NYC Mayor's

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 Assessing and Mitigating Risks NYC Mayor's Office of Pensions & 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 Current Policy Portfolio Shaped by History NYC Mayor's Office of Pensions & 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 Declining Bond Yields Challenge Overall Plan Returns NYC Mayor's Office of Pensions Investments 20% 18% 16% 14% 12% 10% 8% 6% 4% 6/28/2011 4.21 PM 2% 0% —6 year Forward Return —Beginning 10 year Treasury Yield rJun '00 10 yr Treasury Yield 6.0% Jun '00 - Dec '10 Return* 5.9% Correlation of starting yield to forward return: 0.88 Dec 31 '10 10 yr Tsy Yield 3.3% 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 'Merrill Lynch US Treasury Master Annualized Total Return 4 EFTA_R1_02033249 EFTA02691358 Progressively More Equity Needed to Achieve 8% return NYC Mayor's Office of Pensions Investments All U.S. Pension Plans Historical Fixed Income Allocations for 8% Mixes 100% 90% OE o c co P 80% % 70 60% LL Cl50% O <7 cn co 40% 30% 20% 10% 0% 6/28/2011 4.21 PM c,c,t „cp („6\ cob cob ,,,,beee 6\ Ocb Cf NNNNNNN rt, rt, 95' 95' 95' (15' Source: Callan 5 E FTA_R 1_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° 4` 00 O1' 4) 4) 4\ 41) 45 cP ci` 41' o'b Ot' OC3 0\ Oq5 NO.,4 • ,4 „4 ,1,4 19. (19 ZO LO 20 (IS) ,45) 6/28/2011 4.21 PM Source: Callan 6 EFTA_R1_02033251 EFTA02691360 Equity Concentration Means Plan Returns Track Equities 70% 50% 30% 10% -10% -30% 50" Percentage of Portfolios Rolling Annual Returns —New York Oty Pensions Beta Fbrttotio — awry Component Correlation: 98% NYC Mayor's Office of Pensions Investments 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 11 100% ll 90% 80% - 70% • 60% • 50% • 40% 30% • 20% 10% • 0% • 0% Correlation of U.S. Public and Private Pension Funds to the S&P 500 0-.25 .25-.5 .5-.75 Correlation to S&P 500 98% .75.1.0 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 HINDS7HT. 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 Redrawing the Policy Roadmap NYC Mayor'S Office of Pensions 6 Investments Agenda: Current Policy Portfolio Shaped by History Living with Lower Returns 6/38/2011 4.21 PM 8 EFTA_R1_02033253 EFTA02691362 Living with Lower Returns NYC Mayor's Office of Pensions & Investments Significant downward revisions to next 5-10 year return assumptions* Cash Inflation Forecast Growth Assets US Large/Small Cap Eq. Non US Developed Eq. Emerging Markets Eq. Private Eq. Convertibles Non Core Real Estate REITs 6/28/20114:21 PM 2.5% 2.5% 7.7% 7.7% 8.7% 9.6% 7.1% 7.9% 7.6% Diversifying Assets US Fixed Inc International Fixed Inc High Yield Opportunistic Fixed Inc [Bank Loans, Distressed] EM Debt Absolute Return * Average Forecast of Several Major Pension Consulting Firms 6.17. 7.3% 5.5% 6.6% Inflation Hedging Assets TIPS 3.2% Core Real Estate 6.4% Commodities 4.3% 9 EFTA_R1_02033254 EFTA02691363 Living with Lower Returns NYC Mayor's Office of Pensions & 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 Redrawing the Policy Roadmap NYC Mayor's Office of Pensions & 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 Identifying Risks that Matter NYC Mayor's Office of Pensions & 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 Limits to the Use of Mean-Variance Analysis NYC Mayor's Office of Pensions Investments Mean Returns May Not be Realized For Long Periods of Time US Stocks (2000 - 2009) US Stocks (cumulative excess returns. In) — Aces limns —Ethos Ron (Apr o0)—.M 2 Sanderd larelaiths 12 0.8 • Probability 1 / 120 years 0.4 • 0.0 -0.4 •1.2 2000 2002 2004 2006 2008 US Bonds (1965 - 1981) to Bonds (cumulative moss tokens, In) Aetna —limbo" Returns (S 56) — il• 2 Slavard WEI= .6 0.4 0.9 02 0.1 0.0 -0.1 -0.2 -0.3 -0.4 -0.5 -0.6 1965 1970 1975 1980 6/28/20114:21 Japan Stocks (1990 - 2010) Japan Stocks 1990 • 2010 (cumulative omen returns. In) —sass Awn —11xpocied Rakoes (Jan Sek — 2 Simko Orono* 2.0 1.5 1.0 0.5 0.0 -0.5 -1.0 1.5 1990 1995 2000 US Bonds (1981 - 1987) US Bonds (cumulative excess ielurns In) 2010 — Las nosana —spaded fluent (Oa au —.I. 2 S.wd Drain 0.6 0.5 ProbabilityJut/ 150 years 0.4 0.3 02 0.I 0.0 -02 -0.3 -0.4 1981 1982 1983 1980 1985 1986 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 There a rkietiarantee lhal the MAAS Sown Can O. will be °thieved Saga: Global Financial Data ma and 8/162eanuet Analysis 13 EFTA_R1_02033258 EFTA02691367 Limits to the Use of Mean-Variance Analysis NYC Mayor's Office of Pensions Investments Correlations: Unstable and Environmentally Dependent Rolling 3-yr Correlation of Monthly Excess Returns —Global Stenos and Global Nominal Bonds 60% 40% 20% 0% -20% 40% .60% Avg Corset a 0.18 75 6/28/2011 4.21 PM 80 85 90 95 00 05 10 HGlobal Nominal Bonds and Corn matinee 80% 60% 40% 20% 0% .20% 40% 40% GO% 80 60 40% 20 0 20% 40 -60 — Global Stocks and Global I. Bonds 00 05 75 80 85 90 95 —Global Stocks and COMMOCISS 10 75 80 85 90 95 00 05 to Source: Bridgewater 14 EFTA_R1_02033259 EFTA02691368 Identifying Risks that Matter [continued] NYC Mayor's Office of Pensions 8, 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 Economic Environments Change... NYC Mayor's Office of Pensions & Investments 1930-2009 1950s 1960s 1970s 1980s 1990s 20O0s 6/28/20114:21 PM Environment* Eco Growth [Real GDP] Inflation [CPI] 3.3% 3.2% ki Positive Economic Indicator Negative Economic Indicator *Source: Bureau of Economic Analysis, Federal Reserve Bank of Minneapolis, Ibbotson SBBI, Deutsche Bonk 16 EFTA_R1_02033261 EFTA02691370 ... Driving Asset Returns NYC Mayor's Office of Pensions & Investments 1930-2009 Environment* Eco Growth [Real GDP] Inflation [CPI] 3.3% 3.2% Capital Markets Returns* Equity Long Treasury Crude Oil 9.6% 5.7% n/a 1950s 1960s 1970s 1980s 1990s 2000s 4.1 2.2 4.4 2.5 19.3 0.4 1.5 7.8 2.8 0.8 3.2 7.4 5.9 6.1 28.0 3.0 5.1 17.6 12.8 -5.4 3.2 2.9 18.2 8.0 1.7 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: Asset Allocation Viewed Through Another Lens 60/40 Equity/Fixed Income Policy Portfolio Asset Allocation Rising Falling 6/28/20114:21 PM ,olor 10 NUO 4 IU relOvang 05..0,05 Growth Inflation Source: Bridgewater Rising Falling Balanced Portfolio Growth Inflation Mr-NYC Mayor's Office of Pensions Investments 18 EFTA_R1_02033263 EFTA02691372 Environmental Risk: Asset Allocation Viewed Through Another Lens NYC Mayor's Office of Pensions Investments i s . High High Growth, Low Non-U.S. EquityEmerging Equity Growth, 1.00 S ci 0.50 Inflation "Goldilocks" U.S. Equity High CI Inflation Venture Capital Buyouts it 1 Convertible Emerging Debt I Commodities oa High Yield p.00 B .?: REITs :E ii, -0.50 Absolute Return Inflation Bonds a Core U.S. Fixed -Linked rX Income IILl Low Growth, Low Asset classes with useful environmental risk diversifying characteristics Low Growth, 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 only. PM Source: Rocaton 19 EFTA_R1_02033264 EFTA02691373 Risk Budgeting a Necessary Complement to Capital Budgeting Risk Budgeting Consider the portfolio from a total risk perspective rather than total return NYC Mayor's Office of Pensions & Investments 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 Budgeting Capital [$] Weights . Equities - Large Cap . 41% • ligh Viet, - 6% . Equities - hll. - 15% • Beal Estate - 6% IEquines - Ftivate Eq. - 5% Ill Nominal Govt Bonds - 4% Equities - EM - 3% MI L Bonds - 3% El Mortgages - 9% ❑ Convert. Bonds - 1% . Noninal Bond Agg - 7% Weights NYC Mayor's Office of Pensions Investments . Equities - Large Cap - 510:.. tigh Yield - 4% In Equities • htl. • 17% . noel Estate • 6% IEquities - Pnvate Eq. - 9% El Noninal Govt Bonds - 1% Equities - EM - 7% • IL Bonds - 0% . Mongages - 2% ❑ Convert. Bonds - 1% . 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: Specifies the True Role/Risk of Asset Classes Traditional Classification • Equities • Fixed Income Aggregate - High Yield • Alternatives Private Equity Real Estate Hedge Funds 6/28/20114:21 PM Alternative Buckets * Risk Budgeting Classification [Based on Volatility, Correlations and Environmental Risk]** ■Growth Assets Public Equities Private Equity - Non Core Real Estate REITs? - Combine Equities and Credit as Company Risk? •Diversifying Assets Treasuries [Interest Rates] Credit •I6 Corp • HY + Distressed • EM Debt Hedge Funds - REITs? •Inflation Hedging Assets - Inflation Linked Bonds - Core Real Estate - Commodities/Energy - Timber/Farmland *Many variations possible. All subjective! ** Risk Buckets as defined by 5I5, MOPI estimate of asset class membership within buckets NYC Mayor's Office of Pensions & Investments 22 EFTA_R1_02033267 EFTA02691376 Risk Budgeting: Risk Allocation, Not $ Allocation Matters NYC Mayor's Office of Pensions Investments Classifying Asset Classes by Risk Characteristics/Role Capital [$] Weights Risk Weights in Asset Allocation 100% 100% % Growth Risk % Diversifying Risk 26% 5% % Inflation Risk 8% 5% Long term balanced policy portfolio should be designed to optimize risk weights 6/28/20114:21 PM 23 E FTA_R 1_02033268 EFTA02691377 Identifying Risks That Matter 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 NYC Mayor's Office of Pensions 6 Investments 24 EFTA_R1_02033289 EFTA02691378 Redrawing the Policy Roadmap NYC Mayor's Office of Pensions & 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 Redrawing the Policy Roadmap NYC Mayor's Office of Pensions & 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 Redrawing the Policy Roadmap ...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 NYC Mayor's Office of Pensions 8, Investments 27 EFTA_R1_02033272 EFTA02691381 Asset Allocation Policy Roadmap Current Portfolio NYC Mayor's Office of Pensions Investments Long Term Balanced Policy Portfolio 6/28/2011 4.21 PM 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 28 EFTA_R1_02033273 EFTA02691382 Asset Allocation Policy Roadmap (Current Portfolio K Short Term )(1-3 yr) Policy Portfolio 11111 2011 Next 1-3 years • First step towards long term portfolio • Marginally reduces equity concentration • Takes advantage of diversification opportunities that do not involve substantial return give up • Realistic about staffing, decision making 6/28/20114:21 PM NYC Mayor's Office of Pensions & Investments Long Term Balanced Policy Portfolio 111111 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 29 EFTA_R1_02033274 EFTA02691383 Asset Allocation Policy Roadmap (Current Portfolio K Short Term 1-3 yr) Policy Portfolio 2011 Next 1-3 years • First step towards long term portfolio • Marginally reduces equity concentration • Takes advantage of diversification opportunities that do not involve substantial return give up • Realistic about staffing, decision making 6/28/201!4:21 PM termediate Portfolios Converging to Long Term Portfolio] I Next 3-5 years • More meaningful exposures to diversifying and inflation sensitive asset classes • Meaningful reductions in equity concentration • Rising bond yields will eventually enable diversification without giving up liquidity NYC Mayor's Office of Pensions & Investments Long Term Balanced Policy Portfolio I I I 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 30 EFTA_R1_02033275 EFTA02691384 Asset Allocation Policy Roadmap NYC Mayor's Office of Pensions Investments Risk Buckets Current Short Term Intermediate Term Long Term Balanced Policy 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 Redrawing the Policy Roadmap NYC Mayor's Office of Pensions & 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 Redrawing the Policy Roadmap NYC Mayor's Office of Pensions & 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 [email protected] 6/28/2011 4.21 PM 34 EFTA_R1_02033279 EFTA02691388 Appendix NYC Mayor's Office of Pensions Investments 6/28/2011 4.21 PM 35 EFTA_R 1_02033280 EFTA02691389 "It's the Asset Allocation Policy, *,4%,$#er* NYC Mayor's Office of 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 Initial Conclusions: Open Questions/Issues Policy Roadmap Current Portfolio 2011 Short Term 3 yr Policy Portfolio • Likely to retain equity concentration near term, recognize exposure to sharp equity declines remains greatest risk • Evaluate cost and efficacy of hedging some of this tail risk? 6/28/20114:21 PM ntermediate Portfolios [Converging to Long Term Portfolio as Markets Change] • Liquidity needs will only grow, illiquid weights must be scrupulously monitored • Fees may rise sharply, alpha discipline must rise equally sharply NYC Mayor's Office of Pensions Investments Long Term 10+ year Policy Portfolio • Work with consultants to design the desired risk profile encompassing relevant risk metrics • What economic environments should we be most concerned about? • Write a new Strategic IPS highlighting policy guidelines [risk, return, role of asset classes] for long tert87asset allocation EFTA_R1_02033282 EFTA02691391 Risky 'Tail Events' More Likely NYC Mayor's Office of Pensions & 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 95% chance of realizing mean returns +/- 2 SD 67% chance of realizing tan returns +/- 1 SD 1 99% chance of realizing mean returns +/- 3 SD 6/28/20114:21 PM Volatility "Tails" [Chance of "Rare" Events]: Rising 38 EFTA_R1_02033283 EFTA02691392 Asset Allocation Tools: Mean-Variance Analysis NYC Mayor's Office of Pensions & 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 6/28/20114:21 PM 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 39 EFTA_R1_02033284 EFTA02691393 Valuation [PIE Multiple] Change a Significant Driver of Historical Returns NYC Moyor'S Off ice of Pensions Znvesfinets US Equity Market Fundamental Drivers of Return n Components of SOP 500 Annualized Returns by Decade I. Val.., Ltange Id, .00 19603 1960. Eannos qv. bawl co opranrgur. ,41. lolls Igloo 1990, ■ 2000-200e 6/26/Fgal PM 24 WIIIIROioN ell II 40 EFTA_R1_02033285 EFTA02691394