EFTA02691355

NYC Mayor's Office of Pensions & Investments Assessing and Mitigating Risks in Today's Market Environment Impact on Institutional Investors June 7, 2011 Ran,ii H. Nagaswomi Chief Investment Advisor Mayor's Office of Pensions and Investments New York City 6/28/2011 4.21 PM 1 EFTA_R1_02033246 EFTA02691355 NYC Mayor's Office of Pensions & Assessing and Mitigating Risks Inyestmenfs Agenda: Current Policy Portfolio Shaped by History Living with Lower Returns Identifying Risks that Matter Redrawing the Policy Roadmap 6/28/2011 4.21 PM 2 EFTA_R1_02033247 EFTA02691356 NYC Mayor's Office of Pensions & Current Policy Portfolio Shaped by History Investments Over the past several decades pension systems have targeted absolute returns at +/- 8% Given declining bond yields, this led to an overweighting of equities... ...steadily increasing the absolute risk levels of pension assets... ...resulting in policy portfolios that perform well primarily in high growth/low inflation environments [e.g. the 1990s] 6/28/2011 4.21 PM 3 EFTA_R1_02033248 EFTA02691357 NYC Mayor's Office of Pensions Declining Bond Yields Challenge Overall Plan Returns Investments 20% 18% —6 year Forward Return 16% —Beginning 10 year Treasury Yield 14% r 12% Jun '00 10 yr Treasury Yield 6.0% 10% Jun '00 - Dec '10 Return* 5.9% 8% 6% 4% Correlation of starting yield to forward return: 0.88 2% Dec 31 '10 10 yr Tsy Yield 3.3% 0% Next-5-10 yr Return Est. 3.4% 1969 1974 1979 1984 1989 1994 1999 2004 2009 Source: St. Louis Fed, Ibbotson, Research Affiliates, NEPC, NYC MOPI 6/28/2011 4.21 PM 'Merrill Lynch US Treasury Master Annualized Total Return 4 EFTA_R1_02033249 EFTA02691358 Progressively More Equity Needed to Achieve NYC Mayor's Office of Pensions 8% return Investments All U.S. Pension Plans Historical Fixed Income Allocations for 8% Mixes 100% 90% EO 80% o c 70% o P 60% c Cl LL 50% O 40% <7 cn 30% co 20% 10% 0% N c,c,t„cp („6\cob cob N N N N N N ,,,b eee95'6\95' 95' (15' rt, rt, Ocb Cf Source: Callan 6/28/2011 4.21 PM 5 EFTA_R1_02033250 EFTA02691359 NYC Mayor s Office of Penstons Equity Concentration Sharply Increased Total Risk Investments All U.S. Pension Plans Historical Projected Standard Deviations for 8% Mixes 13% Standard Deviation 8% 6% 4% 2% 0% 45 4° .,44` 00 O1' 4) „44) 4\ 41) 45 ,1,4cP 19.ci` (1941'ZOo'b LOOt' 20 •,4 (ISO ) C3 ,45)0 \ Oq5 NO 6/28/2011 4.21 Source: Callan PM 6 EFTA_R1_02033251 EFTA02691360 Equity Concentration Means Plan Returns Track NYC Mayor's Office of Pensions Equities Investments Rolling Annual Returns —New York Oty Pensions Beta Fbrttotio — awry Component 70% 50% 30% 10% -10% -30% Correlation: 98% 50" 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 Correlation of U.S. Public and Private Pension Funds to the S&P 500 98% 100% ll Percentage of Portfolios 90% 80% - 70% • 60% • 50% • 40% 30% • 20% 10% • 0% 0% • 0-.25 .25-.5 .5-.75 .75.1.0 Correlation to S&P 500 Seurat POISPCM 6 Invosttrans and Bncloawatol warn WHERE SHOWN. HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIISTATIONS UNLIKE AN ACTUAL PERFORMANCE RECORD. SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING OR THE COSTS OF MANAGING THE PORTFOLIO. ALSO. SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER OR OVER COMPENSATED FOR THE IMP ACeMTAIN MARKET FACTORS, SUCH AS LACK OF LIOUIDITY. SIMULATED TRADING PROGRAMS W GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDS7 HT. NO RE ISBEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. Source: Bridgewater EFTA_R1_02033252 EFTA02691361 NYC Mayor'S Office of Pensions 6 Redrawing the Policy Roadmap Investments Agenda: Current Policy Portfolio Shaped by History Living with Lower Returns 6/38/2011 4.21 PM 8 EFTA_R1_02033253 EFTA02691362 NYC Mayor's Office of Pensions & Living with Lower Returns Investments Significant downward revisions to next 5-10 year return assumptions* Cash 2.5% Inflation Forecast 2.5% Growth Diversifying Inflation Hedging Assets Assets Assets US Large/Small Cap Eq. 7.7% US Fixed Inc TIPS 3.2% Non US Developed Eq. 7.7% International Fixed Inc Core Real Estate 6.4% Emerging Markets Eq. 8.7% High Yield 6.17. Commodities 4.3% Private Eq. 9.6% Opportunistic Fixed Inc [Bank Loans, Distressed] 7.3% Convertibles 7.1% EM Debt 5.5% Non Core Real Estate 7.9% Absolute Return 6.6% REITs 7.6% 6/28/20114:21 * Average Forecast of Several Major Pension Consulting Firms PM 9 EFTA_R1_02033254 EFTA02691363 NYC Mayor's Office of Pensions & Living with Lower Returns Investments Actuarial investment rates of 8% unachievable with current policy portfolio, atleast for next 5+ year period We must also understand 'normal' portfolio returns in 30 year period [long term] independent of cyclical valuation anomalies Long term balanced policy portfolio should be built using normal returns Short term policy portfolio must begin transition towards long term portfolio, adjusted for cyclical- valuation opportunities 6/28/2011 4.21 PM 10 EFTA R1 02033255 EFTA02691364 NYC Mayor's Office of Pensions & Redrawing the Policy Roadmap Investments Agenda: Current Policy Portfolio Shaped by History Living with Lower Returns Identifying Risks that Matter 6/28/2011 4.21 PM 11 EFTA_R1_02033256 EFTA02691365 NYC Mayor's Office of Pensions & Identifying Risks that Matter Investments In the last decade, asset diversification tailed just when it was most needed Failure of markets or ailure of assumptions? •Model risk: Over-reliance on mean-variance analysis as the primary tool to model potential outcomes: Volatility higher than forecasted ,Downside risk in 'tail' events underestimated Markets failed to realize 'mean return expectations' Amid stress, 'normal' correlations among assets soared 6/28/2011 4.21 PM 12 EFTA_R1_02033257 EFTA02691366 NYC Mayor's Office of Pensions Limits to the Use of Mean-Variance Analysis Investments Mean Returns May Not be Realized For Long Periods of Time US Stocks (2000 - 2009) Japan Stocks (1990 - 2010) US Stocks (cumulative excess returns. In) Japan Stocks 1990 • 2010 (cumulative omen returns. In) — Aces limns —E thosRon (Apr o0) —.M 2 Sanderd larelaiths —sass Awn —11xpocied Rakoes (Jan Sek — 2 Simko Orono* 12 Probability 1 / 120 years 2.0 0.8 • 1.5 0.4 • 1.0 0.0 0.5 0.0 -0.4 -0.5 -1.0 •1.2 1.5 2000 2002 2004 2006 2008 1990 1995 2000 2010 US Bonds (1965 - 1981) US Bonds (1981 - 1987) to Bonds(cumulative moss tokens, In) US Bonds (cumulative excess ielurns In) — Las nosana —spaded fluent (Oa au —.I. 2 S.wd Drain Aetna —limbo"Returns (S 56) — il• 2 Slavard WEI= .6 0.6 0.4 0.5 ProbabilityJut/ 150 years 0.9 0.4 02 0.3 0.1 02 0.0 0.I -0.1 0.0 -0.2 -0.3 -02 -0.4 -0.3 -0.5 -0.4 -0.6 1980 1981 1982 1983 1985 1986 1965 1970 1975 1980 6/28/20114:21 Return exp0piab0nS are balled On OsernOuS 10 year volablily mulUpte00y a 025 Sharpe relict Expectations we Cased on Backteether Associates under stanOng al csowit markets. Source: Bridgewater 13 There a rkietiarantee lhal the MAAS Sown Can O. will be °thieved Saga: Global Financial Data ma and 8/162eanuet Analysis EFTA_R1_02033258 EFTA02691367 NYC Mayor's Office of Pensions Limits to the Use of Mean-Variance Analysis Investments Correlations: Unstable and Environmentally Dependent Rolling 3-yr Correlation of Monthly Excess Returns —Global Stenos and Global Nominal Bonds — Global Stocks and Global I. Bonds 80% 60% 60% 40% 40% 20% 20% 0% 0% -20% .20% 40% 40% .60% Avg Corset a 0.18 40% GO% 75 80 85 90 95 00 05 10 75 80 85 90 95 00 05 10 H Global Nominal Bonds and Cornmatinee —Global Stocks and COMMOCISS 80 60 40% 20 0 20% 40 -60 75 80 85 90 95 00 05 to 6/28/2011 4.21 14 PM Source: Bridgewater EFTA_R1_02033259 EFTA02691368 NYC Mayor's Office of Pensions 8, Identifying Risks that Matter [continued] Investments • Model Risk - failure of mean-variance assumptions • Environmental risk concentration in high growth/low inflation sensitive asset classes ■ Risk Budgetinc a necessary complement to Capital Budgeting 6/28/2011 4.21 PM 15 EFTA_R1_02033260 EFTA02691369 NYC Mayor's Office of Pensions & Economic Environments Change... Investments Environment* Eco Growth Inflation [Real GDP] [CPI] 1930-2009 3.3% 3.2% 1950s 1960s 1970s 1980s 1990s 20O0s ki Positive Economic Indicator 6/28/20114:21 PM Negative Economic Indicator 16 *Source: Bureau of Economic Analysis, Federal Reserve Bank of Minneapolis, Ibbotson SBBI, Deutsche Bonk EFTA_R1_02033261 EFTA02691370 NYC Mayor's Office of Pensions & ... Driving Asset Returns Investments Environment* Capital Markets Returns* Eco Growth Inflation Long Crude [Real GDP] [CPI] Equity Treasury Oil 1930-2009 3.3% 3.2% 9.6% 5.7% n/a 1950s 4.1 2.2 19.3 0.4 1.5 1960s 4.4 2.5 7.8 2.8 0.8 1970s 3.2 7.4 5.9 6.1 28.0 1980s 3.0 5.1 17.6 12.8 -5.4 1990s 3.2 2.9 18.2 8.0 1.7 2000s 1.8 2.6 -0.95 6.6 11.9 Positive Economic Indicator Highest Return Asset Class in decode 6/28/20114:21 PM Negative Economic Indicator Lowest Return Asset Class in decade 17 •Source: Bureau of Economic Analysis, Federal Reserve Bank of Minneapolis, Ibbotson SBIII, Deutsche Bank EFTA_R1_02033262 EFTA02691371 Environmental Risk: NYC Mayor's Office of Pensions Asset Allocation Viewed Through Another Lens Investments 60/40 Equity/Fixed Income Balanced Policy Portfolio Portfolio Asset Allocation Growth Inflation Growth Inflation Mr- Rising Rising Falling Falling 6/28/20114:21 PM Source: Bridgewater 18 ,olor 10 NUO 4 IU relOvang 05..0,05 EFTA_R1_02033263 EFTA02691372 Environmental Risk: NYC Mayor's Office of Pensions Asset Allocation Viewed Through Another Lens Investments i .s High High Growth, Low Non-U.S. Equity Emerging Equity Growth, Inflation High 1.00 "Goldilocks" CI Inflation U.S. Equity Venture Capital Buyouts S ci 0.50 Emerging Debt it I Commodities 1 Convertible o High Yield a p.00 B .?: REITs :E Absolute Return ii, -0.50 Inflation-Linked Bonds a Core U.S. Fixed rX Income L II l Asset classes with Low useful environmental Low Growth, risk diversifying Growth, Low characteristics High Inflation Inflation -1.50 -1 50 -1.00 -0.50 0.00 0.50 I i ii I.50 Sensitivity to Inflation Expectations Note: bubble size represents relative assets allocation weights for alternative #2 (with Absolute Return) and should be used for illustrative 6/28/igpia PM only. 19 Source: Rocaton EFTA_R1_02033264 EFTA02691373 Risk Budgeting a Necessary Complement to Capital NYC Mayor's Office of Pensions & Budgeting Investments Risk Budgeting Consider the portfolio from a total risk perspective rather than total return An attempt to determine the contribution to risk by each asset class in the portfolio, based on • Asset class volatility assumptions • Correlations between asset classes Shows the benefit of diversification • But also the risk exposures in relation to allocation size Especially useful if asset classes are bucketed by • Role they play in total portfolio • Risk similarity 6/28/2011 4.21 PM 20 EFTA_R 1_02033265 EFTA02691374 Risk Budgeting a Necessary Complement to Capital NYC Mayor's Office of Pensions Budgeting Investments Capital [$] Weights Weights . Equities - Large Cap . 41% • ligh Viet, - 6% . Equities - Large Cap - 510:.. tigh Yield - 4% . Equities - hll. - 15% • Beal Estate - 6% In Equities • htl. • 17% . noel Estate • 6% I Equines - Ftivate Eq. - 5% Ill Nominal Govt Bonds - 4% Equities - EM - 3% El Mortgages - 9% MI L Bonds - 3% ❑ Convert. Bonds - 1% I Equities - Pnvate Eq. - 9% El Noninal Govt Bonds - 1% Equities - EM - 7% . Mongages - 2% • IL Bonds - 0% ❑ Convert. Bonds - 1% . Noninal Bond Agg - 7% . Nonital Bond Agg - 2% . Currency - 0% Equities: 64% Equities: 84% Source: Bridgewater 6/28/2011 4.21 PM 21 EFTA_R1_02033266 EFTA02691375 Risk Budgeting: NYC Mayor's Office of Pensions & Specifies the True Role/Risk of Asset Classes Investments Alternative Buckets * Traditional Classification Risk Budgeting Classification [Based on Volatility, Correlations and Environmental Risk]** ■Growth Assets • Equities Public Equities Private Equity - Non Core Real Estate • Fixed Income REITs? Aggregate - Combine Equities and Credit as Company - High Yield Risk? • Alternatives •Diversifying Assets Private Equity Treasuries [Interest Rates] Real Estate Credit Hedge Funds •I6 Corp • HY + Distressed • EM Debt Hedge Funds - REITs? •Inflation Hedging Assets - Inflation Linked Bonds - Core Real Estate - Commodities/Energy - Timber/Farmland 6/28/20114:21 PM *Many variations possible. All subjective! 22 ** Risk Buckets as defined by 5I5, MOPI estimate of asset class membership within buckets EFTA_R1_02033267 EFTA02691376 Risk Budgeting: NYC Mayor's Office of Pensions Risk Allocation, Not $ Allocation Matters Investments Capital [$] Risk Weights Weights Classifying Asset Classes by Risk Characteristics/Role in Asset Allocation 100% 100% % Growth Risk % Diversifying Risk 26% 5% % Inflation Risk 8% 5% Long term balancedpolicy portfolio should be designed to optimize risk weights 6/28/20114:21 PM 23 EFTA_R1_02033268 EFTA02691377 NYC Mayor's Office of Pensions 6 Identifying Risks That Matter Investments Accidents happen! Speed limits, road signs and seat belts don't prevent them.. .. but they foster discipline, reducing the instances of a really bad outcome! 6/28/20114:21 PM 24 EFTA_R1_02033289 EFTA02691378 NYC Mayor's Office of Pensions & Redrawing the Policy Roadmap Investments Agenda: Current Policy Portfolio Shaped by History Living with Lower Returns Identifying Risks that Matter Redrawing the Policy Roadmap 6/28/2011 4.21 PM 25 EFTA_R1_02033270 EFTA02691379 NYC Mayor's Office of Pensions & Redrawing the Policy Roadmap Investments Significant downward revisions to next 5-10 year return assumptions Risk/decision making tools must be broadened ...But... Near term, de-risking not possible/advisable Equity markets not recovered to pre-credit crisis levels Bonds unattractive Sponsor contributions already pressured 6/28/2011 4.21 PM 26 EFTA_R1_02033271 EFTA02691380 NYC Mayor's Office of Pensions 8, Redrawing the Policy Roadmap Investments ...Hence... Explicitly distinguish between short term and long term policy portfolios Long term policy portfolio must be designed to achieved the desired risk profile and balance across environments Short term policy portfolio managed for valuation opportunities and cash flow needs - always with a strong directional view to long term policy goals We have our current location, we need a roadmap and a destination! 6/28/2011 4.21 PM 27 EFTA_R1_02033272 EFTA02691381 NYC Mayor's Office of Pensions Asset Allocation Policy Roadmap Investments Long Term Current Balanced Portfolio Policy Portfolio Next 5-10 years • Achieves the desired risk profile [broadly defined] • Achieves balance across economic environments • Maximizes the return/ risk opportunity set • Designed today [and updated in future] based on equilibrium, not next 5- 10 year returns 6/28/2011 4.21 PM 28 EFTA_R1_02033273 EFTA02691382 NYC Mayor's Office of Pensions & Asset Allocation Policy Roadmap Investments Short Term Long Term ( Current Balanced )(1-3 yr) Portfolio Policy Policy Portfolio Portfolio K 2011 1 1 1 1 1 1 1 1 1 1 1 Next 5-10 years Next 1-3 years • First step towards long • Achieves the desired risk term portfolio profile [broadly defined] • Marginally reduces equity concentration • Achieves balance across economic environments • Takes advantage of diversification opportunities • Maximizes the return that do not involve /risk opportunity set substantial return give up • Designed today [and • Realistic about staffing, updated in future] based decision making on equilibrium not next 5- 10 year returns 6/28/20114:21 PM 29 EFTA_R1_02033274 EFTA02691383 NYC Mayor's Office of Pensions & Asset Allocation Policy Roadmap Investments Short termediate Portfolios Long Term ( Term Current Converging to Balanced 1-3 yr) Portfolio Long Term Policy Policy Portfolio] Portfolio Portfolio K 2011 I Next 3-5 years I I I Next 5-10 years Next 1-3 years • First step towards long • More meaningful exposures • Achieves the desired risk term portfolio to diversifying and inflation sensitive asset classes profile [broadly defined] • Marginally reduces equity concentration • Meaningful reductions in • Achieves balance across equity concentration economic environments • Takes advantage of diversification opportunities • Rising bond yields will • Maximizes the return that do not involve eventually enable /risk opportunity set substantial return give up diversification without giving up liquidity • Designed today [and • Realistic about staffing, updated in future] based decision making on equilibrium not next 5- 10 year returns 6/28/201!4:21 PM 30 EFTA_R1_02033275 EFTA02691384 NYC Mayor's Office of Pensions Asset Allocation Policy Roadmap Investments Long Term Risk Intermediate Balanced Policy Buckets Current Short Term Term Portfolio Growth 90% 80-85% 60-75% 50-70% Diversifying 5% 5-10% 10-20% 20-30% Inflation 5% 5-10% 5-15% 10-25% Sensitive Overall Risk/ Std. Dye.: 12 - 13% Std. Dem.: 11 - 12% Std. Dev.: 10 - 12% Std. bev.: (10% Downside Risk Max Loss: 40% Max Loss: 35 - 40% Max Loss: 20 - 35% Max Loss: 15 - 20% ? [Credit crisis] [Very little change] 6/28/2011 4.21 PM 31 EFTA_R1_02033276 EFTA02691385 NYC Mayor's Office of Pensions & Redrawing the Policy Roadmap Investments Significantly improve balance between policy portfolio target returns and risk level/ risk diversification Expand decision making tools: Risk budgeting Downside risk Environmental scenarios Liquidity , Liability sensitivity Define long term balanced policy portfolio based on: - 'Normal' return expectations - Downside risk mitigation -Environmental balance Broadest investment opportunity set Valuation, board governance and staffing should drive pace of change towards long term balanced policy portfolio 6/28/2011 4.21 PM 32 EFTA_R1_02033277 EFTA02691386 NYC Mayor's Office of Pensions & Redrawing the Policy Roadmap Investments Future issues: • Building tactical flexibility to changes in valuation • Deciding the optimal allocation to risk sourced from active management • Stress testing returns in various market/economic scenarios • Reducing/managing downside risk ■ Managing liquidity as alternative allocations increase • Understanding liability sensitivity to economic environments ■ Staffing and governance 6/28/2011 4.21 PM 33 EFTA_R1_02033278 EFTA02691387 NYC Mayor's Office of Pensions Investments Assessing and Mitigating Risks in Today's Market Environment Impact on Institutional Investors June 7, 2011 Ranji hi. Nagaswami NagaswamiR@finance.nyc.gov 6/28/2011 4.21 PM 34 EFTA_R1_02033279 EFTA02691388 NYC Mayor's Office of Pensions Appendix Investments 6/28/2011 4.21 PM 35 EFTA_R1_02033280 EFTA02691389 NYC Mayor's Office of "It's the Asset Allocation Policy, *,4%,$#er* Pensions & Investments •Asset Allocation Policy explains about 100% of the level of return across funds (Ibbotson) •Asset Allocation Policy explains 90% of the variability of actual returns of a fund over time (Brinson; Ibbotson) • Asset Allocation Policy explains about 40% of the return difference among funds (Ibbotson) Sources: Gary P. Brinson: Bran D. Singer: and Gilbert L. Beebower; 'Determinants of Portfolio Performance: An Update': Financial Analysts Journal May-June 1991 Ibbotson and Kaplan, Does Asset Allocation Policy Explain 40, 90. or 100 Percent Performance). Financial Analyst's Journal January/February 2007 6/28/2011 4.21 PM 36 EFTA_R1_02033281 EFTA02691390 NYC Mayor's Office of Pensions Initial Conclusions: Open Questions/Issues Investments Policy Roadmap Short ntermediate Portfolios Long Term Term [Converging to Current 10+ year 3 yr Long Term Portfolio Policy Policy Portfolio as Portfolio Portfolio Markets Change] 2011 • Likely to retain equity • Liquidity needs will only grow, • Work with consultants to concentration near term, illiquid weights must be design the desired risk recognize exposure to sharp scrupulously monitored profile encompassing equity declines remains relevant risk metrics greatest risk • Fees may rise sharply, alpha discipline must rise equally • What economic • Evaluate cost and efficacy sharply of hedging some of this tail environments should we be risk? most concerned about? • Write a new Strategic IPS highlighting policy guidelines [risk, return, role of asset 6/28/20114:21 PM classes] for long tert87asset allocation EFTA_R1_02033282 EFTA02691391 NYC Mayor's Office of Pensions & Risky 'Tail Events' More Likely Investments Expected "Mean" Returns: Declining Tail-Risk Underestimation: 12/1/07-11/30/08 [Source: NEPC] 4 SD event for high yield bonds (0.006% probability) 3 SD event for most equities (0.3% probability) 3 SD event for well diversified portfolio Volatility "Tails" [Chance of "Rare" 67% chance of realizing tan returns +/- 1 SD 1 Events]: 95% chance of realizing mean returns +/- 2 SD Rising 99% chance of realizing mean returns +/- 3 SD 6/28/20114:21 PM 38 EFTA_R1_02033283 EFTA02691392 NYC Mayor's Office of Pensions & Asset Allocation Tools: Mean-Variance Analysis Investments Limits to the use of mean/variance analysis ■ Expected return, standard deviation and correlation are critical estimates but notoriously unreliable r Recent markets have violated fundamental assumptions behind this investment tool r Mean/variance analysis works best for liquid assets in liquid markets Expected return is expected to be optimistic (too high) 50% of the time One standard deviation around expected return covers only 2/3 of the estimate, and two standard deviations is not a great measure of how bad things can get Correlations are inherently unstable and in down markets soar to 1.0 for similar risk assets Correlations can show diversification benefits of alternative investments, but is not precise enough to determine sizing 6/28/20114:21 PM 39 EFTA_R1_02033284 EFTA02691393 Valuation [PIE Multiple] Change NYC Moyor'S Office of Pensions a Significant Driver of Historical Returns Znvesfinets US Equity Market Fundamental Drivers of Return n Components of SOP 500 Annualized Returns by Decade I. Val.., Ltange ■ Id, .00 19603 1960. lolls Igloo 1990, 2000-200e Eannos qv. bawl co opranrgur.,41. 24 WIIIIROioN 6/26/Fgal ell II 40 PM EFTA_R1_02033285 EFTA02691394