
Investment Grade BBgBarc Global Australia 3.5 4.3 12.3 0.03 0.58 0.47 0.54 0.27 0.72 0.75 0.75 0.26 0.41 0.26 0.50 0.60 0.61 0.67 0.76 0.77 0.70 0.96 1.00 Global
Aggregate
                                     
GLOBAL Global Aggregate BBgBarc Global Aggregate 2.7 2.9 5.7 0.06 0.70 0.72 0.36 0.52 0.77 0.85 0.88 0.60 0.70 0.63 0.44 0.63 0.66 0.45 0.61 0.63 0.49 0.64 0.76 1.00 Global
High Yield
                                   
Global High Yield BBgBarc Global High Yield 4.6 5.1 9.7 -0.08 0.43 0.30 0.97 0.25 0.54 0.62 0.56 -0.03 0.22 -0.04 0.50 0.58 0.52 0.65 0.69 0.69 0.68 0.68 0.65 0.49 1.00 Emerging
Market Debt
                                 
Emerging Markets Debt JPM GBI-EM Global Diversified 5.8 6.5 11.7 0.09 0.48 0.41 0.63 0.28 0.68 0.74 0.72 0.18 0.34 0.18 0.45 0.54 0.53 0.65 0.70 0.73 0.69 0.82 0.83 0.69 0.73 1.00 United
States
                               
EQUITIES DEVELOPED MARKETS United States MSCI USA IMI 5.8 6.8 13.8 -0.06 0.11 -0.02 0.70 -0.05 0.42 0.43 0.39 -0.21 -0.01 -0.22 0.39 0.35 0.35 0.58 0.53 0.56 0.62 0.58 0.51 0.24 0.72 0.58 1.00 Europe                              
Europe EUROPE ex UK IMI 6.3 8.2 19.5 0.04 0.17 0.07 0.70 0.01 0.64 0.63 0.61 -0.11 0.07 -0.13 0.52 0.46 0.48 0.60 0.57 0.60 0.65 0.66 0.60 0.42 0.77 0.70 0.87 1.00 Japan                            
Japan MSCI Japan IMI 6.0 7.1 15.0 -0.04 0.19 0.10 0.51 0.00 0.33 0.39 0.34 0.02 0.15 -0.03 0.35 0.35 0.33 0.45 0.46 0.47 0.49 0.48 0.44 0.29 0.55 0.51 0.62 0.63 1.00 United
Kingdom
                         
United Kingdom MSCI UK IMI 6.3 7.7 16.6 0.02 0.18 0.06 0.71 0.03 0.56 0.55 0.54 -0.13 0.04 -0.15 0.64 0.53 0.58 0.65 0.59 0.64 0.68 0.67 0.59 0.38 0.77 0.65 0.85 0.92 0.62 1.00 Canada                        
Canada MSCI Canada IMI 5.5 7.4 19.6 0.07 0.27 0.08 0.69 0.04 0.51 0.53 0.48 -0.05 0.10 -0.08 0.51 0.44 0.44 0.85 0.75 0.81 0.82 0.72 0.65 0.38 0.75 0.67 0.78 0.76 0.57 0.82 1.00 Australia                      
Australia MSCI Australia IMI 7.7 10.1 21.9 0.05 0.31 0.16 0.69 0.03 0.58 0.60 0.57 -0.05 0.13 -0.06 0.49 0.46 0.48 0.66 0.68 0.68 0.71 0.85 0.78 0.46 0.75 0.77 0.79 0.82 0.61 0.82 0.81 1.00 Developed
Markets
                   
Developed Markets MSCI World IMI 6.0 7.1 14.6 -0.02 0.17 0.04 0.74 -0.02 0.53 0.54 0.50 -0.15 0.04 -0.17 0.49 0.44 0.45 0.65 0.61 0.64 0.69 0.67 0.60 0.35 0.78 0.68 0.97 0.95 0.71 0.93 0.84 0.86 1.00 Asia                  
EMERGING MARKETS Asia EM ASIA IMI 8.8 11.1 21.3 0.07 0.24 0.11 0.67 0.01 0.47 0.50 0.46 -0.07 0.09 -0.09 0.41 0.40 0.40 0.62 0.63 0.63 0.66 0.71 0.65 0.36 0.71 0.70 0.75 0.80 0.62 0.76 0.78 0.82 0.82 1.00 Latin
America
               
Latin America EM LATIN AMERICA IMI 6.5 9.9 26.0 0.13 0.28 0.12 0.67 0.08 0.54 0.52 0.50 0.02 0.16 0.00 0.44 0.42 0.38 0.71 0.65 0.69 0.71 0.77 0.69 0.41 0.74 0.79 0.69 0.73 0.55 0.74 0.84 0.82 0.77 0.79 1.00 EMEA              
EMEA EM EMEA IMI 7.5 10.2 23.3 0.06 0.32 0.15 0.66 0.03 0.58 0.59 0.55 -0.01 0.14 -0.04 0.49 0.49 0.48 0.69 0.69 0.70 0.74 0.77 0.71 0.45 0.74 0.81 0.74 0.82 0.65 0.82 0.84 0.85 0.83 0.83 0.88 1.00 Emerging
Markets
           
Emerging Markets MSCI EM IMI 8.3 10.6 21.3 0.08 0.28 0.13 0.71 0.03 0.54 0.56 0.52 -0.04 0.12 -0.07 0.46 0.45 0.45 0.69 0.68 0.70 0.72 0.78 0.71 0.42 0.77 0.78 0.78 0.84 0.65 0.81 0.85 0.87 0.86 0.97 0.90 0.93 1.00 Global
Equities
         
GLOBAL Global Equities MSCI ACWI IMI 6.2 7.3 15.0 0.00 0.19 0.05 0.75 -0.01 0.54 0.55 0.52 -0.14 0.06 -0.16 0.49 0.45 0.46 0.66 0.63 0.66 0.71 0.70 0.63 0.36 0.80 0.71 0.96 0.95 0.71 0.93 0.85 0.88 1.00 0.86 0.80 0.86 0.90 1.00 Natural
Resources
       
REAL ASSETS Natural Resources S&P Global Natural Resources 7.2 9.2 20.0 0.11 0.23 0.02 0.57 -0.04 0.56 0.53 0.51 -0.01 0.09 -0.05 0.51 0.40 0.42 0.70 0.62 0.67 0.69 0.72 0.64 0.38 0.64 0.66 0.70 0.75 0.58 0.81 0.87 0.81 0.79 0.75 0.83 0.83 0.83 0.81 1.00 Listed
Real Estate
     
Listed Real Estate MSCI ACWI IMI Core RE 6.0 7.7 18.6 0.00 0.36 0.28 0.76 0.17 0.50 0.58 0.53 0.01 0.21 0.01 0.42 0.52 0.51 0.57 0.64 0.63 0.63 0.66 0.65 0.49 0.80 0.74 0.81 0.80 0.65 0.78 0.72 0.80 0.85 0.76 0.70 0.77 0.79 0.86 0.62 1.00 Listed
Infrastructure
   
Listed Infrastructure S&P Global Infrastructure 5.4 6.5 14.6 0.08 0.37 0.29 0.72 0.17 0.64 0.69 0.66 0.03 0.24 0.03 0.52 0.58 0.57 0.67 0.69 0.72 0.70 0.73 0.71 0.58 0.78 0.77 0.79 0.87 0.64 0.85 0.80 0.84 0.87 0.77 0.77 0.82 0.83 0.88 0.76 0.85 1.00 Hedge
Funds
 
ALTERNATIVES Hedge Funds HFRI Fund Weighted 4.3 4.5 5.7 0.07 0.21 0.02 0.72 -0.01 0.47 0.48 0.44 -0.14 0.01 -0.17 0.50 0.45 0.45 0.66 0.63 0.65 0.69 0.68 0.59 0.30 0.76 0.63 0.83 0.84 0.68 0.86 0.88 0.82 0.89 0.85 0.81 0.85 0.89 0.91 0.83 0.74 0.81 1.00 Private
Equity
Private Equity Cambridge Associate Global Private Equity 8.0 9.6 17.9 0.06 0.08 -0.16 0.67 -0.11 0.55 0.59 0.50 -0.12 0.03 -0.15 0.65 0.67 0.66 0.69 0.58 0.64 0.69 0.74 0.63 0.26 0.70 0.75 0.84 0.84 0.57 0.84 0.81 0.83 0.86 0.85 0.77 0.80 0.84 0.87 0.74 0.73 0.79 0.75 1.00

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