Monthly Market Monitor - Eaton Vance · 2021. 9. 3. · | Monthly Market Monitor | September 2021...
Transcript of Monthly Market Monitor - Eaton Vance · 2021. 9. 3. · | Monthly Market Monitor | September 2021...
| Monthly Market Monitor | September 2021
FIXED INCOME
Monthly Market MonitorSeptember 2021
EQUITIES ASSET ALLOCATIONALTERNATIVES MORE
eatonvance.com
| Monthly Market Monitor | September 2021
Eaton Vance Monthly Market Monitor presents a concise review of economic and asset class data through clear and impactful charts.
Providing timely information across a broad array of markets and investment topics, this guide serves as a helpful resource in providing
connectivity between changing market events and implications for investor portfolios. Use Eaton Vance Monthly Market Monitor as a
critical desk reference that enables more informed discussion and understanding of financial markets.
Data provided is for informational use only. See end of report for important additional information.
Table of contents
2
Asset
Allocation
Ideas
32
Equities
15
Fixed
Income
3
Alternatives
26
Additional
Information
41
If you are viewing this book on your computer or tablet, click or tap on the colored title box to jump to the beginning of each section.
Click the Eaton Vance logo to return to the Table of Contents page
Fixed Income
| Monthly Market Monitor | September 2021
1 Mo. Ago
12 Mo. Ago
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
Emerging Markets(10-Yr. Yield)
Au
g ‘
21
1 Mo. Ago
12 Mo. Ago
-1%
0%
1%
2%
3%
4%
Developed Markets(10-Yr. Yield)
Source: Factset as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.
3
Sovereign bond yields
Au
g ‘
21
Fixed Income
| Monthly Market Monitor | September 20214
Key rates (%)Security Current 12-Mo. Ago Average Minimum Maximum
1-Week SIFMA 0.02 0.09 0.06 0.02 0.13
Secured Overnight Financing Rate 0.01 0.01 0.01 0.01 0.01
1-Mo LIBOR 0.08 0.16 0.12 0.07 0.16
3-Mo LIBOR 0.12 0.24 0.19 0.12 0.25
2-Yr Treasury 0.20 0.13 0.16 0.09 0.27
5-Yr Treasury 0.77 0.26 0.60 0.23 0.94
10-Yr Treasury 1.30 0.70 1.21 0.62 1.74
30-Yr Treasury 1.93 1.46 1.93 1.34 2.48
2-Yr Japan -0.13 -0.12 -0.13 -0.16 -0.11
10-Yr Japan 0.02 0.04 0.05 0.00 0.16
2-Yr German Bund -0.73 -0.67 -0.72 -0.81 -0.65
10-Yr German Bund -0.40 -0.40 -0.41 -0.65 -0.11
2-Yr UK Gilt 0.13 -0.06 0.00 -0.18 0.16
10-Yr UK Gilt 0.59 0.31 0.52 0.14 0.89
Bloomberg US Agg 1.42 1.15 1.35 1.09 1.62
Bloomberg Global Agg 1.03 0.90 1.00 0.83 1.17
Bloomberg US Corporate 1.99 1.95 2.01 1.74 2.32
Bloomberg US Long Corporate 2.99 3.02 3.10 2.78 3.58
Bloomberg US Municipal 0.95 1.30 1.10 0.86 1.41
Bloomberg US Long Municipal 1.64 2.16 1.87 1.44 2.36
US High Yield 3.95 5.36 4.44 3.78 6.01
US Loans 4.27 5.79 4.64 4.21 5.73
Source: Bloomberg, LCD, an offering of S&P Global Market Intelligence, and Factset as of 8/31/21. Current represents most recent month. Average, minimum, and maximum measure a 12-month period ending most recent month. Data provided is for informational use only. US High Yield is represented by ICE BofA US High Yield Index. US Loans is represented by S&P/LSTA Leveraged Loan Index. Bloomberg indices and ICE BofA US HY index using yield to worst. S&P/LSTA Leverage Loan Index using yield to maturity. See end of report for important additional information.
Fixed Income
| Monthly Market Monitor | September 2021
-1%
1%
3%
5%
7%
9%
'98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
Central Bank Policy Rates
BOE
U.S. Federal Reserve
ECB
BOJ
0.13%
0.13%0.18%
0.59%
0.96%
0.11%
0.19%
0.36% 0.51%
0.60%
-0.04% -0.06% -0.07% -0.08% -0.08%
-0.51% -0.52% -0.50%-0.47%
-0.39%
-0.8%
-0.5%
-0.3%
0.0%
0.3%
0.5%
0.8%
1.0%
3M 6M 1Y 2Y 3Y
Market Expectations for Future Central Bank Rates
BOE
U.S. Federal Reserve
ECB
BOJ
Source: Bloomberg, Factset as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.
5
Current 1-Mo. Ago 12-Mo. Ago
U.S. Federal Reserve 0.25% 0.25% 0.25%
BOE 0.10% 0.10% 0.10%
BOJ -0.10% -0.10% -0.10%
ECB 0.00% 0.00% 0.00%
Monetary policy
Fixed Income
| Monthly Market Monitor | September 2021
Yields & Performance
SecurityYield (%) Total Return (%)
Current 1-Mo. Ago 12-Mo. Ago 1-Mo. 12-Mo.
3-mo. Treasury 0.04 0.05 0.11 0.00 0.08
6-mo. Treasury 0.06 0.06 0.13 0.01 0.14
2-yr. Treasury 0.20 0.18 0.13 0.00 0.17
3-yr. Treasury 0.39 0.35 0.16 -0.07 -0.05
5-yr. Treasury 0.77 0.70 0.26 -0.24 -1.21
10-yr. Treasury 1.30 1.23 0.70 -0.29 -4.12
30-yr. Treasury 1.93 1.89 1.46 -0.37 -9.81
August ‘21
1-Mo. Ago
12-Mo. Ago
0%
1%
2%
3%
4%
3M 2Y 5Y 10Y 30Y
U.S. Treasury Yield Curves
Source: Factset, Morningstar as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information.
6
U.S. Treasury yields
Fixed Income
| Monthly Market Monitor | September 2021
Source: Bloomberg, J.P. Morgan, ICE BofA Data Indices, LLC, Factset, and LCD, an offering of S&P Global Market Intelligence, as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. Yield to maturity is shown for the S&P/LSTA Leveraged Loan Index and the FTSE World Government Bond Index. Loan Index coupon value includes LIBOR (shown as “L+”). Loan Index spread represents the three-year discounted spread over LIBOR. Returns of the ICE BofA Developed Mtks HY Ex-Sub Financial Index are USD Hedged. The averages for the index are unhedged.
7
Characteristics and performance analysis
Averages Total Returns (%)
IndexCoupon
(%)
Price
($)
Yield to
Worst (%)Spread (bps)
Maturity
(yrs.)
Duration
(yrs.)1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y
U.S. High Grade
Bloomberg U.S. Aggregate Index 2.50 106.7 1.42 35 8.6 6.7 -0.19 1.63 -0.69 -0.08 5.43 3.11 3.18
U.S. Treasury 1.61 104.6 0.86 - 8.4 7.2 -0.17 1.83 -1.43 -2.11 4.95 2.43 2.49
U.S. Mortgage Backed Securities 2.74 104.4 1.71 33 5.6 4.2 -0.16 0.42 -0.31 -0.18 3.77 2.30 2.46
U.S. Asset Backed Securities 1.43 102.0 0.51 27 2.3 2.2 -0.01 0.18 0.38 0.87 3.54 2.45 2.17
U.S. Commercial Mortgage Backed Securities 3.11 107.4 1.42 61 5.6 5.2 -0.18 0.95 0.24 1.64 5.91 3.42 4.15
U.S. Corp. Investment Grade 3.61 112.3 1.99 87 12.3 8.8 -0.30 2.71 -0.22 2.53 7.70 4.78 5.01
Bloomberg Municipal Bond Index 4.48 114.9 0.95 - 13.1 5.1 -0.37 0.74 1.53 3.40 5.09 3.30 4.05
Bloomberg Taxable Municipal Bond Index 4.27 118.0 2.08 - 16.0 9.7 -0.19 3.16 1.76 3.62 8.10 5.12 6.28
ICE BofA US Inflation-Linked Treasury Index 0.78 116.4 -1.50 - 9.0 4.8 -0.08 3.47 4.29 5.67 7.56 4.74 3.31
ICE BofA Preferred Index (Fixed Rate) 5.16 107.0 2.32 115 - 4.7 0.05 1.63 2.27 5.94 6.76 5.38 6.52
U.S. High Yield
ICE BofA US High Yield Index 5.75 105.1 3.95 321 6.7 4.1 0.55 2.28 4.64 10.26 6.82 6.49 6.90
S&P/LSTA Leveraged Loan Index L+3.70 98.3 4.27 423 4.8 - 0.47 0.83 3.76 8.39 4.16 4.63 4.89
Emerging Markets
J.P. Morgan EM Bond Index (EMBI) Global Diversified 5.21 103.9 4.79 341 - 8.0 0.98 2.15 0.73 4.59 6.93 4.41 5.55
J.P. Morgan Corp. EM Bond Index (CEMBI) Broad Diversified 4.72 105.3 3.56 253 - 4.9 0.71 1.77 2.21 6.24 7.71 5.38 5.63
J.P. Morgan Govt. Bond Index-EM (GBI-EM) Global Diversified 5.29 - 4.99 - - 5.2 0.77 -0.88 -3.05 4.14 5.78 3.18 0.36
Global Developed Markets
Bloomberg Global Aggregate Ex-U.S. Index 1.95 109.6 0.71 28 9.6 8.2 -0.61 -1.15 -3.57 0.75 3.66 1.81 0.72
FTSE World Government Bond Index 1.73 - 0.42 - - 9.0 -0.57 -0.02 -3.76 -1.31 4.16 1.95 1.09
ICE BofA U.K. Gilts Index 2.26 122.2 0.70 - 16.6 13.1 -1.86 -0.52 -3.29 0.89 6.04 2.59 2.84
ICE BofA European Union Government Bond Index 1.98 117.1 -0.08 42 10.1 8.7 -1.03 -1.81 -5.24 -0.48 4.58 2.72 2.24
ICE BofA Developed Mkts HY Ex-Sub Fincl Index (USD Hedged) 5.25 104.4 3.63 331 4.96 3.9 0.50 2.06 4.54 10.04 6.67 6.42 7.11
Fixed Income
| Monthly Market Monitor | September 2021
Spread analysis (bps)
Source: Factset as of 8/31/21. Spread history measures past 15 years. Data provided is for informational use only. See end of report for important additional information. All fixed-income spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries using daily data. Loan Index spread represents the three-year discounted spread over LIBOR. Aggregate represented by Bloomberg US Aggregate Index. MBS represented by Bloomberg U.S. Mortgage Backed Securities (MBS) Index. ABS represented by Bloomberg U.S. Asset Backed Securities (ABS) Index. CMBS represented by Bloomberg U.S. CMBS Investment Grade Index. Corporate represented by Bloomberg U.S. Corporate Investment Grade Index. Preferred represented by ICE BofA Fixed Rate Preferred Securities Index. Floating-Rate Loans represented by S&P/LSTA Leveraged Loan Index. Emerging Markets(USD) represented by J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified. High Yield represented by ICE BofA US High Yield Index.
Aggregate MBS ABS CMBS Corporate PreferredFloating-Rate
Loans
Emerging
Markets (USD)High Yield
Max Spread Date 12/3/2008 12/3/2008 1/6/2009 11/21/2008 12/3/2008 3/9/2009 12/19/2008 10/24/2008 12/15/2008
Min Spread Date 4/14/2021 7/27/2010 10/1/2009 1/31/2018 6/30/2021 12/6/2017 5/31/2007 6/1/2007 6/1/2007
Spread on 12/31/20 42 39 33 81 96 71 475 352 386
Spread on 12/31/19 39 39 44 72 93 17 461 291 360
Spread on 12/31/18 54 35 53 86 153 242 551 415 533
High
CurrentMedian
Low
8
52 37 60 109 137 178
517
331
477258
192
1,018
1,581
618
1,644
2,474
901
2,147
29 -13 054 80
-88
230162
24135 33 27 61
87 115
423341
321
-200
0
200
400
600
800
1000
1200
1400
1600
1800
2000
2200
2400
2600
Fixed Income
| Monthly Market Monitor | September 2021
Source: Bloomberg, JPMorgan, ICE BofA Data Indices, LLC, Factset, and LCD, an offering of S&P Global Market Intelligence, as of 8/31/21. Data provided is for informational use only. See end of report for important additional information. Yield to maturity is shown for the S&P/LSTA Leveraged Loan Index. Loan Index coupon value includes LIBOR (shown as “L+”). Loan Index spread represents the three-year discounted spread over LIBOR. Past performance is not a reliable indicator of future results.
9
Corporate bond market update
Averages Total Returns (%)
Coupon
(%)
Price
($)
Yield to
Worst
(%)
Spread
(bps)
Maturity
(yrs.)
Duration
(yrs.)1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y
U.S. High Grade
Bloomberg U.S. Corp. Investment Grade Index 3.61 112.3 1.99 87 12.3 8.8 -0.30 2.71 -0.22 2.53 7.70 4.78 5.01
AAA Index 3.09 112.2 1.87 49 19.9 13.1 -0.31 4.12 -1.57 0.05 8.48 4.80 4.61
AA Index 3.05 110.6 1.72 55 14.5 10.2 -0.29 2.76 -0.90 0.62 6.31 3.73 3.89
A Index 3.29 111.6 1.77 69 11.6 8.5 -0.32 2.43 -0.98 0.90 7.15 4.22 4.66
BBB Index 3.96 113.1 2.20 107 12.4 8.7 -0.29 2.88 0.54 4.25 8.34 5.43 5.55
U.S. High Yield
ICE BofA U.S. High Yield Index 5.75 105.1 3.95 321 6.7 4.1 0.55 2.28 4.64 10.26 6.82 6.49 6.90
BB Index 5.10 107.5 3.03 221 7.5 4.8 0.57 2.82 4.00 8.41 8.35 6.65 7.12
B Index 6.11 103.5 4.37 372 5.8 3.3 0.48 1.42 3.80 8.74 5.65 5.87 6.35
CCC Index 7.10 98.4 7.17 660 5.3 2.9 0.64 2.23 9.86 23.78 3.77 7.10 7.28
S&P/LSTA Leveraged Loan Index L+3.70 98.3 4.27 423 4.8 - 0.47 0.83 3.76 8.39 4.16 4.63 4.89
BBB Index L+1.98 99.4 2.35 221 4.6 - 0.41 0.35 1.57 3.90 3.10 3.25 3.62
BB Index L+2.84 99.1 3.27 318 5.1 - 0.41 0.43 1.89 4.94 2.87 3.34 4.16
B Index L+4.01 99.0 4.46 437 4.9 - 0.45 0.90 3.66 8.26 4.55 4.94 5.23
CCC Index L+5.24 92.2 8.02 850 4.0 - 0.95 1.69 10.77 23.73 4.58 8.49 7.75
D Index - 55.4 - - - - -0.01 1.87 7.06 5.05 -18.94 -10.34 -5.79
Fixed Income
| Monthly Market Monitor | September 2021
0
200
400
600
800
1000
1200
Average Spread (bps)
High Yield Corporate
Loans
Investment
Grade Corporate
0%
2%
4%
6%
8%
Annual Default Rate
High Yield
Corporate
Loans
Source: J.P. Morgan, LCD, an offering of S&P Global Market Intelligence, as of 8/31/21. Data provided is for informational use only. See end of report for important additional information. Corporate spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries. Loan Index spread represents the three-year discounted spread over LIBOR
10
Current 1-Mo. Ago 12-Mo. Ago Median
HY Corporate 321 332 502 433
Loans 423 427 572 496
IG Corporate 87 86 129 127
Current 1-Mo. Ago 12-Mo. Ago Median
HY Corporate 1.06 1.10 5.77 1.95
Loans 0.47 0.58 4.08 1.65
Corporate bond market update
Fixed Income
| Monthly Market Monitor | September 2021
Source: Bloomberg, Morningstar as of 8/31/21. Coupon and Yield To Worst figures are based on average market prices while Price is based on an average of par value. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information.
11
Municipal bond market update
Averages Total Returns (%)
Coupon
(%)
Price
($)
Yield To
Worst (%)
Maturity
(yrs.)
Duration
(yrs.)1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y
Bloomberg Municipal Bond Index 4.48 114.9 0.95 13.1 5.1 -0.37 0.74 1.53 3.40 5.09 3.30 4.05
AAA Index 4.37 115.4 0.81 11.6 5.3 -0.40 0.51 0.45 1.72 4.60 2.81 3.21
AA Index 4.51 115.8 0.87 12.7 5.1 -0.34 0.60 0.94 2.48 4.78 3.04 3.75
A Index 4.51 113.6 1.08 14.3 5.0 -0.40 0.86 2.26 4.69 5.51 3.65 4.69
BBB Index 4.41 112.3 1.37 14.9 5.5 -0.36 1.57 4.84 8.38 6.65 4.90 5.51
5-Year Index 4.65 116.6 0.51 4.9 3.8 -0.06 0.61 0.76 1.70 3.83 2.42 2.55
10-Year Index 4.57 118.7 0.84 10.0 5.2 -0.26 0.87 1.25 3.10 5.33 3.36 4.11
22+ Year Index 4.30 114.1 1.64 26.6 7.5 -0.80 0.95 2.60 5.54 6.52 4.22 5.69
Bloomberg High Yield Municipal Bond Index 4.60 76.7 2.93 21.2 6.0 -0.16 2.32 7.23 12.17 7.54 6.19 6.89
Hospital 5.22 104.3 3.44 21.8 6.2 0.09 2.68 6.57 11.23 5.43 4.85 6.76
IDR/PCR 4.37 49.2 2.93 21.0 4.9 -0.11 2.18 7.53 12.95 7.46 6.87 8.76
Tobacco 3.19 27.8 3.33 28.5 4.7 -0.15 1.92 6.93 11.94 9.04 9.47 11.84
Puerto Rico 3.67 57.5 2.41 24.2 6.2 -0.15 2.51 6.44 12.32 13.22 8.91 2.29
Fixed Income
| Monthly Market Monitor | September 2021
50%
100%
150%
200%
250%
300%
350%
AAA Muni-to-Treasury Yield Ratios
5Y 10Y
30Y
Source: Bloomberg as of 8/31/21. Data provided is for informational use only. See end of report for important additional information. All spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries.
12
Municipal bond market update
0
100
200
300
Credit Quality Spreads vs. AAA (bps)
AA
A
BBB
Current 1-Mo. Ago 12-Mo. Ago Median
AA 12 13 15 20
A 25 25 34 53
BBB 59 63 136 96
Current 1-Mo. Ago 12-Mo. Ago Median
5Y 52 52 84 78
10Y 71 66 109 91
30Y 79 73 104 99
Fixed Income
| Monthly Market Monitor | September 2021
Source: J.P. Morgan, Morningstar as of 8/31/21. Data provided is for informational use only. See end of report for important additional information. All spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries.
13
Emerging markets bond market update
100
300
500
700
900
'11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
bp
s
Sovereign EMD Spreads (USD)
100
300
500
700
900
'11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
bp
s
Corporate EMD Spreads (USD)
4%
6%
8%
10%
'11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
bp
s
Local EMD Yields (%)
Averages Total Returns (%)
Coupon (%) Price ($) Yield (%) Duration 1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y
JPMorgan Emerging Markets
Bond Index (EMBI) Global Diversified5.21 103.9 4.79 8.0 0.98 2.15 0.73 4.59 6.93 4.41 5.55
JPMorgan Corporate Emerging Markets
Bond Index (CEMBI) Broad Diversified4.72 105.3 3.56 4.9 0.71 1.77 2.21 6.24 7.71 5.38 5.63
JPMorgan Government Bond Index-Emerging Markets
(GBI-EM) Global Diversified5.29 - 4.99 5.2 0.77 -0.88 -3.05 4.14 5.78 3.18 0.36
Avg. Spread (bps)
Current 341
1-Mo. Ago 354
12-Mo. Ago 422
Median 340
Avg. Spread (bps)
Current 253
1-Mo. Ago 269
12-Mo. Ago 351
Median 310
Avg. Yield (%)
Current 4.99
1-Mo. Ago 4.92
12-Mo. Ago 4.45
Median 6.25
Fixed Income
| Monthly Market Monitor | September 2021
Source: Morningstar as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. Investment Grade represented by Bloomberg U.S.Corporate Index. MBS represented by Bloomberg U.S. Mortgage Backed Securities (MBS) Index. Treasury represented by Bloomberg U.S. Treasury Index. High Yield represented by ICE BofA US High Yield Index. Municipal represented byBloomberg Municipal Bond Index. Bank Loan represented by S&P/LSTA Leveraged Loan Index. Global Agg Ex-U.S. represented by Bloomberg Global Aggregate Ex-USD Index. EMD (Local Currency) represented by J.P. Morgan GovernmentBond Index-Emerging Markets (GBI-EM) Global Diversified. EMD (Hard Currency) represented by J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified. EMD (Corp. Bonds) represented by J.P. Morgan Corporate EmergingMarket Bond Index (CEMBI) Broad Diversified.
14
Asset class return analysis (%)2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 YTD 8/21
Municipal
10.70
EMD (Hard
Currency)
18.54
High Yield
7.42
Municipal
9.05
Municipal
3.30
High Yield
17.49
EMD (Local
Currency)
15.21
Municipal
1.28
Investment
Grade
14.54
Global Agg
Ex-U.S.
10.11
High Yield
4.64
Treasury
9.81
EMD (Local
Currency)
16.76
Bank Loan
5.29
Investment
Grade
7.46
MBS
1.51
EMD (Hard
Currency)
10.19
Global Agg
Ex-U.S.
10.51
MBS
0.99
EMD (Hard
Currency)
14.42
Investment
Grade
9.89
Bank Loan
3.76
EMD (Hard
Currency)
8.46
High Yield
15.58
EMD (Corp.
Bonds)
-0.60
MBS
6.08
EMD (Corp.
Bonds)
1.30
Bank Loan
10.16
EMD (Hard
Currency)
9.32
Treasury
0.86
High Yield
14.41
Treasury
8.00
EMD (Corp.
Bonds)
2.21
Investment
Grade
8.15
EMD (Corp.
Bonds)
15.02
MBS
-1.41
EMD (Hard
Currency)
5.53
EMD (Hard
Currency)
1.23
EMD (Local
Currency)
9.94
EMD (Corp.
Bonds)
7.96
Bank Loan
0.44
EMD (Local
Currency)
13.47
EMD (Corp.
Bonds)
7.13
Municipal
1.53
MBS
6.23
Investment
Grade
9.82
Investment
Grade
-1.53
Treasury
5.05
Treasury
0.84
EMD (Corp.
Bonds)
9.65
High Yield
7.48
EMD (Corp.
Bonds)
-1.65
EMD (Corp.
Bonds)
13.09
High Yield
6.17
EMD (Hard
Currency)
0.45
High Yield
4.38
Bank Loan
9.66
Municipal
-2.55
EMD (Corp.
Bonds)
4.96
Investment
Grade
-0.68
Investment
Grade
6.11
Investment
Grade
6.42
Global Agg
Ex-U.S.
-2.15
Bank Loan
8.64
EMD (Hard
Currency)
5.88
Investment
Grade
-0.22
Global Agg
Ex-U.S.
4.36
Municipal
6.78
Treasury
-2.75
High Yield
2.50
Bank Loan
-0.69
MBS
1.67
Municipal
5.45
High Yield
-2.26
Municipal
7.54
Municipal
5.21
MBS
-0.31
EMD (Corp.
Bonds)
2.31
Global Agg
Ex-U.S.
4.09
Global Agg
Ex-U.S.
-3.08
Bank Loan
1.60
High Yield
-4.64
Global Agg
Ex-U.S.
1.49
Bank Loan
4.12
Investment
Grade
-2.51
Treasury
6.86
MBS
3.87
Treasury
-1.43
Bank Loan
1.52
MBS
2.59
EMD (Hard
Currency)
-6.58
Global Agg
Ex-U.S.
-3.08
Global Agg
Ex-U.S.
-6.02
Treasury
1.04
MBS
2.47
EMD (Hard
Currency)
-4.61
MBS
6.35
Bank Loan
3.12
EMD (Local
Currency)
-3.05
EMD (Local
Currency)
-1.75
Treasury
1.99
EMD (Local
Currency)
-8.98
EMD (Local
Currency)
-5.72
EMD (Local
Currency)
-14.92
Municipal
0.25
Treasury
2.31
EMD (Local
Currency)
-6.21
Global Agg
Ex-U.S.
5.09
EMD (Local
Currency)
2.69
Global Agg
Ex-U.S.
-3.57
Higher
Lower
| Monthly Market Monitor | September 2021
Equities
Source: Morningstar as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. Returns over 1 year are annualized. Large Cap Value represented by Russell 1000 Value Index. Large Cap Core represented by Russell 1000 Index. Large Cap Growth represented by Russell 1000 Growth Index. Mid Cap Value represented by Russell Mid Cap Value Index. Mid Cap Core represented by Russell Mid Cap Index. Mid Cap Growth represented by Russell Mid Cap Growth Index. Small Cap Value represented by Russell 2000 Value Index. Small Cap Core represented by Russell 2000 Index. Small Cap Growth represented by Russell 2000 Growth Index. Global represented by MSCI ACWI Index. US represented by S&P 500 Index. International represented by MSCI EAFE Index. Emerging Markets represented by MSCI Emerging Markets Index.
15
Performance: market barometer (%)
Equities
Value Core Growth
1.98 2.89 3.74
2.14 2.54 3.23
2.68 2.24 1.82
1-Month Returns
Value Core Growth
36.44 32.25 28.53
44.50 41.24 35.17
59.49 47.08 35.61
1-Year Returns
Value Core Growth
11.45 18.42 24.60
11.37 15.58 20.96
8.41 10.75 12.27
Global
2.50
U.S.
3.04
International
1.76
Emerging
Markets
2.62
Global
28.64
U.S.
31.17
International
26.12
Emerging
Markets
21.12
Global
14.34
U.S.
18.07
International
9.00
Emerging
Markets
9.87
3-Year Returns
< -20
-20 to -10
-10 to 0
0 to 10
10 to 20
> 20
Large Cap
Mid Cap
Small Cap
| Monthly Market Monitor | September 2021
Equities
Source: FactSet and Ned Davis Research as of 8/31/21. Correlation of S&P 500 Stocks is measured by the median 63-day rolling correlation of one day returns
Data provided is for informational use only. See end of report for important additional information.
16
Dividend yields and volatility analysis
Equities
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
'16 '17 '18 '19 '20 '21
Historical Yields
S&P 500
MSCI EAFE
MSCI EM
MSCI World
1.3 1.31.5
1.7
2.1
0.0%
1.0%
2.0%
3.0%
S&P 500 10 Yr Treasury MSCI World MSCI EM MSCI EAFE
Current Yields
0.0
10.0
20.0
30.0
40.0
50.0
60.0
'16 '17 '18 '19 '20 '21
CBOE Market Volatility Index (VIX)
VIX
0.0
0.2
0.4
0.6
0.8
1.0
'02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21
Correlation of S&P 500 Stocks
AverageAverage
| Monthly Market Monitor | September 2021
Equities
16.3
22.719.6
14.4 15.5 15.914.0
11.7
14.013.3
22.9
57.7
32.7
18.2
21.2 21.5
17.9
15.6
18.0 17.5
10.312.3 11.9
9.4 10.0 11.09.4 8.7 8.7
10.5
21.2
26.0
30.5
16.5
19.417.5
15.7
13.015.7 15.1
5.0
15.0
25.0
35.0
45.0
55.0
65.0
Regions/Styles: Current NTM P/E vs. 10-Year High, Low, Average
S&P 500 Russell 2000Russell 1000
Growth
Russell 1000
ValueMSCI World
MSCI World ex
USA Small CapMSCI EAFE MSCI EM MSCI Europe
MSCI AC
Asia Pac
High Date 8/20 6/20 8/20 3/21 8/20 8/20 8/20 1/21 6/20 1/21
Low Date 9/11 9/11 9/11 9/11 9/11 9/11 9/11 9/11 9/11 9/11
MSCI World
Current P/E
High
Current
Average
Low
17
Valuation analysis
Source: FactSet as of 8/31/21. NTM P/E is market price per share divided by expected earnings per share over the next twelve months. Data provided is for informational use only. See end of report for important additional information.
| Monthly Market Monitor | September 2021
Equities
15.8
20.618.4
15.212.6 15.3
16.7 17.2 15.816.7
24.0
45.0
21.3
77.2
14.917.7
26.2 28.0
22.1 21.1
10.012.0 13.3
-332.6 *Not to scale
8.5 10.3 10.5 10.58.3
13.2
22.5
30.4
20.8
12.814.3
17.722.3
26.8
17.220.1
-30.0
-10.0
10.0
30.0
50.0
70.0
S&P 500 Sectors: Current NTM P/E vs. 10-Year High, Low, Average
18
Valuation analysis
Source: FactSet as of 8/31/21. NTM P/E is market price per share divided by expected earnings per share over the next twelve months. The Real Estate sector is excluded from this 10-year chart since the sector was created on August 31, 2016. Data provided is for informational use only. See end of report for important additional information.
S&P 500
Current P/E
High
Current
Average
Low
Communication
Services
Consumer
Discretionary
Consumer
StaplesEnergy Financials Health Care Industrials
Information
TechnologyMaterials Utilities
High Date 8/20 6/20 8/20 4/16 11/17 8/21 8/20 8/20 7/20 1/20
Low Date 5/18 9/11 9/11 7/20 9/11 9/11 9/11 9/11 9/11 9/11
| Monthly Market Monitor | September 2021
Equities
Source: FactSet as of 8/31/21. Expected EPS Growth is defined as the expected % change in the EPS growth from the beginning of the current calendar year though the end of the calendar year. 2020 EPS Growth is defined as the % change in EPS from the beginning of the year through the end of the year. Data provided is for informational use only. See end of report for important additional information.
19
Corporate earnings growth
575.1*Not to scale
128.7
56.2 54.6 46.7 44.7 42.8 42.8 42.6 34.9
-47.5 -44.8
-0.5
-26.8 -23.3 -21.3
17.1
-12.9 -11.1-0.6
-50.0
0.0
50.0
100.0
150.0
200.0
250.0
300.0
350.0
Russell 2000 MSCI World ex USASmall Cap
MSCI EM MSCI Europe Russell 1000 Value MSCI EAFE Russell 1000Growth
MSCI World S&P 500 MSCI Asia Pac
Regions/Styles Expected EPS Growth
2020 EPS Growth
1275.3 *Not to scale
111.3
81.0 71.656.0
33.9 27.0 20.9 13.0 8.8 1.1
-110.8 *Not to scale
-56.4
-5.9
-23.9-19.4
1.9 8.4 10.1 -1.1 4.3 2.6
-60.0
-30.0
0.0
30.0
60.0
90.0
120.0
Energy Industrials Materials Discretionary Financials Communications Info. Tech. Health Care Real Estate Staples Utilities
S&P 500 Sectors Expected EPS Growth
2020 EPS Growth
| Monthly Market Monitor | September 2021
Equities
Source: FactSet as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.
20
S&P 500 Index: 1-month return analysis
3.0
1.71.9
2.5 2.7
4.0
0.0%
2.0%
4.0%
6.0%
S&P 500 3.5+ 2.4-3.5 1.6-2.4 0.6-1.6 0.0-0.6
Dividend Yield
3.0
3.53.3
3.6 3.5
0.6
0.0%
2.0%
4.0%
S&P 500 35.7+ 21.5-35.5 13.2-21.5 7.5-13.1 <7.4
Return On Equity
3.0
3.7
1.91.6
0.0%
2.0%
4.0%
S&P 500 $100B+ $15B-$100B <$15B
Market Cap
3.0
2.4
1.1
3.4
4.1
2.8
0.0%
2.0%
4.0%
6.0%
S&P 500 1.4+ 1.1-1.4 0.9-1.1 0.6-0.9 <0.6
Beta
3.0 3.2
3.63.4
1.4
3.9
0.0%
2.0%
4.0%
6.0%
S&P 500 48.3+ 31.3-48.2 23.3-31.2 15.2-23.3 <15.1
Trailing 12 Month P/E
3.0
3.53.7
3.0
1.3
2.6
0.0%
2.0%
4.0%
S&P 500 19.0+ 13.3-19.0 10.0-13.2 6.0-10.0 <5.9
3-5 Year Earnings Growth
| Monthly Market Monitor | September 2021
Equities
Source: FactSet as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.
21
S&P 500 Index: YTD analysis
21.6 22.6
17.820.3
22.3 22.7
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
S&P 500 3.5+ 2.4-3.5 1.6-2.4 0.6-1.6 0.0-0.6
Dividend Yield
21.623.9 23.1 21.9
17.916.1
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
S&P 500 34.7+ 21.4-34.7 12.9-21.1 7.3-12.9 <7.3
Return On Equity
21.6 21.6 21.1
26.0
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
S&P 500 $100B+ $15B-$100B <$15B
Market Cap
21.6
26.2
22.9
17.3
29.1
16.9
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
S&P 500 1.6+ 1.1-1.6 1.0-1.1 0.7-1.0 <0.7
Beta
21.6
17.2
21.925.9
22.2
25.2
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
S&P 500 51.0+ 31.8-50.8 23.7-31.8 16.2-23.7 <16.2
Trailing 12 Month P/E
21.6 22.7 22.5
18.3
23.2
17.6
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
S&P 500 12.8+ 9.3-12.7 6.5-9.2 3.5-6.5 <3.5
3-5 Year Earnings Growth
| Monthly Market Monitor | September 2021
Equities
Source: Morningstar as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.
22
Index sectors: return analysis
1 month
YTD
1 year
1 month
YTD
1 year
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
60.00
Re
turn
%
MSCI World
-10.00
0.00
10.00
20.00
30.00
40.00
50.00
60.00
Retu
rn %
S&P 500
| Monthly Market Monitor | September 2021
Equities
Communication Services9%
Discretionary12%
Staples7%
Energy3%
Financials13%Health Care
13%
Industrials10%
Information Technology23%
Materials4%
Real Estate3%
Utilities3%
MSCI WorldSource: FactSet as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.
23
Current characteristics and sector weights
S&P 500 R2000 R1000G R1000V MSCI World MSCI World
ex USA Small
Cap
MSCI EAFE MSCI EM MSCI
Europe
MSCI Asia
Pac
Number of Holdings 505 1971 496 842 1557 2577 843 1407 432 1542
Maximum Market Cap $2,401.90B $46.88B $2,401.31B $535.12B $2,570.59B $11.55B $367.91B $536.26B $367.91B $536.26B
Minimum Market Cap $2.68B $0.02B $0.10B $0.03B $1.56B $0.05B $1.56B $0.08B $2.56B $0.08B
Dividend Yield 1.27 0.88 0.64 1.82 1.53 1.79 2.14 1.68 2.15 1.75
NTM PE 21.22 26.02 30.52 16.49 19.36 17.51 15.75 13.05 15.73 15.07
Price to Book 4.61 2.63 14.16 2.61 3.24 1.68 1.93 2.04 2.17 1.83
Price to Cash Flow 18.04 17.33 26.82 13.79 14.83 9.82 10.78 9.88 10.50 11.28
Price to Sales 3.12 1.61 5.64 2.06 2.39 1.17 1.52 1.68 1.58 1.54
Est 3-5 Yr EPS Growth 15.64 17.44 19.61 11.44 16.09 17.08 16.63 17.59 17.52 16.16
5Yr. Div Growth Rate 7.01 7.88 5.75 5.99 6.40 7.39 5.12 8.63 4.67 6.64
Communication Services11%
Discretionary12%
Staples6%
Energy2%
Financials11%Health Care
13%
Industrials8%
Information Technology28%
Materials3%
Real Estate3%
Utilities3%
S&P 500
| Monthly Market Monitor | September 2021
Equities
Source: Morningstar as of 8/31/21. Data provided is for informational use only. Results in US Dollar. Past Performance is not a reliable indicator of future results. See end of report for important additional information.
24
Asset class return analysis (%)
1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y 2020 2019 2018 2017 2016S&P 500 3.04 7.95 21.58 31.17 18.07 18.02 16.34 18.40 31.49 -4.38 21.83 11.96
Russell 1000 Defensive 2.79 9.79 21.04 26.29 18.30 17.07 15.98 13.93 30.47 -0.04 20.64 10.04
Russell 1000 Dynamic 3.01 5.56 20.05 37.26 18.08 19.12 16.59 27.69 32.35 -9.48 22.74 13.71
Russell 2500 2.27 1.67 17.53 45.87 13.09 15.10 14.32 19.99 27.77 -10.00 16.81 17.59
Russell 1000 Growth 3.74 13.88 21.08 28.53 24.60 24.35 19.45 38.49 36.39 -1.51 30.21 7.08
Russell 1000 Value 1.98 1.62 20.32 36.44 11.45 11.68 13.03 2.80 26.54 -8.27 13.66 17.34
Russell Mid Cap 2.54 4.85 20.12 41.24 15.58 15.40 14.84 17.10 30.54 -9.06 18.52 13.80
Russell 2000 2.24 0.45 15.83 47.08 10.75 14.38 13.62 19.96 25.52 -11.01 14.65 21.31
CBOE S&P 500 Buywrite BXM 2.67 5.50 14.64 23.26 4.79 7.35 8.22 -2.75 15.68 -4.77 13.00 7.07
MSCI World 2.49 5.88 17.94 29.76 14.96 14.83 12.14 15.90 27.67 -8.71 22.40 7.51
MSCI EAFE 1.76 1.38 11.58 26.12 9.00 9.72 7.34 7.82 22.01 -13.79 25.03 1.00
MSCI EM 2.62 -4.12 2.84 21.12 9.87 10.40 4.85 18.31 18.44 -14.58 37.28 11.19
MSCI AC Asia Pac 2.46 -2.91 2.26 19.07 9.28 10.42 7.48 19.71 19.36 -13.52 31.67 4.89
MSCI ACWI 2.50 4.57 15.91 28.64 14.34 14.29 11.27 16.25 26.60 -9.41 23.97 7.86
MSCI Europe 1.51 1.98 15.59 29.18 9.71 10.11 7.43 5.38 23.77 -14.86 25.51 -0.40
MSCI World Small Cap 2.43 1.95 16.87 41.60 11.52 13.51 11.95 15.96 26.19 -13.86 22.66 12.71
MSCI World Ex USA Small Cap 2.69 2.60 14.58 33.13 10.49 11.71 9.07 12.78 25.41 -18.07 31.04 4.32
FTSE 100 1.02 -0.73 14.03 27.07 4.40 6.03 5.03 -8.73 22.03 -14.08 22.56 -0.17
FTSE All Small 2.75 2.17 25.61 57.34 14.43 13.60 10.97 10.77 22.63 -14.71 29.78 -4.02
STOXX Europe 600 1.72 2.19 15.85 29.50 10.34 10.52 7.87 6.83 24.53 -15.05 25.89 -1.22
Nikkei 225 Average 2.89 -2.92 -3.14 18.70 9.11 11.08 9.82 23.99 21.35 -8.27 25.15 5.18
S&P 500 Comm. Services 5.01 11.72 30.15 38.56 24.55 13.87 13.06 23.61 32.69 -12.53 -1.25 23.49
S&P 500 Cons Disc 2.12 6.55 13.17 17.85 17.69 19.54 19.01 33.30 27.94 0.83 22.98 6.03
S&P 500 Cons Staples 1.40 3.80 9.21 14.44 13.91 9.15 12.03 10.75 27.61 -8.38 13.49 5.38
S&P 500 Energy -2.04 -6.00 30.87 42.94 -8.79 -2.74 -0.14 -33.68 11.81 -18.10 -1.01 27.36
S&P 500 Financials 5.14 1.58 31.57 56.48 13.23 16.43 15.81 -1.69 32.13 -13.03 22.18 22.80
S&P 500 Health Care 2.38 9.90 20.12 26.97 15.65 15.37 17.20 13.45 20.82 6.47 22.08 -2.69
S&P 500 Industrials 1.15 -0.21 18.78 36.36 12.99 13.91 14.61 11.06 29.37 -13.29 21.03 18.86
S&P 500 Info Tech 3.56 15.04 22.36 29.47 29.67 30.59 23.45 43.89 50.29 -0.29 38.83 13.85
S&P 500 Materials 1.92 -1.52 19.07 38.14 15.42 14.36 11.66 20.73 24.58 -14.70 23.84 16.69
S&P 500 Real Estate 2.81 11.01 32.64 36.35 16.16 11.34 12.45 -2.17 29.01 -2.22 10.85 3.39
S&P 500 Utilities 3.98 6.13 11.07 19.66 12.42 10.59 11.32 0.48 26.35 4.11 12.11 16.29
U.S.
Equities
Global
Equities
Sectors
| Monthly Market Monitor | September 2021
Equities
Source: Morningstar as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. Small-Cap represented by Russell 2000 Index. Emerging Markets represented by MSCI Emerging Markets Index. Value represented by Russell 1000 Value Index. Mid-Cap represented by Russell Midcap Index. Global represented by MSCI ACWI Index. Growth represented by Russell 1000 Growth Index. International represented by MSCI EAFE Index. International Small-Cap represented by MSCI World Ex USA Small Cap Index
25
2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 YTD 8/21
Growth
2.64
Emerging
Markets
18.22
Small-Cap
38.82
S&P 500
13.69
Growth
5.67
Small-Cap
21.31
Emerging
Markets
37.28
Growth
-1.51
Growth
36.39
Growth
38.49
S&P 500
21.58
S&P 500
2.11
Value
17.51
Mid-Cap
34.76
Value
13.45
International
Small-Cap
5.46
Value
17.34
International
Small-Cap
31.04
S&P 500
-4.38
S&P 500
31.49
Small-Cap
19.96
Growth
21.08
Value
0.39
International
Small-Cap
17.48
Growth
33.48
Mid-Cap
13.22
S&P 500
1.38
Mid-Cap
13.80
Growth
30.21
Value
-8.27
Mid-Cap
30.54
S&P 500
18.40
Value
20.32
Mid-Cap
-1.55
International
17.32
Value
32.53
Growth
13.05
International
-0.81
S&P 500
11.96
International
25.03
Mid-Cap
-9.06
Global
26.60
Emerging
Markets
18.31
Mid-Cap
20.12
Small-Cap
-4.18
Mid-Cap
17.28
S&P 500
32.39
Small-Cap
4.89
Global
-2.36
Emerging
Markets
11.19
Global
23.97
Global
-9.42
Value
26.54
Mid-Cap
17.10
Global
15.91
Global
-7.35
Small-Cap
16.35
International
Small-Cap
25.55
Global
4.16
Mid-Cap
-2.44
Global
7.86
S&P 500
21.83
Small-Cap
-11.01
Small-Cap
25.52
Global
16.25
Small-Cap
15.83
International
-12.14
Global
16.13
Global
22.80
Emerging
Markets
-2.19
Value
-3.83
Growth
7.08
Mid-Cap
18.52
International
-13.79
International
Small-Cap
25.41
International
Small-Cap
12.78
International
Small-Cap
14.58
International
Small-Cap
-15.81
S&P 500
16.00
International
22.78
International
-4.90
Small-Cap
-4.41
International
Small-Cap
4.32
Small-Cap
14.65
Emerging
Markets
-14.58
International
22.01
International
7.82
International
11.58
Emerging
Markets
-18.42
Growth
15.26
Emerging
Markets
-2.60
International
Small-Cap
-5.34
Emerging
Markets
-14.92
International
1.00
Value
13.66
International
Small-Cap
-18.07
Emerging
Markets
18.42
Value
2.80
Emerging
Markets
2.84
Asset class return analysis (%)Higher
Lower
Alternatives
| Monthly Market Monitor | September 2021
Spot Returns vs. USD (%) Spot Returns vs. EUR (%)Local Interest
Rates (%)
Currency 1-Mo. YTD 1Y 3Y 5Y 1-Mo. YTD 1Y 3Y 5Y 1Y
U.S. Dollar (USD) - - - - - 0.45 3.65 1.31 -0.48 -1.16 0.06
Euro (EUR) * -0.45 -3.52 -1.30 0.48 1.17 - - - - - -0.66
British Pound (GBP) -1.01 0.68 2.79 1.92 1.00 -0.57 4.36 4.14 1.43 -0.17 0.14
Japanese Yen (JPY) -0.10 -6.02 -3.47 0.31 -1.20 0.35 -2.59 -2.21 -0.17 -2.34 -0.10
Australian Dollar (AUD) -0.57 -5.29 -1.18 0.35 -0.56 -0.12 -1.83 0.12 -0.13 -1.71 0.00
Canadian Dollar (CAD) -1.21 0.82 3.11 1.05 0.75 -0.76 4.50 4.46 0.57 -0.41 0.28
New Zealand Dollar (NZD) 0.85 -2.24 4.14 1.99 -0.60 1.30 1.33 5.50 1.50 -1.75 0.30
Norwegian Krone (NOK) 1.49 -1.65 -0.31 -1.33 -0.85 1.95 1.94 0.99 -1.80 -2.00 0.14
Swedish Krona (SEK) -0.40 -4.93 -0.16 1.89 -0.15 0.05 -1.46 1.15 1.40 -1.30 -0.27
Danish Krone (DKK) -0.43 -3.43 -1.19 0.57 1.19 0.02 0.09 0.10 0.08 0.02 -0.68
Swiss Franc (CHF) -1.06 -3.50 -1.70 1.82 1.41 -0.62 0.02 -0.41 1.33 0.24 -0.77
* German Rate. Source: Factset, Bloomberg as of 8/31/21. Dollar is represented by the US Trade Weighted Dollar Index (DXY). Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information.
60
80
100
120
140
160
'70 '72 '74 '76 '78 '80 '82 '84 '86 '88 '90 '92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
U.S. Dollar Index
Developed market currency performance and yields
26
Alternatives
| Monthly Market Monitor | September 2021
Source: Factset, Bloomberg as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information.
27
Spot Returns vs. USD (%) Spot Returns vs. EUR (%)Local Interest
Rates (%)
Currency 1-Mo. YTD 1Y 3Y 5Y 1-Mo. YTD 1Y 3Y 5Y 1Y
Asia, excluding Japan
Chinese Renminbi (CNY) -0.11 1.19 6.06 1.86 0.66 0.35 4.88 7.45 1.37 -0.51 2.24
Malaysian Ringgit (MYR) 1.52 -3.24 0.20 -0.38 -0.49 1.98 0.30 1.52 -0.86 -1.64 1.77
Indian Rupee (INR) 1.93 0.08 0.82 -0.96 -1.71 2.39 3.74 2.15 -1.44 -2.85 3.74
Indonesian Rupiah (IDR) 1.40 -1.49 2.10 1.08 -1.44 1.86 2.11 3.44 0.59 -2.58 2.94
Philippine Peso (PHP) 0.47 -3.47 -2.54 2.43 -1.30 0.93 0.05 -1.26 1.94 -2.44 1.50
Singapore Dollar (SGD) 0.67 -1.74 1.08 0.61 0.26 1.13 1.84 2.41 0.13 -0.90 0.35
South Korean Won (KRW) -0.79 -6.31 2.45 -1.35 -0.78 -0.34 -2.89 3.80 -1.82 -1.93 1.25
Taiwanese Dollar (TWD) 0.91 1.39 5.87 3.49 2.74 1.36 5.09 7.26 2.99 1.56 0.08
Thai Baht (THB) 1.97 -7.05 -3.44 0.51 1.44 2.43 -3.66 -2.18 0.03 0.26 0.47
Latin America
Brazilian Real (BRL) 0.54 1.46 7.16 -6.98 -8.78 0.99 5.16 8.56 -7.43 -9.83 7.98
Chilean Peso (CLP) -2.07 -8.32 0.08 -4.35 -2.61 -1.63 -4.97 1.39 -4.81 -3.74 1.55
Colombian Peso (COP) 2.71 -9.10 -0.35 -6.72 -4.73 3.18 -5.79 0.96 -7.16 -5.83 2.02
Mexican Peso (MXN) -0.90 -0.57 9.21 -1.55 -1.20 -0.45 3.06 10.65 -2.03 -2.34 5.49
Peruvian New Sol (PEN) -0.79 -11.42 -13.16 -6.81 -3.63 -0.34 -8.18 -12.02 -7.26 -4.74 2.45
Emerging market currency performance and yields
Alternatives
| Monthly Market Monitor | September 2021
Source: Factset, Bloomberg as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information.
28
Emerging market currency performance and yields
Spot Returns vs. USD (%) Spot Returns vs. EUR (%)Local Interest
Rates (%)
Currency 1-Mo. YTD 1Y 3Y 5Y 1-Mo. YTD 1Y 3Y 5Y 1Y
Europe
Czech Koruna (CZK) -0.21 -0.30 2.05 0.90 2.42 0.25 3.34 3.39 0.41 1.24 0.86
Hungarian Forint (HUF) 1.98 0.21 0.33 -1.78 -1.23 2.44 3.87 1.65 -2.25 -2.37 1.12
Polish Zloty (PLN) 0.55 -2.68 -4.19 -1.31 0.43 1.01 0.87 -2.93 -1.78 -0.73 -0.01
Romanian Leu (RON) -0.86 -4.84 -3.23 -1.62 -0.90 -0.41 -1.36 -1.96 -2.09 -2.04 2.32
Russian Ruble (RUB) -0.13 0.98 1.13 -2.76 -2.26 0.32 4.67 2.46 -3.22 -3.39 5.67
Turkish New Lira (TRY) 1.29 -10.61 -11.49 -7.30 -18.67 1.75 -7.34 -10.33 -7.75 -19.61 17.89
Middle East and Africa
Ghanaian Cedi (GHS) -1.57 -2.90 -4.30 -7.12 -8.07 -1.13 0.65 -3.05 -7.56 -9.13 17.90
Israeli Shekel (ILS) 0.72 0.22 4.62 3.96 3.38 1.17 3.88 5.99 3.46 2.18 0.00
Kenyan Shilling (KES) -1.18 -0.64 -1.55 -2.82 -1.63 -0.74 2.99 -0.25 -3.29 -2.76 7.52
Moroccan Dirham (MAD) -0.21 -0.55 1.95 1.72 1.76 0.24 3.09 3.29 1.23 0.58 1.56
Nigerian Naira (NGN) -0.12 -4.19 -6.43 -4.23 -5.21 0.33 -0.69 -5.20 -4.69 -6.31 6.80
South African Rand (ZAR) 1.13 1.55 17.12 0.43 0.34 1.59 5.25 18.66 -0.06 -0.82 5.03
Ugandan Shilling (UGX) 0.48 3.37 4.04 2.13 -0.92 0.94 7.14 5.40 1.64 -2.06 9.70
Zambian Kwacha (ZMK) 20.62 32.79 22.82 -13.57 -9.72 21.17 37.64 24.43 -13.99 -10.76 25.50
Alternatives
| Monthly Market Monitor | September 2021
* German Rate. Source: Bloomberg as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.
29
0.30
0.28
0.14
0.14
0.06
0.00
-0.10
-0.27
-0.66
-0.68
-0.77
0.04
0.22
0.06
-0.01
0.11
0.19
-0.10
-0.16
-0.54
-0.59
-0.90
-5.00 0.00 5.00 10.00
New Zealand Dollar (NZD)
Canadian Dollar (CAD)
Norwegian Krone (NOK)
British Pound (GBP)
U.S. Dollar (USD)
Australian Dollar (AUD)
Japanese Yen (JPY)
Swedish Krona (SEK)
Euro (EUR) *
Danish Krone (DKK)
Swiss Franc (CHF)
Developed Market Local Interest Rates % (1 Year)
17.89
7.98
6.80
5.67
5.49
5.03
2.94
2.45
2.02
1.77
1.55
1.50
1.12
0.47
-0.01
13.28
2.67
3.34
4.73
4.52
3.89
4.01
1.40
2.68
1.67
0.42
1.69
0.42
0.50
0.05
-5.00 5.00 15.00 25.00
Turkish New Lira (TRY)
Brazilian Real (BRL)
Nigerian Naira (NGN)
Russian Ruble (RUB)
Mexican Peso (MXN)
South African Rand (ZAR)
Indonesian Rupiah (IDR)
Peruvian New Sol (PEN)
Colombian Peso (COP)
Malaysian Ringgit (MYR)
Chilean Peso (CLP)
Philippine Peso (PHP)
Hungarian Forint (HUF)
Thai Baht (THB)
Polish Zloty (PLN)
Emerging Market Local Interest Rates % (1 Year)
Aug ’20Aug ‘21
Aug ’20Aug ‘21
Local sovereign currency yields
Alternatives
| Monthly Market Monitor | September 2021
Source: Bloomberg, Morningstar as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. Commodity represented by Bloomberg Commodity Index. Agriculture represented by Bloomberg Agriculture Subindex. Energy represented by Bloomberg Energy Subindex. Grains represented by Bloomberg Grains Subindex. Industrial Metals represented by Bloomberg Industrial Metals Subindex. Livestock represented by Bloomberg Livestock Subindex. Precious Metals represented by Bloomberg Precious Metals Subindex.
30
Index 1-Mo. 3-Mo. YTD 1Y 3Y 5Y
Bloomberg Commodity Index -0.30 3.42 23.01 31.00 5.82 4.17
Bloomberg Sub Agriculture 0.05 -1.11 19.33 49.81 11.51 2.75
Coffee 7.28 17.10 43.70 39.35 12.52 -3.83
Corn -2.96 -11.87 23.05 63.17 9.78 3.78
Cotton 3.52 11.59 13.64 32.75 0.41 5.46
Soybean -4.20 -9.63 6.03 45.05 13.08 3.42
Soybean Oil -6.80 -4.35 56.38 102.53 27.78 11.18
Sugar 10.78 13.85 33.51 54.69 17.20 -4.74
Wheat 0.85 6.01 8.59 24.33 6.06 3.64
Bloomberg Sub Energy -0.43 15.22 49.48 38.10 -9.26 -1.63
Brent Crude -3.96 7.07 45.95 60.10 -1.69 8.50
Heating Oil -3.42 3.76 43.07 66.93 -5.99 4.37
Natural Gas 10.78 44.87 60.60 12.83 -15.67 -15.89
Unleaded Gas -2.56 7.35 51.58 82.46 0.03 6.82
WTI Crude Oil -6.94 4.86 44.09 59.65 -14.21 -1.85
Index 1-Mo. 3-Mo. YTD 1Y 3Y 5Y
Bloomberg Sub Industrial Metals 0.33 0.98 22.65 36.20 12.50 12.16
Aluminum 4.54 9.27 34.97 47.46 5.45 9.01
Copper -2.20 -6.42 24.19 42.51 17.47 14.98
Nickel -0.05 7.86 17.13 26.10 14.77 14.19
Zinc -1.14 -2.14 7.72 16.64 9.40 7.33
Bloomberg Sub Precious Metals -1.37 -7.08 -5.86 -10.99 13.80 4.95
Gold 0.05 -4.78 -4.73 -9.04 13.14 5.51
Platinum -3.27 -14.52 -6.69 6.24 7.63 -1.60
Silver -6.23 -14.58 -9.63 -16.98 16.07 3.45
Bloomberg Sub Livestock 0.15 -2.89 8.71 19.62 -5.26 -3.02
Lean Hogs 0.89 -9.48 30.47 69.70 -6.72 -7.67
Live Cattle -0.23 2.00 -1.97 -0.05 -4.41 -0.52
Commodities return analysis (%)
Alternatives
| Monthly Market Monitor | September 2021
Source: Morningstar as of 7/31/2021. *Data is on a 1-month lag. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. Global Macro represented by Credit Suisse Global Macro Index. Private equity represented by Cambridge Associates US Private Equity Index. MLP represented by Alerian MLP Index. Event Driven represented by Credit Suisse Event Driven Index. Multi-Strategy represented by Credit Suisse Multi-Strategy Index. Long/Short Equity represented by Credit Suisse Long/Short Equity Index. Convertible Arbitrage represented by Credit Suisse Convertible Arbitrage Index. Currency represented by J.P. Morgan EMLI+ Index. Equity Market Neutral represented by Credit Suisse Equity Market Neutral Index. Fixed Income Arbitrage represented by Credit Suisse Fixed Income Arbitrage Index. Managed Futures represented by Credit Suisse Managed Futures Index. Commodity represented by Bloomberg Commodity Index
31
Asset class return analysis (%)2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 YTD 7/21
MLP
13.88
Private Equity
14.19
MLP
27.58
Managed Futures
18.37
Private Equity
5.66
MLP
18.31
Private Equity
17.52
Private Equity
10.16
Private Equity
13.85
Convertible
Arbitrage
10.25
MLP
38.51
Private Equity
11.34
Multi-Strategy
11.19
Private Equity
21.32
Private Equity
11.13
Multi-Strategy
3.84
Private Equity
13.00
Long/Short
Equity
13.41
Fixed Income
Arbitrage
1.10
Long/Short Equity
12.17
Long/Short Equity
7.86
Commodity
23.37
Global Macro
6.44
Fixed Income
Arbitrage
11.04
Long/Short Equity
17.74
Multi-Strategy
6.09
Long/Short Equity
3.55
Commodity
11.77
Currency
11.54
Global Macro
-0.11
Global Macro
10.38
Event Driven
6.95
Event Driven
9.57
Fixed Income
Arbitrage
4.69
Event Driven
10.63
Event Driven
15.47
Long/Short Equity
5.55
Equity Market
Neutral
1.69
Convertible
Arbitrage
6.60
Equity Market
Neutral
8.45
Multi-Strategy
-1.05
Managed Futures
9.01
Global Macro
6.53
Managed Futures
7.16
Equity Market
Neutral
4.49
Long/Short Equity
8.21
Multi-Strategy
11.23
MLP
4.80
Convertible
Arbitrage
0.81
Multi-Strategy
4.41
Multi-Strategy
6.83
Convertible
Arbitrage
-2.26
Event Driven
8.22
Multi-Strategy
5.60
Long/Short Equity
6.82
Multi-Strategy
1.83
Convertible
Arbitrage
7.82
Equity Market
Neutral
9.27
Fixed Income
Arbitrage
4.37
Fixed Income
Arbitrage
0.59
Fixed Income
Arbitrage
4.29
Fixed Income
Arbitrage
6.52
Currency
-3.33
Convertible
Arbitrage
8.15
Fixed Income
Arbitrage
3.64
Global Macro
6.29
Convertible
Arbitrage
1.13
Currency
7.45
Convertible
Arbitrage
6.03
Global Macro
3.11
Global Macro
0.18
Global Macro
3.58
Event Driven
6.30
Event Driven
-3.95
Commodity
7.69
Managed Futures
1.86
Multi-Strategy
5.55
Managed Futures
-4.19
MLP
4.80
Global Macro
4.32
Event Driven
1.57
Managed Futures
-0.93
Currency
3.54
Convertible
Arbitrage
5.01
Long/Short Equity
-4.62
Multi-Strategy
7.25
Currency
1.73
Equity Market
Neutral
4.57
Currency
-5.19
Global Macro
4.58
Fixed Income
Arbitrage
3.80
Equity Market
Neutral
-1.19
Event Driven
-6.29
Event Driven
2.68
Managed Futures
3.29
Equity Market
Neutral
-5.00
MLP
6.56
Equity Market
Neutral
1.69
Fixed Income
Arbitrage
4.40
Long/Short Equity
-7.31
Equity Market
Neutral
0.85
Currency
-2.04
Convertible
Arbitrage
-1.68
Currency
-7.61
Long/Short Equity
-3.43
Global Macro
2.14
Managed Futures
-6.67
Fixed Income
Arbitrage
6.10
Commodity
-3.12
Convertible
Arbitrage
3.34
Event Driven
-9.09
Commodity
-1.06
Managed Futures
-2.56
Currency
-7.03
Commodity
-24.66
Equity Market
Neutral
-4.58
Commodity
1.70
Commodity
-11.25
Currency
5.20
MLP
-28.69
Currency
-1.11
Commodity
-13.32
Managed Futures
-2.93
Commodity
-9.52
Commodity
-17.01
MLP
-32.59
Managed Futures
-6.84
MLP
-6.52
MLP
-12.42
Equity Market
Neutral
1.58
Private Equity
--
Private Equity
--
Higher
Lower
| Monthly Market Monitor | September 2021
Asset Allocation Ideas
Source: Factset as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.
32
Equity yields around the globe
United States
1.29%
Canada
2.60%
Australia
3.61%
China
1.61%
Russia
4.63%
Brazil
4.15%
Mexico
2.22%
South Africa
2.89%
India
1.00%
Korea
1.56%
Japan
2.07%
Sweden
1.72%
Spain
2.78%
France
2.21%
United Kingdom
3.68%
Germany
2.24%
Italy
2.56%
| Monthly Market Monitor | September 2021
Asset Allocation Ideas
China18%
United States16%
India7%
Japan4%
Germany3%
Rest of World52%
GDP % of World Total
Source: World Economic Outlook Database, April 2021; World Bank.Data provided is for informational use only. See end of report for important additional information.Gross domestic product based on purchasing-power-parity (PPP) share of world total (percent). Purchasing-power-parity adjusts GDPs for differences in prices, so aggregate country values are more comparable.
33
U.S. dominates global equity allocations
United States44%
China9%
Japan8%
Hong Kong6%
France3%
Rest of World30%
Market Capitalization % of World Total
| Monthly Market Monitor | September 2021
Asset Allocation Ideas
International Small Cap
International Large Cap
Emerging Markets
0.00
2.00
4.00
6.00
8.00
10.00
0.00 5.00 10.00 15.00 20.00 25.00
Re
turn
%
Risk
Annualized Risk/Return over 10 years
34
International small cap stocks may offer attractive diversification benefits
Source: Morningstar, FactSet as of 8/31/2021. Data provided is for informational use only. See end of report for important additional information. International Small-Cap represented by the MSCI World Ex USA Small Cap (Net) Index. International Large-Cap represented by the MSCI EAFE (Net) Index. Emerging Markets represented by the MSCI Emerging Markets (Net) Index. Risk is measured by standard deviation which measures the historic volatility of the index. Sharpe Ratio uses standard deviation and excess return to determine reward per unit of risk. Past performance is no guarantee of future results.
Annualized
Returns
(%)
Cumulative
Returns
(%)
Standard
Deviation
(%)
Sharpe
Ratio
International Small Cap 9.07 138.16 15.91 0.59
International Large Cap 7.34 102.98 14.68 0.52
Emerging Markets 4.85 60.60 17.57 0.32
| Monthly Market Monitor | September 2021
Asset Allocation Ideas
35
Loans & high-yield: swapping rate risk for credit exposure
1.00
0.880.81
0.550.48
0.06
-0.21
-0.33
-0.60
-0.40
-0.20
0.00
0.20
0.40
0.60
0.80
1.00
10-Year Correlation with U.S. Treasuries
Source: Factset, Morningstar as of 8/31/21. Data provided is for informational use only. See end of report for important additional information. Aggregate represented by Bloomberg U.S. Aggregate Index. EM Sovereign (USD) represented by J.P. Morgan EM Bond Index (EMBI) Global Diversified Index. Floating-Rate Loan represented by S&P / LSTA Leveraged Loan Index. High Yield Corp. represented by ICE BofA US High Yield Index. Investment Grade Corp. represented by Bloomberg U.S. Corp. Investment Grade Index. MBS represented by Bloomberg U.S. Mortgage Backed Securities Index. Municipal represented by Bloomberg Municipal Bond Index. Treasury represented by Bloomberg U.S. Treasury Index. Past performance is no guarantee of future results.
Aggregate
Treasury
MBS
Investment Grade Corp
Municipal
High-Yield Corp
Floating-Rate Loan
EM Sovereign (USD)
0%
2%
4%
6%
8%
10%
0 2 4 6 8 10
Yield/Duration
| Monthly Market Monitor | September 2021
Asset Allocation Ideas
Source: Factset, Morningstar as of 8/31/2021. Taxable equivalent yield assumes a maximum federal income tax rate of 37% and a 3.8% healthcare tax. Data provided is for informational use only. See end of report for important additional information. Treasury represented by Bloomberg U.S. Treasury Index. Agency represented by Bloomberg U.S. Agency Index. Aggregate represented by Bloomberg U.S. Aggregate Index. . Investment Grade Corp. represented by Bloomberg U.S. Corp. Investment Grade Index. MBS represented by Bloomberg U.S. Mortgage Backed Securities Index. Municipal represented by Bloomberg Municipal Bond Index. Floating-Rate Loan represented by S&P / LSTA Leveraged Loan Index. High Yield Corp. represented by ICE BofA US High Yield Index. Past performance is no guarantee of future results.
36
Municipal bonds tax-equivalent yield and 5-year correlation
1.00
0.68
0.480.44
0.39
0.13
0.00
0.25
0.50
0.75
1.00
Municipal InvestmentGrade Corp
High YieldCorp
Treasury Floating-RateLoan
S&P 500
5-Year Correlation with Municipals
0.86%
1.42%
0.95%
1.71%
1.99%
1.60%
0%
1%
2%
3%
4%
Treasury Aggregate Municipal MBS InvestmentGrade Corp
Tax-Equivalent Yield
| Monthly Market Monitor | September 2021
Asset Allocation Ideas
U.S. Stocks30%
Intl Stocks15%
Bonds30%
Alts25%
Portfolio 2
U.S.Stocks40%
Intl Stocks20%
Bonds40%
Asset Allocation
Portfolio 1
Source: Zephyr as of 7/31/21. *Data is on a one month lag. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. U.S Stocks represented by S&P 500 Index. International Stocks represented by MSCI EAFE Index. Bonds represented by Bloomberg US Aggregate Bond Index. Alternatives represented by 10% Credit Suisse Global Macro Index, 10% Credit Suisse Multi-Strategy Index, 5% Credit Suisse Managed Futures Index. Index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. Historical performance of the index illustrates market trends and does not represent the past or future performance of any fund or strategy.The data and information noted above is based on hypothetical assumptions and the experience of Eaton Vance. It is for informational and illustrative purposes only. This material does not constitute investment advice and should not be viewed as a current or past recommendation or a solicitation of an offer to buy or sell any securities or to adopt any investment strategy. The hypothetical models presented do not represent the results that any particular investor actually attained. Actual performance results will differ, and may differ substantially, from the hypothetical model performance. The portfolio (1) is represented by 40% of the S&P 500®, 40% of the Bloomberg U.S. Aggregate Index, and 20% of the MCSI EAFE Index. The portfolio (2) is represented by 30% of the S&P 500®, 30% of the Bloomberg U.S. Aggregate Index, 15% of the MSCI EAFE Index, and 25% of the following three different hedge fund indices: 10% Credit Suisse Global Macro Index, 10% Credit Suisse Multi-Strategy Index, 5% Credit Suisse Managed Futures Index. Morningstar is used to calculate risk and return metrics.
37
Meaningful allocation to alts has improved performance and reduced risk
20 Years ending 7/31/21Return
(%)
Standard Deviation
(%)
Maximum Drawdown
(%)
Hypothetical Portfolio 1 6.84 9.03 -34.06
Hypothetical Portfolio 2 6.84 7.42 -27.88
0.35
0.61
-0.02
-0.25
0.00
0.25
0.50
0.75
1.00
Global Macro Multi-Strategy Managed Futures
20-Year Correlation with U.S. Stocks
0.25
0.05
0.29
-0.25
0.00
0.25
0.50
0.75
1.00
Global Macro Multi-Strategy Managed Futures
20-Year Correlation with Bonds
| Monthly Market Monitor | September 2021
Asset Allocation Ideas
Source: Morningstar as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. S&P 500 represented by the S&P 500 Index. International represented by MSCI EAFE Index. Emerging Markets represented by MSCI Emerging Markets Index. Small-Cap represented by Russell 2000 Index. US Aggregate represented by the Bloomberg Capital US Aggregate Bond Index. Municipal represented by Bloomberg Municipal Bond Index. High Yield represented by ICE BofA US High Yield Index. Bank Loan represented by S&P/LSTA Leveraged Loan Index. Commodity represented by Bloomberg Commodity Index. The Asset Allocation portfolio assumes the following weights: 25% in the S&P 500 Index, 15% in the MSCI EAFE Index, 5% in the MSCI Emerging Markets Index, 10% in the Russell 2000 Index, 25% in the Bloomberg Capital US Aggregate Bond Index, 5% in the Bloomberg Municipal Bond Index, 5% in the Bloomberg US Corporate High Yield Index, 5% in the S&P/LSTA Leveraged Loan Index, and 5% in the Bloomberg Commodity Index.
38
Major asset class return analysis (%)
2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 YTD 8/21
Municipal
10.70
Emerging Markets
18.22
Small-Cap
38.82
S&P 500
13.69
Municipal
3.30
Small-Cap
21.31
Emerging Markets
37.28
Municipal
1.28
S&P 500
31.49
Small-Cap
19.96
Commodities
23.01
US Agg
7.84
International
17.32
S&P 500
32.39
Municipal
9.05
S&P 500
1.38
High Yield
17.49
International
25.03
Bank Loan
0.44
Small-Cap
25.52
S&P 500
18.40
S&P 500
21.58
High Yield
4.38
Small-Cap
16.35
International
22.78
US Agg
5.97
US Agg
0.55
S&P 500
11.96
S&P 500
21.83
US Agg
0.01
International
22.01
Emerging Markets
18.31
Small-Cap
15.83
S&P 500
2.11
S&P 500
16.00
Asset Allocation
13.83
Small-Cap
4.89
Bank Loan
-0.69
Commodities
11.77
Small-Cap
14.65
High Yield
-2.26
Asset Allocation
18.70
Asset Allocation
11.95
International
11.58
Bank Loan
1.52
High Yield
15.58
High Yield
7.42
Asset Allocation
4.28
International
-0.81
Emerging Markets
11.19
Asset Allocation
14.02
S&P 500
-4.38
Emerging Markets
18.42
International
7.82
Asset Allocation
10.11
Asset Allocation
-0.35
Asset Allocation
11.91
Bank Loan
5.29
High Yield
2.50
Asset Allocation
-2.03
Bank Loan
10.16
High Yield
7.48
Asset Allocation
-5.40
High Yield
14.41
US Agg
7.51
High Yield
4.64
Small-Cap
-4.18
Bank Loan
9.66
US Agg
-2.02
Bank Loan
1.60
Small-Cap
-4.41
Asset Allocation
8.61
Municipal
5.45
Small-Cap
-11.01
US Agg
8.72
High Yield
6.17
Bank Loan
3.76
International
-12.14
Municipal
6.78
Municipal
-2.55
Emerging Markets
-2.19
High Yield
-4.64
US Agg
2.65
Bank Loan
4.12
Commodities
-11.25
Bank Loan
8.64
Municipal
5.21
Emerging Markets
2.84
Commodities
-13.32
US Agg
4.21
Emerging Markets
-2.60
International
-4.90
Emerging Markets
-14.92
International
1.00
US Agg
3.54
International
-13.79
Commodities
7.69
Bank Loan
3.12
Municipal
1.53
Emerging Markets
-18.42
Commodities
-1.06
Commodities
-9.52
Commodities
-17.01
Commodities
-24.66
Municipal
0.25
Commodities
1.70
Emerging Markets
-14.57
Municipal
7.54
Commodities
-3.12
US Agg
-0.69
Higher
Lower
| Monthly Market Monitor | September 2021
Asset Allocation Ideas
Source: Morningstar as of 8/31/21. The table above shows the return correlation between various asset classes (represented by market indices as defined in this disclosure) over the past five and ten years. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. S&P 500 is represented by the S&P 500 Index. International is represented by MSCI EAFE Index. Emerging Markets is represented by MSCI Emerging Markets Index. Small-Cap is represented by Russell 2000 Index. US Aggregate is represented by the Bloomberg Barclays Capital US Aggregate Bond Index. Municipal is represented by Bloomberg Barclays Municipal Bond Index. High Yield is represented by ICE BofA US High Yield Index. Bank Loan is represented by S&P/LSTA Leveraged Loan Index. Commodities is represented by Bloomberg Commodity Index.
39
Major asset classes correlation table
S&P 500 International Emerging Markets Small Cap U.S. Aggregate Municipal High Yield Bank Loan Commodities
S&P 500 1.00 0.86 0.73 0.88 -0.04 0.02 0.76 0.64 0.54
International 0.87 1.00 0.82 0.77 0.00 0.11 0.77 0.61 0.59
Emerging Markets 0.72 0.82 1.00 0.67 0.10 0.15 0.76 0.57 0.64
Small Cap 0.88 0.80 0.69 1.00 -0.12 -0.02 0.74 0.67 0.53
U.S. Aggregate 0.01 0.03 0.09 -0.11 1.00 0.72 0.22 0.08 -0.09
Municipal 0.13 0.25 0.24 0.07 0.68 1.00 0.34 0.28 0.05
High Yield 0.78 0.77 0.73 0.77 0.21 0.48 1.00 0.85 0.64
Bank Loan 0.69 0.66 0.63 0.73 0.07 0.39 0.92 1.00 0.51
Commodities 0.64 0.65 0.65 0.65 -0.16 0.15 0.69 0.63 1.00
5 Years ended August 31, 2021 10 Years ended August 31, 2021
| Monthly Market Monitor | September 2021
Asset Allocation Ideas
Source: Morningstar as of 7/31/21. Flow data is on a one month lag. Data provided is for informational use only. See end of report for important additional information.
40
Fund and ETF flows by category
Top 10 Open-End Mutual Fund Categories by Monthly Flows ($MM)
1 Mo. 3 Mo. 12 Mo.
Foreign Large Blend 9,685 14,976 (3,727)
Short-Term Bond 4,084 17,023 82,731
Muni National Short 3,272 3,519 29,962
Multisector Bond 2,825 9,569 32,015
Diversified Emerging Mkts 2,656 4,342 23,326
Muni National Interm 2,596 8,017 29,417
High Yield Muni 2,509 7,331 20,926
Bank Loan 2,314 8,047 18,135
Inflation-Protected Bond 2,141 8,065 31,985
Ultrashort Bond 2,051 (2,401) 37,978
Bottom 10 Open-End Mutual Fund Categories by Monthly Flows ($MM)
1 Mo. 3 Mo. 12 Mo.
Long-Term Bond (544) (701) (569)
Pacific/Asia ex-Japan Stk (591) (860) 2,612
Commodities Broad Basket (664) 25 5,175
Mid-Cap Value (812) 474 (9,864)
Small Blend (915) (1,824) (6,868)
Small Growth (1,848) (4,223) (379)
Small Value (1,895) (519) (2,721)
Mid-Cap Growth (2,954) (8,645) (17,866)
Large Growth (5,900) (24,040) (83,112)
Large Blend (7,811) (16,656) (129,170)
Bottom 10 Exchange-Traded Fund Categories by Monthly Flows ($MM)
1 Mo. 3 Mo. 12 Mo.
Consumer Cyclical (745) (2,450) 6,369
Natural Resources (836) 2,903 14,499
Equity Energy (855) 1,023 12,669
Commodities Focused (884) 1,247 (10,964)
Corporate Bond (924) (2,296) (3,975)
Real Estate (1,047) 2,986 10,586
Miscellaneous Region (1,181) (1,186) 1,879
Intermediate Government (1,316) 141 14,361
Small Value (1,609) 745 11,349
Financial (2,926) (100) 22,698
Top 10 Exchange-Traded Fund Categories by Monthly Flows ($MM)
1 Mo. 3 Mo. 12 Mo.
Large Blend 15,806 35,819 132,328
Foreign Large Blend 8,661 21,123 60,849
Short-Term Bond 5,287 10,971 38,700
Inflation-Protected Bond 3,961 10,600 31,185
Large Growth 3,906 12,875 11,161
Health 2,719 3,125 9,873
World Large-Stock Blend 2,430 3,139 7,218
China Region 2,152 4,407 10,317
Technology 2,135 (494) 17,200
Long Government 1,571 3,513 (4,819)
| Monthly Market Monitor | September 2021
Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. Data provided is for informational use only. See end of report for important additional information.
41
Bloomberg Global Aggregate Ex-USD Index is a broad-based measure of
global Investment Grade fixed-rate debt investments, excluding USD-
denominated debt
Bloomberg High Yield Municipal Bond Index is an unmanaged index of
non-Investment Grade Municipal bonds traded in the U.S.
Bloomberg Municipal Bond Index is an unmanaged index of Municipal
bonds traded in the U.S.
Bloomberg Taxable Municipal Bond Index is an unmanaged index of
Taxable Municipal bonds traded in the U.S.
Bloomberg U.S. Agency Index measures agency securities issued by U.S
government agencies, quasi-federal corporations, and corporate or foreign
debt guaranteed by the U.S. government
Bloomberg U.S. Aggregate Index is an unmanaged index of domestic
investment-grade bonds, including corporate, government and mortgage-
backed securities
Bloomberg U.S. Asset Backed Securities (ABS) Index measures ABS
with the following collateral type: credit and charge card, auto, and utility
loans
Bloomberg U.S. CMBS Index measures the market of conduit and fusion
CMBS deals with a minimum current deal size of $300mn
Bloomberg U.S. Corporate Investment Grade Index is an unmanaged
index that measures the performance of investment-grade corporate
securities within the Barclays U.S. Aggregate Index
Bloomberg U.S. Mortgage Backed Securities (MBS) Index measures
agency mortgage-backed pass-through securities issued by GNMA, FNMA,
and FHLMC
Bloomberg U.S. Treasury Index measures public debt instruments issued
by the U.S. Treasury
Bloomberg Commodity Index is a broadly diversified index tracking futures
contracts on physical commodities
CBOE Volatility Index (VIX) tracks the implied volatilities of a wide range of
S&P 500 Index options
CBOE S&P 500 BuyWrite Index measures the performance of a
hypothetical buy-write strategy on the S&P 500 Index
ICE BofA US Inflation-Linked Treasury Index tracks the performance of
USD denominated inflation linked sovereign debt publicly issued by the US
government
ICE BofA Fixed Rate Preferred Securities Index is an unmanaged index of
fixed-rate, preferred securities issued in the U.S.
ICE BofA UK Gilts Index tracks the performance of GBP denominated
sovereign debt publicly issued by the UK government in its domestic market.
ICE BofA European Union Government Bond Index tracks the
performance of sovereign debt publicly issued by countries that are members
of the European Union
ICE BofA U.S. High Yield Index is an unmanaged index of below-
investment grade U.S. corporate bonds.
ICE BofA Developed Markets High Yield Ex-Subordinated Financial
Index (Hedged) is an unmanaged index of global developed market below
investment grade corporate bonds, USD hedged.
FTSE 100 Index is an unmanaged market-capitalization weighted index
representing the performance of the 100 largest UK listed blue chip
companies, which pass screening for size and liquidity
FTSE All Small Index consists of all the companies in the FTSE SmallCap
and FTSE Fledgling indices
FTSE World Government Bond Index (WGBI) measures the performance
of fixed-rate, local currency, investment-grade sovereign bonds.
J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad
Diversified is an unmanaged index of USD-denominated emerging market
corporate bonds.
J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified is
an unmanaged index of USD-denominated bonds with maturities of more
than one year issued by emerging markets governments.
J.P. Morgan Government Bond Index-Emerging Markets (GBI-EM)
Global Diversified is an unmanaged index of local-currency bonds with
maturities of more than one year issued by emerging market governments
Morgan Stanley Capital International (MSCI) Emerging Markets Index is
an unmanaged index of emerging markets common stocks
Morgan Stanley Capital International All Country Asia Pacific Index
(MSCI AC Asia Pac) is an unmanaged total return, capitalization-weighted
index that measures the performance of stock markets in 15 Pacific region
countries, including Australia, China, Hong Kong, India, Indonesia, Japan,
Korea, Malaysia, New Zealand, Pakistan, the Philippines, Singapore, Sri
Lanka, Taiwan and Thailand
Morgan Stanley Capital International (MSCI) Japan Index is an
unmanaged index designed to measure the performance of the large and
mid cap segments of the Japan market
Morgan Stanley Capital International (MSCI) World Index is an
unmanaged index of equity securities in the developed markets
Morgan Stanley Capital International (MSCI) World ex USA Small Cap
Index is an unmanaged index of small-cap equity securities in the developed
markets, excluding the United States.
Morgan Stanley Capital International All Country World (MSCI AC World)
Index is an unmanaged free float-adjusted market-capitalization-weighted
index designed to measure the equity market performance of developed and
emerging markets
Morgan Stanley Capital International Europe (MSCI Europe) Index is an
unmanaged free float-adjusted market-capitalization-weighted index
designed to measure the equity market performance of the developed
markets in Europe
Glossary of terms
Index definitions
| Monthly Market Monitor | September 202142
Glossary of terms and about risk
Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE) Index is an unmanaged index
of equities in the developed markets, excluding the U.S. and Canada
Nikkei 225 Stock Average Index is unmanaged price-weighted index of 225 top-rated Japanese companies listed
in the First Section of the Tokyo Stock Exchange
Russell 1000 Index is an unmanaged index of 1,000 U.S. large-cap stocks
Russell 1000 Growth Index is an unmanaged index of 1,000 U.S. large-cap growth stocks
Russell 1000 Value Index is an unmanaged index of 1,000 U.S. large-cap value stocks
Russell 2000 Index is an unmanaged index of 2,000 U.S. small-cap stocks
Russell 2500 Index is an unmanaged index of approximately 2,500 U.S. small- and mid-cap U.S. stocks
Russell Midcap Index is an unmanaged index of U.S. mid-cap stocks
Standard & Poor’s 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S.
stock market performance
S&P/LSTA Leveraged Loan Index is an unmanaged index of the institutional leveraged loan market
STOXX Europe 600 Index is a fixed component number index designed to provide a broad yet liquid representation
of large, mid and small capitalization companies in Europe
ICE BofA Indexes: ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties,
and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or
guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of
America Corporation in the United States and other countries.
MSCI Indexes: Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no
warranties, has not prepared or approved this report, and has no liability hereunder.
J.P. Morgan Indices: Information has been obtained from sources believed to be reliable but J.P. Morgan does not
warrant its completeness or accuracy. The Index is used with permission. The Index may not be copied, used, or
distributed without J.P. Morgan’s prior written approval. Copyright 2019, J.P. Morgan Chase & Co. All rights
reserved.
S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for
use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow
Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor,
endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any
errors, omissions, or interruptions of the S&P Dow Jones Indices.
Index definitions (cont.)
Bank Loans – There can be no assurance that the liquidation of collateral securing an investment will satisfy the
issuer’s obligation in the event of non-payment or that collateral can be readily liquidated. The ability to realize the
benefits of any collateral may be delayed or limited. Commodities – The value of commodities investments will
generally be affected by overall market movements and factors specific to a particular industry or commodity
including weather, embargoes, tariffs, or health, political, international and regulatory developments. Credit –
Investments in income securities may be affected by changes in the creditworthiness of the issuer and are subject to
the risk of non-payment of principal and interest. The value of income securities also may decline because of real or
perceived concerns about the issuer’s ability to make principal and interest payments. Duration – Securities with
longer durations tend to be more sensitive to interest rate changes than securities with shorter durations. Equity –
Equity investment values are sensitive to stock market volatility. Foreign – Investments in foreign instruments or
currencies can involve greater risk and volatility than U.S. investments because of adverse market, economic,
political, regulatory, geopolitical, or other conditions. In emerging countries, these risks may be more significant.
Gov’t Agency – While certain U.S. Government-sponsored agencies may be chartered or sponsored by acts of
Congress, their securities are neither issued nor guaranteed by the U.S. Treasury. Income Market – An imbalance in
supply and demand in the income market may result in valuation uncertainties and greater volatility, less liquidity,
widening credit spreads and a lack of price transparency in the market. There generally is limited public information
about Municipal issuers. Inflation-Linked – Interest payments on inflation-linked securities may vary widely and will
fluctuate as principal and interest are adjusted for inflation. Investments in inflation-linked securities may lose value in
the event that the actual rate of inflation is different than the rate of the inflation index. Interest Rate – As interest
rates rise, the value of certain income investments is likely to decline. Lower-Rated – Investments rated below
Investment Grade (typically referred to as “junk”) are generally subject to greater price volatility and illiquidity than
higher rated investments. Maturity – Longer-term bonds typically are more sensitive to interest rate changes than
shorter-term bonds. Preferred Stocks – When interest rates rise, the value of preferred stocks will generally decline.
Prepayment - MBS – Mortgage-backed securities are subject to prepayment risk. Prepayment - Bank Loan – Bank
Loans are subject to prepayment risk. Real Estate – Changes in real estate values or economic downturns can have
a significant negative effect on issuers in the real estate industry, including REITs.
Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions,
expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. Data provided is for
informational use only. Past performance is no guarantee of future results. See end of report for important additional
information.
About risk
Municipal-to-Treasury Yield Ratios are relative value indicators that measure the richness or cheapness of
Municipal bond yields to comparable maturity Treasury bond yields.
Yield to Worst is a measure which reflects the lowest potential yield earned on a bond without the issuer
defaulting. The yield to worst is calculated by making worst-case scenario assumptions by calculating the
returns that would be received if provisions, including prepayment, call or sinking fund, are used by the issuer.
Terms
| Monthly Market Monitor | September 202143
About Eaton VanceEaton Vance is part of Morgan Stanley Investment Management, the asset management division of Morgan Stanley. It provides advanced investment strategies and wealth management solutions to forward-thinking investors around the world. Through its distinct investment brands Eaton Vance Management, Parametric, Atlanta Capital and Calvert, the Company offers a diversity of investment approaches, encompassing bottom-up fundamental active management, responsible investing, systematic investing and customized implementation of client-specified portfolio exposures. Exemplary service, timely innovation and attractive returns across market cycles have been hallmarks of Eaton Vance since 1924.
This material is presented for informational and illustrative purposes only. This material should not be construed as investment advice, a recommendation to purchase or sell specific securities, or to adopt any particular
investment strategy; it has been prepared on the basis of publicly available information, internally developed data and other third-party sources believed to be reliable. However, no assurances are provided regarding the
reliability of such information and Eaton Vance has not sought to independently verify information taken from public and third-party sources. Investment views, opinions, and/or analysis expressed constitute judgments
as of the date of this material and are subject to change at any time without notice. Different views may be expressed based on different investment styles, objectives, opinions or philosophies. This material may contain
statements that are not historical facts, referred to as forward-looking statements. Future results may differ significantly from those stated in forward-looking statements, depending on factors such as changes in
securities or financial markets or general economic conditions.
This material is for the benefit of persons whom Eaton Vance reasonably believes it is permitted to communicate to and should not be forwarded to any other person without the consent of Eaton Vance. It is not
addressed to any other person and may not be used by them for any purpose whatsoever. It expresses no views as to the suitability of the investments described herein to the individual circumstances of any recipient or
otherwise. It is the responsibility of every person reading this document to satisfy himself as to the full observance of the laws of any relevant country, including obtaining any governmental or other consent which may be
required or observing any other formality which needs to be observed in that country. Unless otherwise stated, returns and market values contained herein are presented in US Dollars.
In the EU this material is issued by Eaton Vance Global Advisors Ltd ("EVGA") which is registered in the Republic of Ireland with Registered Office at 70 Sir John Rogerson’s Quay, Dublin 2, Ireland. EVGA is regulated
by the Central Bank of Ireland with Company Number: 224763.
Outside of the US and EU, this material is issued by Eaton Vance Management (International) Limited (“EVMI”) 125 Old Broad Street, London, EC2N 1AR, UK, and is which is authorised and regulated in the United
Kingdom by the Financial Conduct Authority.
This material is only intended for and will only be distributed to persons resident in jurisdictions where such distribution or availability would not be contrary to local laws or regulations.
EVMI/EVGA markets the services of the following strategic affiliates: Eaton Vance Management ("EVM"), Eaton Vance Advisers International Ltd (“EVAIL”), Parametric Portfolio Associates® LLC ("PPA"), Calvert
Research and Management (“CRM”), and Atlanta Capital Management Company LLC ("Atlanta "). EVM, EVAIL, PPA, CRM and Atlanta are SEC registered investment advisor and are part of Morgan Stanley
Investment Management, the asset management division of Morgan Stanley.
This material is for Professional Clients/Accredited Investors only.
This material does not constitute an offer to sell or the solicitation of an offer to buy any services referred to expressly or impliedly in the material in the People's Republic of China (excluding Hong Kong, Macau and
Taiwan, the "PRC") to any person to whom it is unlawful to make the offer or solicitation in the PRC.
The material may not be provided, sold, distributed or delivered, or provided or sold or distributed or delivered to any person for forwarding or resale or redelivery, in any such case directly or indirectly, in the People's
Republic of China (the PRC, excluding Hong Kong, Macau and Taiwan) in contravention of any applicable laws.
In Singapore, Eaton Vance Management International (Asia) Pte. Ltd. (“EVMIA”) holds a Capital Markets Licence under the Securities and Futures Act of Singapore (“SFA”) to conduct, among others, fund management,
is an exempt Financial Adviser pursuant to the Financial Adviser Act Section 23(1)(d) and is regulated by the Monetary Authority of Singapore (“MAS”). Eaton Vance Management, Eaton Vance Management
(International) Limited and Parametric Portfolio Associates® LLC holds an exemption under Paragraph 9, 3rd Schedule to the SFA in Singapore to conduct fund management activities under an arrangement with EVMIA
and subject to certain conditions. None of the other Eaton Vance group entities or affiliates holds any licences, approvals or authorisations in Singapore to conduct any regulated or licensable activities and nothing in this
material shall constitute or be construed as these entities or affiliates holding themselves out to be licensed, approved, authorised or regulated in Singapore, or offering or marketing their services or products.
In Australia, EVMI is exempt from the requirement to hold an Australian financial services license under the Corporations Act in respect of the provision of financial services to wholesale clients as defined in the
Corporations Act 2001 (Cth) and as per the ASIC Corporations (Repeal and Transitional) Instrument 2016/396.
EVMI is registered as a Discretionary Investment Manager in South Korea pursuant to Article 18 of Financial Investment Services and Capital Markets Act of South Korea.
EVMI utilises a third-party organisation in the Middle East, Wise Capital (Middle East) Limited ("Wise Capital"), to promote the investment capabilities of Eaton Vance to institutional investors. For these services, Wise
Capital is paid a fee based upon the assets that Eaton Vance provides investment advice to following these introductions.
Important Additional Information and Disclosures
| Monthly Market Monitor | September 202144
Important Additional Information and DisclosuresIn the United States:
Eaton Vance Management is an SEC-registered investment advisor and part of Morgan Stanley Investment Management, the asset management division of Morgan Stanley.
Eaton Vance Distributors, Inc. (“EVD”), Two International Place, Boston, MA 02110, (800) 225-6265. Member of FINRA/ SIPC.
Eaton Vance WaterOak Advisors. Two International Place, Boston, MA 02110. Eaton Vance WaterOak is an SEC-registered investment advisor and part of Morgan Stanley Investment Management, the asset
management division of Morgan Stanley.
Investing entails risks and there can be no assurance that Eaton Vance will achieve profits or avoid incurring losses. It is not possible to invest directly in an index. Past performance is not a reliable
indicator of future results.
©2021 Eaton Vance Management
For more information, please contact:
Eaton Vance
Two International Place
Boston, MA 02110
800 225 6265
617 482 8260
eatonvance.com
Eaton Vance Management
International (Asia) Pte. Ltd.
8 Marina View, 13–01 Asia Square Tower
1, Singapore 018960
+65 6713 9241
eatonvance.sg
Eaton Vance Management
(International) Limited
Suite 05, Level 25, 259 George Street,
Sydney, NSW 2000, Australia
+61 2 8229 0200
eatonvance.com.au
Eaton Vance Management
(International) Limited
125 Old Broad Street, London,
EC2N 1AR, United Kingdom
+44 (0)203 207 1900
eatonvance.co.uk
For more information or to subscribe
for monthly updates visit
eatonvance.com
Eaton Vance Global Advisors Limited
Alexandra House, Suite 108,
The Sweepstakes, Ballsbridge, Dublin
D04 C7H2, Ireland
+353 (0) 1 664 1428
eatonvance.ie
NOT FDIC INSURED | OFFER NO BANK GUARANTEE | MAY LOSE VALUE | NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY | NOT A DEPOSIT
5265 | 09.03.21