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Weekly Presentation2

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The document shows performance returns for various US and international equity indexes for the month of October 2008. In the US, small cap indexes like the Russell 2000 Growth Index significantly outperformed large cap indexes, returning between 4.87-5.35% compared to 0.38-1.08% for the S&P 500 and Russell 1000 indexes. International indexes generally declined, with Latin American indexes such as Chile and Brazil falling over 10%, while Asian and European indexes dropped 1-2%.

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Weekly Presentation2
0.95% Lehman BrothersU.S. Corporate High Yield 0.83% Lehman Brothers Pan-European High Yield (Euro) 0.65% Lehman Bros. US Corporate 0.48% ISHARES IBOXX INV GR CORP BD 0.47% Lehman Bros. Euro Aggregate Corp. 0.45% Lehman Bros. Euro Aggregate 0.31% ING (L) RENTA-ASIAN DEBT-PC 0.12% Lehman Bros. US Aggregate -0.02% Lehman Bros.Global Emerging Markets -0.80% Lehman Bros.Global Aggregate -1% -1% 0% 1% 1% 2%
2.51% Lehman BrothersU.S. Corporate High Yield 1.72% Lehman Brothers Pan-European High Yield (Euro) 0.60% ING (L) RENTA-ASIAN DEBT-PC 0.53% Lehman Bros. Euro Aggregate Corp. 0.25% Lehman Bros. Euro Aggregate 0.10% Lehman Bros. US Corporate -0.60% Lehman Bros. US Aggregate -0.60% Lehman Bros.Global Emerging Markets -1.03% ISHARES IBOXX INV GR CORP BD -2.83% Lehman Bros.Global Aggregate -4% -3% -2% -1% 0% 1% 2% 3%
75.42% Lehman Brothers Pan-European High Yield (Euro) 57.03% Lehman BrothersU.S. Corporate High Yield 37.05% ING (L) RENTA-ASIAN DEBT-PC 35.41% Lehman Bros.Global Emerging Markets 19.73% Lehman Bros. US Corporate 16.37% Lehman Bros. Euro Aggregate Corp. 7.96% Lehman Bros.Global Aggregate 7.68% Lehman Bros. Euro Aggregate 7.64% ISHARES IBOXX INV GR CORP BD 6.96% Lehman Bros. US Aggregate 0% 20% 40% 60% 80%
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YTD MTD WTD 2YR 0.03% 0.13% -0.01% 5YR 0.72% 0.27% 0.02% 10YR 1.33% 0.34% -0.01% 30YR 1.78% 0.27% -0.04%
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YTD MTD WTD 2YR -0.61% -0.11% -0.11% 5YR -0.15% -0.07% -0.11% 10YR 0.19% -0.02% -0.07% 30YR 0.34% 0.00% -0.11%
U.S. Treasury U.S. Corporate Investment Grade U.S. Corporate High Yield 25 22.975 20 15 9.453 10 9.092 9.313 4.628 5 4.613 2.267 0 2.160 18/05/2006 18/10/2006 18/03/2007 18/08/2007 18/01/2008 18/06/2008 18/11/2008 18/04/2009
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290.0471 226.0472 193.0472 179.0472
U.S. 5-Year/Fed Funds Rate Spread (Five-Year Treasury Yield less Fed Funds Rate) FDTR Index – USGG5YR Index = 202.2720 174.955 2007-2009 FINANCIAL CRISIS 1990-1992 RECESSION 1980-1982 RECESSION 2001-2002 WORLDWIDE RECESSION
U.S. 2-Year/Fed Funds Rate Spread (Two-Year Treasury Yield less Fed Funds Rate) FDTR Index – USGG2YR Index = 54.057 41.322 2007-2009 FINANCIAL CRISIS 1980-1982 RECESSION 2001-2002 WORLDWIDE RECESSION 2007-2009 FINANCIAL CRISIS 1990-1992 RECESSION
U.S. 10-YEAR/2-YEAR SPREAD (10-YEAR LESS TWO-YEAR TREASURY USGG10YR Index – USGG2YR Index = 274.159 253.453 1980-1982 RECESSION 2001-2002 WORLDWIDE RECESSION 1990-1992 RECESSION 2007-2009 FINANCIAL CRISIS The difference between 2- and 10- year Treasury notes widened to a record as investors bet an accelerating economic recovery will fuel inflation and damp demand for government debt.
U.S. 10-Year/3-Month Spread (10-Year Treasury Yield less Three-Month T-Bill Rate) USGG10YR Index – USGG3M Index = 350.026 315.118 1980-1982 RECESSION 2001-2002 WORLDWIDE RECESSION 2007-2009 FINANCIAL CRISIS 1990-1992 RECESSION
U.S. FIVE-YEAR TIPS YIELD (FIVE-YEAR TREASURY INFLATION-PROTECTED SECURITIES) 0.2698 0.1416
U.S. 10-YEAR TIPS YIELD (10-YEAR TREASURY INFLATION-PROTECTED SECURITIES) 1.2494 1.0796
U.S. FIVE-YEAR IMPLIED BREAKEVEN INFLATION RATE (FIVE-YEAR TREASURY LESS TIPS YIELD) 1.7446 1.6118
U.S. 10-YEAR IMPLIED BREAKEVEN INFLATION RATE (10-YEAR TREASURY LESS TIPS YIELD) 2.2859 2.116
U.S. 10-YEAR IMPLIED BREAKEVEN INFLATION RATE (10-YEAR TREASURY LESS TIPS YIELD) 2.285 2.015
U.S. 2-YEAR IMPLIED BREAKEVEN INFLATION RATE (2-YEAR TREASURY LESS TIPS YIELD) 1.0549 1.0517
WORLD INFLATION BREAKEVEN RATES
Weekly Presentation2
U.S. SHORT-TERM INTEREST RATES SINCE 1971 (FED FUNDS RATE) 1999-2000 Rate Hikes 2004-2006 Rate Hikes 1983-84 Rate Hikes 1987-89 Rate Hikes 1994-95 Rate Hikes
U.S. LONG-TERM INTEREST RATES SINCE 1971 (10-YEAR TREASURY NOTE YIELDS) 1983-84 Bear 2004-2006 Market Bear Market 1987-89 Bear Market 1994-95 Bear Market 1999-2000 Bear Market
A NUMBER OF FACTORS HAVE CONTRIBUTED TO THIS LONG-TERM DOWNTREND IN INTEREST RATES. • First and foremost has been the secular downtrend in the U.S. core inflation rate, from double-digit levels in the early 1980s to under 2% today. • Second- GDP growth, both of which have worked to lower the risk premium embedded in U.S. bond yields.
U.S. CORE INFLATION RATE SINCE 1971 (CORE PCE DEFLATOR) Personal consumption expenditures by major type of product.
U.S. REAL GDP GROWTH ARE SO STRONG
WHY ARE U.S. REAL INTEREST RATES SO LOW TODAY AT BOTH THE LONG AND SHORT END OF THE YIELD CURVE, WHEN EXPECTATIONS FOR U.S. REAL GDP GROWTH ARE SO STRONG? • Adding all of these pieces together: (1) the projected rise in economic activity, (2) a mammoth budget deficit that needs to be financed
U.S. Unemployment Rate
TIMING OF THE FOMC'S FIRST RATE HIKE AND THE ONSET OF A BEAR MARKET TREND IN BONDS FOLLOWING THE END OF THE PAST TWO RECESSIONS Recession Duration of the First FOMC Length of Time Between Period Recession Rate Hike Recession’s Trough and after the Recession First FOMC Bear Market Rate Hike in U.S. Bonds Jul. 1990 - Mar. 8 Months Feb. 1994 35 months 31 months 1991 Mar. 2001 - Nov. 8 months July 2004 32 months 19 months 2001 Dec. 2007 - ? 18+ months ? ? ?
FED FUNDS RATE AND U.S. UNEMPLOYMENT AFTER THE 1990-91 RECESSION
FED FUNDS RATE AND U.S. UNEMPLOYMENT AFTER THE 1990-91 RECESSION
FED FUNDS RATE AND U.S. UNEMPLOYMENT AFTER THE 2001 RECESSION
FED FUNDS RATE AND U.S. UNEMPLOYMENT AFTER THE 2001 RECESSION
FED FUNDS RATE AND EASING OF BANK LENDING STANDARDS AFTER THE 1990-91 AND 2001 RECESSIONS
U.S. BANK LENDING STANDARDS AND ECONOMIC GROWTH
FED FUNDS RATE AND C&I LOANS FOLLOWING THE 1990-91 AND 2001 RECESSIONS
CONCLUSION • Fed would not be expected to start a tightening campaign until early or mid-2012 , and a major bear-market trend in bonds would not be expected to get underway until mid-2011 (this assumes that the 2007-09 recession ended in mid-year 2009). MICHAEL R. ROSENBERG
CONCLUSION OF THE “MORGAN STANLEY RESEARCH” • We expect the ECB and Fed to raise rates roughly in tandem, along with the PBoC, in 3Q10.
ALLIANCE BERNSTEIN 2010 INTEREST RATE VIEW • In our view, the normalization of official and short-term interest rates will be one of the most significant macroeconomic themes next year . • The process, which has already started in several countries, will pick up in the spring as the US begins to raise official rates. • By the end of 2010, we expect official rates to rise by 200 basis points in the US, 150 basis points in the UK, 125 basis points in Europe and 50 to 75 basis points in Australia and Canada respectively
Weekly Presentation2
-0.36% S&P 500 INDEX -1.12% NIKKEI 225 -1.70% DJ EURO STOXX 600 -2.07% FTSE (GBP) -2.32% MSCI EMM -2.53% MSCIAC ASIA (EX-JAPAN) -3.95% MSCI EM LATIN AMERICA -5% -4% -3% -2% -1% 0%
6.99% NIKKEI 225 0.62% S&P 500 INDEX 0.11% MSCIAC ASIA (EX-JAPAN) -0.31%1 MSCI EMM -1.62% DJ EURO STOXX 600 -2.18% MSCI EM LATIN AMERICA -3.24% FTSE -4% -2% 0% 2% 4% 6% 8%
90.80% MSCI EM LATIN AMERICA 67.57% MSCI EMM 61.58% MSCIAC ASIA (EX-JAPAN) 32.23% FTSE 27.31% DJ EURO STOXX 600 22.06% S&P 500 INDEX 14.16% NIKKEI 225 (YEN) 0% 20% 40% 60% 80% 100%
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5.35 RUSSELL 2000 GROWTH IDX 5.32 RUSSELL 2000 INDEX 5.29 RUSSELL 2000 VALUE IDX 5.21 S&P MidCap 400 Value 4.87 RUSSELL 2500 4.40 S&P 400 MIDCAP INDEX 4.21 RUSSELL MIDCAP GROWTH IX 3.99 Russell Midcap Index Total Ret 3.71 Russell Midcap Value Index Tot 3.59 RUSSELL MIDCAP VALUE IX 2.26 NASDAQ 100 STOCK INDX 1.66 RUSSELL 3000 GROWTH IDX 1.48 Russell 3000 Total Return Inde 1.39 RUSSELL 3000 INDEX 1.38 RUSSELL 1000 GROWTH INDX 1.08 RUSSELL 1000 INDEX 0.87 MSCI US LAR GR 0.78 RUSSELL 1000 VALUE INDEX 0.62 S&P 500 INDEX 0.38 S&P 500 Growth -0.23 MSCI US LAR VA -1.00 0.00 1.00 2.00 3.00 4.00 5.00 6.00
49.17 NASDAQ 100 STOCK INDX 41.93 RUSSELL MIDCAP GROWTH IX 38.21 Russell Midcap Index Total Ret 32.81 S&P 400 MIDCAP INDEX 32.70 RUSSELL 1000 GROWTH INDX 32.48 RUSSELL 3000 GROWTH IDX 32.26 Russell Midcap Value Index Tot 31.00 MSCI US LAR GR 29.65 RUSSELL 2000 GROWTH IDX 29.40 RUSSELL 2500 28.75 RUSSELL MIDCAP VALUE IX 28.21 S&P MidCap 400 Value 27.18 S&P 500 Growth 26.63 Russell 3000 Total Return Inde 24.01 RUSSELL 1000 INDEX 23.88 RUSSELL 3000 INDEX 22.25 RUSSELL 2000 INDEX 22.06 S&P 500 INDEX 15.54 RUSSELL 2000 VALUE IDX 15.35 RUSSELL 1000 VALUE INDEX 12.11 MSCI US LAR VA 0.00 10.00 20.00 30.00 40.00 50.00 60.00
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20 14.88 14.66 15 13.04 12.62 10 5 1.45 1.30 0 CHILE STOCK INDICE BOLSA BRAZIL MEXICO BOLSA IGBC GENERAL VENEZUELA PERU LIMA MKT SELECT GENERAL BOVESPA INDEX INDEX STOCK MKT GENERAL STOCK IDX INDX INDEX -5 -7.45 -10
132.64 140 115.18 120 100 87.58 78.21 80 69.20 56.15 54.90 60 40 20 0 BRAZIL PERU LIMA CHILE STOCK INDICE BOLSA IGBC GENERAL VENEZUELA MEXICO BOLSA BOVESPA GENERAL MKT SELECT GENERAL INDEX STOCK MKT INDEX STOCK IDX INDEX INDX
Weekly Presentation2
10 7.79 8 6 4 1.91 1.53 2 0 SHANGHAI SE BSE SENSEX 30 S&P/ASX 200 NIKKEI 225 -0.69 HANG SENG COMPOSITE IX INDEX INDEX INDEX -2 -3.54 -4 -6
90 79.27 80 71.49 70 56.24 60 45.49 50 40 30 20 14.68 10 0 BSE SENSEX 30 SHANGHAI SE S&P/ASX 200 HANG SENG NIKKEI 225 INDEX COMPOSITE IX INDEX INDEX
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2.50 2.19 1.95 2.00 1.50 1.00 0.50 0.10 0.00 FTSE 100 INDEX DAX INDEX DJ STOXX 600 € Pr DJ EURO STOXX 50 € Pr -0.50 -0.68 -1.00
35.00 31.42 28.82 30.00 26.23 25.00 22.62 20.00 15.00 10.00 5.00 0.00 FTSE 100 INDEX DJ STOXX 600 € Pr DAX INDEX DJ EURO STOXX 50 € Pr
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0.99% MSCI WORLD INFORMATION TECHNOLOGY -0.07% MSCI WORLD ENERGY -0.23% MSCI WORLD HEALTHCARE -0.81% MSCI WORLD CONSUMER DISCRETIONARY -0.99% MSCI WORLD UTILITIES -1.36% MSCI WORLD INDUSTRIAL -1.71% MSCI WORLD FINANCIALS -1.89% MSCI WORLD MATERIAL -1.99% MSCI WORLD CONSUMER STAPLES -2.47% MSCI WORLD TELECOM -3% -2% -1% 0% 1% 2%
3.00% MSCI WORLD INFORMATION TECHNOLOGY 2.35% MSCI WORLD CONSUMER DISCRETIONARY 1.43% MSCI WORLD UTILITIES 1.08% MSCI WORLD HEALTHCARE 0.48% MSCI WORLD INDUSTRIAL -0.93% MSCI WORLD CONSUMER STAPLES -1.20% MSCI WORLD TELECOM -1.27% MSCI WORLD MATERIAL -1.80% MSCI WORLD ENERGY -3.66% MSCI WORLD FINANCIALS -4% -2% 0% 2% 4%
52.28% MSCI WORLD MATERIAL 47.15% MSCI WORLD INFORMATION TECHNOLOGY 35.35% MSCI WORLD CONSUMER DISCRETIONARY 24.53% MSCI WORLD FINANCIALS 22.38% MSCI WORLD INDUSTRIAL 19.32% MSCI WORLD ENERGY 16.60% MSCI WORLD CONSUMER STAPLES 15.34% MSCI WORLD HEALTHCARE 6.36% MSCI WORLD TELECOM 0.99% MSCI WORLD UTILITIES 0% 10% 20% 30% 40% 50% 60%
YTD SECTOR PERFORMANC ES
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2.00% MSCI US MID CAP GROWTH INDEX 1.96% MSCI US SMALL CAP GROWTH INDEX 1.67% MSCI US SMALL CAP 1750 INDEX 1.40% MSCI US MID CAP 450 INDEX 1.38% MSCI US SMALL CAP VALUE INDEX 0.81% MSCI US MID CAP VALUE INDEX 0.12% MSCI US LARGE CAP GROWTH INDEX -0.46% MSCI US LARGE CAP 300 INDEX -1.01% MSCI US LARGE CAP VALUE INDEX -2% -1% -1% 0% 1% 1% 2% 2% 3%
6.06% MSCI US SMALL CAP GROWTH INDEX 5.45% MSCI US SMALL CAP 1750 INDEX 4.98% MSCI US MID CAP GROWTH INDEX 4.85% MSCI US SMALL CAP VALUE INDEX 4.16% MSCI US MID CAP 450 INDEX 3.37% MSCI US MID CAP VALUE INDEX 0.87% MSCI US LARGE CAP GROWTH INDEX 0.31% MSCI US LARGE CAP 300 INDEX -0.23% MSCI US LARGE CAP VALUE INDEX -1.00% 1.00% 3.00% 5.00% 7.00%
41.91% MSCI US SMALL CAP GROWTH INDEX 41.84% MSCI US MID CAP GROWTH INDEX 38.60% MSCI US MID CAP 450 INDEX 35.53% MSCI US SMALL CAP 1750 INDEX 35.23% MSCI US MID CAP VALUE INDEX 32.43% MSCI US LARGE CAP GROWTH INDEX 24.69% MSCI US SMALL CAP VALUE INDEX 22.92% MSCI US LARGE CAP 300 INDEX 13.93% MSCI US LARGE CAP VALUE INDEX 0% 10% 20% 30% 40% 50%
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11.99% NATURAL GAS FUTR 8.34% WHITE SUGAR (LIF) 4.99% WTI CRUDE FUTURE 1.82% COFFEE 'C' FUTURE 0.54% SILVER SPOT $/OZ 0.18% COPPER FUTURE -0.20% GOLD SPOT $/OZ -1.67% CORN FUTURE -1.77% WHEAT FUTURE(CBT) -4.48% ROUGH RICE (CBOT) -10% -5% 0% 5% 10% 15%
19.27% NATURAL GAS FUTR 11.14% WHITE SUGAR (LIF) 2.29% COFFEE 'C' FUTURE -0.49% ROUGH RICE (CBOT) -1.21% COPPER FUTURE -4.73% CORN FUTURE -5.07% WTI CRUDE FUTURE -5.63% GOLD SPOT $/OZ -6.64% SILVER SPOT $/OZ -10.32% WHEAT FUTURE(CBT) -15% -10% -5% 0% 5% 10% 15% 20% 25%
116.90% COPPER FUTURE 84.57% WHITE SUGAR (LIF) 51.51% SILVER SPOT $/OZ 26.21% GOLD SPOT $/OZ 23.27% WTI CRUDE FUTURE 16.95% COFFEE 'C' FUTURE 9.84% ROUGH RICE (CBOT) -14.28% CORN FUTURE -18.85% NATURAL GAS FUTR -23.14% WHEAT FUTURE(CBT) -50% 0% 50% 100% 150%
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Bloomberg's U.S. Financial Conditions Index Components and Weights Weight Money Market Ted Spread 11.1% Commercial Paper/T-Bill Spread 11.1% Libor-OIS Spread 11.1% 33.3% Bond Market Investment-Grade Corporate/Treasury Spread 6.7% Muni/Treasury Spread 6.7% Swaps/Treasury Spread 6.7% High Yield/Treasury Spread 6.7% Agency/Treasury Spread 6.7% 33.3% Equity Market S&P 500 Share Prices 16.7% VIX Index 16.7% 33.3% Total 100%
FINANCIAL CONDITIONS INDICATOR Normal Financial Conditions -0.166
% 2.3945 Weekly Change -11.1759 % Lehman Failure 23.4656
Lehman Weekly Failure Change -1.4739 % 9.3630
Weekly Lehman Failure Change -7.9725 % 23.3351
Weekly Change -.9164 % 193.14
Equity Market S&P 500 1106.41 Weekly Change -.3561 %
Weekly Change .8479 % 4093.82
Lehman Failure Lehman Failure Weekly Change .4169 % Lehman Failure 21.59
Lehman Failure Lehman Failure Lehman Failure Lehman Failure Weekly Change -8.9690 % 3579.00
Weekly Change -1.12 % NIKKEI 225 VS. SPX INDEX Weekly Change -.36 % Weekly Change -1.14 %
NIKKEI 225 VS. SPX INDEX MXWD INDEX SPX INDEX NKY INDEX •
LEADING INDICATORS

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Weekly Presentation2

  • 2. 0.95% Lehman BrothersU.S. Corporate High Yield 0.83% Lehman Brothers Pan-European High Yield (Euro) 0.65% Lehman Bros. US Corporate 0.48% ISHARES IBOXX INV GR CORP BD 0.47% Lehman Bros. Euro Aggregate Corp. 0.45% Lehman Bros. Euro Aggregate 0.31% ING (L) RENTA-ASIAN DEBT-PC 0.12% Lehman Bros. US Aggregate -0.02% Lehman Bros.Global Emerging Markets -0.80% Lehman Bros.Global Aggregate -1% -1% 0% 1% 1% 2%
  • 3. 2.51% Lehman BrothersU.S. Corporate High Yield 1.72% Lehman Brothers Pan-European High Yield (Euro) 0.60% ING (L) RENTA-ASIAN DEBT-PC 0.53% Lehman Bros. Euro Aggregate Corp. 0.25% Lehman Bros. Euro Aggregate 0.10% Lehman Bros. US Corporate -0.60% Lehman Bros. US Aggregate -0.60% Lehman Bros.Global Emerging Markets -1.03% ISHARES IBOXX INV GR CORP BD -2.83% Lehman Bros.Global Aggregate -4% -3% -2% -1% 0% 1% 2% 3%
  • 4. 75.42% Lehman Brothers Pan-European High Yield (Euro) 57.03% Lehman BrothersU.S. Corporate High Yield 37.05% ING (L) RENTA-ASIAN DEBT-PC 35.41% Lehman Bros.Global Emerging Markets 19.73% Lehman Bros. US Corporate 16.37% Lehman Bros. Euro Aggregate Corp. 7.96% Lehman Bros.Global Aggregate 7.68% Lehman Bros. Euro Aggregate 7.64% ISHARES IBOXX INV GR CORP BD 6.96% Lehman Bros. US Aggregate 0% 20% 40% 60% 80%
  • 8. YTD MTD WTD 2YR 0.03% 0.13% -0.01% 5YR 0.72% 0.27% 0.02% 10YR 1.33% 0.34% -0.01% 30YR 1.78% 0.27% -0.04%
  • 10. YTD MTD WTD 2YR -0.61% -0.11% -0.11% 5YR -0.15% -0.07% -0.11% 10YR 0.19% -0.02% -0.07% 30YR 0.34% 0.00% -0.11%
  • 11. U.S. Treasury U.S. Corporate Investment Grade U.S. Corporate High Yield 25 22.975 20 15 9.453 10 9.092 9.313 4.628 5 4.613 2.267 0 2.160 18/05/2006 18/10/2006 18/03/2007 18/08/2007 18/01/2008 18/06/2008 18/11/2008 18/04/2009
  • 14. U.S. 5-Year/Fed Funds Rate Spread (Five-Year Treasury Yield less Fed Funds Rate) FDTR Index – USGG5YR Index = 202.2720 174.955 2007-2009 FINANCIAL CRISIS 1990-1992 RECESSION 1980-1982 RECESSION 2001-2002 WORLDWIDE RECESSION
  • 15. U.S. 2-Year/Fed Funds Rate Spread (Two-Year Treasury Yield less Fed Funds Rate) FDTR Index – USGG2YR Index = 54.057 41.322 2007-2009 FINANCIAL CRISIS 1980-1982 RECESSION 2001-2002 WORLDWIDE RECESSION 2007-2009 FINANCIAL CRISIS 1990-1992 RECESSION
  • 16. U.S. 10-YEAR/2-YEAR SPREAD (10-YEAR LESS TWO-YEAR TREASURY USGG10YR Index – USGG2YR Index = 274.159 253.453 1980-1982 RECESSION 2001-2002 WORLDWIDE RECESSION 1990-1992 RECESSION 2007-2009 FINANCIAL CRISIS The difference between 2- and 10- year Treasury notes widened to a record as investors bet an accelerating economic recovery will fuel inflation and damp demand for government debt.
  • 17. U.S. 10-Year/3-Month Spread (10-Year Treasury Yield less Three-Month T-Bill Rate) USGG10YR Index – USGG3M Index = 350.026 315.118 1980-1982 RECESSION 2001-2002 WORLDWIDE RECESSION 2007-2009 FINANCIAL CRISIS 1990-1992 RECESSION
  • 18. U.S. FIVE-YEAR TIPS YIELD (FIVE-YEAR TREASURY INFLATION-PROTECTED SECURITIES) 0.2698 0.1416
  • 19. U.S. 10-YEAR TIPS YIELD (10-YEAR TREASURY INFLATION-PROTECTED SECURITIES) 1.2494 1.0796
  • 20. U.S. FIVE-YEAR IMPLIED BREAKEVEN INFLATION RATE (FIVE-YEAR TREASURY LESS TIPS YIELD) 1.7446 1.6118
  • 21. U.S. 10-YEAR IMPLIED BREAKEVEN INFLATION RATE (10-YEAR TREASURY LESS TIPS YIELD) 2.2859 2.116
  • 22. U.S. 10-YEAR IMPLIED BREAKEVEN INFLATION RATE (10-YEAR TREASURY LESS TIPS YIELD) 2.285 2.015
  • 23. U.S. 2-YEAR IMPLIED BREAKEVEN INFLATION RATE (2-YEAR TREASURY LESS TIPS YIELD) 1.0549 1.0517
  • 26. U.S. SHORT-TERM INTEREST RATES SINCE 1971 (FED FUNDS RATE) 1999-2000 Rate Hikes 2004-2006 Rate Hikes 1983-84 Rate Hikes 1987-89 Rate Hikes 1994-95 Rate Hikes
  • 27. U.S. LONG-TERM INTEREST RATES SINCE 1971 (10-YEAR TREASURY NOTE YIELDS) 1983-84 Bear 2004-2006 Market Bear Market 1987-89 Bear Market 1994-95 Bear Market 1999-2000 Bear Market
  • 28. A NUMBER OF FACTORS HAVE CONTRIBUTED TO THIS LONG-TERM DOWNTREND IN INTEREST RATES. • First and foremost has been the secular downtrend in the U.S. core inflation rate, from double-digit levels in the early 1980s to under 2% today. • Second- GDP growth, both of which have worked to lower the risk premium embedded in U.S. bond yields.
  • 29. U.S. CORE INFLATION RATE SINCE 1971 (CORE PCE DEFLATOR) Personal consumption expenditures by major type of product.
  • 30. U.S. REAL GDP GROWTH ARE SO STRONG
  • 31. WHY ARE U.S. REAL INTEREST RATES SO LOW TODAY AT BOTH THE LONG AND SHORT END OF THE YIELD CURVE, WHEN EXPECTATIONS FOR U.S. REAL GDP GROWTH ARE SO STRONG? • Adding all of these pieces together: (1) the projected rise in economic activity, (2) a mammoth budget deficit that needs to be financed
  • 33. TIMING OF THE FOMC'S FIRST RATE HIKE AND THE ONSET OF A BEAR MARKET TREND IN BONDS FOLLOWING THE END OF THE PAST TWO RECESSIONS Recession Duration of the First FOMC Length of Time Between Period Recession Rate Hike Recession’s Trough and after the Recession First FOMC Bear Market Rate Hike in U.S. Bonds Jul. 1990 - Mar. 8 Months Feb. 1994 35 months 31 months 1991 Mar. 2001 - Nov. 8 months July 2004 32 months 19 months 2001 Dec. 2007 - ? 18+ months ? ? ?
  • 34. FED FUNDS RATE AND U.S. UNEMPLOYMENT AFTER THE 1990-91 RECESSION
  • 35. FED FUNDS RATE AND U.S. UNEMPLOYMENT AFTER THE 1990-91 RECESSION
  • 36. FED FUNDS RATE AND U.S. UNEMPLOYMENT AFTER THE 2001 RECESSION
  • 37. FED FUNDS RATE AND U.S. UNEMPLOYMENT AFTER THE 2001 RECESSION
  • 38. FED FUNDS RATE AND EASING OF BANK LENDING STANDARDS AFTER THE 1990-91 AND 2001 RECESSIONS
  • 39. U.S. BANK LENDING STANDARDS AND ECONOMIC GROWTH
  • 40. FED FUNDS RATE AND C&I LOANS FOLLOWING THE 1990-91 AND 2001 RECESSIONS
  • 41. CONCLUSION • Fed would not be expected to start a tightening campaign until early or mid-2012 , and a major bear-market trend in bonds would not be expected to get underway until mid-2011 (this assumes that the 2007-09 recession ended in mid-year 2009). MICHAEL R. ROSENBERG
  • 42. CONCLUSION OF THE “MORGAN STANLEY RESEARCH” • We expect the ECB and Fed to raise rates roughly in tandem, along with the PBoC, in 3Q10.
  • 43. ALLIANCE BERNSTEIN 2010 INTEREST RATE VIEW • In our view, the normalization of official and short-term interest rates will be one of the most significant macroeconomic themes next year . • The process, which has already started in several countries, will pick up in the spring as the US begins to raise official rates. • By the end of 2010, we expect official rates to rise by 200 basis points in the US, 150 basis points in the UK, 125 basis points in Europe and 50 to 75 basis points in Australia and Canada respectively
  • 45. -0.36% S&P 500 INDEX -1.12% NIKKEI 225 -1.70% DJ EURO STOXX 600 -2.07% FTSE (GBP) -2.32% MSCI EMM -2.53% MSCIAC ASIA (EX-JAPAN) -3.95% MSCI EM LATIN AMERICA -5% -4% -3% -2% -1% 0%
  • 46. 6.99% NIKKEI 225 0.62% S&P 500 INDEX 0.11% MSCIAC ASIA (EX-JAPAN) -0.31%1 MSCI EMM -1.62% DJ EURO STOXX 600 -2.18% MSCI EM LATIN AMERICA -3.24% FTSE -4% -2% 0% 2% 4% 6% 8%
  • 47. 90.80% MSCI EM LATIN AMERICA 67.57% MSCI EMM 61.58% MSCIAC ASIA (EX-JAPAN) 32.23% FTSE 27.31% DJ EURO STOXX 600 22.06% S&P 500 INDEX 14.16% NIKKEI 225 (YEN) 0% 20% 40% 60% 80% 100%
  • 49. 5.35 RUSSELL 2000 GROWTH IDX 5.32 RUSSELL 2000 INDEX 5.29 RUSSELL 2000 VALUE IDX 5.21 S&P MidCap 400 Value 4.87 RUSSELL 2500 4.40 S&P 400 MIDCAP INDEX 4.21 RUSSELL MIDCAP GROWTH IX 3.99 Russell Midcap Index Total Ret 3.71 Russell Midcap Value Index Tot 3.59 RUSSELL MIDCAP VALUE IX 2.26 NASDAQ 100 STOCK INDX 1.66 RUSSELL 3000 GROWTH IDX 1.48 Russell 3000 Total Return Inde 1.39 RUSSELL 3000 INDEX 1.38 RUSSELL 1000 GROWTH INDX 1.08 RUSSELL 1000 INDEX 0.87 MSCI US LAR GR 0.78 RUSSELL 1000 VALUE INDEX 0.62 S&P 500 INDEX 0.38 S&P 500 Growth -0.23 MSCI US LAR VA -1.00 0.00 1.00 2.00 3.00 4.00 5.00 6.00
  • 50. 49.17 NASDAQ 100 STOCK INDX 41.93 RUSSELL MIDCAP GROWTH IX 38.21 Russell Midcap Index Total Ret 32.81 S&P 400 MIDCAP INDEX 32.70 RUSSELL 1000 GROWTH INDX 32.48 RUSSELL 3000 GROWTH IDX 32.26 Russell Midcap Value Index Tot 31.00 MSCI US LAR GR 29.65 RUSSELL 2000 GROWTH IDX 29.40 RUSSELL 2500 28.75 RUSSELL MIDCAP VALUE IX 28.21 S&P MidCap 400 Value 27.18 S&P 500 Growth 26.63 Russell 3000 Total Return Inde 24.01 RUSSELL 1000 INDEX 23.88 RUSSELL 3000 INDEX 22.25 RUSSELL 2000 INDEX 22.06 S&P 500 INDEX 15.54 RUSSELL 2000 VALUE IDX 15.35 RUSSELL 1000 VALUE INDEX 12.11 MSCI US LAR VA 0.00 10.00 20.00 30.00 40.00 50.00 60.00
  • 52. 20 14.88 14.66 15 13.04 12.62 10 5 1.45 1.30 0 CHILE STOCK INDICE BOLSA BRAZIL MEXICO BOLSA IGBC GENERAL VENEZUELA PERU LIMA MKT SELECT GENERAL BOVESPA INDEX INDEX STOCK MKT GENERAL STOCK IDX INDX INDEX -5 -7.45 -10
  • 53. 132.64 140 115.18 120 100 87.58 78.21 80 69.20 56.15 54.90 60 40 20 0 BRAZIL PERU LIMA CHILE STOCK INDICE BOLSA IGBC GENERAL VENEZUELA MEXICO BOLSA BOVESPA GENERAL MKT SELECT GENERAL INDEX STOCK MKT INDEX STOCK IDX INDEX INDX
  • 55. 10 7.79 8 6 4 1.91 1.53 2 0 SHANGHAI SE BSE SENSEX 30 S&P/ASX 200 NIKKEI 225 -0.69 HANG SENG COMPOSITE IX INDEX INDEX INDEX -2 -3.54 -4 -6
  • 56. 90 79.27 80 71.49 70 56.24 60 45.49 50 40 30 20 14.68 10 0 BSE SENSEX 30 SHANGHAI SE S&P/ASX 200 HANG SENG NIKKEI 225 INDEX COMPOSITE IX INDEX INDEX
  • 58. 2.50 2.19 1.95 2.00 1.50 1.00 0.50 0.10 0.00 FTSE 100 INDEX DAX INDEX DJ STOXX 600 € Pr DJ EURO STOXX 50 € Pr -0.50 -0.68 -1.00
  • 59. 35.00 31.42 28.82 30.00 26.23 25.00 22.62 20.00 15.00 10.00 5.00 0.00 FTSE 100 INDEX DJ STOXX 600 € Pr DAX INDEX DJ EURO STOXX 50 € Pr
  • 61. 0.99% MSCI WORLD INFORMATION TECHNOLOGY -0.07% MSCI WORLD ENERGY -0.23% MSCI WORLD HEALTHCARE -0.81% MSCI WORLD CONSUMER DISCRETIONARY -0.99% MSCI WORLD UTILITIES -1.36% MSCI WORLD INDUSTRIAL -1.71% MSCI WORLD FINANCIALS -1.89% MSCI WORLD MATERIAL -1.99% MSCI WORLD CONSUMER STAPLES -2.47% MSCI WORLD TELECOM -3% -2% -1% 0% 1% 2%
  • 62. 3.00% MSCI WORLD INFORMATION TECHNOLOGY 2.35% MSCI WORLD CONSUMER DISCRETIONARY 1.43% MSCI WORLD UTILITIES 1.08% MSCI WORLD HEALTHCARE 0.48% MSCI WORLD INDUSTRIAL -0.93% MSCI WORLD CONSUMER STAPLES -1.20% MSCI WORLD TELECOM -1.27% MSCI WORLD MATERIAL -1.80% MSCI WORLD ENERGY -3.66% MSCI WORLD FINANCIALS -4% -2% 0% 2% 4%
  • 63. 52.28% MSCI WORLD MATERIAL 47.15% MSCI WORLD INFORMATION TECHNOLOGY 35.35% MSCI WORLD CONSUMER DISCRETIONARY 24.53% MSCI WORLD FINANCIALS 22.38% MSCI WORLD INDUSTRIAL 19.32% MSCI WORLD ENERGY 16.60% MSCI WORLD CONSUMER STAPLES 15.34% MSCI WORLD HEALTHCARE 6.36% MSCI WORLD TELECOM 0.99% MSCI WORLD UTILITIES 0% 10% 20% 30% 40% 50% 60%
  • 66. 2.00% MSCI US MID CAP GROWTH INDEX 1.96% MSCI US SMALL CAP GROWTH INDEX 1.67% MSCI US SMALL CAP 1750 INDEX 1.40% MSCI US MID CAP 450 INDEX 1.38% MSCI US SMALL CAP VALUE INDEX 0.81% MSCI US MID CAP VALUE INDEX 0.12% MSCI US LARGE CAP GROWTH INDEX -0.46% MSCI US LARGE CAP 300 INDEX -1.01% MSCI US LARGE CAP VALUE INDEX -2% -1% -1% 0% 1% 1% 2% 2% 3%
  • 67. 6.06% MSCI US SMALL CAP GROWTH INDEX 5.45% MSCI US SMALL CAP 1750 INDEX 4.98% MSCI US MID CAP GROWTH INDEX 4.85% MSCI US SMALL CAP VALUE INDEX 4.16% MSCI US MID CAP 450 INDEX 3.37% MSCI US MID CAP VALUE INDEX 0.87% MSCI US LARGE CAP GROWTH INDEX 0.31% MSCI US LARGE CAP 300 INDEX -0.23% MSCI US LARGE CAP VALUE INDEX -1.00% 1.00% 3.00% 5.00% 7.00%
  • 68. 41.91% MSCI US SMALL CAP GROWTH INDEX 41.84% MSCI US MID CAP GROWTH INDEX 38.60% MSCI US MID CAP 450 INDEX 35.53% MSCI US SMALL CAP 1750 INDEX 35.23% MSCI US MID CAP VALUE INDEX 32.43% MSCI US LARGE CAP GROWTH INDEX 24.69% MSCI US SMALL CAP VALUE INDEX 22.92% MSCI US LARGE CAP 300 INDEX 13.93% MSCI US LARGE CAP VALUE INDEX 0% 10% 20% 30% 40% 50%
  • 70. 11.99% NATURAL GAS FUTR 8.34% WHITE SUGAR (LIF) 4.99% WTI CRUDE FUTURE 1.82% COFFEE 'C' FUTURE 0.54% SILVER SPOT $/OZ 0.18% COPPER FUTURE -0.20% GOLD SPOT $/OZ -1.67% CORN FUTURE -1.77% WHEAT FUTURE(CBT) -4.48% ROUGH RICE (CBOT) -10% -5% 0% 5% 10% 15%
  • 71. 19.27% NATURAL GAS FUTR 11.14% WHITE SUGAR (LIF) 2.29% COFFEE 'C' FUTURE -0.49% ROUGH RICE (CBOT) -1.21% COPPER FUTURE -4.73% CORN FUTURE -5.07% WTI CRUDE FUTURE -5.63% GOLD SPOT $/OZ -6.64% SILVER SPOT $/OZ -10.32% WHEAT FUTURE(CBT) -15% -10% -5% 0% 5% 10% 15% 20% 25%
  • 72. 116.90% COPPER FUTURE 84.57% WHITE SUGAR (LIF) 51.51% SILVER SPOT $/OZ 26.21% GOLD SPOT $/OZ 23.27% WTI CRUDE FUTURE 16.95% COFFEE 'C' FUTURE 9.84% ROUGH RICE (CBOT) -14.28% CORN FUTURE -18.85% NATURAL GAS FUTR -23.14% WHEAT FUTURE(CBT) -50% 0% 50% 100% 150%
  • 79. Bloomberg's U.S. Financial Conditions Index Components and Weights Weight Money Market Ted Spread 11.1% Commercial Paper/T-Bill Spread 11.1% Libor-OIS Spread 11.1% 33.3% Bond Market Investment-Grade Corporate/Treasury Spread 6.7% Muni/Treasury Spread 6.7% Swaps/Treasury Spread 6.7% High Yield/Treasury Spread 6.7% Agency/Treasury Spread 6.7% 33.3% Equity Market S&P 500 Share Prices 16.7% VIX Index 16.7% 33.3% Total 100%
  • 80. FINANCIAL CONDITIONS INDICATOR Normal Financial Conditions -0.166
  • 81. % 2.3945 Weekly Change -11.1759 % Lehman Failure 23.4656
  • 82. Lehman Weekly Failure Change -1.4739 % 9.3630
  • 83. Weekly Lehman Failure Change -7.9725 % 23.3351
  • 84. Weekly Change -.9164 % 193.14
  • 85. Equity Market S&P 500 1106.41 Weekly Change -.3561 %
  • 86. Weekly Change .8479 % 4093.82
  • 87. Lehman Failure Lehman Failure Weekly Change .4169 % Lehman Failure 21.59
  • 88. Lehman Failure Lehman Failure Lehman Failure Lehman Failure Weekly Change -8.9690 % 3579.00
  • 89. Weekly Change -1.12 % NIKKEI 225 VS. SPX INDEX Weekly Change -.36 % Weekly Change -1.14 %
  • 90. NIKKEI 225 VS. SPX INDEX MXWD INDEX SPX INDEX NKY INDEX •