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TABI
BloodlessVerdictoftheMarket
ChangeinGlobal10yearBondYieldsin2014
ChangeinGlobal10yBondfor2014(BPS)
700
585
600
500
400
261
300
200
100
6
0
100
200
300
254 239
226 224
127
151 150 139
86
113 97 97
3
28 21
60 47
Source:Bloomberg;Doubleline
Bps=basispoints.Pleaseseeindexdefinitionsintheappendix.Youcannotinvestdirectlyinanindex.
YieldCurvesFlattenedAcrosstheGlobein2014
Pleaseseeindexdefinitionsintheappendix.Youcannotinvestdirectlyinanindex.
Equity2014PerformanceTotalReturnUSD
Asof12/31/14
DevelopedMarketsEquityPerformanceByIndex
(2014TotalReturnUSD)
20%
15%
14.8%
13.7%
10.0%
10%
5.3%
4.9%
5%
1.2%
0.5%
0%
5%
10%
7.9%
9.6%
15%
8.3%
9.3%
10.0%
2.6%
4.2%
4.8%
5.0%
EmergingMarketsEquityPerformanceByCountry
(2014TotalReturnUSD)
54.0%
60%
44.7%
40%
30.4%
21.3%
20%
4.9%
18.9%
4.4%
0%
0.4%
20%
9.4%
13.4%
9.9%
21.2%
8.7%
14.5% 13.2%
25.7%
40%
60%
Source:Bloomberg;DoubleLine
Pleaseseeindexdefinitionsintheappendix.Youcannotinvestdirectlyinanindex.
42.1%
FX:DXYvs.TradeWeightedUSDPerformance(3yrs)
December31,2011throughJanuary7,2015
Source:Bloomberg;Doubleline
FX=Foreignexchangerate.DXY=USdollarindexindicatingthegeneralinternationalvalueoftheUSdollar.ItdoesthisbyaveragingtheexchangeratesbetweentheUSDandmajorworld
currencies.
FX:LowerYieldsnowNegativeforEmergingMarkets
DeflationarySlowdowninGlobalGrowth
December31,2012throughDecember31,2014
EmergingMarketCurrenciesand10YUSTYield
75
3.1
10YUST(RHS)
2.9
80
2.7
EMFX
weaker
2.5
85
2.3
10YUSTYield
JPMorganEmergingMarketsCurrencyIndex(Inverted)$Pirce
JPMEMFX
2.1
90
1.9
Periodofnegativecorrelation
95
1.7
1.5
Source:Bloomberg;Doubleline
FX=Foreignexchangerate.10YUST=10yearUSTreasurynoteyields.JPMEMFX=atradablebenchmarkforEmergingMarketscurrencymarkets.Theindexcomprisesof10liquidcurrencies
acrossthreeequallyweightedregions,LatinAmerica,AsiaandCEEMEAversustheUSdollar.Correlation=Whensecuritiesmoveinasimilardirection.Correlationrangesbetween+1and1.
Omeannocorrelation,1meansperfectcorrelationand1meansnocorrelation.
Aninvestmentcannotbemadedirectlyinanindex.
FX:GlobalSelectedCurrenciesPerformance
2014TotalReturn
0.31%
ExpandedMajorCurrenciesPerformance
1.62%
6.35%
10%
7.09%
Asof12/31/14
17.21%
17.07%
15.85%
15.79%
12.94%
12.60%
12.06%
11.83%
10.47%
9.95%
7.45%
5.72%
5.42%
4.36%
3.91%
2.94%
2.28%
1.82%
5.04%
10.22%
20%
9.15%
%totalreturn
10%
1.12%
1.65%
0.42%
0%
30%
40.33%
40%
INR
IDR
TRY
HKD
CNY
BRL
NZD
KRW
PEN
MYR
ZAR
SGD
TWD
GBP
AUD
CAD
MXN
CLP
CHF
ILS
EUR
JPY
PLN
CZK
HUF
COP
SEK
NOK
RUB
50%
Source:Bloomberg
JPY=JapaneseYen,CNY=ChinaYuanRenminbi,HKD=HongKongDollar,IDR=IndonesianRupiah,SGD=SingaporeDollar,PEN=PeruvianNuevoSol,CHF=SwissFranc,INR= IndianRupee,GBP=
GrainBritan Pound,ILS=Isreali NewSheqel,NZD=NewZealandDollar,Eur =Euro,SEK=SwedishKrona,TWD=TaiwanDollar,AUD=Austrianlian Dollar,MYR=MalaysianRinggit,CZK=CzechKoruna,
BRL=BrazilianLira,KRW=KoreanWon,NOK=NorwegianKrone,MXN=MexicanPeso,PLN=PolishZloty,CAD=CanadianDollar,COP =ColumbianPeso,TRY=TurkishLira,CLP=ChileanPeso,ZAR=
SouthAfricanRand,HUF=HungarianForint,RUB=RussianRuble.
FX=ForeignExchange
Aninvestmentcannotbemadeinandindex.
EMBondsvs.CorporateEMBondsvs.
LocalCurrencyEMBonds
January11,2010throughJanuary13,2015:LastFiveYears
TotalReturn
Corporate
LocalCurrency
Source:Bloomberg;Doubleline
EM=EmergingMarkets,JPEIGLBLIndex=JPMorganEMBIGlobalTotalReturnIndex,JCMDCOMP=JPMorganCorporateEMBIDiversifiedCompositeIndex,JGENGUUG=JPMorganGPI
EmergingMarketsCompositeUnhedgedUSD.Pleaseseeappendixfordefinitions.
Aninvestmentcannotbemadedirectlyinanindex.
BondandEquityMutualFundFlows
January1,2007throughDecember31,2014
BondandEquityMutualFundFlows
Cumulativenetinflowsbyyear($millions)
700,000
600,000
Equitymutualfunds
500,000
Bondmutualfunds
400,000
300,000
200,000
100,000
0
100,000
200,000
300,000
2007
2008
2009
2010
2011
2012
2013
2014
Source:Bloomberg;Doubleline
10
2014OneoftheBestYearsEverforLongBonds
AsofDecember31,2014
Source:Bianco
11
CommoditiesPerformance
December31,2013throughJanuary8,2015
Metals
Gold
Grains
Commodity
Silver
Energy
Source:Bloomberg;Doubleline
YTD=YeartoDate.DJ=DowJonesindices.Pleaseseeappendixfordefinitions.Youcannotinvestdirectlyinanindex.
12
CommodityIndex(CRB)vs.CommodityFuturesIndex
January14,2005throughJanuary8,2015
Source:Bloomberg;Doubleline
CRBCMDTIndex=Thespotmarketpriceindexisameasureofpricemovementsof22sensitivebasiccommoditieswhosemarketsare presumedtobeamongthefirsttobeinfluencedbychangesin
economicconditions.BCOM=BloombergCommodityIndexiscalculatedonanexcessreturnbasisandreflectscommodityfuturespricemovements.Rebalancesannuallyweighted2/3bytradingvolume
and1/3byworldproduction.Youcannotinvestdirectlyinanindex.
13
GoldinFX 1yearreturns
January9,2014throughJanuary12,2015
Source:Bloomberg;Doubleline
INR=IndianRupeespotprice,AUD=Australiandollarspotprice,CAD=Canadiandollarspotprice,ZAR=SouthAfricanRand spotprice,RUB=RussianRublespotprice,JPY=Japaneseyenspotprice
Youcannotinvestdirectlyinanindex.
14
GoldinFX 1yearreturns
January9,2014throughJanuary12,2015
Source:Bloomberg;Doubleline
INR=IndianRupeespotprice,AUD=Australiandollarspotprice,CAD=Canadiandollarspotprice,ZAR=SouthAfricanRand spotprice,RUB=RussianRublespotprice,JPY=Japaneseyenspotprice
Youcannotinvestdirectlyinanindex.
15
GoldMinersETFComparison
FortheYear2014
Source:Bloomberg
DUST =Direxion dailygoldminersbear3xsharesinanexchangetradedfundincorporatedintheUSAwiththeobjectiveofdailyinvestmentresultsof300%theinverse(oppositeoftheNYSEArca Gold
Minersindex.GDX=MarketvectorsgoldminersETFisanexchangetradedfundincorporatedinUSAthattrackstheperformanceoftheArca GoldMinersIndex.GLD =SPDRgoldsharesinand
investmentfundincorporatedintheUSAwiththeobjectiveisforsharestoreflecttheperformanceofthepriceofgoldbullion.
Youcannotinvestdirectlyinanindex.
16
Bitcoin
January3,2013throughJanuary5,2015
Source:Bloomberg
XBTBGNCurncy =Bitcoinspotprice.Bitcoinisavirtualcurrencythatismathbaseddigitalassetsinwhichtransactionscanbeperformedcryptographicallywithouttheneedforacentral
issuingauthority.
17
FX:USDRealEffectiveExchangeRate
June30,1982throughDecember31,2014
Source:Bloomberg
CEERUS =BOECalculatedeffectiveexchangeratesUSprovidedbytheBankofEngland.Aneffectiveexchangerateisameasureofthevalueofacurrencyagainstabasketofothercurrencies,relativeto
abasedate.FX=foreignexchange.
Youcannotinvestdirectlyinanindex.
18
TABII
BullCase
19
LaborMarket LessSlack
January1,2001throughDecember31,2014
Source:DeutscheBankGlobalMarketsResearch,January2015
20
UnemploymentRate
January1,2008throughDecember31,2014
Source:DeutscheBankGlobalMarketsResearch,January2015
21
Sales&Labor
January1,2003throughDecember31,2014
Source:NFIB,Haver Analytics,DeutscheBankGlobalMarketsResearch,January2015
22
DisabilityRecipientsintheU.S.
January1,2003throughDecember31,2014
Source:SocialSecurityAdministration,Haver Analytics,DeutscheBankGlobalMarketsResearch,January2015
23
FoodStampUsage
October31,2005throughSeptember30,2014
Source:Bloomberg
FDSPNUMIndex=SupplementalNutritionAssistanceProgramparticipationinmillions.
Youcannotinvestdirectlyinanindex.
24
DevelopedCountriesGrowthvs.OilPrices
Source:DeutscheBankResearch,January2015,EIA,OECD,Haver Analytics.Note:Rightsidescaleisinverted.GreyshadedareaindicatedU.S.recession.
G7=SevenindustrializedeconomiesincludeFrance,Germany,Italy,Japan,UnitedStates,UnitedKingdomandCanada.YoY =yearoveryear.GDP=theamountofgoodsandservices
producedwithinagivencountry.
OilPrices(Scaleinverted)
G7GDP
January1,1990throughJanuary4,2015
25
S&P500Index/AllCountryWorldLarge&MidCap
EquityIndex
January1,2010throughJanuary7,2015
Source:Bloomberg
SPX=S&P500Index.Fordefinition,pleaseseeappendix.MSCIACWIIndex=globalfreefloatindexofemerginganddeveloped worldequitymarkets.
Youcannotinvestdirectlyinanindex.
26
Cyclicalvs.DefensivePerformanceMonitor
CumulativePerformanceLongCyclicalsShortDefensives(Indexedto
8/19/94)
January7,2000throughJanuary7,2015
180
Cyclicalvs.DefensiveBasket
*basedon10ystatistics
170
160
150
140
130
120
110
Cyclicalvs.Defensive
100
"Simple10yrMov.Avg.
1StDev
90
2StDev
80
Note:SubsetsoftheS&P500index.Cyclicals=energy,materials,industrials,consumerdiscretionary,Informationtechnology; Defensives=healthcare,consumerstaples,telecoms,utilities.
Standarddeviationsarebasedon10yhistoricallookback.Standarddeviation=Measuresthedispersioninagivensetofdata.Itscalculatedasthesquarerootofvariance.
Youcannotinvestdirectlyinanindex.
27
TABIII
BearCase
28
Since1871,USEquitiesHaveNeverRisen7
ConsecutiveYearsinaRow
June30,1874throughDecember31,2014
Source:RobertShiller,YaleUniversityhttp://www.econ.yale.edu/~shiller/
S&P500indexdefinitioncanbefoundintheappendix.
Youcannotinvestdirectlyinanindex.
29
MarginDebtHigherNowthan2007
January1,1995throughDecember14,2014
Source:dshort.com,AdvisorPerspectiveshttp://www.advisorperspectives.com/dshort/charts/markets/nysemargindebt.html?NYSEmargindebtSPXgrowthsince1995.gif
Realinflationadjusteddata.S&P500Indexdefinitioncanbefoundintheappendix.Youcannotinvestdirectlyinanindex.
30
S&P500Indexvs.FederalReserveTotalAssets
December26,2008throughDecember19,2014
12/19/14
Source:Thechartstore.com
S&P500indexdefinitioncanbefoundintheappendix.QE=Quantitativeeasing.Youcannotinvestdirectlyinanindex.
31
TABIV
Forecasts
32
10yUSTreasuryYieldForecastforYearEnd2014
July11,2013throughJanuary7,2015
BloombergMedianEconomistForecastforYearEnd2014andActual10yUSTYields
3.7
3.5
MedianEconomistForecast2015
MedianEconomistForecast2014
3.3
3.1
3.01%
2.9
10yUSTYield
2.7
2.5
2.3
2.1
2.17%
1.9
1.97%
Notes:Medianeconomistforecastsfor2015isbasedonBloombergsurveydataasof12/11/14.
Source:Bloomberg;Doubleline
UST=USTreasury
33
BondYieldForecast(US,Germany,andUK)
AsofJanuary7,2015
Source:Bloomberg
G7=France,Germany,Italy,Japan,US,UKandCanada
34
Source:Bloomberg
WTI=WesternTexasintermediate.Agradeoflight,sweetcrudeoil.
35
USCPIandWTI
January7,2005throughJanuary7,2015
USCPIandWTI
150
USCPI
WTIYOY%(RHS)
100
WTIYoY%
CPIYoY%
50
2
1
0
0
50
3
1/7/2005
1/7/2006
1/7/2007
1/7/2008
1/7/2009
1/7/2010
1/7/2011
Source:Doubleline;Bloomberg
CPI=ConsumerPriceIndex.WTI=WestTexasintermediateCrudeoil.YoY =yearoveryear.RHS=righthandside.
Youcannotinvestdirectlyinanindex.
1/7/2012
1/7/2013
1/7/2014
100
1/7/2015
36
OfficialUSCPIandPriceStats (%YoY)
January1,2010throughJanuary4,2015
YoY =Yearoveryear.CPI=ConsumerPriceindex.Youcannotinvestdirectlyinanindex.
37
USBreakevens
September30,2011throughJanuary7,2015
Note:Breakevens demonstratespredictedinflationforaperiodoftimebycomparingTIPStoregularUStreasurysecurities.TheyieldsonbondshavedroppedmorethanTIPSimplyingthat
inflationwouldbelowerinthefuture.Youcannotinvestdirectlyinanindex.
38
US,German,French,andItalian10YearBreakevens
January11,2010throughJanuary11,2015
Source:Bloomberg
Note:Breakevens demonstratespredictedinflationforaperiodoftimebycomparingTIPStoregularUStreasurysecurities.TheyieldsonbondshavedroppedmorethanTIPSimplyingthat
inflationwouldbelowerinthefuture.DEGGBE10Index=German10yearbreakevenindex.FRGGBE10Index=French10yearbreakevenindex.GILGBE10Index=Italian10yearbreakeven
index.USGGBE10Index=US10yearbreakevenindex.Youcannotinvestdirectlyinanindex.
39
USDollarandInflation
January31,2005throughJanuary6,2015
Source:Bloomberg
DXYCurncy=USDollarspotprice.CPI=ConsumerPriceIndex.Youcannotinvestdirectlyinanindex.
40
TABV
InterestRateTrends
41
US2yearTreasuryvs.German2yearTreasury
January8,2010throughJanuary12,2015
Source:Bloomberg
GT2=US2yearTreasury.GTDEM2Y=German2yeartreasuryindex.Youcannotinvestdirectlyinanindex.
42
US,Germany&Japan5yearBondYields
Source:Bloomberg
GT5=USGovernmentgeneric5yearTreasury.GTJPY5=Japanese5yearTreasury.GTDEM5=German5yearTreasury.Youcannotinvestdirectlyinanindex.
43
US,German,JapaneseandSwiss10YearYields
Source:Bloomberg
GT10=USGovernmentgeneric10yearTreasury.GTJPY10=Japanese10yearTreasury.GTDEM10=German10yearTreasury.GTCHF10Y =Swiss10yearTreasury.You
cannotinvestdirectlyinanindex.
44
Eurozone2YearYields
October1,2013throughJanuary7,2015
Source:Bloomberg,DoubleLine
Germany,France,Italy,SpainandIrelands2yearTreasuryyields..Youcannotinvestdirectlyinanindex.
45
GreekYields(%)
Itlaian &SpanishYields(%)
Greece10YearYieldsBreakingDownwardTrend
Source:Bloomberg
Youcannotinvestdirectlyinanindex.
46
Greek10YearYieldvs.GoldSpot
January11,2010throughJanuary8,2015
Source:Bloomberg
GGGB10YR=Greek10yearTreasuryIndex.Youcannotinvestdirectlyinanindex.
47
CentralBankPolicyRates
January1,2004throughDecember31,2014
Source:Deutche BankResearch,January2015.
EurozoneconsistsofAustria,Belguim,Cyprus,Estonia,Finland,France,Germany,Greece,Ireland,Itlay,Latvia,Lithuania,Luxembourg,Malta,theNetherlands,Portugal,Slovakia,Slovenia,
andSpain.
48
TABVI
Oil
49
OilPricesRequiredtoBalanceBudget
AsofOctober10,2014
Source:WallStreetJournalhttp://www.wsj.com/articles/oilpriceslumpstrainsbudgetsofsomeopecmembers1412952367
50
Oil(WTI)vs.HighYieldvs.Inverse10YearUSTYield
vs.S&P500
January13,2012throughJanuary12,2015
Source:Bloomberg
CL1COMBComdty =WestTexasIntermediate(WTI)isalight,sweetcrudeoilfuturescontract.SPXT=S&PP500Index.SBCXPCAPIndex=Citigroup HighYieldCashPayCappedIndex.
USGG10YrIndex=Generic10yearUSTreasury.Youcannotinvestdirectlyinanindex.
51
Oil(WTI)vs.NaturalGas
January13,2005throughJanuary12,2015
Source:Bloomberg
CL1COMBComdty =WestTexasIntermediate(WTI)isalight,sweetcrudeoilfuturescontract.NG1Comdty =GenericNaturalgasfuturescontract.Youcannotinvestdirectlyinanindex.
52
USShaleBreakevenPoints
AsofOctober10,2014
Source:USGlobalInvestors,EveryoneLovesaDiscount ButWherestheSupportforOilPrices?,November7,2014
http://www.usfunds.com/investorlibrary/investoralert/?pageNum=9&nextNID=BF9D8F35AF2A838E891B004B005607A1#.VK7DyfJmyUk
53
EnergySectorWeightingAcrossCreditand
EquityIndices
AsofNovember25,2014
Pleaseseeappendixfordefinitions.
Youcannotinvestdirectlyinanindex.
54
USOil&GasProducersHaveNotReliedHeavilyon
BankLoans
December31,2000throughSeptember30,2014
Source:Gavekal Data/Macrobond
Youcannotinvestdirectlyinanindex.
55
OnlySmallShareofCapexGoestoEnergySector
January1,1960throughDecember31,2014
Source:DeutscheBankResearch,January2015
Capex=capitalexpenditure.Youcannotinvestdirectlyinanindex.
56
HYEnergyandMetalsRemainUnderPressure
December31,2013throughJanuary6,2015
HYSpreads
900
HY
800
HYEnergy
GOVTOAS
700
600
500
400
300
Source:Bloomberg,DoubleLine
HY=HighYield,HYEnergy=Theenergysectorofthehighyieldmarket.
Youcannotinvestdirectlyinanindex.
57
TABVII
ClosingThoughts
58
China HomePricesareFalling
January1,2010throughDecember31,2014
Source:DeutscheBankResearch,January2015
Youcannotinvestdirectlyinanindex.
59
WhenCouldDefaultFearsBecomeanIssue?
AsofDecember1,2014
Source:CitigroupResearch,December1,2014
HY=HighYield.Youcannotinvestdirectlyinanindex.
Years
60
RetailSalesvs.OnlineSales
January1,1995throughDecember31,2014
Source:DeutscheBankResearch,January2015
Youcannotinvestdirectlyinanindex.
61
Source:Bloomberg
BBREMALLIndex=IsacapitalizationweightedsubindexoftheBloombergREITIndex.Itsbasedonregionalmallpropertiescomprising75%ofmoreofinvestedassetsandwasdeveloped
withabasevalueof100asofDecember31,1993.Youcannotinvestdirectlyinanindex.
62
2015MarketOutlookV
LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer
January13,2015
U.S. Aggr
1
getIndexA
Back
IWS?requ
to In
IndexDescriptions
BarclaysCapitalUSAggregateIndex TheBarclaysCapitalUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.The
indexcoverstheUSinvestmentgradefixedratebondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthroughsecurities,
andassetbackedsecurities.Thesemajorsectorsaresubdividedintomorespecificindicesthatarecalculatedandreportedona regularbasis.
BarclaysCapitalUSTreasuryIndex ThisindexistheUSTreasurycomponentoftheUSGovernmentindex.PublicobligationsoftheUSTreasurywitharemaining
maturityofoneyearormore.
BarclaysCapitalUSTreasury10YearIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex.
BarclaysCapitalCapitalUSTreasury30YearIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex.
BarclaysCapitalUSHighYieldIndex TheBarclaysCapitalUSHighYieldIndexcoverstheuniverseoffixedrate,noninvestmentgradedebt.Eurobondsanddebt
issuerfromcountriesdesignatedasemergingmarkets(e.g.Argentina,Brazil,Venezuela,etc.)areexcluded,butCanadianand globalbonds(SECregistered)of
issuersinnonEMGcountriesareincluded.Originalissuezereos,stepupcouponstructures,144Asandpayinkind(PIK,asofOctober1,2009)arealsoincluded.
BofAMerrillLynchUSGovernmentIndex(GOAO) TheMerrillLynchUSGovernmentIndextrackstheperformanceofUSgovernment(i.e.securitiesinthe
TreasuryandAgencyindices.)
BofA MerrillLynchUSCorporateIndex(COAO)InvestmentGrade TheMerrillLynchCorporateIndextrackstheperformanceofUSdollardenominated
investmentgradecorporatedebtpubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageof
Moodys,S&PandFitch)andaninvestmentgraderatedcountryofrisk(basedonanaverageofMoodys,S&PandFitchforeigncurrencylongtermsovereigndebt
ratings).Securitiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandaminimumamountoutstandingof$250MM.
BofAMerrillLynchUSAllConvertiblesIndex(VOSO) TheMerrillLynchAllConvertibleIndexisaruledrivenindex.whichincludesallbondsandpreferredstocks
ofU.S.registeredcompanies,whichhave$50millionormoreinaggregatemarketvalueandareconvertiblesinU.S.dollardenominatedcommonstocks,ADRsor
cashequivalents.Pleasenoteaninvestorcannotinvestdirectlyinanindex.
CRBCommodityIndex(CRY) Anunweightedgeometricaverageofsomeimportantcommodities.Itaveragespricesacross17commoditiesandacrosstime.The
indextracksenergy,grains,industrials,livestock,preciousmetals,andagriculturals.
S&P500(SPX) S&P500isafreefloatcapitalizationweightedindexpublishedsince1957ofthepricesof500largecapcommonstocksactively tradedinthe
UnitedStates.
StandardDeviation Sigma=standarddeviation.Itshowshowmuchvariationthereisfromtheaverage(mean,orexpected/budgetedvalue).Alow standard
deviationindicatedthatthedatapointtendtobeveryclosetothemean,whereashighstandarddeviationindicatedthatthe dateisspreadoutoveralargerange
ofvalues.
DowJones UBSDJCommodityIndex TheDowJonesUBS CommodityindexiscomposedofcommoditiestradedonU.S.exchanges,withtheexceptionof
aluminum,nickelandzinc,whichtradeontheLondonMetalExchange(LME).
Silver(XAG)=SilverSpotPricequotedinUSD/lb.
Gold=GoldSpotPrice(Golds)TheGoldSpotpriceisquotedasUSDollarperTroyOunce.
CrudeOil=Crudeoilvariesgreatlyinappearancedependingonitscomposition.WestTexasintermediate(WTI)=Texaslightsweetcrudeisusedasabenchmarkin
oilpricing.Itslightbecauseofthelowdensityandsweetbecauseoflowsulfur.Brentcrude=Isamajortradingclassificationofsweetlightcrude.Brentistheoil
makeralsoknownasBrentBlend.
VolatilityIndex(VIX)TheVIXshowsthemarket'sexpectationof30dayvolatility.Itisconstructedusingtheimpliedvolatilitiesofawiderangeof S&P500index
options. Thisvolatilityismeanttobeforwardlookingandiscalculatedfrombothcallsandputs. TheVIXisawidelyusedmeasureofmarketriskandisoften
referredtoas the"investorfeargauge".
64
IndexDescriptions
BofAMerrillLynchUSDollarEmergingMarketsSovereignPlusIndex(IGOV)
ThisindextrackstheperformanceofUSdollardenominatedemergingmarketandcrossoversovereigndebtpubliclyissuedintheeurobondorUSdomesticmarket.
QualifyingcountriesmusthaveaBB1orlowerforeigncurrencylongtermsovereigndebtrating(basedonanaverageofMoodys,S&P,andFitch).
BofAMerrillLynchU.S.HighYieldCashPayIndex(J0A0)BelowInvestmentGrade
TheMerrillLynchHighYieldIndextrackstheperformanceofUSdollardenominatedbelowinvestmentgradecorporatedebt,currentlyinacouponpayingperiod,
thatispubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveabelowinvestmentgraderating(basedonanaverageofMoodys,S&PandFirth
foreigncurrencylongtermsovereigndebtratings).Musthaveoneyearremainingtofinalmaturityandaminimumoutstandingamountof$100MM.
BofAMerrillLynchInternationalGovernmentIndex(NOGO)
TheMerrillLynchInternationalIndextrackstheperformanceofAustralia,Canadian,French,German,Japan,Dutch,SwissandUKinvestmentgradesovereigndebt
publiclyissuedanddenominatedintheissuersowndomesticmarketandcurrency.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,
afixedcouponscheduleandaminimumamountoutstanding.
BofA MerrillLynchU.S.MunicipalSecuritiesIndex(UOA0)
ThisindextrackstheperformanceofUSdollardenominatedinvestmentgradetaxexemptdebtpubliclyissuedbyUSstatesandterritories,andtheirpolitical
subdivisions,intheUSdomesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandan
investmentgraderating(basedonMoodys,S&PandFitch).Minimumsizevarybasedontheinitialtermtofinalmaturityattime ofissuance.
BarclaysCapitalGlobalEmergingMarketsIndex TheBarclaysCapitalGlobalEmergingMarketsIndexrepresentstheunionoftheUSDdenominatedUSEmerging
MarketsindexandthepredominatelyEURdenominatedPanEuroEmergingMarketsIndex,coveringemergingmarketsinthefollowingregions:Americas,Europe,
MiddleEast,Africa,andAsia.AswithotherfixedincomebenchmarksprovidedbyBarclaysCapital,theindexisrulesbased,whichallowsforanunbiasedviewofthe
marketplaceandeasyreplicability.
DrawDown Thepeaktotroughdeclineduringaspecificrecordperiodofaninvestment,fundorcommodity.Adrawdownisusuallyquotedasthepercentage
betweenthepeakandthetrough.
TIPS TreasuryInflationProtection.Atreasurysecuritythatisindexedtoinflationinordertoprotectinvestorsfromthenegativeeffectsofinflation.TIPSare
consideredanextremelylowriskinvestmentsincetheyarebackedbytheU.S.governmentandsincetheirparvalueriseswithinflation,asmeasuredbythe
ConsumerPriceIndex,whiletheirinterestrateremainsfixed.
CPI ConsumerPriceIndex.Ameasurethatexaminestheweightedaverageofpricesofabasketofconsumergoodsandservices,such astransportation,foodand
medicalcare.
CashFlow Cashflowmeasuresthecashgeneratingcapabilityofacompanybyaddingnoncashcharges(e.g.depreciation)andinterestexpensetopretaxincome.
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IndexDescriptions
BofA/MerrillLynchHighYieldCashPayCCCratedIndex(JOA3) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonCCCrated
HighYieldcreditonly.
BofA MerrillLynchUSTreasuryIndex(G0Q0)TheMerrillLynchUSTreasuryIndextrackstheperformanceofUSdollardenominatedsovereigndebtpublicly
issuedbytheUSgovernmentinitsdomesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinal maturity,afixedcouponschedule
andaminimumamountoutstandingof$1billion.
BofA MerrillLynchMunicipalIndexTheMerrillLynchMunicipal
BofAMerrillLynchCurrent10yearUSTIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex.
BofAMerrillLynchCurrent30yearUSTIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex.
JPMorganCorporateEMBIBroadDiversifiedIndex(JBCDCOMP) Thisindextrackstheperformanceofinvestmentgradecorporatedebtpublicallyissuedacrossa
rangeofemergingmarketcountries.
ShanghaiIndex TheShanghaiStockExchangeCompositeisacapitalizationweightedindextrackingdailypriceperformanceofallAandBshareslistedonthe
ShanghaiStockExchange.ThisindexwasdevelopedDecember19,1990withabasevalueof100.
NASDAQ Acomputerizedsystemthatfacilitatestradingandprovidespricequotationsonmorethan5,000ofthemoreactivelytradedover thecounterstocks.
Createdin1971,theNasdaqwastheworld'sfirstelectronicstockmarket.
Transports TheIndustrialsSectorincludescompanieswhosebusinessesaredominatedbyoneofthefollowingactivities:Themanufactureand distributionof
capitalgoods,includingaerospace&defense,construction,engineering&buildingproducts,electricalequipmentandindustrial machinery
Utilities Apublicutilityisabusinessthatfurnishesaneverydaynecessitytothepublicatlarge.Publicutilitiesprovidewater,electricity,naturalgas,telephone
service,andotheressentials.Utilitiesmaybepubliclyorprivatelyowned,butmostareoperatedasprivatebusinesses.
BasisPoint Abasispointisaunitthatisequalto1/100th of1%,andisusedtodenotethechangeinafinancialinstrument.
REIT RealEstateTrust.Asecuritythatsellslikeastockonthemajorexchangesandinvestsinrealestatedirectly,eitherthrough propertiesormortgages
Duration Durationisacommonlyusedmeasureofthepotentialvolatilityofthepriceofadebtsecurity,ortheaggregatemarketvalueofaportfolioofdebt
securities,priortomaturity.Securitieswithalongerdurationgenerallyhavemorevolatilepricesthansecuritiesofcomparablequalitywithashorterduration.
Argentina(MERVALIndex) Isbasketweighted,themarketvalueofthestockportfolio,selectedaccordingtoparticipationintheBuenosAiresStockExchange.
Chile(IPSAIndex) Thisindexistotalreturnindexandcomposedofthe40stockswiththehighestaverageannualtradingvolumeintheSantiago StockExchange.
Venezuela(IBVCIndex) IBCindexfromtheCaracasStockExchangeiscapweightedofthe15mostliquidstockstraded.
Columbia(GBCIndex) IGBCindexfromtheColumbianstockexchangeisliquidweightedofthemostliquidstockstraded.
Taiwan(TWSEIndex) CapweightedindexofalllistedcommonsharestradedontheTaiwanstockexchange.
Singapore(FSSTIIndex) StraitsTimesIndexdisseminatedbyFTSEcomprisedoftop30SGXmainboardlistedcompaniesontheSingaporestockexchangeby full
capitalization.
Malaysia(FBMKLCIIndex) FTSEBurmaMalaysiaKLCIindexcomprisesthelargest30companiesbyfullmarketcaponBursaMalaysiasmainboard.
Thailand(SETIndex) BangkokSETindexiscapweightedindexofstockstradedontheStockExchangeofThailand.
Indonesia(JCIIndex) TheJakartastockpriceindexisamodifiedcapweightedindexofallstockslistedontheregularboardofIndonesiaStockExchange.
Philippines(PCOMPIndex) PhilippinestockexchangePSEi IndexiscapweightedcomposedofstocksrepresentativeoftheIndustrial,properties,services,
holdingfirms,financialandoil&miningsectorsofthePSE.
Poland(MCPOIndex) WarsawstockexchangeismarketcapweightingofallcompaniestradingontheWarsawStockExchangeinmillionofzloty.
Czechoslovakia(PXIndex) PraguestockexchangeindexreplacedPX50andPXDindices.Freefloating.
Russia(ROSIndex) CSFirstBostonRussianstockmarketindexiscapweightedbasedon30stocks&denominatedinUSdollars.
Hungary(BUXIndex) Budapeststockexchangeiscapweightedindexadjustedforfreefloat.Tracksthedailypriceofsharestradedontheexchange.
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IndexDescriptions
BofA/MerrillLynchInflationLinkedIndex(G0Q1) TheBofAMerrillLynchUSInflationLinkedTreasuryIndextrackstheperformanceofUSdollardenominated
inflationlinkedsovereigndebtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.
CitigroupTIPS(SBUSILSI) . Itmeasuresthereturnsoftheinflationlinkedbondswithfixedratecouponpaymentsthatarelinkedtoaninflationindex.The priceof
eachissueintheUSLSIisadjustedbyusinganindexratio.Theindexratioisdeterminedbydividingthecurrentinflationindexlevelbytheinflationindexlevelat
thetimeofissueofthesecurity.Theinflationindexispublishedonamonthlybasis,andtheintramonthindexratioiscalculatedusinglinear
interpolation.
Russell2000 measurestheperformanceofthesmallcapsegmentoftheUSequityuniverse.Russell2000isasubsetoftheRussell3000indexrepresenting
approximately10%ofthetotalmarketcapitalizationofthatindex.
S&PGSCI isacompositeindexofcommoditysectorreturnrepresentinganunleveraged,longonlyinvestmentincommodityfuturesthatisbroadlydiversified
acrossthespectrumofcommodities.
BarclaysCapitalUS30YearTIPSIndex .BarclaysCapital30yearTIPSontherunindexquotedinUSDollarstradedintraday
DAX ThisindexistheGermanStockIndexisatotalreturnindexof30selectedGermanbluechipstockstradedontheFrankfurtStockExchange.
CAC40 ThisindexthemostwidelyusedindicatoroftheParismarket,reflectstheperformanceofthe40largestequitieslistedinFrance,measuredbyfreefloat
marketcapitalizationandliquidity.
FTSE100 Isacapitalizationweightedindexofthe100mosthighlycapitalizedcompaniestradedontheLondonStockExchange.
MexicoIPC TheMexicanIPCindexisacapitalizationweightedindexoftheleadingstockstradedontheMexicanStockExchange.
HangSeng TheHangSengChinaEnterprisesIndexisafreefloatcapitalizationweightedindexcomprisedofHshareslistedontheHongKong StockExchangeand
includedintheHangSengMainlandCompositeIndex.
KOSPI ThisindexisacapitalizedweightedindexofallcommonsharesontheKoreanStockExchanges.
Nikkei225 TheNikkei225Stockaverageisapriceweightedaverageof225topratedJapanesecompanieslistedintheFirstSectionofthe TokyoStockExchange.
AustraliaAORD S&P/ASXAllOrdinariesrepresents500largestcompaniesintheAustralianequitiesmarket.Indexconstitutesaredrawnfromeligiblecompanies
listedontheAustralianStockExchange.
BrazilBovespaIndex(IBOV)TheBovespaIndexisagrossreturnindexweightedbytradedvolumeandiscomprisedofthemostliquidstockstradedontheSao
PauloStockExchange.TheBovespaIndexhasbeendivided10timesbyafactorof10sinceJanuary1,1985.
ShanghaiIndex(SHCOMP)TheShanghaiStockExchangeCompositeIndexisacapitalizationweightedindex.TheindextracksthedailyperformanceofallAshares
andBshareslistedontheShanghaiStockExchange.TheindexwasdevelopedonDecember19,1990withabasevalueof100.
BSEIndiaSensitiveIndex(Sensex)TheSensexisacapweightedindex.Theselectionoftheindexmembershasbeenmadeonthebasisofliquidity,depthand
floatingstockadjustmentdepthandindustryrepresentation.
EuroStoxx 50(sx5E)Index ComprisedofEuropesleading50bluechipstocksform12Eurozonecountries.
Switzerland(SMI)Index SwissmarketindexofthelargestandmostliquidstocksontheGeneva,ZurichandBaslestockexchanges.
Italy(FTSEMIB)Index consistsof40mostliquidandcapitalizedstocksontheBorsa Italiana.
Spain(IBEX35)Index IBEX35istheofficialindexoftheSpanishContinuousmarketcomprisedof35mostliquidstocks.
Canada(TXEQ) TheS&P/TorontoStockExchangeequityindexiscapweighteddesignedtomeasuremarketactivityofstockslistedontheTSX.
Turkey(XU100Index) Borsa Istanbul100indexiscapweightedcomposedofNationalMarketcompanies.
SouthAfrica(TOP40Index) TheFTSE/JSETop40indexiscapweighted.Companiesincludedarethe40largestbymarketcapitalization.
S&PLSTALevLoanIndex(BankLoans) CreatedbytheLeveragedCommentary&Data(LCD)teamatS&PCapitalIQ,thereviewprovides an overviewandoutlook
oftheleveragedloanmarketaswellasanexpansivereviewoftheS&PLeveragedLoanIndexandsubindexes. Thereviewconsistsofindexgeneralcharacteristics,
results,riskreturnprofile,default/distressstatistics, andrepaymentanalysis.Itisnotpossibletoinvestdirectlyinanindex.
Citigroup3MonthTBill(SBMMTB3) 3MonthUSTBillinUSdollars.
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IndexDescriptions
EuroInvestmentGrade(BERCIndex) BloombergEURInvestmentGradeEuropeanCorporateBondIndexisrulesbased,marketvalueweightedindexengineered
tomeasureinvestmentgrade,fixedratepubliclyissuedsecuritiesintheEuropeanbondmarket.
EuroHighYield(BEUHIndex) TheBloombergEURHighYieldCorporateBondindexisrulesbased,marketvalueweightedindexengineeredtomeasurehigh
yield,fixedratepubliclyissuedsecuritiesintheEuropeanbondmarket.
EuroStoxx 600(SXXPIndex) TheStoxx Europe600isderivedfromtheSTOXXEuropeTotalMarketIndex(TMI)andisasubsetoftheSTOXXGlobal1800index.It
representsthelarge,midandsmallcapcompaniesacross18countriesoftheEuropeanregion.
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