capital markets data - gam · market performance . 2. index returns are total return (tr), in...

Capital markets dataJuly 2020

Market performance

2

Index Returns are Total Return (TR), in Canadian dollars unless otherwise noted. Source: RBC Global Asset Management. As of June 30, 2020. Rates of return less than one year are simple rates of return. An investment cannot be made directly into an index. The above does not reflect transaction costs, investment management fees or taxes. If such costs and fees were reflected, returns would be lower. Past performance is not a guarantee of future results.

Equities Index Jun-20 3 Mo YTD 2019 2018 2017 2016Canadian Equities (Broad Market) S&P/TSX Composite TR 2.5% 17.0% -7.5% 22.9% -8.9% 9.1% 21.1%

Canadian Equities (Large Cap) S&P/TSX 60 TR 2.2% 15.0% -6.3% 21.9% -7.6% 9.8% 21.4%Canadian Equities (Small Cap) S&P/TSX SmallCap TR 5.6% 38.5% -14.3% 15.8% -18.2% 2.8% 38.5%

U.S. Equities (Large Cap) S&P 500 TR USD 2.0% 20.5% -3.1% 31.5% -4.4% 21.8% 12.0%U.S. Equities (Mid Cap) Russell Mid Cap TR USD 1.8% 24.6% -9.1% 30.5% -9.1% 18.5% 13.8%

U.S. Equities (Small Cap) Russell 2000 TR USD 3.5% 25.4% -13.0% 25.5% -11.0% 14.7% 21.3%U.S. Equities (Broad Market) Russell 3000 TR USD 2.3% 22.0% -3.5% 31.0% -5.2% 21.1% 12.7%

Global Equities MSCI World Net of Taxes TR USD 1.1% 14.2% -1.0% 27.7% -8.7% 22.4% 7.5%Global Developed Markets (ex U.S. & Can) MSCI EAFE Net of Taxes TR USD 1.7% 11.6% -14.4% 22.0% -13.8% 25.0% 1.0%

Emerging Markets Equities MSCI Emerging Markets TR 5.1% 15.7% -5.8% 12.9% -6.5% 37.3% 11.2%Fixed Income Index Jun-20 3 Mo YTD 2019 2018 2017 2016

Canadian Bonds FTSE Canada Universe Bond TR 1.7% 5.9% 7.5% 6.9% 1.4% 2.5% 1.7%U.S. Bonds Bloomberg Barclays U.S. Aggregate Bond Index TR USD 0.6% 2.9% 6.1% 8.7% 0.0% 3.5% 2.7%

U.S. High Yield Bonds ICE BofA U.S. High Yield BB-B TR USD 0.7% 9.5% -3.5% 15.1% -2.0% 7.0% 14.7%Emerging Market Bonds JP Morgan EMBI Global Diversified USD 3.5% 12.3% -2.8% 15.0% -4.3% 10.3% 10.2%

Currencies (in Canadian Dollars) Spot (1 unit of foreign currency's worth in CAD) Jun-20 3 Mo YTD 2019 2018 2017 2016U.S. Dollar USD/CAD 1.36 -1.4% -3.5% 4.5% -4.9% 8.6% -6.4% -3.0%

Euro EUR/CAD 1.53 -0.2% -1.7% 4.7% -6.9% 3.7% 6.7% -6.0%British Pound GBP/CAD 1.68 -1.1% -3.8% -2.2% -1.2% 2.5% 2.6% -18.9%

Japanese Yen (in JPY¥) JPY/CAD 0.013 -1.5% -3.9% 5.2% -4.1% 11.7% -2.9% -0.2%Commodities Spot Jun-20 3 Mo YTD 2019 2018 2017 2016

Gold (per ounce) Gold 1800.50 2.8% 12.8% 18.2% 18.9% -2.1% 13.7% 8.6%Silver (per ounce) Silver 18.64 0.7% 31.7% 4.0% 15.3% -9.4% 7.2% 15.8%

Copper (per pound) Copper 2.73 12.5% 22.5% -2.4% 6.3% -20.3% 31.7% 17.4%Crude Oil (WTI per barrel) Crude Oil 39.27 8.5% 91.7% -35.7% 34.5% -24.8% 12.5% 45.0%

Natural Gas (per million btu) Natural Gas 1.79 -3.2% 9.1% -18.3% -23.2% -3.5% -19.8% 55.9%

3

U.S. and Canada equities sector performance

S&P/TSX (In CAD) Jun-20 3 Mo YTD

Energy -4.6% 10.9% -30.4%

Materials 4.5% 42.0% 15.4%

Industrials 1.5% 13.2% -3.8%

Consumer Discretionary 1.9% 32.8% -10.8%

Consumer Staples -0.4% 11.7% 1.3%

Healthcare -3.5% 9.9% -30.9%

Financials 3.7% 6.2% -16.2%

Information Technology 13.5% 68.3% 62.0%

Communication Services -2.5% -1.0% -9.0%

Utilities -0.7% 3.8% -1.7%

Real Estate 3.2% 11.7% -20.0%

S&P 500 (In USD) Jun-20 3 Mo YTD

Energy -1.3% 30.5% -35.3%

Materials 2.2% 26.0% -6.9%

Industrials 2.0% 17.0% -14.6%

Consumer Discretionary 5.0% 32.9% 7.2%

Consumer Staples -0.3% 8.1% -5.7%

Healthcare -2.4% 13.6% -0.8%

Financials -0.3% 12.2% -23.6%

Technology 7.1% 30.5% 15.0%

Communication Services -0.5% 20.0% -0.3%

Utilities -4.7% 2.7% -11.1%

Real Estate 1.5% 13.2% -8.5%

All returns are total return and as of June 30, 2020. Rates of return less than one year are simple rates of return. An investment cannot be made directly into an index. The above does not reflect transaction costs, investment management fees or taxes. If such costs and fees were reflected, returns would be lower. Past performance is not a guarantee of future results.

4

S&P/TSX and S&P 500 Sector Weights

Source: RBC GAM. As of June 30, 2020

28.9%

12.4%

11.5%

14.7%

10.3%

5.4%

5.0%

4.3%

3.4%

3.1%

1.1%

Financials

Energy

Industrials

Materials

Information Technolgy

Communication Services

Utilities

Consumer Staples

Consumer Discretionary

Real Estate

Health Care

S&P/TSX Composite Index

27.5%

14.6%

10.1%

10.8%

10.8%

8.0%

7.0%

3.1%

2.8%

2.8%

2.5%

Information Technology

Health Care

Financials



Industrials

Consumer Staples

Utilities

Real Estate

Energy

Materials

S&P 500 Index

5

EM and EAFE equities sector performance

MSCI EM (In USD) Jun-20 3 Mo YTD

Energy 3.7% 23.0% -26.1%

Materials 5.2% 24.2% -13.9%

Industrials 4.4% 16.9% -15.9%

Consumer Discretionary 8.1% 22.3% 0.2%

Consumer Staples 3.7% 13.3% -9.1%

Healthcare 16.2% 37.4% 25.8%

Financials 4.0% 7.6% -25.8%

Technology 10.7% 20.5% -1.0%

Communication Services 12.3% 23.3% 11.5%

Utilities -0.1% 10.6% -18.1%

Real Estate 4.9% 6.0% -22.4%

MSCI EAFE (In USD) Jun-20 3 Mo YTD

Energy 0.8% 0.0% -36.2%

Materials 5.0% 23.8% -9.4%

Industrials 3.3% 17.9% -13.2%

Consumer Discretionary 2.1% 17.8% -13.8%

Consumer Staples 1.9% 9.4% -5.3%

Healthcare 0.3% 14.2% 4.1%

Financials 6.8% 13.4% -22.4%

Technology 5.6% 23.4% 1.6%

Communication Services 4.8% 13.5% -7.0%

Utilities 4.6% 12.5% -2.4%

Real Estate 2.0% 8.8% -21.2%

All returns are total return and as of June 30, 2020. Rates of return less than one year are simple rates of return. An investment cannot be made directly into an index. The above does not reflect transaction costs, investment management fees or taxes. If such costs and fees were reflected, returns would be lower. Past performance is not a guarantee of future results.

6

MSCI EAFE country and sector weights

Source: RBC GAM as of June 30, 2020.

16.1%

14.5%

14.5%

12.0%

11.3%

8.3%

7.3%

5.4%

4.0%

3.4%

3.2%

Financials

Health Care

Industrials

Consumer Staples



Materials


Utilities

Energy

Real Estate

MSCI EAFE Index

25.4%14.1%

10.9%10.3%

9.3%6.7%

4.3%3.4%

3.1%2.4%2.3%2.3%

1.1%1.0%0.9%0.6%0.6%0.5%0.3%0.2%0.2%

JapanUnited Kingdom

FranceSwitzerland

GermanyAustralia

NetherlandsHong Kong

SwedenSpain

DenmarkItaly

SingaporeFinland

BelgiumIsrael

IrelandNorway

New ZealandPortugal

Austria

MSCI EAFE Country Weight

7

MSCI EM Index country and sector weights

Source: RBC GAM as of June 30, 2020

19.1%

16.9%

17.4%

13.5%

6.9%

6.5%

5.9%

4.7%

4.3%

2.6%

2.3%

Financials




Materials

Consumer Staples

Energy

Industrials

Health Care

Real Estate

Utilities

MSCI EM Index

41.0%12.3%11.6%

8.0%5.1%

3.8%3.2%

2.3%1.7%1.8%1.5%0.8%0.8%0.7%0.6%0.5%0.5%0.2%0.2%0.2%0.1%0.1%0.1%0.0%

ChinaTaiwan, Province Of China

Korea, Republic OfIndia

BrazilSouth Africa

Russian FederationThailand

MexicoMalaysia

IndonesiaQatar

PhilippinesPoland

ChileUnited Arab Emirates

TurkeyPeru

HungaryColombia

GreeceEgypt

Czech RepublicPakistan

MSCI EM Country Weight

8

June total returns in CAD

Source: RBC GAM, Data for month ending June 30, 2020. High Yield: BofA U.S. HY Master II; EM Bonds; JPM EMBI Global Diversified; Canada Bond Universe: FTSE Canada Bond Universe TR; U.S. Investment Grade Bonds:Bloomberg Barclays U.S. Aggregate Bond Index TR; S&P 500: S&P 500 Total Return Index; S&P/TSX: S&P/TSX Total Return Index; U.S. Small Cap: Russell 2000 TR Index. U.S. Mid Cap: Russell Mid Cap TR Index. S&P/TSX Large Cap: S&P/TSX 60 TR Index. S&P/TSX Small Cap: S&P/TSX SmallCap TR Index. MSCI World: MSCI World Net of Taxes TR Index. MSCI EAFE: MSCI EAFE Net of Taxes TR Index. MSCI EM: MSCI Emerging Markets Net of Taxes TR Index. Rates of return less than one year are simple rates of return. An investment cannot be made directly into an index. The graph does not reflect transaction costs, investment management fees or taxes. If such costs and fees were reflected, returns would be lower. Past performance is not a guarantee of future results.

0.56%

2.09%

0.38%

2.46%2.20%

5.63%

1.19%

1.93%

5.83%

1.69%

-0.78%

0.68%

3.47%

S&P 500 U.S. SmallCap

U.S. MidCap

S&P/TSX S&P/TSXLarge Cap

S&P/TSXSmall Cap

MSCI World MSCI EAFE MSCI EM CanadaBond

Universe

U.S.Investment

GradeBonds

U.S. HighYield

EM Bonds

9

Investment growth in CAD

Source: RBC GAM, Data as of June 30, 2020. High Yield: BofA U.S. HY Master II; EM Bonds; JPM EMBI Global Diversified; Canada Bond Universe: FTSE Canada Bond Universe TR; U.S. Investment Grade Bonds: Bloomberg Barclays U.S. Aggregate Bond Index TR; S&P 500: S&P 500 Total Return Index; S&P/TSX: S&P/TSX Total Return Index; U.S. Small Cap: Russell 2000 TR Index. U.S. Mid Cap: Russell Mid Cap TR Index. S&P/TSX Large Cap: S&P/TSX 60 TR Index. S&P/TSX Small Cap: S&P/TSX Small Cap TR Index. MSCI World: MSCI World Net of Taxes TR Index. MSCI EAFE: MSCI EAFE Net of Taxes TR Index. MSCI EM: MSCI Emerging Markets Net of Taxes TR Index. Rates of return less than one year are simple rates of return. An investment cannot be made directly into an index. The graph does not reflect transaction costs, investment management fees or taxes. If such costs and fees were reflected, returns would be lower. Past performance is not a guarantee of future results.

11,145 9,680 10,135 9,783 9,862 8,993

10,777 9,930 10,105 10,788 11,273 9,944 9,902

18,093

13,408 15,075

12,433 12,901 9,918

15,663

12,369 12,793 12,282 13,419 12,159 12,434

47,227

34,615

40,862

18,506 19,090

11,620

35,001

23,434

18,315 15,727

18,563 18,662 17,620

S&P 500 U.S. SmallCap

U.S. Mid Cap S&P/TSX S&P/TSXLarge Cap

S&P/TSXSmall Cap

MSCI World MSCI EAFE MSCI EM Canada BondUniverse

U.S.Investment

Grade Bonds

U.S. HighYield

EM Bonds

Investment Growth of CAD 10,000 as of June 20201 Year 5 Years 10 Years

Index in CAD 1 Year (%) 5 Years (%) 10 Years (%)S&P 500 11.4% 12.6% 16.8%

U.S. Small Cap -3.2% 6.0% 13.2%

U.S. Mid Cap 1.3% 8.6% 15.1%

S&P/TSX -2.2% 4.5% 6.3%

S&P/TSX Large Cap -1.4% 5.2% 6.7%

S&P/TSX Small Cap -10.1% -0.2% 1.5%

MSCI World 7.8% 9.4% 13.3%

MSCI EAFE -0.7% 4.3% 8.9%

MSCI EM 1.1% 5.1% 6.2%

Canada Bond Universe 7.9% 4.2% 4.6%

U.S. Investment Grade Bonds 12.7% 6.1% 6.4%

U.S. High Yield -0.6% 4.0% 6.4%

EM Bonds -1.0% 4.5% 5.8%

10

Annualized total returns over 1, 5 and 10 years in CAD

Source: RBC GAM as of June 30, 2020. High Yield: BofA U.S. HY Master II; EM Bonds; JPM EMBI Global Diversified; Canada Bond Universe: FTSE Canada Bond Universe TR; U.S. Investment Grade Bonds: Bloomberg Barclays U.S. Aggregate Bond Index TR; S&P 500: S&P 500 Total Return Index; S&P/TSX: S&P/TSX Total Return Index; U.S. Small Cap: Russell 2000 TR Index. U.S. Mid Cap: Russell Mid Cap TR Index. S&P/TSX Large Cap: S&P/TSX 60 TR Index. S&P/TSX Small Cap: S&P/TSX Small Cap TR Index. MSCI World: MSCI World Net of Taxes TR Index. MSCI EAFE: MSCI EAFE Net of Taxes TR Index. MSCI EM: MSCI Emerging Markets Net of Taxes TR Index. Rates of return less than one year are simple rates of return. An investment cannot be made directly into an index. The above does not reflect transaction costs, investment management fees or taxes. If such costs and fees were reflected, returns would be lower. Past performance is not a guarantee of future results.

1 Month in USDValue Blend Growth

Large -0.7% 2.0% 4.4%Mid 1.1% 1.8% 2.3%

Small 2.9% 3.5% 3.8%

11

U.S. equities returns by investment style in U.S.D

YTD in USDValue Blend Growth

Large -16.3% -3.1% 9.8%Mid -18.1% -9.1% 4.2%

Small -23.5% -13.0% -3.1%

1 Year in USDValue Blend Growth

Large -8.8% 7.5% 23.3%Mid -11.8% -2.2% 11.9%

Small -17.5% -6.6% 3.5%


Large 1.8% 10.7% 19.0%Mid -0.5% 5.8% 14.8%

Small -4.3% 2.0% 7.9%


Large 4.6% 10.7% 15.9%Mid 3.3% 6.8% 11.6%

Small 1.3% 4.3% 6.9%


Large 10.4% 14.0% 17.2%Mid 10.3% 12.3% 15.1%

Small 7.8% 10.5% 12.9%

Source: RBC GAM. Data as of June 30, 2020. Large Value: Russell 1000 Value TR U.S.D. Large Blend: S&P 500 TR U.S.D. Large Growth: Russell 1000 Growth TR U.S.D. Mid Value: Russell Mid Cap Value TR U.S.D. Mid Blend: Russell Mid Cap TR U.S.D. Mid Growth: Russell Mid Cap Growth TR U.S.D. Small Value: Russell 2000 Value TR U.S.D. Small Blend: Russell 2000 TR U.S.D. Small Growth: Russell 2000 Growth TR U.S.D. Rates of return less than one year are simple rates of return. An investment cannot be made directly into an index. The above does not reflect transaction costs, investment management fees or taxes. If such costs and fees were reflected, returns would be lower. Past performance is not a guarantee of future results.

12

Market index update – 5 years normalized

All indices shown are total return in Canadian dollars. Data as of June 30, 2020. Source: Bloomberg, RBC GAM. An investment cannot be made directly into an index. The graphs do not reflect transaction costs, investment management fees or taxes. If such costs and fees were reflected, returns would be lower. Past performance is not a guarantee of future results.

5,000

10,000

15,000

20,000 S&P/TSX TR Index

5,000

10,000

15,000

20,000

25,000

30,000 S&P 500 TR Index

5,000

10,000

15,000

20,000 MSCI EM Index

5,000

10,000

15,000

20,000 MSCI EAFE Index

5,000

10,000

15,000 FTSE Canada Universe Bond Index

5,000

10,000

15,000

20,000 Bloomberg Barclays US Agg Total Return Value Index

13

Equity market valuations

Source: Bloomberg, RBC GAM. Data as of June 30, 2020. Canadian Equities represented by S&P/TSX Index. U.S. Equities represented by S&P 500 Index. EM Equities represented by MSCI EM Index, EAFE Equities represented by MSCI EAFE Index.

5

10

15

20

25

Canadian Equities

Trailing P/ECurrent level: 19.4

Forward P/ECurrent level: 24.7

10 Yr. Avg: 18.9

10 Yr. Avg: 16.0

7.09.0

11.013.015.017.019.021.023.025.027.0

U.S. Equities



10 Yr. Avg: 18.0

10 Yr. Avg: 16.3

0.02.04.06.08.0

10.012.014.016.018.020.0 EM Equities Trailing P/E

Current level: 16.4


10 Yr. Avg: 13.4

10 Yr. Avg: 12.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0EAFE Equities



10 Yr. Avg: 17.3

10 Yr. Avg: 14.0

0

10

20

30

40

50

60

70

80

90

Jun-10 Jun-11 Jun-12 Jun-13 Jun-14 Jun-15 Jun-16 Jun-17 Jun-18 Jun-19 Jun-20

14

U.S. equities 10-year volatility index

Source: COBE VIX® Index. Data as of June 30, 2020

102030405060708090

Mar-20 Apr-20 May-20 Jun-20

Last 3 Months

15

1-Year Exchange RatesUpward slope: Foreign currency appreciates against CAD - more CAD to buy 1 unit of foreign currency (more expensive) Downward slope: Foreign currency depreciates against CAD - less CAD to buy 1 unit of foreign currency (less expensive)

Source: RBC GAM, Bloomberg. Data as of June 30, 2020.

1.20

1.25

1.30

1.35

1.40

1.45

1.50

Jun-19 Aug-19 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20

USD/CAD Currency

0.0110

0.0115

0.0120

0.0125

0.0130

0.0135

0.0140


JPY/CAD Currency

1.45

1.50

1.55

1.60

1.65

1.70

1.75

1.80

1.85


GBP/CAD Currency

1.35

1.40

1.45

1.50

1.55

1.60


EUR/CAD Currency

0

500

1,000

1,500

2,000

2,500

Jun-10 Jun-11 Jun-12 Jun-13 Jun-14 Jun-15 Jun-16 Jun-17 Jun-18 Jun-19 Jun-20

Spre

ad (b

ps)

16

High-yield bond spreads over the last 10 years

Source: RBC GAM, Bloomberg. Data as of June 30, 2020.

300400500600700800900

1,0001,1001,200

Mar-20 Apr-20 May-20 Jun-20

Last 3 Months

17

10-year yields over the last 12 months

% Date

Peak 2.1 July 11, 2019

Trough 0.5 March 9, 2020

% Date

Peak 1.7 January 1, 2020

Trough 0.5 May 25, 2020

Source: RBC GAM, Bloomberg. Data as of June 30, 2020

0.0

0.5

1.0

1.5

2.0

2.5

10 Year U.S Treasury Yield %

0.00.20.40.60.81.01.21.41.61.8

10-Year Canadian Government Yield %

This information has been provided by RBC Global Asset Management Inc. (RBC GAM) and is for informational purposes only. It is not intended to provide legal, accounting, tax, investment, financial or other advice and such information should not be relied upon for providing such advice. RBC GAM takes reasonable steps to provide up-to-date, accurate and reliable information, and believes the information to be so when printed. Any investment and economic outlook information contained in this report has been compiled by RBC GAM from various sources. Information obtained from third parties is believed to be reliable, but no representation or warranty, express or implied, is made by RBC GAM, its affiliates or any other person as to its accuracy, completeness or correctness. RBC GAM and its affiliates assume no responsibility for any errors or omissions. This report may contain forward-looking statements. The words “may,” “could,” “should,” “would,” “suspect,” “outlook,” “believe,” “plan,” “anticipate,” “estimate,” “expect,” “intend,” “forecast,” “objective” and similar expressions are intended to identify forward-looking statements. Forward-looking statements are not guarantees of future performance. Forward-looking statements involve inherent risks and uncertainties, both about the Fund and general economic factors, so it is possible that predictions, forecasts, projections and other forward-looking statements will not be achieved. We caution you not to place undue reliance on these statements as a number of important factors could cause actual events or results to differ materially from those expressed orimplied in any forward-looking statement made in relation to the Fund. These factors include, but are not limited to, general economic, political and market factors in Canada, the United States and internationally, interest and foreign exchange rates, global equity and capital markets, business competition, technological changes, changes in laws and regulations, judicial or regulatoryjudgments, legal proceedings and catastrophic events. The above list of important factors that may affect future results is notexhaustive. Before making any investment decisions, we encourage you to consider these and other factors.

® / ™ Trademark(s) of Royal Bank of Canada. used under licence. © RBC Global Asset Management Inc. 2020

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Disclosure

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