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Rankings of Assorted Indices and Strategies
The Periodic Table Collection
Year-End 2016
© 2017 Callan Associates Inc.
Knowledge. Experience. Integrity. 1The Periodic Table Collection
Table of Contents
Callan Periodic Tables
The Periodic Tab...
Knowledge. Experience. Integrity. 2The Periodic Table Collection
The Callan Periodic Table of Investment Returns
Annual Re...
3Periodic Tables of Investment Returns
Callan Periodic Table of Investment Returns (Relative to Zero)
Annual Returns for K...
4Periodic Tables of Investment Returns
Small Cap Equity
26.85%
Emerging Markets
18.23%
Emerging Markets
39.38%
Emerging Ma...
5Periodic Tables of Investment Returns
MLPs
18.31%
Timberland
18.43%
MLPs
35.85%
Developed REIT
28.65%
Global Infrastructu...
Knowledge. Experience. Integrity. 6The Periodic Table Collection
Callan Periodic Table of Fund Sponsor Database Returns
An...
Knowledge. Experience. Integrity. 7The Periodic Table Collection
Callan Periodic Table of U.S. Equity Investment Returns
A...
Knowledge. Experience. Integrity. 8The Periodic Table Collection
Callan Periodic Table of Global Equity Investment Returns...
Knowledge. Experience. Integrity. 9The Periodic Table Collection
Callan Periodic Table of Investment Returns (Including Al...
Knowledge. Experience. Integrity. 10The Periodic Table Collection
Callan Periodic Table of Investment Returns (Including R...
Knowledge. Experience. Integrity. 11The Periodic Table Collection
Callan Periodic Table of Fixed Income Investment Returns...
Knowledge. Experience. Integrity. 12The Periodic Table Collection
Callan Periodic Table of Non-U.S. Fixed Investment Retur...
Knowledge. Experience. Integrity. 13The Periodic Table Collection
CS Hedge
Fund Index
25.94%
CS Hedge
Fund Index
-0.36%
CS...
Knowledge. Experience. Integrity. 14The Periodic Table Collection
Index Descriptions
Equity Indices
Russell 3000 measures ...
Knowledge. Experience. Integrity. 15The Periodic Table Collection
Index Descriptions
Fixed Income Indices
Bloomberg Barcla...
Knowledge. Experience. Integrity. 16The Periodic Table Collection
Index Descriptions
Real Estate and Other/Alternative Ind...
Knowledge. Experience. Integrity. 17The Periodic Table Collection
Index Descriptions
Credit Suisse Hedge Fund Index and Su...
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Annual Returns for Key Indices Ranked in Order of Performance (1997–2016) 2/2

Annual Returns for Key Indices Ranked in Order of Performance (1997–2016) 2/2

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Annual Returns for Key Indices Ranked in Order of Performance (1997–2016) 2/2

  1. 1. Rankings of Assorted Indices and Strategies The Periodic Table Collection Year-End 2016 © 2017 Callan Associates Inc.
  2. 2. Knowledge. Experience. Integrity. 1The Periodic Table Collection Table of Contents Callan Periodic Tables The Periodic Tables of Investment Returns depict annual returns for various asset classes, ranked from best to worst. Each asset class is color-coded for easy tracking. Well-known, industry-standard market indices are used as proxies for each asset class. The Periodic Table of Investment Returns—a play on the Periodic Table of the Elements—was authored by Jay Kloepfer, Director of Callan’s Capital Markets and Alternatives Research, in 1999. Mr. Kloepfer's vision of illustrating the importance of diversification resulted in a table of returns, similar to the Mendeleev creation. Callan’s first Periodic Table of Investment Returns was distributed in 1999, for returns 1979 – 1998. Key Indices 2 Key Indices Ranked Relative to Zero 3 Key Indices Ranked Relative to Inflation 4 Real Asset Indices Ranked Relative to Inflation 5 Callan Fund Sponsor Database 6 U.S. Equity 7 Global Equity 8 Key Indices Including Alternatives 9 Key Indices Including Real Estate 10 Fixed Income Indices 11 Non-U.S. Fixed Income Indices 12 Hedge Fund Index Sub Strategies 13 Index Descriptions 14
  3. 3. Knowledge. Experience. Integrity. 2The Periodic Table Collection The Callan Periodic Table of Investment Returns Annual Returns for Key Indices Ranked in Order of Performance (1997–2016) S&P 500 33.36% S&P 500 28.58% S&P 500 21.04% S&P 500 -9.11% S&P 500 -11.89% S&P 500 -22.10% S&P 500 28.68% S&P 500 10.88% S&P 500 4.91% S&P 500 15.79% S&P 500 5.49% S&P 500 -37.00% S&P 500 26.47% S&P 500 15.06% S&P 500 2.11% S&P 500 16.00% S&P 500 32.39% S&P 500 13.69% S&P 500 1.38% S&P 500 11.96% 2000 Russell 22.36% 2000 Russell -2.55% 2000 Russell 21.26% 2000 Russell -3.02% 2000 Russell 2.49% 2000 Russell -20.48% 2000 Russell 47.25% 2000 Russell 18.33% 2000 Russell 4.55% 2000 Russell 18.37% 2000 Russell -1.57% 2000 Russell -33.79% 2000 Russell 27.17% 2000 Russell 26.85% 2000 Russell -4.18% 2000 Russell 16.35% 2000 Russell 38.82% 2000 Russell 4.89% 2000 Russell -4.41% 2000 Russell 21.31% ex USA MSCI ACWI -19.73% ex USA MSCI ACWI -14.95% ex USA MSCI ACWI 40.83% ex USA MSCI ACWI 20.91% ex USA MSCI ACWI 16.62% ex USA MSCI ACWI 26.65% ex USA MSCI ACWI 16.65% ex USA MSCI ACWI -45.53% ex USA MSCI ACWI 41.45% ex USA MSCI ACWI 11.15% ex USA MSCI ACWI -13.71% ex USA MSCI ACWI 16.83% ex USA MSCI ACWI 15.29% ex USA MSCI ACWI -3.87% ex USA MSCI ACWI -5.66% ex USA MSCI ACWI 4.50% Agg Barclays Bloomberg 9.64% Agg Barclays Bloomberg 8.70% Agg Barclays Bloomberg -0.82% Agg Barclays Bloomberg 11.63% Agg Barclays Bloomberg 8.43% Agg Barclays Bloomberg 10.26% Agg Barclays Bloomberg 4.10% Agg Barclays Bloomberg 4.34% Agg Barclays Bloomberg 2.43% Agg Barclays Bloomberg 4.33% Agg Barclays Bloomberg 6.97% Agg Barclays Bloomberg 5.24% Agg Barclays Bloomberg 5.93% Agg Barclays Bloomberg 6.54% Agg Barclays Bloomberg 7.84% Agg Barclays Bloomberg 4.21% Agg Barclays Bloomberg -2.02% Agg Barclays Bloomberg 5.97% Agg Barclays Bloomberg 0.55% Agg Barclays Bloomberg 2.65% Markets Emerging MSCI -11.59% Markets Emerging MSCI -25.34% Markets Emerging MSCI 66.84% Markets Emerging MSCI -30.71% Markets Emerging MSCI -2.62% Markets Emerging MSCI -6.16% Markets Emerging MSCI 55.82% Markets Emerging MSCI 25.55% Markets Emerging MSCI 34.00% Markets Emerging MSCI 32.17% Markets Emerging MSCI 39.38% Markets Emerging MSCI -53.33% Markets Emerging MSCI 78.51% Markets Emerging MSCI 18.88% Markets Emerging MSCI -18.42% Markets Emerging MSCI 18.23% Markets Emerging MSCI -2.60% Markets Emerging MSCI -2.19% Markets Emerging MSCI -14.92% Markets Emerging MSCI 11.19% High Yield Barclays Bloomberg 12.76% High Yield Barclays Bloomberg 1.87% High Yield Barclays Bloomberg 2.39% High Yield Barclays Bloomberg -5.86% High Yield Barclays Bloomberg 5.28% High Yield Barclays Bloomberg -1.41% High Yield Barclays Bloomberg 28.97% High Yield Barclays Bloomberg 11.13% High Yield Barclays Bloomberg 2.74% High Yield Barclays Bloomberg 11.85% High Yield Barclays Bloomberg 1.87% High Yield Barclays Bloomberg -26.16% High Yield Barclays Bloomberg 58.21% High Yield Barclays Bloomberg 15.12% High Yield Barclays Bloomberg 4.98% High Yield Barclays Bloomberg 15.81% High Yield Barclays Bloomberg 7.44% High Yield Barclays Bloomberg 2.45% High Yield Barclays Bloomberg -4.47% High Yield Barclays Bloomberg 17.13% Val Wt NFI-ODCE 13.94% Val Wt NFI-ODCE 15.29% Val Wt NFI-ODCE 12.05% Val Wt NFI-ODCE 13.19% Val Wt NFI-ODCE 4.64% Val Wt NFI-ODCE 4.57% Val Wt NFI-ODCE 8.28% Val Wt NFI-ODCE 12.00% Val Wt NFI-ODCE 20.15% Val Wt NFI-ODCE 15.27% Val Wt NFI-ODCE 14.84% Val Wt NFI-ODCE -10.70% Val Wt NFI-ODCE -30.40% Val Wt NFI-ODCE 15.26% Val Wt NFI-ODCE 14.96% Val Wt NFI-ODCE 9.79% Val Wt NFI-ODCE 12.90% Val Wt NFI-ODCE 11.46% Val Wt NFI-ODCE 13.95% Val Wt NFI-ODCE 7.79% Fund CS Hedge 25.94% Fund CS Hedge -0.36% Fund CS Hedge 23.43% Fund CS Hedge 4.85% Fund CS Hedge 4.42% Fund CS Hedge 3.04% Fund CS Hedge 15.44% Fund CS Hedge 9.64% Fund CS Hedge 7.61% Fund CS Hedge 13.86% Fund CS Hedge 12.56% Fund CS Hedge -19.07% Fund CS Hedge 18.57% Fund CS Hedge 10.95% Fund CS Hedge -2.52% Fund CS Hedge 7.67% Fund CS Hedge 9.73% Fund CS Hedge 4.13% Fund CS Hedge -0.71% Fund CS Hedge 1.25% Agg ex US Barclays Gl Bloomberg -4.01% Agg ex US Barclays Gl Bloomberg 18.44% Agg ex US Barclays Gl Bloomberg -8.83% Agg ex US Barclays Gl Bloomberg -3.91% Agg ex US Barclays Gl Bloomberg -3.75% Agg ex US Barclays Gl Bloomberg 22.37% Agg ex US Barclays Gl Bloomberg 19.36% Agg ex US Barclays Gl Bloomberg 12.54% Agg ex US Barclays Gl Bloomberg -8.65% Agg ex US Barclays Gl Bloomberg 8.16% Agg ex US Barclays Gl Bloomberg 11.03% Agg ex US Barclays Gl Bloomberg 4.39% Agg ex US Barclays Gl Bloomberg 7.53% Agg ex US Barclays Gl Bloomberg 4.95% Agg ex US Barclays Gl Bloomberg 4.36% Agg ex US Barclays Gl Bloomberg 4.09% Agg ex US Barclays Gl Bloomberg -3.08% Agg ex US Barclays Gl Bloomberg -3.09% Agg ex US Barclays Gl Bloomberg -6.02% Agg ex US Barclays Gl Bloomberg 1.49% 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 The Callan Periodic Table of Investment Returns conveys the strong case for diversification across asset classes (stocks vs. bonds), investment styles (growth vs. value), capitalizations (large vs. small), and equity markets (U.S. vs. international). The Table highlights the uncertainty inherent in all capital markets. Rankings change every year. Also noteworthy is the difference between absolute and relative performance, as returns for the top-performing asset class span a wide range over the past 20 years.
  4. 4. 3Periodic Tables of Investment Returns Callan Periodic Table of Investment Returns (Relative to Zero) Annual Returns for Key Indices Ranked in Order of Performance (2007–2016) 0.00% Small Cap Equity 26.85% Emerging Markets 18.23% Small Cap Equity 21.31% Emerging Markets 39.38% Emerging Markets 78.51% Emerging Markets 18.88% Non-U.S Equity 16.83% High Yield 17.13% Non-U.S. Equity 16.65% High Yield 58.21% Real Estate 15.26% Small Cap Equity 16.35% Large Cap Equity 13.69% Large Cap Equity 11.96% Real Estate 14.84% Non-U.S Equity 41.45% High Yield 15.12% Large Cap Equity 16.00% Small Cap Equity 38.82% Real Estate 11.46% Emerging Markets 11.19% Hedge Funds 12.56% Small Cap Equity 27.17% Large Cap Equity 15.06% Real Estate 14.96% High Yield 15.81% Large Cap Equity 32.39% Aggregate 5.97% Real Estate 7.79% U.S. TIPS 11.63% Large Cap Equity 26.47% Non-U.S Equity 11.15% U.S. TIPS 13.56% Real Estate 9.79% Non-U.S Equity 15.29% Small Cap Equity 4.89% U.S. TIPS 4.68% Aggregate 6.97% Hedge Funds 18.57% Hedge Funds 10.95% Aggregate 7.84% Hedge Funds 7.67% Real Estate 12.90% Hedge Funds 4.13% Real Estate 13.95% Non-U.S Equity 4.50% Large Cap Equity 5.49% U.S. TIPS 11.41% Aggregate 6.54% High Yield 4.98% U.S. TIPS 6.98% Hedge Funds 9.73% U.S. TIPS 3.64% Large Cap Equity 1.38% Aggregate 2.65% 3 Month T-Bills 5.00% Aggregate 5.24% Aggregate 5.93% U.S. TIPS 6.31% Large Cap Equity 2.11% Aggregate 4.21% High Yield 7.44% High Yield 2.45% Aggregate 0.55% Hedge Funds 1.25% High Yield 1.87% 3 Month T-Bills 2.06% 3 Month T-Bills 0.21% 3 Month T-Bills 0.13% 3 Month T-Bills 0.10% 3 Month T-Bills 0.11% 3 Month T-Bills 0.07% 3 Month T-Bills 0.03% 3 Month T-Bills 0.05% 3 Month T-Bills 0.33% 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Small Cap Equity -1.57% U.S. TIPS -2.35% Real Estate -30.40% Hedge Funds -2.52% Aggregate -2.02% Emerging Markets -2.19% Hedge Funds -0.71% Real Estate -10.70% Small Cap Equity -4.18% Emerging Markets -2.60% Non-U.S Equity -3.87% U.S. TIPS -1.44% Hedge Funds -19.07% Non-U.S Equity -13.71% U.S. TIPS -8.61% Small Cap Equity -4.41% High Yield -26.16% Emerging Markets -18.42% High Yield -4.47% Small Cap Equity -33.79% Non-U.S Equity -5.66% Large Cap Equity -37.00% Emerging Markets -14.92% Non-U.S Equity -45.53% Emerging Markets -53.33% Indices: ●Bloomberg Barclays Aggregate ●Bloomberg Barclays High Yield ●Bloomberg Barclays U.S. TIPS ●Credit Suisse Hedge Fund Index ●Merrill Lynch 3 Month T-Bills ●MSCI ACWI ex USA ●MSCI Emerging Markets ●NFI-ODCE Value Weight ●S&P 500 ●Russell 2000
  5. 5. 4Periodic Tables of Investment Returns Small Cap Equity 26.85% Emerging Markets 18.23% Emerging Markets 39.38% Emerging Markets 78.51% Emerging Markets 18.88% Non-U.S. Equity 16.83% Small Cap Equity 21.31% Non-U.S. Equity 16.65% Real Estate 14.84% High Yield 58.21% Real Estate 15.26% Small Cap Equity 16.35% Large Cap Equity 13.69% High Yield 17.13% Real Estate 14.84% Hedge Funds 12.56% Non-U.S. Equity 41.45% High Yield 15.12% Large Cap Equity 16.00% Small Cap Equity 38.82% Real Estate 11.46% Large Cap Equity 11.96% Hedge Funds 12.56% U.S. TIPS 11.63% Small Cap Equity 27.17% Large Cap Equity 15.06% High Yield 15.81% Large Cap Equity 32.39% Aggregate 5.97% Emerging Markets 11.19% U.S. TIPS 11.63% Large Cap Equity 26.47% Non-U.S. Equity 11.15% Real Estate 14.96% Real Estate 9.79% Non-U.S. Equity 15.29% Small Cap Equity 4.89% Real Estate 7.79% Aggregate 6.97% Hedge Funds 18.57% Hedge Funds 10.95% U.S. TIPS 13.56% Hedge Funds 7.67% Real Estate 12.90% Hedge Funds 4.13% U.S. TIPS 4.68% Large Cap Equity 5.49% Aggregate 5.24% U.S. TIPS 11.41% Aggregate 6.54% Aggregate 7.84% U.S. TIPS 6.98% Hedge Funds 9.73% U.S. TIPS 3.64% Real Estate 13.95% Non-U.S. Equity 4.50% 3 Month T-Bills 5.00% 3 Month T-Bills 2.06% Aggregate 5.93% U.S. TIPS 6.31% High Yield 4.98% Aggregate 4.21% High Yield 7.44% High Yield 2.45% Large Cap Equity 1.38% Aggregate 2.65% 2007: 4.08% 2008: 0.09% 2009: 2.72% 2010: 1.50% 2011: 2.96% 2012: 1.74% 2013: 1.50% 2014: 0.76% 2015: 0.73% 2016: 2.07% High Yield 1.87% U.S. TIPS -2.35% 3 Month T-Bills 0.21% 3 Month T-Bills 0.13% Large Cap Equity 2.11% 3 Month T-Bills 0.11% 3 Month T-Bills 0.07% 3 Month T-Bills 0.03% Aggregate 0.55% Hedge Funds 1.25% Small Cap Equity -1.57% Real Estate -10.70% Real Estate -30.40% 3 Month T-Bills 0.10% Aggregate -2.02% Emerging Markets -2.19% 3 Month T-Bills 0.05% 3 Month T-Bills 0.33% Hedge Funds -19.07% Hedge Funds -2.52% Emerging Markets -2.60% Non-U.S. Equity -3.87% Hedge Funds -0.71% High Yield -26.16% Small Cap Equity -4.18% U.S. TIPS -8.61% U.S. TIPS -1.44% Small Cap Equity -33.79% Non-U.S. Equity -13.71% Small Cap Equity -4.41% Large Cap Equity -37.00% Emerging Markets -18.42% High Yield -4.47% Non-U.S. Equity -45.53% Non-U.S. Equity -5.66% Emerging Markets -53.33% Emerging Markets -14.92% Callan Periodic Table of Investment Returns (Relative to Inflation) Annual Returns for Key Indices Ranked in Order of Performance (2007–2016) CPI-U Inflation is represented by the Consumer Price Index. Indices: ●Bloomberg Barclays Aggregate ●Bloomberg Barclays High Yield ●Bloomberg Barclays U.S. TIPS ●Credit Suisse Hedge Fund Index ●Merrill Lynch 3 Month T-Bills ●MSCI ACWI ex USA ●MSCI Emerging Markets ●NFI-ODCE Value Weight ●S&P 500 ●Russell 2000
  6. 6. 5Periodic Tables of Investment Returns MLPs 18.31% Timberland 18.43% MLPs 35.85% Developed REIT 28.65% Global Infrastructure 16.34% Global Infrastructure 12.52% Global Infrastructure 16.26% Developed REIT 20.40% Farmland 18.58% MLPs 27.58% Developed REIT 15.89% Commodities 11.40% Farmland 15.90% MLPs 76.41% Commodities 16.67% Farmland 15.16% Global Infrastructure 16.01% Farmland 20.93% Farmland 12.64% Property 7.97% Property 15.85% Developed REIT 38.26% Real Estate 15.26% Real Estate 14.96% Property 10.54% Global Infrastructure 15.89% Property 11.82% Real Estate 7.79% Real Estate 14.84% Global Infrastructure 34.24% Property 13.11% Property 14.26% Real Estate 9.79% Real Estate 12.90% Real Estate 11.46% Real Estate 13.95% Farmland 7.09% MLPs 12.72% Commodities 18.72% Global Infrastructure 12.46% MLPs 13.88% Timberland 7.76% Property 10.98% Timberland 10.48% Property 13.33% Developed REIT 4.99% U.S. TIPS 11.63% Farmland 15.84% U.S. TIPS 11.41% Farmland 8.79% Global Infrastructure 13.75% U.S. TIPS 6.98% Timberland 9.68% MLPs 4.80% Farmland 10.35% U.S. TIPS 4.68% Commodities 11.08% Timberland 9.52% Farmland 6.33% U.S. TIPS 6.31% U.S. TIPS 13.56% MLPs 4.80% Developed REIT 4.43% U.S. TIPS 3.64% Timberland 4.97% Timberland 2.59% 2007: 4.08% 2008: 0.09% 2009: 2.72% 2010: 1.50% 2011: 2.96% 2012: 1.74% 2013: 1.50% 2014: 0.76% 2015: 0.73% 2016: 2.07% Developed REIT -6.96% U.S. TIPS -2.35% Timberland -4.76% Timberland -0.16% Timberland 1.58% Commodities -1.14% U.S. TIPS -8.61% Commodities -17.04% Developed REIT 0.05% Property -6.46% Property -16.86% Developed REIT -5.82% Commodities -9.58% U.S. TIPS -1.44% Real Estate -10.70% Real Estate -30.40% Commodities -13.37% Global Infrastructure -14.40% Global Infrastructure -36.36% Commodities -24.70% Commodities -36.61% MLPs -32.59% MLPs -36.92% Developed REIT -47.72% Callan Periodic Table of Real Asset Returns (Relative to Inflation) Annual Returns for Real Asset Indices Ranked in Order of Performance (2007–2016) CPI-U Inflation is represented by the Consumer Price Index. Indices: ●Alerian MLP ●Bloomberg Barclays U.S. TIPS ●Bloomberg Commodity ●DJB Global Infrastructure ●EPRA/NAREIT Developed REIT ●NCREIF Farmland ●NCREIF Property ●NCREIF Timberland ●NFI-ODCE Value Weight
  7. 7. Knowledge. Experience. Integrity. 6The Periodic Table Collection Callan Periodic Table of Fund Sponsor Database Returns Annual Returns for Fund Sponsor Database Ranked in Order of Performance (1997–2016) Funds DB Corporate Callan 19.5% Funds DB Corporate Callan 14.3% Funds DB Corporate Callan 14.1% Funds DB Corporate Callan 1.4% Funds DB Corporate Callan -3.6% Funds DB Corporate Callan -9.4% Funds DB Corporate Callan 22.3% Funds DB Corporate Callan 11.2% Funds DB Corporate Callan 7.1% Funds DB Corporate Callan 13.1% Funds DB Corporate Callan 8.0% Funds DB Corporate Callan -24.7% Funds DB Corporate Callan 20.6% Funds DB Corporate Callan 13.1% Funds DB Corporate Callan 2.0% Funds DB Corporate Callan 13.0% Funds DB Corporate Callan 12.8% Funds DB Corporate Callan 7.0% Funds DB Corporate Callan -1.1% Funds DB Corporate Callan 7.9% DB Foundation Endowment/ Callan 19.7% DB Foundation Endowment/ Callan 13.0% DB Foundation Endowment/ Callan 13.9% DB Foundation Endowment/ Callan 1.8% DB Foundation Endowment/ Callan -3.3% DB Foundation Endowment/ Callan -9.7% DB Foundation Endowment/ Callan 22.3% DB Foundation Endowment/ Callan 11.2% DB Foundation Endowment/ Callan 7.5% DB Foundation Endowment/ Callan 13.5% DB Foundation Endowment/ Callan 8.7% DB Foundation Endowment/ Callan -26.5% DB Foundation Endowment/ Callan 21.2% DB Foundation Endowment/ Callan 12.6% DB Foundation Endowment/ Callan -0.4% DB Foundation Endowment/ Callan 12.3% DB Foundation Endowment/ Callan 14.7% DB Foundation Endowment/ Callan 4.8% DB Foundation Endowment/ Callan -1.4% DB Foundation Endowment/ Callan 7.1% Sponsor DB Large Fund Callan 18.9% Sponsor DB Large Fund Callan 14.9% Sponsor DB Large Fund Callan 15.4% Sponsor DB Large Fund Callan 0.1% Sponsor DB Large Fund Callan -4.1% Sponsor DB Large Fund Callan -9.1% Sponsor DB Large Fund Callan 22.6% Sponsor DB Large Fund Callan 11.7% Sponsor DB Large Fund Callan 8.0% Sponsor DB Large Fund Callan 14.0% Sponsor DB Large Fund Callan 8.9% Sponsor DB Large Fund Callan -26.0% Sponsor DB Large Fund Callan 19.4% Sponsor DB Large Fund Callan 13.4% Sponsor DB Large Fund Callan 1.5% Sponsor DB Large Fund Callan 13.1% Sponsor DB Large Fund Callan 14.3% Sponsor DB Large Fund Callan 7.1% Sponsor DB Large Fund Callan -0.1% Sponsor DB Large Fund Callan 7.9% Sponsor DB Fund Callan Mid 19.2% Sponsor DB Fund Callan Mid 13.7% Sponsor DB Fund Callan Mid 13.4% Sponsor DB Fund Callan Mid 1.7% Sponsor DB Fund Callan Mid -2.8% Sponsor DB Fund Callan Mid -8.8% Sponsor DB Fund Callan Mid 21.9% Sponsor DB Fund Callan Mid 11.0% Sponsor DB Fund Callan Mid 7.3% Sponsor DB Fund Callan Mid 13.2% Sponsor DB Fund Callan Mid 8.0% Sponsor DB Fund Callan Mid -25.1% Sponsor DB Fund Callan Mid 20.2% Sponsor DB Fund Callan Mid 12.9% Sponsor DB Fund Callan Mid 1.1% Sponsor DB Fund Callan Mid 12.6% Sponsor DB Fund Callan Mid 14.7% Sponsor DB Fund Callan Mid 6.1% Sponsor DB Fund Callan Mid -0.6% Sponsor DB Fund Callan Mid 7.7% Sponsor DB Small Fund Callan 19.3% Sponsor DB Small Fund Callan 13.7% Sponsor DB Small Fund Callan 11.6% Sponsor DB Small Fund Callan 2.7% Sponsor DB Small Fund Callan -2.2% Sponsor DB Small Fund Callan -8.9% Sponsor DB Small Fund Callan 20.4% Sponsor DB Small Fund Callan 10.4% Sponsor DB Small Fund Callan 6.6% Sponsor DB Small Fund Callan 12.5% Sponsor DB Small Fund Callan 7.8% Sponsor DB Small Fund Callan -24.8% Sponsor DB Small Fund Callan 20.8% Sponsor DB Small Fund Callan 12.6% Sponsor DB Small Fund Callan 0.2% Sponsor DB Small Fund Callan 12.2% Sponsor DB Small Fund Callan 15.6% Sponsor DB Small Fund Callan 5.4% Sponsor DB Small Fund Callan -1.0% Sponsor DB Small Fund Callan 7.3% Funds DB Public Callan 18.4% Funds DB Public Callan 14.6% Funds DB Public Callan 13.8% Funds DB Public Callan 1.4% Funds DB Public Callan -3.1% Funds DB Public Callan -8.1% Funds DB Public Callan 21.4% Funds DB Public Callan 11.2% Funds DB Public Callan 7.4% Funds DB Public Callan 13.5% Funds DB Public Callan 8.0% Funds DB Public Callan -25.4% Funds DB Public Callan 20.2% Funds DB Public Callan 13.0% Funds DB Public Callan 0.9% Funds DB Public Callan 12.7% Funds DB Public Callan 15.7% Funds DB Public Callan 6.0% Funds DB Public Callan 0.1% Funds DB Public Callan 7.5% Hartley DB Callan Taft- 19.2% Hartley DB Callan Taft- 13.9% Hartley DB Callan Taft- 8.9% Hartley DB Callan Taft- 2.8% Hartley DB Callan Taft- -1.7% Hartley DB Callan Taft- -7.9% Hartley DB Callan Taft- 18.8% Hartley DB Callan Taft- 9.8% Hartley DB Callan Taft- 6.8% Hartley DB Callan Taft- 11.8% Hartley DB Callan Taft- 7.6% Hartley DB Callan Taft- -23.4% Hartley DB Callan Taft- 15.3% Hartley DB Callan Taft- 12.8% Hartley DB Callan Taft- 1.5% Hartley DB Callan Taft- 12.0% Hartley DB Callan Taft- 17.3% Hartley DB Callan Taft- 6.9% Hartley DB Callan Taft- 1.3% Hartley DB Callan Taft- 7.8% Sponsor DB Fund Callan Total 19.1% Sponsor DB Fund Callan Total 14.1% Sponsor DB Fund Callan Total 13.2% Sponsor DB Fund Callan Total 1.8% Sponsor DB Fund Callan Total -3.0% Sponsor DB Fund Callan Total -8.9% Sponsor DB Fund Callan Total 21.6% Sponsor DB Fund Callan Total 11.0% Sponsor DB Fund Callan Total 7.2% Sponsor DB Fund Callan Total 13.1% Sponsor DB Fund Callan Total 8.1% Sponsor DB Fund Callan Total -25.1% Sponsor DB Fund Callan Total 20.2% Sponsor DB Fund Callan Total 12.9% Sponsor DB Fund Callan Total 0.8% Sponsor DB Fund Callan Total 12.6% Sponsor DB Fund Callan Total 14.9% Sponsor DB Fund Callan Total 6.0% Sponsor DB Fund Callan Total -0.7% Sponsor DB Fund Callan Total 7.5% 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
  8. 8. Knowledge. Experience. Integrity. 7The Periodic Table Collection Callan Periodic Table of U.S. Equity Investment Returns Annual Returns for U.S. Equity Indices Ranked in Order of Performance (1997–2016) S&P 1500 32.87% S&P 1500 26.33% S&P 1500 20.27% S&P 1500 -6.98% S&P 1500 -10.64% S&P 1500 -21.31% S&P 1500 29.59% S&P 1500 11.78% S&P 1500 5.66% S&P 1500 15.34% S&P 1500 5.47% S&P 1500 -36.72% S&P 1500 27.25% S&P 1500 16.38% S&P 1500 1.75% S&P 1500 16.17% S&P 1500 32.59% S&P 1500 13.08% S&P 1500 1.01% S&P 1500 13.03% S&P 500 33.36% S&P 500 28.58% S&P 500 21.04% S&P 500 -9.11% S&P 500 -11.89% S&P 500 -22.10% S&P 500 28.68% S&P 500 10.88% S&P 500 4.91% S&P 500 15.79% S&P 500 5.49% S&P 500 -37.00% S&P 500 26.47% S&P 500 15.06% S&P 500 2.11% S&P 500 16.00% S&P 500 32.39% S&P 500 13.69% S&P 500 1.38% S&P 500 11.96% 3000 Russell 31.78% 3000 Russell 24.14% 3000 Russell 20.90% 3000 Russell -7.46% 3000 Russell -11.46% 3000 Russell -21.54% 3000 Russell 31.06% 3000 Russell 11.95% 3000 Russell 6.12% 3000 Russell 15.72% 3000 Russell 5.14% 3000 Russell -37.31% 3000 Russell 28.34% 3000 Russell 16.93% 3000 Russell 1.03% 3000 Russell 16.42% 3000 Russell 33.55% 3000 Russell 12.56% 3000 Russell 0.48% 3000 Russell 12.74% 1000 Russell 32.85% 1000 Russell 27.02% 1000 Russell 20.91% 1000 Russell -7.79% 1000 Russell -12.45% 1000 Russell -21.65% 1000 Russell 29.89% 1000 Russell 11.40% 1000 Russell 6.27% 1000 Russell 15.46% 1000 Russell 5.77% 1000 Russell -37.60% 1000 Russell 28.43% 1000 Russell 16.10% 1000 Russell 1.50% 1000 Russell 16.42% 1000 Russell 33.11% 1000 Russell 13.24% 1000 Russell 0.92% 1000 Russell 12.05% S&P 400 32.25% S&P 400 19.11% S&P 400 14.73% S&P 400 17.50% S&P 400 -0.60% S&P 400 -14.51% S&P 400 35.62% S&P 400 16.48% S&P 400 12.56% S&P 400 10.31% S&P 400 7.98% S&P 400 -36.23% S&P 400 37.38% S&P 400 26.64% S&P 400 -1.73% S&P 400 17.88% S&P 400 33.50% S&P 400 9.77% S&P 400 -2.18% S&P 400 20.74% Midcap Russell 29.01% Midcap Russell 10.09% Midcap Russell 18.23% Midcap Russell 8.25% Midcap Russell -5.62% Midcap Russell -16.19% Midcap Russell 40.06% Midcap Russell 20.22% Midcap Russell 12.65% Midcap Russell 15.26% Midcap Russell 5.60% Midcap Russell -41.46% Midcap Russell 40.48% Midcap Russell 25.48% Midcap Russell -1.55% Midcap Russell 17.28% Midcap Russell 34.76% Midcap Russell 13.22% Midcap Russell -2.44% Midcap Russell 13.80% 2500 Russell 24.36% 2500 Russell 0.38% 2500 Russell 24.14% 2500 Russell 4.27% 2500 Russell 1.22% 2500 Russell -17.80% 2500 Russell 45.51% 2500 Russell 18.29% 2500 Russell 8.11% 2500 Russell 16.17% 2500 Russell 1.38% 2500 Russell -36.79% 2500 Russell 34.39% 2500 Russell 26.71% 2500 Russell -2.51% 2500 Russell 17.88% 2500 Russell 36.80% 2500 Russell 7.07% 2500 Russell -2.90% 2500 Russell 17.59% S&P 600 25.58% S&P 600 -1.30% S&P 600 12.40% S&P 600 11.80% S&P 600 6.54% S&P 600 -14.63% S&P 600 38.79% S&P 600 22.65% S&P 600 7.68% S&P 600 15.11% S&P 600 -0.30% S&P 600 -31.07% S&P 600 25.57% S&P 600 26.31% S&P 600 1.02% S&P 600 16.33% S&P 600 41.31% S&P 600 5.76% S&P 600 -1.97% S&P 600 26.56% 2000 Russell 22.36% 2000 Russell -2.55% 2000 Russell 21.26% 2000 Russell -3.02% 2000 Russell 2.49% 2000 Russell -20.48% 2000 Russell 47.25% 2000 Russell 18.33% 2000 Russell 4.55% 2000 Russell 18.37% 2000 Russell -1.57% 2000 Russell -33.79% 2000 Russell 27.17% 2000 Russell 26.85% 2000 Russell -4.18% 2000 Russell 16.35% 2000 Russell 38.82% 2000 Russell 4.89% 2000 Russell -4.41% 2000 Russell 21.31% S&P 1000 30.26% S&P 1000 13.20% S&P 1000 14.11% S&P 1000 15.86% S&P 1000 1.45% S&P 1000 -14.54% S&P 1000 36.61% S&P 1000 18.39% S&P 1000 10.93% S&P 1000 11.89% S&P 1000 5.18% S&P 1000 -34.67% S&P 1000 33.48% S&P 1000 26.55% S&P 1000 -0.92% S&P 1000 17.40% S&P 1000 35.87% S&P 1000 8.54% S&P 1000 -2.11% S&P 1000 22.49% 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
  9. 9. Knowledge. Experience. Integrity. 8The Periodic Table Collection Callan Periodic Table of Global Equity Investment Returns Annual Returns for Global Equity Indices Ranked in Order of Performance (1997–2016) All Indices are MSCI. USA ACWI ex -19.73% USA ACWI ex -14.95% USA ACWI ex 40.83% USA ACWI ex 20.91% USA ACWI ex 16.62% USA ACWI ex 26.65% USA ACWI ex 16.65% USA ACWI ex -45.53% USA ACWI ex 41.45% USA ACWI ex 11.15% USA ACWI ex -13.71% USA ACWI ex 16.83% USA ACWI ex 15.29% USA ACWI ex -3.87% USA ACWI ex -5.66% USA ACWI ex 4.50% ACWI -16.21% ACWI -19.32% ACWI 33.99% ACWI 15.23% ACWI 10.84% ACWI 20.95% ACWI 11.66% ACWI -42.20% ACWI 34.63% ACWI 12.67% ACWI -7.35% ACWI 16.13% ACWI 22.80% ACWI 4.16% ACWI -2.36% ACWI 7.86% Markets Emerging -11.59% Markets Emerging -25.34% Markets Emerging 66.84% Markets Emerging -30.71% Markets Emerging -2.62% Markets Emerging -6.16% Markets Emerging 55.82% Markets Emerging 25.55% Markets Emerging 34.00% Markets Emerging 32.17% Markets Emerging 39.38% Markets Emerging -53.33% Markets Emerging 78.51% Markets Emerging 18.88% Markets Emerging -18.42% Markets Emerging 18.23% Markets Emerging -2.60% Markets Emerging -2.19% Markets Emerging -14.92% Markets Emerging 11.19% MSCI World 15.76% MSCI World 24.33% MSCI World 24.94% MSCI World -13.17% MSCI World -16.82% MSCI World -19.89% MSCI World 33.11% MSCI World 14.72% MSCI World 9.49% MSCI World 20.07% MSCI World 9.04% MSCI World -40.71% MSCI World 29.99% MSCI World 11.76% MSCI World -5.54% MSCI World 15.83% MSCI World 26.68% MSCI World 4.94% MSCI World -0.87% MSCI World 7.51% ex USA SC MSCI ACWI -18.84% ex USA SC MSCI ACWI 5.13% ex USA SC MSCI ACWI 32.26% ex USA SC MSCI ACWI -18.24% ex USA SC MSCI ACWI -14.40% ex USA SC MSCI ACWI -5.69% ex USA SC MSCI ACWI 57.72% ex USA SC MSCI ACWI 29.10% ex USA SC MSCI ACWI 22.97% ex USA SC MSCI ACWI 26.70% ex USA SC MSCI ACWI 10.74% ex USA SC MSCI ACWI -50.23% ex USA SC MSCI ACWI 62.91% ex USA SC MSCI ACWI 25.20% ex USA SC MSCI ACWI -18.50% ex USA SC MSCI ACWI 18.52% ex USA SC MSCI ACWI 19.73% ex USA SC MSCI ACWI -4.03% ex USA SC MSCI ACWI 2.60% ex USA SC MSCI ACWI 3.91% Europe 23.80% Europe 28.51% Europe 15.90% Europe -8.40% Europe -19.90% Europe -18.38% Europe 38.54% Europe 20.88% Europe 9.42% Europe 33.72% Europe 13.86% Europe -46.42% Europe 35.83% Europe 3.88% Europe -11.06% Europe 19.12% Europe 25.23% Europe -6.18% Europe -2.84% Europe -0.40% Japan -23.67% Japan 5.04% Japan 61.53% Japan -28.16% Japan -29.40% Japan -10.28% Japan 35.91% Japan 15.86% Japan 25.52% Japan 6.24% Japan -4.23% Japan -29.21% Japan 6.25% Japan 15.44% Japan -14.33% Japan 8.18% Japan 27.16% Japan -4.02% Japan 9.57% Japan 2.38% Pacific -25.49% Pacific 2.45% Pacific 57.64% Pacific -25.77% Pacific -25.40% Pacific -9.29% Pacific 38.48% Pacific 18.98% Pacific 22.64% Pacific 12.20% Pacific 5.30% Pacific -36.42% Pacific 24.18% Pacific 15.92% Pacific -13.74% Pacific 14.42% Pacific 18.27% Pacific -2.70% Pacific 2.96% Pacific 4.18% Japan Pacific ex -31.00% Japan Pacific ex -6.64% Japan Pacific ex 42.58% Japan Pacific ex -15.57% Japan Pacific ex -9.88% Japan Pacific ex -6.42% Japan Pacific ex 45.77% Japan Pacific ex 28.46% Japan Pacific ex 13.81% Japan Pacific ex 32.02% Japan Pacific ex 30.73% Japan Pacific ex -50.50% Japan Pacific ex 72.81% Japan Pacific ex 16.91% Japan Pacific ex -12.79% Japan Pacific ex 24.57% Japan Pacific ex 5.49% Japan Pacific ex -0.47% Japan Pacific ex -8.47% Japan Pacific ex 7.85% ex USA MSCI World 2.26% ex USA MSCI World 18.76% ex USA MSCI World 27.92% ex USA MSCI World -13.37% ex USA MSCI World -21.40% ex USA MSCI World -15.80% ex USA MSCI World 39.42% ex USA MSCI World 20.38% ex USA MSCI World 14.47% ex USA MSCI World 25.71% ex USA MSCI World 12.44% ex USA MSCI World -43.56% ex USA MSCI World 33.67% ex USA MSCI World 8.95% ex USA MSCI World -12.21% ex USA MSCI World 16.41% ex USA MSCI World 21.02% ex USA MSCI World -4.32% ex USA MSCI World -3.04% ex USA MSCI World 2.75% 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
  10. 10. Knowledge. Experience. Integrity. 9The Periodic Table Collection Callan Periodic Table of Investment Returns (Including Alternatives) Annual Returns for Key Indices Ranked in Order of Performance (1997–2016) S&P 500 33.36% S&P 500 28.58% S&P 500 21.04% S&P 500 -9.11% S&P 500 -11.89% S&P 500 -22.10% S&P 500 28.68% S&P 500 10.88% S&P 500 4.91% S&P 500 15.79% S&P 500 5.49% S&P 500 -37.00% S&P 500 26.47% S&P 500 15.06% S&P 500 2.11% S&P 500 16.00% S&P 500 32.39% S&P 500 13.69% S&P 500 1.38% S&P 500 11.96% 2000 Russell 22.36% 2000 Russell -2.55% 2000 Russell 21.26% 2000 Russell -3.02% 2000 Russell 2.49% 2000 Russell -20.48% 2000 Russell 47.25% 2000 Russell 18.33% 2000 Russell 4.55% 2000 Russell 18.37% 2000 Russell -1.57% 2000 Russell -33.79% 2000 Russell 27.17% 2000 Russell 26.85% 2000 Russell -4.18% 2000 Russell 16.35% 2000 Russell 38.82% 2000 Russell 4.89% 2000 Russell -4.41% 2000 Russell 21.31% ex USA MSCI ACWI -19.73% ex USA MSCI ACWI -14.95% ex USA MSCI ACWI 40.83% ex USA MSCI ACWI 20.91% ex USA MSCI ACWI 16.62% ex USA MSCI ACWI 26.65% ex USA MSCI ACWI 16.65% ex USA MSCI ACWI -45.53% ex USA MSCI ACWI 41.45% ex USA MSCI ACWI 11.15% ex USA MSCI ACWI -13.71% ex USA MSCI ACWI 16.83% ex USA MSCI ACWI 15.29% ex USA MSCI ACWI -3.87% ex USA MSCI ACWI -5.66% ex USA MSCI ACWI 4.50% Agg Barclays Bloomberg 9.64% Agg Barclays Bloomberg 8.70% Agg Barclays Bloomberg -0.82% Agg Barclays Bloomberg 11.63% Agg Barclays Bloomberg 8.43% Agg Barclays Bloomberg 10.26% Agg Barclays Bloomberg 4.10% Agg Barclays Bloomberg 4.34% Agg Barclays Bloomberg 2.43% Agg Barclays Bloomberg 4.33% Agg Barclays Bloomberg 6.97% Agg Barclays Bloomberg 5.24% Agg Barclays Bloomberg 5.93% Agg Barclays Bloomberg 6.54% Agg Barclays Bloomberg 7.84% Agg Barclays Bloomberg 4.21% Agg Barclays Bloomberg -2.02% Agg Barclays Bloomberg 5.97% Agg Barclays Bloomberg 0.55% Agg Barclays Bloomberg 2.65% Markets Emerging MSCI -11.59% Markets Emerging MSCI -25.34% Markets Emerging MSCI 66.84% Markets Emerging MSCI -30.71% Markets Emerging MSCI -2.62% Markets Emerging MSCI -6.16% Markets Emerging MSCI 55.82% Markets Emerging MSCI 25.55% Markets Emerging MSCI 34.00% Markets Emerging MSCI 32.17% Markets Emerging MSCI 39.38% Markets Emerging MSCI -53.33% Markets Emerging MSCI 78.51% Markets Emerging MSCI 18.88% Markets Emerging MSCI -18.42% Markets Emerging MSCI 18.23% Markets Emerging MSCI -2.60% Markets Emerging MSCI -2.19% Markets Emerging MSCI -14.92% Markets Emerging MSCI 11.19% HY Barclays Bloomberg 12.76% HY Barclays Bloomberg 1.87% HY Barclays Bloomberg 2.39% HY Barclays Bloomberg -5.86% HY Barclays Bloomberg 5.28% HY Barclays Bloomberg -1.41% HY Barclays Bloomberg 28.97% HY Barclays Bloomberg 11.13% HY Barclays Bloomberg 2.74% HY Barclays Bloomberg 11.85% HY Barclays Bloomberg 1.87% HY Barclays Bloomberg -26.16% HY Barclays Bloomberg 58.21% HY Barclays Bloomberg 15.12% HY Barclays Bloomberg 4.98% HY Barclays Bloomberg 15.81% HY Barclays Bloomberg 7.44% HY Barclays Bloomberg 2.45% HY Barclays Bloomberg -4.47% HY Barclays Bloomberg 17.13% Property NCREIF 13.91% Property NCREIF 16.24% Property NCREIF 11.36% Property NCREIF 12.24% Property NCREIF 7.28% Property NCREIF 6.74% Property NCREIF 8.99% Property NCREIF 14.48% Property NCREIF 20.06% Property NCREIF 16.59% Property NCREIF 15.85% Property NCREIF -6.46% Property NCREIF -16.86% Property NCREIF 13.11% Property NCREIF 14.26% Property NCREIF 10.54% Property NCREIF 10.98% Property NCREIF 11.82% Property NCREIF 13.33% Property NCREIF 7.97% Bills 3 Month T- 5.32% Bills 3 Month T- 5.25% Bills 3 Month T- 4.85% Bills 3 Month T- 6.18% Bills 3 Month T- 4.42% Bills 3 Month T- 1.78% Bills 3 Month T- 1.15% Bills 3 Month T- 1.33% Bills 3 Month T- 3.07% Bills 3 Month T- 4.85% Bills 3 Month T- 5.00% Bills 3 Month T- 2.06% Bills 3 Month T- 0.21% Bills 3 Month T- 0.13% Bills 3 Month T- 0.10% Bills 3 Month T- 0.11% Bills 3 Month T- 0.07% Bills 3 Month T- 0.03% Bills 3 Month T- 0.05% Bills 3 Month T- 0.33% Fund CS Hedge 25.94% Fund CS Hedge -0.36% Fund CS Hedge 23.43% Fund CS Hedge 4.85% Fund CS Hedge 4.42% Fund CS Hedge 3.04% Fund CS Hedge 15.44% Fund CS Hedge 9.64% Fund CS Hedge 7.61% Fund CS Hedge 13.86% Fund CS Hedge 12.56% Fund CS Hedge -19.07% Fund CS Hedge 18.57% Fund CS Hedge 10.95% Fund CS Hedge -2.52% Fund CS Hedge 7.67% Fund CS Hedge 9.73% Fund CS Hedge 4.13% Fund CS Hedge -0.71% Fund CS Hedge 1.25% U.S. TIPS Barclays Bloomberg 3.95% U.S. TIPS Barclays Bloomberg 2.40% U.S. TIPS Barclays Bloomberg 13.17% U.S. TIPS Barclays Bloomberg 7.90% U.S. TIPS Barclays Bloomberg 16.57% U.S. TIPS Barclays Bloomberg 8.40% U.S. TIPS Barclays Bloomberg 8.46% U.S. TIPS Barclays Bloomberg 2.84% U.S. TIPS Barclays Bloomberg 0.41% U.S. TIPS Barclays Bloomberg 11.63% U.S. TIPS Barclays Bloomberg -2.35% U.S. TIPS Barclays Bloomberg 11.41% U.S. TIPS Barclays Bloomberg 6.31% U.S. TIPS Barclays Bloomberg 13.56% U.S. TIPS Barclays Bloomberg 6.98% U.S. TIPS Barclays Bloomberg -8.61% U.S. TIPS Barclays Bloomberg 3.64% U.S. TIPS Barclays Bloomberg -1.44% U.S. TIPS Barclays Bloomberg 4.68% Commodity Bloomberg -8.24% Commodity Bloomberg -30.52% Commodity Bloomberg 18.60% Commodity Bloomberg 24.21% Commodity Bloomberg -22.32% Commodity Bloomberg 23.86% Commodity Bloomberg 22.66% Commodity Bloomberg 7.64% Commodity Bloomberg 17.54% Commodity Bloomberg -2.71% Commodity Bloomberg 11.08% Commodity Bloomberg -36.61% Commodity Bloomberg 18.72% Commodity Bloomberg 16.67% Commodity Bloomberg -13.37% Commodity Bloomberg -1.14% Commodity Bloomberg -9.58% Commodity Bloomberg -17.04% Commodity Bloomberg -24.70% Commodity Bloomberg 11.40% Val Wt NFI-ODCE 13.94% Val Wt NFI-ODCE 15.29% Val Wt NFI-ODCE 12.05% Val Wt NFI-ODCE 13.19% Val Wt NFI-ODCE 4.64% Val Wt NFI-ODCE 4.57% Val Wt NFI-ODCE 8.28% Val Wt NFI-ODCE 12.00% Val Wt NFI-ODCE 20.15% Val Wt NFI-ODCE 15.27% Val Wt NFI-ODCE 14.84% Val Wt NFI-ODCE -10.70% Val Wt NFI-ODCE -30.40% Val Wt NFI-ODCE 15.26% Val Wt NFI-ODCE 14.96% Val Wt NFI-ODCE 9.79% Val Wt NFI-ODCE 12.90% Val Wt NFI-ODCE 11.46% Val Wt NFI-ODCE 13.95% Val Wt NFI-ODCE 7.79% Private Eq Cambridge 28.44% Private Eq Cambridge 19.00% Private Eq Cambridge 90.13% Private Eq Cambridge 11.85% Private Eq Cambridge -19.87% Private Eq Cambridge -10.78% Private Eq Cambridge 18.52% Private Eq Cambridge 24.32% Private Eq Cambridge 21.78% Private Eq Cambridge 32.22% Private Eq Cambridge 22.59% Private Eq Cambridge -26.70% Private Eq Cambridge 17.33% Private Eq Cambridge 18.76% Private Eq Cambridge 7.12% Private Eq Cambridge 13.98% Private Eq Cambridge 21.14% Private Eq Cambridge 11.78% Private Eq Cambridge 8.53% 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Cambridge Private Equity Index full year 2016 performance unavailable at time of reporting.
  11. 11. Knowledge. Experience. Integrity. 10The Periodic Table Collection Callan Periodic Table of Investment Returns (Including Real Estate) Annual Returns for Key Indices Ranked in Order of Performance (1997–2016) S&P 500 33.36% S&P 500 28.58% S&P 500 21.04% S&P 500 -9.11% S&P 500 -11.89% S&P 500 -22.10% S&P 500 28.68% S&P 500 10.88% S&P 500 4.91% S&P 500 15.79% S&P 500 5.49% S&P 500 -37.00% S&P 500 26.47% S&P 500 15.06% S&P 500 2.11% S&P 500 16.00% S&P 500 32.39% S&P 500 13.69% S&P 500 1.38% S&P 500 11.96% 2000 Russell 22.36% 2000 Russell -2.55% 2000 Russell 21.26% 2000 Russell -3.02% 2000 Russell 2.49% 2000 Russell -20.48% 2000 Russell 47.25% 2000 Russell 18.33% 2000 Russell 4.55% 2000 Russell 18.37% 2000 Russell -1.57% 2000 Russell -33.79% 2000 Russell 27.17% 2000 Russell 26.85% 2000 Russell -4.18% 2000 Russell 16.35% 2000 Russell 38.82% 2000 Russell 4.89% 2000 Russell -4.41% 2000 Russell 21.31% ex USA MSCI ACWI -19.73% ex USA MSCI ACWI -14.95% ex USA MSCI ACWI 40.83% ex USA MSCI ACWI 20.91% ex USA MSCI ACWI 16.62% ex USA MSCI ACWI 26.65% ex USA MSCI ACWI 16.65% ex USA MSCI ACWI -45.53% ex USA MSCI ACWI 41.45% ex USA MSCI ACWI 11.15% ex USA MSCI ACWI -13.71% ex USA MSCI ACWI 16.83% ex USA MSCI ACWI 15.29% ex USA MSCI ACWI -3.87% ex USA MSCI ACWI -5.66% ex USA MSCI ACWI 4.50% Agg Barclays Bloomberg 9.64% Agg Barclays Bloomberg 8.70% Agg Barclays Bloomberg -0.82% Agg Barclays Bloomberg 11.63% Agg Barclays Bloomberg 8.43% Agg Barclays Bloomberg 10.26% Agg Barclays Bloomberg 4.10% Agg Barclays Bloomberg 4.34% Agg Barclays Bloomberg 2.43% Agg Barclays Bloomberg 4.33% Agg Barclays Bloomberg 6.97% Agg Barclays Bloomberg 5.24% Agg Barclays Bloomberg 5.93% Agg Barclays Bloomberg 6.54% Agg Barclays Bloomberg 7.84% Agg Barclays Bloomberg 4.21% Agg Barclays Bloomberg -2.02% Agg Barclays Bloomberg 5.97% Agg Barclays Bloomberg 0.55% Agg Barclays Bloomberg 2.65% Markets Emerging MSCI -11.59% Markets Emerging MSCI -25.34% Markets Emerging MSCI 66.84% Markets Emerging MSCI -30.71% Markets Emerging MSCI -2.62% Markets Emerging MSCI -6.16% Markets Emerging MSCI 55.82% Markets Emerging MSCI 25.55% Markets Emerging MSCI 34.00% Markets Emerging MSCI 32.17% Markets Emerging MSCI 39.38% Markets Emerging MSCI -53.33% Markets Emerging MSCI 78.51% Markets Emerging MSCI 18.88% Markets Emerging MSCI -18.42% Markets Emerging MSCI 18.23% Markets Emerging MSCI -2.60% Markets Emerging MSCI -2.19% Markets Emerging MSCI -14.92% Markets Emerging MSCI 11.19% Property NCREIF 13.91% Property NCREIF 16.24% Property NCREIF 11.36% Property NCREIF 12.24% Property NCREIF 7.28% Property NCREIF 6.74% Property NCREIF 8.99% Property NCREIF 14.48% Property NCREIF 20.06% Property NCREIF 16.59% Property NCREIF 15.85% Property NCREIF -6.46% Property NCREIF -16.86% Property NCREIF 13.11% Property NCREIF 14.26% Property NCREIF 10.54% Property NCREIF 10.98% Property NCREIF 11.82% Property NCREIF 13.33% Property NCREIF 7.97% Equity NAREIT 20.26% Equity NAREIT -17.50% Equity NAREIT -4.62% Equity NAREIT 26.37% Equity NAREIT 13.93% Equity NAREIT 3.82% Equity NAREIT 37.13% Equity NAREIT 31.58% Equity NAREIT 12.15% Equity NAREIT 35.06% Equity NAREIT -15.69% Equity NAREIT -37.72% Equity NAREIT 27.99% Equity NAREIT 27.96% Equity NAREIT 8.29% Equity NAREIT 18.06% Equity NAREIT 2.47% Equity NAREIT 30.14% Equity NAREIT 3.20% Equity NAREIT 8.52% High Yield Barclays Bloomberg 12.76% High Yield Barclays Bloomberg 1.87% High Yield Barclays Bloomberg 2.39% High Yield Barclays Bloomberg -5.86% High Yield Barclays Bloomberg 5.28% High Yield Barclays Bloomberg -1.41% High Yield Barclays Bloomberg 28.97% High Yield Barclays Bloomberg 11.13% High Yield Barclays Bloomberg 2.74% High Yield Barclays Bloomberg 11.85% High Yield Barclays Bloomberg 1.87% High Yield Barclays Bloomberg -26.16% High Yield Barclays Bloomberg 58.21% High Yield Barclays Bloomberg 15.12% High Yield Barclays Bloomberg 4.98% High Yield Barclays Bloomberg 15.81% High Yield Barclays Bloomberg 7.44% High Yield Barclays Bloomberg 2.45% High Yield Barclays Bloomberg -4.47% High Yield Barclays Bloomberg 17.13% Val Wt NFI-ODCE 13.94% Val Wt NFI-ODCE 15.29% Val Wt NFI-ODCE 12.05% Val Wt NFI-ODCE 13.19% Val Wt NFI-ODCE 4.64% Val Wt NFI-ODCE 4.57% Val Wt NFI-ODCE 8.28% Val Wt NFI-ODCE 12.00% Val Wt NFI-ODCE 20.15% Val Wt NFI-ODCE 15.27% Val Wt NFI-ODCE 14.84% Val Wt NFI-ODCE -10.70% Val Wt NFI-ODCE -30.40% Val Wt NFI-ODCE 15.26% Val Wt NFI-ODCE 14.96% Val Wt NFI-ODCE 9.79% Val Wt NFI-ODCE 12.90% Val Wt NFI-ODCE 11.46% Val Wt NFI-ODCE 13.95% Val Wt NFI-ODCE 7.79% Dev REIT NAREIT EPRA/ -7.38% Dev REIT NAREIT EPRA/ -8.18% Dev REIT NAREIT EPRA/ 8.87% Dev REIT NAREIT EPRA/ 13.84% Dev REIT NAREIT EPRA/ -3.81% Dev REIT NAREIT EPRA/ 2.82% Dev REIT NAREIT EPRA/ 40.69% Dev REIT NAREIT EPRA/ 37.96% Dev REIT NAREIT EPRA/ 15.35% Dev REIT NAREIT EPRA/ 42.35% Dev REIT NAREIT EPRA/ -6.96% Dev REIT NAREIT EPRA/ -47.72% Dev REIT NAREIT EPRA/ 38.26% Dev REIT NAREIT EPRA/ 20.40% Dev REIT NAREIT EPRA/ -5.82% Dev REIT NAREIT EPRA/ 28.65% Dev REIT NAREIT EPRA/ 4.43% Dev REIT NAREIT EPRA/ 15.89% Dev REIT NAREIT EPRA/ 0.05% Dev REIT NAREIT EPRA/ 4.99% 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
  12. 12. Knowledge. Experience. Integrity. 11The Periodic Table Collection Callan Periodic Table of Fixed Income Investment Returns Annual Returns for Fixed Income Indices Ranked in Order of Performance (1997–2016) 1-3 Yr Gov/Credit 6.65% 1-3 Yr Gov/Credit 6.97% 1-3 Yr Gov/Credit 3.16% 1-3 Yr Gov/Credit 8.08% 1-3 Yr Gov/Credit 8.78% 1-3 Yr Gov/Credit 6.28% 1-3 Yr Gov/Credit 2.82% 1-3 Yr Gov/Credit 1.30% 1-3 Yr Gov/Credit 1.77% 1-3 Yr Gov/Credit 4.25% 1-3 Yr Gov/Credit 6.83% 1-3 Yr Gov/Credit 4.97% 1-3 Yr Gov/Credit 3.83% 1-3 Yr Gov/Credit 2.80% 1-3 Yr Gov/Credit 1.59% 1-3 Yr Gov/Credit 1.26% 1-3 Yr Gov/Credit 0.64% 1-3 Yr Gov/Credit 0.77% 1-3 Yr Gov/Credit 0.65% 1-3 Yr Gov/Credit 1.28% Credit Intermediate 8.35% Credit Intermediate 8.29% Credit Intermediate 0.16% Credit Intermediate 9.47% Credit Intermediate 9.76% Credit Intermediate 10.14% Credit Intermediate 6.91% Credit Intermediate 4.08% Credit Intermediate 1.42% Credit Intermediate 4.49% Credit Intermediate 5.60% Credit Intermediate -2.76% Credit Intermediate 15.93% Credit Intermediate 7.76% Credit Intermediate 5.37% Credit Intermediate 8.10% Credit Intermediate -0.17% Credit Intermediate 4.16% Credit Intermediate 0.90% Credit Intermediate 3.68% Aggregate Global 3.79% Aggregate Global 13.71% Aggregate Global -5.17% Aggregate Global 3.18% Aggregate Global 1.57% Aggregate Global 16.53% Aggregate Global 12.51% Aggregate Global 9.27% Aggregate Global -4.49% Aggregate Global 6.64% Aggregate Global 9.48% Aggregate Global 4.79% Aggregate Global 6.93% Aggregate Global 5.54% Aggregate Global 5.64% Aggregate Global 4.32% Aggregate Global -2.60% Aggregate Global 0.59% Aggregate Global -3.15% Aggregate Global 2.09% Agg Barclays Bloomberg 9.64% Agg Barclays Bloomberg 8.70% Agg Barclays Bloomberg -0.82% Agg Barclays Bloomberg 11.63% Agg Barclays Bloomberg 8.43% Agg Barclays Bloomberg 10.26% Agg Barclays Bloomberg 4.10% Agg Barclays Bloomberg 4.34% Agg Barclays Bloomberg 2.43% Agg Barclays Bloomberg 4.33% Agg Barclays Bloomberg 6.97% Agg Barclays Bloomberg 5.24% Agg Barclays Bloomberg 5.93% Agg Barclays Bloomberg 6.54% Agg Barclays Bloomberg 7.84% Agg Barclays Bloomberg 4.21% Agg Barclays Bloomberg -2.02% Agg Barclays Bloomberg 5.97% Agg Barclays Bloomberg 0.55% Agg Barclays Bloomberg 2.65% Loans Leveraged CS 8.29% Loans Leveraged CS 5.31% Loans Leveraged CS 4.69% Loans Leveraged CS 4.94% Loans Leveraged CS 2.65% Loans Leveraged CS 1.11% Loans Leveraged CS 11.02% Loans Leveraged CS 5.60% Loans Leveraged CS 5.69% Loans Leveraged CS 7.33% Loans Leveraged CS 1.88% Loans Leveraged CS -28.75% Loans Leveraged CS 44.86% Loans Leveraged CS 9.99% Loans Leveraged CS 1.82% Loans Leveraged CS 8.74% Loans Leveraged CS 6.12% Loans Leveraged CS 2.05% Loans Leveraged CS -0.39% Loans Leveraged CS 9.88% Yield Corp High 12.76% Yield Corp High 1.87% Yield Corp High 2.39% Yield Corp High -5.86% Yield Corp High 5.28% Yield Corp High -1.41% Yield Corp High 28.97% Yield Corp High 11.13% Yield Corp High 2.74% Yield Corp High 11.85% Yield Corp High 1.87% Yield Corp High -26.16% Yield Corp High 58.21% Yield Corp High 15.12% Yield Corp High 4.98% Yield Corp High 15.81% Yield Corp High 7.44% Yield Corp High 2.45% Yield Corp High -4.47% Yield Corp High 17.13% Gl Div JPM EMBI 10.81% Gl Div JPM EMBI -8.12% Gl Div JPM EMBI 19.56% Gl Div JPM EMBI 12.68% Gl Div JPM EMBI 9.70% Gl Div JPM EMBI 13.65% Gl Div JPM EMBI 22.21% Gl Div JPM EMBI 11.62% Gl Div JPM EMBI 10.25% Gl Div JPM EMBI 9.86% Gl Div JPM EMBI 6.15% Gl Div JPM EMBI -12.03% Gl Div JPM EMBI 29.82% Gl Div JPM EMBI 12.24% Gl Div JPM EMBI 7.35% Gl Div JPM EMBI 17.44% Gl Div JPM EMBI -5.24% Gl Div JPM EMBI 7.43% Gl Div JPM EMBI 1.18% Gl Div JPM EMBI 10.15% Treasury Long 15.08% Treasury Long 13.53% Treasury Long -8.74% Treasury Long 20.27% Treasury Long 4.21% Treasury Long 16.79% Treasury Long 2.48% Treasury Long 7.70% Treasury Long 6.50% Treasury Long 1.85% Treasury Long 9.81% Treasury Long 24.03% Treasury Long -12.92% Treasury Long 9.38% Treasury Long 29.93% Treasury Long 3.56% Treasury Long -12.66% Treasury Long 25.07% Treasury Long -1.21% Treasury Long 1.33% (hdg) Aggregate Global 10.17% (hdg) Aggregate Global 9.77% (hdg) Aggregate Global 0.79% (hdg) Aggregate Global 10.34% (hdg) Aggregate Global 7.24% (hdg) Aggregate Global 8.45% (hdg) Aggregate Global 3.11% (hdg) Aggregate Global 4.89% (hdg) Aggregate Global 4.28% (hdg) Aggregate Global 3.64% (hdg) Aggregate Global 5.32% (hdg) Aggregate Global 5.58% (hdg) Aggregate Global 5.09% (hdg) Aggregate Global 4.61% (hdg) Aggregate Global 5.40% (hdg) Aggregate Global 5.72% (hdg) Aggregate Global -0.14% (hdg) Aggregate Global 7.59% (hdg) Aggregate Global 1.02% (hdg) Aggregate Global 3.95% Long Credit 13.47% Long Credit 9.04% Long Credit -5.78% Long Credit 9.21% Long Credit 12.16% Long Credit 11.92% Long Credit 10.43% Long Credit 9.38% Long Credit 3.76% Long Credit 3.47% Long Credit 3.60% Long Credit -3.92% Long Credit 16.80% Long Credit 10.69% Long Credit 17.13% Long Credit 12.73% Long Credit -6.62% Long Credit 16.39% Long Credit -4.56% Long Credit 10.22% 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 All indices are Bloomberg Barclays unless otherwise indicated.
  13. 13. Knowledge. Experience. Integrity. 12The Periodic Table Collection Callan Periodic Table of Non-U.S. Fixed Investment Returns Annual Returns for Non-U.S. Fixed Income Indices Ranked in Order of Performance (1997–2016) (hdg) Global Agg Barclays Bloomberg 10.17% (hdg) Global Agg Barclays Bloomberg 9.77% (hdg) Global Agg Barclays Bloomberg 0.79% (hdg) Global Agg Barclays Bloomberg 10.34% (hdg) Global Agg Barclays Bloomberg 7.24% (hdg) Global Agg Barclays Bloomberg 8.45% (hdg) Global Agg Barclays Bloomberg 3.11% (hdg) Global Agg Barclays Bloomberg 4.89% (hdg) Global Agg Barclays Bloomberg 4.28% (hdg) Global Agg Barclays Bloomberg 3.64% (hdg) Global Agg Barclays Bloomberg 5.32% (hdg) Global Agg Barclays Bloomberg 5.58% (hdg) Global Agg Barclays Bloomberg 5.09% (hdg) Global Agg Barclays Bloomberg 4.61% (hdg) Global Agg Barclays Bloomberg 5.40% (hdg) Global Agg Barclays Bloomberg 5.72% (hdg) Global Agg Barclays Bloomberg -0.14% (hdg) Global Agg Barclays Bloomberg 7.59% (hdg) Global Agg Barclays Bloomberg 1.02% (hdg) Global Agg Barclays Bloomberg 3.95% Yield Global High Barclays Bloomberg 12.84% Yield Global High Barclays Bloomberg -4.82% Yield Global High Barclays Bloomberg 10.43% Yield Global High Barclays Bloomberg 1.04% Yield Global High Barclays Bloomberg 2.26% Yield Global High Barclays Bloomberg 4.14% Yield Global High Barclays Bloomberg 32.42% Yield Global High Barclays Bloomberg 13.17% Yield Global High Barclays Bloomberg 3.59% Yield Global High Barclays Bloomberg 13.69% Yield Global High Barclays Bloomberg 3.16% Yield Global High Barclays Bloomberg -26.88% Yield Global High Barclays Bloomberg 59.40% Yield Global High Barclays Bloomberg 14.82% Yield Global High Barclays Bloomberg 3.12% Yield Global High Barclays Bloomberg 19.60% Yield Global High Barclays Bloomberg 7.33% Yield Global High Barclays Bloomberg 0.01% Yield Global High Barclays Bloomberg -2.72% Yield Global High Barclays Bloomberg 14.27% ex US Global Agg Barclays Bloomberg -4.01% ex US Global Agg Barclays Bloomberg 18.44% ex US Global Agg Barclays Bloomberg -8.83% ex US Global Agg Barclays Bloomberg -3.91% ex US Global Agg Barclays Bloomberg -3.75% ex US Global Agg Barclays Bloomberg 22.37% ex US Global Agg Barclays Bloomberg 19.36% ex US Global Agg Barclays Bloomberg 12.54% ex US Global Agg Barclays Bloomberg -8.65% ex US Global Agg Barclays Bloomberg 8.16% ex US Global Agg Barclays Bloomberg 11.03% ex US Global Agg Barclays Bloomberg 4.39% ex US Global Agg Barclays Bloomberg 7.53% ex US Global Agg Barclays Bloomberg 4.95% ex US Global Agg Barclays Bloomberg 4.36% ex US Global Agg Barclays Bloomberg 4.09% ex US Global Agg Barclays Bloomberg -3.08% ex US Global Agg Barclays Bloomberg -3.09% ex US Global Agg Barclays Bloomberg -6.02% ex US Global Agg Barclays Bloomberg 1.49% Global Agg Barclays Bloomberg 3.79% Global Agg Barclays Bloomberg 13.71% Global Agg Barclays Bloomberg -5.17% Global Agg Barclays Bloomberg 3.18% Global Agg Barclays Bloomberg 1.57% Global Agg Barclays Bloomberg 16.53% Global Agg Barclays Bloomberg 12.51% Global Agg Barclays Bloomberg 9.27% Global Agg Barclays Bloomberg -4.49% Global Agg Barclays Bloomberg 6.64% Global Agg Barclays Bloomberg 9.48% Global Agg Barclays Bloomberg 4.79% Global Agg Barclays Bloomberg 6.93% Global Agg Barclays Bloomberg 5.54% Global Agg Barclays Bloomberg 5.64% Global Agg Barclays Bloomberg 4.32% Global Agg Barclays Bloomberg -2.60% Global Agg Barclays Bloomberg 0.59% Global Agg Barclays Bloomberg -3.15% Global Agg Barclays Bloomberg 2.09% Diversified Global JPM EMBI 10.81% Diversified Global JPM EMBI -8.12% Diversified Global JPM EMBI 19.56% Diversified Global JPM EMBI 12.68% Diversified Global JPM EMBI 9.70% Diversified Global JPM EMBI 13.65% Diversified Global JPM EMBI 22.21% Diversified Global JPM EMBI 11.62% Diversified Global JPM EMBI 10.25% Diversified Global JPM EMBI 9.86% Diversified Global JPM EMBI 6.15% Diversified Global JPM EMBI -12.03% Diversified Global JPM EMBI 29.82% Diversified Global JPM EMBI 12.24% Diversified Global JPM EMBI 7.35% Diversified Global JPM EMBI 17.44% Diversified Global JPM EMBI -5.24% Diversified Global JPM EMBI 7.43% Diversified Global JPM EMBI 1.18% Diversified Global JPM EMBI 10.15% Diversified EM Global JPM GBI- 16.92% Diversified EM Global JPM GBI- 22.97% Diversified EM Global JPM GBI- 6.27% Diversified EM Global JPM GBI- 15.22% Diversified EM Global JPM GBI- 18.11% Diversified EM Global JPM GBI- -5.22% Diversified EM Global JPM GBI- 21.98% Diversified EM Global JPM GBI- 15.68% Diversified EM Global JPM GBI- -1.75% Diversified EM Global JPM GBI- 16.76% Diversified EM Global JPM GBI- -8.98% Diversified EM Global JPM GBI- -5.72% Diversified EM Global JPM GBI- -14.92% Diversified EM Global JPM GBI- 9.94% EMBI Corporate JPM 15.64% EMBI Corporate JPM 11.88% EMBI Corporate JPM 9.77% EMBI Corporate JPM 6.62% EMBI Corporate JPM 6.63% EMBI Corporate JPM 3.77% EMBI Corporate JPM -16.24% EMBI Corporate JPM 41.73% EMBI Corporate JPM 13.07% EMBI Corporate JPM 3.49% EMBI Corporate JPM 16.74% EMBI Corporate JPM -2.37% EMBI Corporate JPM 4.14% EMBI Corporate JPM 0.99% EMBI Corporate JPM 11.11% 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
  14. 14. Knowledge. Experience. Integrity. 13The Periodic Table Collection CS Hedge Fund Index 25.94% CS Hedge Fund Index -0.36% CS Hedge Fund Index 23.43% CS Hedge Fund Index 4.85% CS Hedge Fund Index 4.42% CS Hedge Fund Index 3.04% CS Hedge Fund Index 15.44% CS Hedge Fund Index 9.64% CS Hedge Fund Index 7.61% CS Hedge Fund Index 13.86% CS Hedge Fund Index 12.56% CS Hedge Fund Index -19.07% CS Hedge Fund Index 18.57% CS Hedge Fund Index 10.95% CS Hedge Fund Index -2.52% CS Hedge Fund Index 7.67% CS Hedge Fund Index 9.73% CS Hedge Fund Index 4.13% CS Hedge Fund Index -0.71% CS Hedge Fund Index 1.25% Callan Periodic Table of Hedge Fund Strategy Returns Annual Returns for Credit Suisse Hedge Fund Sub Strategies Ranked in Order of Performance (1997–2016) Arb Convertible 14.48% Arb Convertible -4.41% Arb Convertible 16.04% Arb Convertible 25.64% Arb Convertible 14.58% Arb Convertible 4.05% Arb Convertible 12.90% Arb Convertible 1.98% Arb Convertible -2.55% Arb Convertible 14.30% Arb Convertible 5.17% Arb Convertible -31.59% Arb Convertible 47.35% Arb Convertible 10.95% Arb Convertible 1.13% Arb Convertible 7.82% Arb Convertible 6.03% Arb Convertible -1.67% Arb Convertible 0.81% Arb Convertible 6.60% Distressed 20.73% Distressed -1.68% Distressed 22.18% Distressed 1.95% Distressed 20.01% Distressed -0.69% Distressed 25.12% Distressed 15.62% Distressed 11.74% Distressed 15.58% Distressed 8.35% Distressed -20.48% Distressed 20.95% Distressed 10.27% Distressed -4.24% Distressed 11.77% Distressed 16.00% Distressed 2.55% Distressed -5.30% Distressed 6.38% Income Arb Fixed 9.34% Income Arb Fixed -8.16% Income Arb Fixed 12.11% Income Arb Fixed 6.29% Income Arb Fixed 8.04% Income Arb Fixed 5.75% Income Arb Fixed 7.97% Income Arb Fixed 6.86% Income Arb Fixed 0.63% Income Arb Fixed 8.66% Income Arb Fixed 3.83% Income Arb Fixed -28.82% Income Arb Fixed 27.41% Income Arb Fixed 12.51% Income Arb Fixed 4.69% Income Arb Fixed 11.04% Income Arb Fixed 3.80% Income Arb Fixed 4.37% Income Arb Fixed 0.59% Income Arb Fixed 4.29% Macro Global 37.11% Macro Global -3.64% Macro Global 5.81% Macro Global 11.67% Macro Global 18.38% Macro Global 14.66% Macro Global 17.99% Macro Global 8.49% Macro Global 9.25% Macro Global 13.53% Macro Global 17.36% Macro Global -4.62% Macro Global 11.55% Macro Global 13.47% Macro Global 6.44% Macro Global 4.58% Macro Global 4.32% Macro Global 3.11% Macro Global 0.17% Macro Global 3.58% Equity Long/Short 21.46% Equity Long/Short 17.18% Equity Long/Short 47.23% Equity Long/Short 2.08% Equity Long/Short -3.65% Equity Long/Short -1.60% Equity Long/Short 17.27% Equity Long/Short 11.56% Equity Long/Short 9.68% Equity Long/Short 14.38% Equity Long/Short 13.66% Equity Long/Short -19.76% Equity Long/Short 19.47% Equity Long/Short 9.28% Equity Long/Short -7.31% Equity Long/Short 8.21% Equity Long/Short 17.73% Equity Long/Short 5.54% Equity Long/Short 3.56% Equity Long/Short -3.43% Futures Managed 3.12% Futures Managed 20.64% Futures Managed -4.69% Futures Managed 4.24% Futures Managed 1.90% Futures Managed 18.33% Futures Managed 14.13% Futures Managed 5.96% Futures Managed -0.11% Futures Managed 8.05% Futures Managed 6.01% Futures Managed 18.33% Futures Managed -6.57% Futures Managed 12.22% Futures Managed -4.19% Futures Managed -2.93% Futures Managed -2.56% Futures Managed 18.36% Futures Managed -0.93% Futures Managed -6.84% Neutral Eq. Market 14.83% Neutral Eq. Market 13.31% Neutral Eq. Market 15.33% Neutral Eq. Market 14.99% Neutral Eq. Market 9.31% Neutral Eq. Market 7.42% Neutral Eq. Market 7.07% Neutral Eq. Market 6.48% Neutral Eq. Market 6.14% Neutral Eq. Market 11.15% Neutral Eq. Market 9.27% Neutral Eq. Market -40.32% Neutral Eq. Market 4.05% Neutral Eq. Market -0.85% Neutral Eq. Market 4.49% Neutral Eq. Market 0.85% Neutral Eq. Market 9.27% Neutral Eq. Market -1.20% Neutral Eq. Market 1.69% Neutral Eq. Market -4.58% Strategy Multi 18.28% Strategy Multi 7.68% Strategy Multi 9.38% Strategy Multi 11.18% Strategy Multi 5.50% Strategy Multi 6.31% Strategy Multi 15.04% Strategy Multi 7.53% Strategy Multi 7.54% Strategy Multi 14.54% Strategy Multi 10.10% Strategy Multi -23.63% Strategy Multi 24.62% Strategy Multi 9.29% Strategy Multi 1.83% Strategy Multi 11.19% Strategy Multi 11.23% Strategy Multi 6.09% Strategy Multi 3.84% Strategy Multi 4.41% Risk Arb 9.84% Risk Arb 5.58% Risk Arb 13.23% Risk Arb 14.69% Risk Arb 5.68% Risk Arb -3.46% Risk Arb 8.98% Risk Arb 5.45% Risk Arb 3.08% Risk Arb 8.15% Risk Arb 8.77% Risk Arb -3.27% Risk Arb 12.00% Risk Arb 3.17% Risk Arb 0.80% Risk Arb 2.82% Risk Arb 4.92% Risk Arb -1.32% Risk Arb 0.41% Risk Arb 5.89% Short Bias 0.42% Short Bias -6.00% Short Bias -14.22% Short Bias 15.76% Short Bias -3.58% Short Bias 18.14% Short Bias -32.59% Short Bias -7.72% Short Bias 17.00% Short Bias -6.61% Short Bias 6.04% Short Bias 14.87% Short Bias -25.03% Short Bias -23.00% Short Bias 3.85% Short Bias -20.39% Short Bias -24.94% Short Bias -5.61% Short Bias 2.38% Short Bias -16.87% Driven Multi Event- 20.53% Driven Multi Event- -8.98% Driven Multi Event- 23.00% Driven Multi Event- 11.84% Driven Multi Event- 6.79% Driven Multi Event- 1.22% Driven Multi Event- 17.19% Driven Multi Event- 14.04% Driven Multi Event- 7.21% Driven Multi Event- 16.38% Driven Multi Event- 16.82% Driven Multi Event- -16.25% Driven Multi Event- 19.94% Driven Multi Event- 14.36% Driven Multi Event- -11.96% Driven Multi Event- 10.14% Driven Multi Event- 15.28% Driven Multi Event- 1.14% Driven Multi Event- -6.67% Driven Multi Event- 1.25% Markets Emerging 26.59% Markets Emerging -37.66% Markets Emerging 44.82% Markets Emerging -5.52% Markets Emerging 5.84% Markets Emerging 7.36% Markets Emerging 28.75% Markets Emerging 12.49% Markets Emerging 17.39% Markets Emerging 20.49% Markets Emerging 20.26% Markets Emerging -30.41% Markets Emerging 30.03% Markets Emerging 11.34% Markets Emerging -6.68% Markets Emerging 10.28% Markets Emerging 8.81% Markets Emerging 1.52% Markets Emerging -0.22% Markets Emerging 4.47% 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
  15. 15. Knowledge. Experience. Integrity. 14The Periodic Table Collection Index Descriptions Equity Indices Russell 3000 measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market. These securities are traded on the NYSE, NYSE MKT, and NASDAQ. Russell 2000 measures the performance of small capitalization U.S. stocks. The Russell 2000 is a market- value-weighted index of the 2,000 smallest stocks (#1,001–3,000) in the broad-market Russell 3000 Index. Russell Midcap measures the performance of mid capitalization U.S. stocks and includes companies #201–1,000 in the broad-market Russell 3000 Index. Russell 2500 measures the performance of small/mid capitalization U.S. stocks and includes the smallest 2500 companies (#501–3,000) in the broad-market Russell 3000 Index. Russell 1000 measures the performance of large capitalization U.S. stocks. The Russell 1000 is a market- value-weighted index of the 1,000 largest stocks (#1– 1,000) in the broad-market Russell 3000 Index S&P 1500 is designed to track the performance of large, mid, and small cap U.S. equities and representing approximately 91% of the available U.S. market cap and includes the S&P 500 (large cap), S&P MidCap 400, and the S&P SmallCap 600. S&P 1000 measures the performance of small/mid capitalization U.S. stocks and includes the S&P SmallCap 600 and the S&P MidCap 400. S&P 500 measures the performance of large capitalization U.S. stocks. It is a market-value-weighted index of 500 stocks that are traded on the NYSE, NYSE MKT, and NASDAQ. The weightings make each company’s influence on the Index performance directly proportional to that company’s market value. MSCI ACWI Index is a free float adjusted market capitalization weighted index that is designed to measure the equity market performance of 23 developed market countries and 23 emerging market countries. MSCI ACWI ex USA Index captures large and mid cap representation across 22 of 23 developed market countries (excluding the U.S.) and 23 Emerging market countries covering approximately 85% of the global equity opportunity set outside the U.S. MSCI ACWI ex USA Small Cap Index captures small cap representation across 22 of 23 developed market countries (excluding the U.S.) and 23 emerging market countries. MSCI Emerging Markets is a free float adjusted market capitalization index that is designed to measure equity market performance of 23 emerging market countries. MSCI Europe Index is a free float adjusted market capitalization weighted index that is designed to measure the equity market performance of the 15 developed market country indies. MSCI Japan Index is designed to measure the performance of the large and mid cap segments of the Japanese market and covers approximately 85% of the free float-adjusted market capitalization in Japan. MSCI Pacific Index is a free float adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed markets in the Pacific region (Australia, Hong Kong, Japan, New Zealand, and Singapore). MSCI Pacific ex Japan Index captures large and mid cap representation across four of five developed market countries in the Pacific region (excluding Japan) and covers approximately 85% of the free float-adjusted market capitalization in each country. MSCI World is a free float adjusted market capitalization weighted index that is designed to measure the equity market performance of 23 developed market country indexes.
  16. 16. Knowledge. Experience. Integrity. 15The Periodic Table Collection Index Descriptions Fixed Income Indices Bloomberg Barclays Aggregate Index includes U.S. government, corporate, and mortgage-backed securities with maturities of at least one year. Bloomberg Barclays Corporate High-Yield Index measures the market of USD-denominated, non- investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below, excluding emerging market debt. Bloomberg Barclays Global Aggregate Index is an unmanaged index that is comprised of several other Bloomberg Barclays indices that measure fixed income performance of regions around the world; and Bloomberg Barclays Global Aggregate (hedged) hedges the currency back to the U.S. dollar. Bloomberg Barclays Global Aggregate ex US Index provides a broad-based measure of the global investment-grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities. Bloomberg Barclays Global High Yield Index is an unmanaged index that provides a broad-based measure of global high yield fixed income markets and represents that union of the U.S. High Yield, Pan-European High Yield, U.S. Emerging Markets High Yield, CMBS High Yield, and Pan-European Emerging Markets High Yield Indices. Bloomberg Barclays Intermediate Credit Index is an unmanaged index measuring the performance of investment-grade corporate debt and agency bonds that are dollar denominated and have a remaining maturity of greater than one year and less than ten years. Bloomberg Barclays Long Credit Index is an unmanaged index measuring the performance of the long-term sector of the U.S. investment bond market, which as defined by the long credit index includes investment-grade corporate debt and sovereign, supranational, local authority and non-U.S. agency bonds that are dollar denominated and have a remaining maturity of greater than or equal to 10 years. Bloomberg Barclays Long Treasury Index is an unmanaged index that includes all publicly issued U.S. Treasury securities that have ;a remaining maturity of 10 or more years, are rated investment grade, and have a $250 million or more of outstanding face value. Bloomberg Barclays Government/Credit 1-3 Year Index is an unmanaged index which is a component of the U.S. Government/Credit Bond Index, which includes Treasury and agency securities (U.S. Government Bond Index) and publicly issued U.S. corporate and foreign debentures and secured notes (U.S. Credit Bond Index) the bonds in the index are investment-grade with maturity between one and three years. Bloomberg Barclays U.S. TIPS Index consists of inflation-protection securities issued by the U.S. Treasury and must have at least one year until final maturity and at least $250 million par amount outstanding. They must be fixed rate, dollar denominated, and non-convertible. Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S.-denominated leveraged loan market. J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI) is a market capitalization weighted index consisting of U.S. dollar denominated emerging market corporate bonds. J.P. Morgan Emerging Markets Bond Index Global Diversified (EMBI Global Diversified) Index tracks total returns for U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds. The index limits the exposure of some of the larger countries. J.P. Morgan GBI-EM Global Diversified Index tracks the performance of local currency debt issued by emerging market governments, whose debt is accessible by most of the international investor base. The U.S. Treasury Index is a component of the U.S. Government index.
  17. 17. Knowledge. Experience. Integrity. 16The Periodic Table Collection Index Descriptions Real Estate and Other/Alternative Indices Real Estate Indices The FTSE EPRA/NAREIT Developed REIT Index is designed to measure the stock performance of companies engaged in specific real estate activities of the North American, European and Asian real estate markets. Relevant real estate activities are defined as the ownership, trading and development of income- producing real estate. NAREIT Equity Index measures the performance of real estate investment trusts (REITs) stocks traded on the NYSE, NYSE MKT, and NASDAQ. NFI-ODCE, short for NCREIF Fund Index - Open End Diversified Core Equity, represents historical and current returns for 30 open-end commingled funds pursuing a core investment strategy. It is capitalization-weighted and reported gross of fees. NCREIF Farmland Index is a quarterly time series composite return measure of investment performance of a large pool of individual farmland properties acquired in the private market for investment purposes only. All properties in the Farmland Index have been acquired, at least in part, on behalf of tax-exempt institutional investors - the great majority being pension funds. As such, all properties are held in a fiduciary environment. NCREIF Property Index (NPI) measures the performance of a very large pool of individual commercial real estate properties acquired in the private market for investment purposes only. All properties in the NPI have been acquired, at least in part, on behalf of tax-exempt institutional investors—the great majority being pension funds. We present both standard (unleveraged) and leveraged versions for comparison. NCREIF Timberland Index is a quarterly time series composite return measure of investment performance of a large pool of individual timber properties acquired in the private market for investment purposes only. All properties in the Timberland Index have been acquired, at least in part, on behalf of tax-exempt institutional investors - the great majority being pension funds. As such, all properties are held in a fiduciary environment. Other/Alternative Indices Alerian MLP Index is a gauge of energy Master Limited Partnerships (MLPs). The float-adjusted, capitalization- weighted index, whose constituents represent approximately 85% of total float-adjusted market capitalization, is disseminated real-time on a price-return basis (AMZ) and on a total-return basis (AMZX). The Consumer Price Index (CPI), an inflation index produced by the Bureau of Labor Statistics, measures the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. Bloomberg Commodity Index (formerly DJ UBS Commodity Index) is a broadly diversified index composed of futures contracts on physical commodities traded on U.S. exchanges. It allows investors to track commodity futures through a single, simple measure. Cambridge Private Equity Index is an end-to-end calculation based on data compiled from 1,199 U.S. private equity funds (buyout, growth equity, private equity energy and mezzanine funds), including fully liquidated partnerships, formed between 1986 and 2014. Pooled end-to-end return, net of fees, expenses, and carried interest. Dow Jones Brookfield (DJB) Global Infrastructure Index intends to measure the stock performance of pure-play infrastructure companies domiciled globally. The index covers all sectors of the infrastructure market required to have more than 70% of cash flows derived from infrastructure lines of business; must be domiciled in a country with a liquid listing and must meet minimum requirements for float-adjusted market capitalization and trading volume. The index is weighted by float-adjusted market capitalization.
  18. 18. Knowledge. Experience. Integrity. 17The Periodic Table Collection Index Descriptions Credit Suisse Hedge Fund Index and Sub Strategies Credit Suisse Hedge Fund Index is an asset-weighted benchmark that measures hedge fund performance and seeks to provide the most accurate representation of the hedge fund universe. Credit Suisse Hedge Fund Index Sub Strategies Market Neutral Equity – Funds that are typically long common stock of one company and short the equivalent dollar amount of another company or share class of the same company, based on underlying fundamental and/or technical factors. Convertible Arb – Funds that are typically long convertibles and short underlying stock, often benefiting from a positive carry (i.e., extra yield of the coupon income over the dividend expense). Emerging Markets – Funds that typically invest in currencies, debt instruments, equities and other instruments of countries with “emerging” or developing markets (typically measured by GDP per capita). Such countries are considered to be in a transitional phase between developing and developed status. Examples of emerging markets include China, India, Latin America, much of Southeast Asia, parts of Eastern Europe, and parts of Africa. The index has a number of subsectors, including arbitrage, credit and event driven, fixed income bias, and equity bias. Fixed Income Arb – Funds that are long fixed income securities offering excess returns from credit risk, prepayment risk, illiquidity risk, or capital structure risk (i.e., senior vs. junior debt) and short Treasuries or other similar overvalued securities. Distressed – Funds that invest in defaulted bonds, bank loans, or other debt issues of companies in various stages of bankruptcy or financial distress. Risk Arb – Funds that are typically long stocks of targeted takeover candidates and short stocks of the acquiring company, in order to capture time premium that accrues to the date of a completed acquisition. Long/Short Equity – Bottom-up stock-pickers that are long undervalued stocks and short overvalued stocks, with top-down views expressed with a net long or short bias. This group historically has had a net long, however variable, bias. Short Bias – Bottom-up stock-pickers with a strategically net short bias, profiting from declining stock prices of companies suffering from fraud or deteriorating financial condition. Global Macro – Top-down asset allocators investing across liquid markets of stocks, bonds, currencies, and commodities, profiting from structural imbalances or inefficiencies caused by central banks, governments, and other market participants. Managed Futures – Often using trend-following techniques, these funds buy and sell liquid futures on physical commodities, interest rate, fixed income, and equity markets, typically profiting from momentum and other predictable price patterns. Event-Driven Multi – Funds that typically invest in a combination of event-driven equities and credit, including special situations and value equities with hard or soft catalysts, taking advantage of shifts in economic cycles. Multi-Strategy – Funds that typically allocate capital opportunistically across various hedge fund strategies including, but not limited to, convertible bond arbitrage, market neutral equity, fixed income arbitrage, and risk arbitrage
  19. 19. Corporate Headquarters Callan Associates 600 Montgomery Street, Suite 800 San Francisco, CA 94111 800.227.3288 415.974.5060 www.callan.com Denver 855.864.3377 New Jersey 800.274.5878 Regional Offices Atlanta 800.522.9782 Chicago 800.999.3536

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