J.P. Morgan

1 4 G E O G R A P H I C A L A N D S T R A T E G Y D I V E R S I F I C A T I O N S T I L L M A T T E R EXHIBIT 8: J.P. MORGAN'S LONG-TERM EXPECTATIONS FOR EQUITY RISK AND RETURN Our public equity assumptions for the next 10 to 15 years 6.0% 7.5% 9.0% 10.5% 12.0% 8 10 12 14 16 18 20 22 24 Long-Bias HF U.S. LC Japanese Eq ACWI EAFE Eq U.S. SC Private Equity Asia ex-Jpn Eq Em Eq Arithmetic Return (%) Volatility (%) Source: J.P. Morgan. EXHIBIT 9: VOLATILITY WE EXPECT TO SEE IN EQUITY MARKETS Emerging market to experience the most volatility, long-bias hedge funds the least 5% 7% 9% 11% 13% 15% 17% 19% 21% 23% 25% Volatility Emerging Markets Equity European Small Cap Asia ex-Japan Equity Private Equity European Large Cap U.S. Small Cap EAFE Equity Europe ex-UK Large Cap UK Large Cap U.S. Mid Cap AC World Equity Japanese Equity Developed World Equity U.S. Large Cap Value U.S. Large Cap Growth U.S. Large Cap Long-Bias Hedge Funds 24.0% 23.8% 22.8% 22.0% 20.0% 19.8% 18.3% 18.0% 18.0% 17.8% 16.8% 16.5% 16.0% 15.5% 15.0% 14.8% 10.0% Source: J.P. Morgan. EXHIBIT 10: DISPERSION OF RETURNS ACROSS EQUITY STRATEGIES Managers experienced varying returns from 2009 to 2013 Annualized Return 0% 5% 10% 15% 20% 25% 30% Long-Bias HF Private Equity U.S. Large Cap U.S. Small Cap European Large Cap Global Large Cap Quartile 1 Quartile 2 Average Quartile 3 Quartile 4 Source: J.P. Morgan. A P P E N D I X

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