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Alternative Asset Class Returns 10-yrs '04 - '13 2004

2005

2006

2007

2008

Re a l Esta te 35.0%

P riva te q y Equity 28.3%

Re a l Esta te 35.6%

P riva te q y Equity 19 . 7 %

G lb. Ma c ro 4.7%

P riva te Equity 25.9%

G loba l Equity 17 . 4 %

P riva te Equity 28.7%

Distrsd. 18 . 1% MLP s

Distrsd.

16 . 7 %

10 . 4 %

G loba l Equity 12 . 0 % HF Agg.

Asset Class

2 6 . 1% G loba l Equity 17 . 0 %

2011

MLP s

MLP s

MLP s

76.4%

35.9%

12 . 7 %

Eq. Mkt. Ntrl. - 3.0%

G loba l Equity 30.0%

G lb. Ma c ro 11. 4 %

Mrgr. Arb. - 6.7%

Re a l Esta te 27.6%

MLP s

- 18 . 7 %

20.2%

Mrgr. Mrgr Arb. 8.9%

6 . 1% Mrgr. Arb. 3.7%

Mrgr. Arb. 5.5% Re l. V a l.

13 . 3 %

P riva te Equity 2 1. 0 %

Re a l Esta te 9.4%

P riva te Equity 13 . 8 %

12 . 5 %

10 . 0 %

G lb. Ma c ro 6 . 1%

G loba l Equity 26.2%

23.0%

Mrgr. Mrgr Arb. 14 . 6 % HF Agg.

G loba l Equity 16 . 5 %

- 17 . 3 %

15 . 3 %

6.3%

P riva te Equity 10 . 5 %

11. 0 %

9 . 1%

Eq. Mkt. Ntrl. 6 . 1%

Re a l Esta te 26.7%

Re l. V a l.

Distrsd.

MLP s

27.6%

Re l. V a l.

HF Agg.

G loba l Equity 7.7%

Distrsd.

HF Agg.

- 22.3%

18 . 6 %

P riva te Equity - 22.4%

P riva te Equity 13 . 4 %

Mrgr. Arb. 2.3%

Distrsd.

MLP s

12 . 2 %

6.8%

- 36.9%

G lb. Ma c ro 8.2%

Eq. Mkt. Ntrl. 5.7%

Re a l Esta te - 37.3%

G lb. Ma c ro 6.9%

G lb. Ma c ro 3.2%

Eq. Mkt. Ntrl. 7.0%

Re a l Esta te - 16 . 3 %

G loba l Equity - 39.2%

Eq. Mkt. Ntrl. - 1. 1 7%

Eq. Mkt. Ntrl. 2.5%

MLP s

MLP s

MLP s

5.3%

15 . 0 %

18 . 2 % G loba l Equity 16 . 0 %

HF Agg.

HF Agg.

Distrsd.

9.7%

9.8%

Distrsd.

MLP s

0.0%

4.8%

Eq. Mkt. Ntrl Ntrl. - 1. 5 %

Re a l Esta te 25.4%

Re l. V a l.

8.5%

8.5%

P riva te q y Equity 15 . 1%

4.5%

0.8%

Mrgr. Arb Arb. 4.6%

G loba l q y Equity 7.9%

15 . 0 %

12 . 2 %

HF Agg.

Ann. Volatility

Distrsd.

Distrsd.

G lb. Ma c ro - 0.7%

Ann. Return

Distrsd.

Re l. V a l.

G loba l Equity 11. 1%

MLP s

4Q13

Re a l Esta te 8.5%

Distrsd.

Mrgr. Arb Arb. 11. 9 %

Re l. V a l.

2013

13 . 9 %

Re l. V a l.

Re l. V a l.

2012 Re a l Esta te 18 . 0 %

HF Agg.

Distrsd.

G lb. Ma c ro 7.5%

Eq. Mkt. Ntrl. 3.4%

MLP s

2010

HF Agg.

9.3%

Re l. V a l.

60

Re a l Esta te 13 . 7 %

2009

Re l. V a l. 7.4% Eq. Mkt. Eq Mkt Ntrl. 6.4%

P riva te Equity 10 . 4 %

4.3%

7.7%

Eq. Mkt. Ntrl. 2.7%

G loba l Equity 7.3%

Re l. V a l.

Re l. V a l.

HF Agg.

2.6%

6.5%

7.9%

HF Agg.

Re l. V a l.

Distrsd. 9.6%

4.4%

Mrgr. Arb. 5.4%

Mrgr. Arb. 1. 8 %

5.8%

6.7%

Eq. Mkt. Ntrl Ntrl. 3 . 1%

G lb. Ma c ro 0.6%

G lb. Ma c ro 1. 6 %

Mrgr. Arb Arb. 5 . 1%

G lb. Ma c ro 4.9%

- 2.0%

Mrgr. Arb. 1. 8 %

Re a l Esta te - 0.5%

Re a l Esta te - 1. 3 %

G lb. Ma c ro 4.6%

Eq. Mkt. Ntrl. 3.7%

G loba l Equity - 6.0%

G lb. Ma c ro - 1. 1 3%

P riva te Equity -

P riva te Equity -

Eq. Mkt. Ntrl. 2.7%

Mrgr. Arb. 3.6%

HF Agg.

HF Agg.

5.3% Source: Standard & Poor’s, Alerian, HFRI, MSCI, Cambridge Associates, NAREIT, FactSet, J.P. Morgan Asset Management. Hedge fund indices include distressed and restructuring (Distrsd.), relative value (Rel. Val.), global macro (Glb. Macro), merger arbitrage (Mrger. Arb.), equity market neutral (Eq. Mkt. Ntrl.), and the aggregate (HF Agg.). 4Q13 and 2013 private equity data is unavailable and provided by Cambridge Associates. Real estate returns reflect the NAREIT Real Estate 50 Index and global equity returns reflect the MSCI AC World Index. Annualized volatility and returns are calculated from quarterly data between 1/1/04 and 12/31/13, except for private equity which represents 1/1/03 – 12/31/12. Please see disclosure pages for index definitions. Guide to the Markets – U.S. Data are as of 12/31/13.


jpm-guide-1q-2014-alternative-asset-class-returns