MARKET INSIGHTS

4Q 2016 | As of September 30, 2016

AlternativesGuide to the Markets

|GTM – Asia 2

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Asset class correlations

Source: Bloomberg, DJ UBS, FactSet, J.P. Morgan Economics, MSCI, Standard & Poor’s, J.P. Morgan Asset Management.Correlations based on MSCI AC Asia ex-Japan (Asia ex-Japan), MSCI Emerging Markets (EM Equities), S&P 500 (U.S. Equities), J.P. Morgan Asia Credit Index (JACI) (USD Asian Bond), J.P. Morgan Emerging Market Bond Index Global (EMBIG) (USD EMD), J.P. Morgan Corporate Emerging Market Bond Index (CEMBI) (EM Corp), Bloomberg Barclays Pan European High Yield Index (European High Yield), Bloomberg Barclays U.S. Corporate High Yield Index (U.S. High Yield), Bloomberg Barclays U.S. Capital Aggregate (U.S. Agg), U.S. Dollar DXY Index (U.S. Dollar), Brent Crude Oil Price (USD/bbl) (Brent Crude Oil), London Gold PM Price Fixing (USD/oz) (Gold) and FTSE EPRA/NAREIT Developed REITs Index (Global REITs). 10-year correlations are based on monthly returns from 30/9/06 – 30/9/16, and 3-year correlations from 30/9/13 – 30/9/16. Guide to the Markets – Asia 4Q 2016. Data reflect most recently available as of 30/9/16.

Asia ex-Japan equity

EM equity U.S. equity Asian USD bond USD EMD EM corp European

high yieldU.S.

high yield U.S. agg U.S. dollar (DXY)

Brent crude oil Gold REITs

Asia ex-Japan equity 1.00 0.98 0.76 0.65 0.67 0.68 0.69 0.73 0.15 -0.53 0.39 0.19 0.65

EM equity 0.97 1.00 0.78 0.66 0.69 0.70 0.69 0.75 0.14 -0.57 0.43 0.21 0.67

U.S. equity 0.69 0.71 1.00 0.55 0.60 0.60 0.64 0.73 0.03 -0.52 0.34 0.04 0.81

Asian USD bond 0.62 0.65 0.44 1.00 0.93 0.96 0.64 0.73 0.61 -0.50 0.26 0.41 0.65

USD EMD 0.63 0.70 0.55 0.84 1.00 0.92 0.62 0.77 0.58 -0.57 0.31 0.36 0.69

EM corp 0.68 0.75 0.64 0.82 0.92 1.00 0.70 0.78 0.54 -0.52 0.38 0.37 0.62

European high yield 0.53 0.55 0.70 0.44 0.44 0.60 1.00 0.87 0.09 -0.33 0.46 0.10 0.62

U.S. high yield 0.65 0.71 0.69 0.64 0.74 0.87 0.75 1.00 0.23 -0.47 0.44 0.16 0.77

U.S. agg 0.09 0.08 -0.08 0.69 0.38 0.32 0.06 0.22 1.00 -0.25 -0.13 0.39 0.29

U.S. dollar (DXY) -0.25 -0.36 -0.23 -0.11 -0.39 -0.34 0.02 -0.38 0.17 1.00 -0.36 -0.40 -0.51

Brent crude oil 0.28 0.35 0.31 0.09 0.43 0.50 0.33 0.56 -0.27 -0.39 1.00 0.20 0.15

Gold 0.03 0.07 -0.15 0.33 0.30 0.22 -0.15 0.22 0.48 -0.32 -0.01 1.00 0.12

REITs 0.54 0.51 0.50 0.74 0.58 0.54 0.39 0.48 0.64 -0.07 -0.21 0.22 1.00

10-year correlations

3-year correlations

58

|GTM – Asia 3

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Oil: Short-term market dynamics

Source: (Left) FactSet, J.P. Morgan Asset Management. (Top right and bottom right) Baker Hughes, FactSet, U.S. Department of Energy, J.P. Morgan Asset Management. *Weekly U.S. crude oil and petroleum ending inventory includes strategic petroleum reserve, and active rig count represents both natural gas and oil rigs.Guide to the Markets – Asia 4Q 2016. Data reflect most recently available as of 30/9/16.

USD / bbl USD real effective exchange rateBrent crude and dollar exchange rate

Brent crude oil

USD REER(inverted scale)

OPEC crude oil productionMillion barrels

OPEC quota: 32.5M barrels/day

USD depreciation

USD appreciation

U.S. oil inventory and rig count* Number of rigs Billion barrels

Rig count U.S. oil inventory80

90

100

11020

40

60

80

100

120

140

'13 '14 '15 '1629

30

31

32

33

'13 '14 '15 '16

63

|GTM – Asia 4

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0

40

80

120

0 10 20 30 40 50 60 70 80 90

Oil: Long-term fundamentals

Source: (Top left and top right) IEA, J.P. Morgan Asset Management. (Bottom) Deloitte MarketPoint, IMF, Reuters, J.P. Morgan Asset Management.*Global demand and non-OPEC supply based on IEA forecast, whereas the OPEC supply for 2016 is estimated to be the same as 2015. Guide to the Markets – Asia 4Q 2016. Data reflect most recently available as of 30/9/16.

Global crude breakeven cost curveProduction cost 2013, USD / bbl

Production capacity, million barrels per day

Middle EastOther

conventionalsRussia

Other offshores

Heavyoils

North Sea

Deep-water

U.S. shale/

light oil

Canadian oil sands

Arctic

Oil supply and demand breakdownMillion barrels per day

World oil supply and demandMillion barrels per day

68

78

88

98

'95 '00 '05 '10 '15

Oil demand

Oil supply

IEA forecast*

91.4 93.7 96.3 96.5

IEA forecast*

Global demand Non-OPEC supply OPEC supply

37.5 37.5 38.7 38.7

53.8 56.3 57.7 57.1

91.9 92.8 94.4 95.6

0

20

40

60

80

100

'13 '14 '15 '16

64

|GTM – Asia 5

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-1.5%

-0.5%

0.5%

1.5%

2.5%800

1,000

1,200

1,400

1,600

1,800

2,000

'09 '10 '11 '12 '13 '14 '15 '16

Commodities: Gold and industrial metals

Source: (Top left) MSCI, J.P. Morgan Asset Management. (Top right) U.S. Federal Reserve, FactSet, J.P. Morgan Asset Management. (Bottom) J.P. Morgan Securities, J.P. Morgan Asset Management. Guide to the Markets – Asia 4Q 2016. Data reflect most recently available as of 30/9/16.

Real copper price and major periods of industrialization

USD / oz U.S. 10-year Treasury inflation-protected securityGold and real rates

Share of world total, 2015 averageChina’s consumption of commodities

12%

47% 49% 50%55%

60%

0%

10%

20%

30%

40%

50%

60%

70%

Crude oil Zinc Nickel Copper Aluminium Iron ore

USD / mt, three-year moving average

0

5,000

10,000

15,000

20,000

1773 1803 1833 1863 1893 1923 1953 1983 2013

UK

U.S.Japan and W. Europe China

Gold price TIPS yield (inverted)

65

|GTM – Asia 6

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Alternative sources of income

Source: Alerian, Bank of America, Bloomberg, Clarkson, Drewry Maritime Consultants, FactSet, Federal Reserve, FTSE, MSCI, NCREIF, Standard & Poor’s, J.P. Morgan Asset Management. Maritime = Unlevered yields for maritime assets are calculated as the difference between charter rates (rental income) and operating expenses as a percentage of current asset value. Yields for each of the sub-vessel types above are calculated and the respective weightings are applied to arrive at the current sub-sector specific yields, which are then weighted to arrive at the current indicative yield for the World Maritime Fleet. Asset classes are based on NCREIF ODCE (Private Real Estate), FTSE NAREIT Global/USA REITs (Global/U.S. REITs), MSCI Global Infrastructure Asset Index (Infrastructure Assets), Bloomberg Barclays U.S Convertibles Composite (Convertibles), J.P. Morgan Government Bond Index EM Global (GBI-EM) (Local EMD), J.P. Morgan Emerging Market Bond Index Global (EMBIG) (USD EMD), J.P. Morgan Asia Credit Index Non-investment Grade Corporate (Asia HY), MSCI Emerging Markets (EM Equity), MSCI The World Index (DM Equity), MSCI Emerging Markets High Dividend Yield Index (EM High Div. Equity), MSCI The World High Dividend Yield Index (DM High Div. Equity), MSCI USA (U.S. Equity). Guide to the Markets – Asia 4Q 2016. Data reflect most recently available as of 30/9/16.

Asset class yields

8.4%

7.0%6.5%

5.2% 5.1%

4.0% 3.9% 3.8% 3.7% 3.7% 3.5%

2.6% 2.6%2.1%

1.6%

0%

2%

4%

6%

8%

10%

66

|GTM – Asia 7

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Portfolio construction, asset class returns and volatility

Source: Bloomberg, Dow Jones, FactSet, MSCI, Standard & Poor’s, J.P. Morgan Asset Management. Hypothetical portfolios were created to illustrate different risk/return profiles and are not meant to represent actual asset allocation. USD total return calculations are based on MSCI Total Return, Bloomberg Barclays and J.P. Morgan indices. AxJ stands for MSCI AC Asia ex-Japan and APxJ stands for MSCI AC Asia Pacific ex-Japan. *Monthly total returns between 30/9/01 and 30/9/16 used for all asset classes, except for quarterly total returns used in private real estate between 30/9/01 and 30/6/16 due to data availability. Guide to the Markets – Asia 4Q 2016. Data reflect most recently available as of 30/9/16.

Annualized returns and volatilityTotal returns in USD*

Annualized volatility

Annu

aliz

ed re

turn

s

EquitiesBonds and cash

Portfolios

High dividend (HD) equities

Alternatives

Hypothetical portfolio constructionConservative Balanced Aggressive

DM equities 10% 30% 20%EM equities 5% 10% 40%U.S. HY 10% 15% 10%U.S. bonds 25% 10% 5%Cash 35% 10% 0%EMD 10% 15% 5%REITs 5% 10% 20%

DM

EM

U.S. HY

U.S. bonds

Cash

EMD

REITs

Balanced

Aggressive

Conservative

Europe

AxJAPxJ

U.S.Asian bonds

APxJ HD

AxJ HD

DM HD

EM HD

Hedge fund - mkt neutral

Hedge fund - macro

Hedge fund - distressed

Hedge fund - rel val

Private real estate

0%

3%

6%

9%

12%

15%

0% 5% 10% 15% 20% 25%

72

|GTM – U.S.

8

Correlations and volatility

Source: Barclays Inc., Bloomberg, Cambridge Associates, Credit Suisse/Tremont, FactSet, Federal Reserve, MSCI, NCREIF, Standard & Poor’s, J.P. Morgan Asset Management. Indexes used – Large Cap: S&P 500 Index; Currencies: Federal Reserve Trade Weighted Dollar; EAFE: MSCI EAFE; EME: MSCI Emerging Markets; Bonds: Barclays Aggregate; Corp HY: Barclays Corporate High Yield; EMD: Barclays Emerging Market; Cmdty.: Bloomberg Commodity Index; Real Estate: NAREIT ODCE Index; Hedge Funds: CS/Tremont Hedge Fund Index; Private equity: Cambridge Associates Global Buyout & Growth Index. Private equity data are reported on a two quarter lag. All correlation coefficients and annualized volatility calculated based on quarterly total return data for period 9/30/06 to 9/30/16. This chart is for illustrative purposes only.Guide to the Markets – U.S. Data are as of September 30, 2016.

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zU.S.

Large Cap EAFE EME Bonds

Corp. HY Munis Currcy. EMD Cmdty. REITs

Hedge funds

Private equity

Ann. Volatility

U.S. Large Cap 1.00 0.89 0.79 -0.30 0.75 -0.12 -0.48 0.62 0.54 0.78 0.81 0.80 16%

EAFE 1.00 0.90 -0.16 0.79 -0.02 -0.64 0.72 0.61 0.67 0.86 0.81 20%

EME 1.00 -0.07 0.85 0.05 -0.67 0.82 0.69 0.56 0.87 0.80 25%

Bonds 1.00 -0.06 0.77 -0.14 0.23 -0.09 -0.01 -0.21 -0.26 3%

Corp. HY 1.00 0.12 -0.52 0.89 0.66 0.67 0.79 0.66 12%

Munis 1.00 -0.10 0.43 -0.07 0.06 -0.03 -0.16 4%

Currencies 1.00 -0.59 -0.67 -0.38 -0.49 -0.56 8%

EMD 1.00 0.60 0.60 0.68 0.58 8%

Commodities 1.00 0.41 0.72 0.70 21%

REITs 1.00 0.53 0.58 26%

Hedge funds 1.00 0.87 7%

Private equity 1.00 11%

|GTM – U.S.

9

7%

8%

9%

10%

4% 6% 8% 10% 12%

Source: Cambridge Associates, HFRI, J.P. Morgan Asset Management; (Left) Barclays, FactSet, NCREIF, Standard & Poor’s; (Right) Lipper.The portfolios that do not contain alternatives are a mix of the S&P 500 and the Barclays U.S. Aggregate. The 20% allocation to alternatives shown on the left reflects the following: 10% in hedge funds (HFR FW Comp.), 5% in private equity and 5% in private real estate. The volatility and returns are based on data from 2Q91 to 1Q16, encompassing 25 years of data. *Manager dispersion is based on: 2006 – 2015 annual returns for large cap core, Core Bond; 2006 – 2015 monthly returns for hedge funds; 2006 – 2014 annual returns for private equity, venture capital, and buyout & growth; and 2009 – 2015 quarterly returns for U.S. real estate.Guide to the Markets – U.S. Data are as of September 30, 2016.

Understanding alternatives 55

20% Stocks60% Bonds20% Alternatives

30% Stocks70% Bonds

40% Stocks40% Bonds20% Alternatives

50% Stocks50% Bonds

70% Stocks30% Bonds

Volatility

Ret

urn

Alternatives and portfolio risk/returnAnnualized volatility and returns, 2Q91 – 1Q16

60% Stocks20% Bonds20% Alternatives

Manager alpha and dispersionBased on returns from 2006 – 2015*

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0%

5%

10%

15%

20%

25%

30%

Ann

ual R

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n

Top quartile Median Bottom quartile

|GTM – U.S.

10

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 YTD Ann. Vol.

Ma c ro La rge Ca p

Eve nt Drive n

Equity L/S

Large Ca p Ma cro Ma c ro La rge

Ca pLa rge Ca p

La rge Ca p

La rge Ca p

La rge Ca p

La rge Cap

Ma rke t Ne utra l

La rge Cap

La rge Ca p

La rge Ca p

5 .5 % 2 8 .7 % 14 .2 % 10 .0 % 15 .8 % 11.4 % 4 .7 % 2 6 .5 % 15 .1% 2 .1% 16 .0 % 32 .4 % 13 .7 % 4 .5 % 7 .8% 6 .3 % 16 .4 %

Re la tive Va lue

Eve nt Drive n

Large Ca p

Eve nt Drive n

Eve nt Drive n

Equity L/S

Marke t Ne utra l

Re la tive V a lue

Re la tive Va lue

Re la tive V a lue

Re la tive Va lue

Equity L/S Ma c ro La rge

Ca pEvent Drive n

Eve nt Driven

Equity L/S

5 .3 % 2 3 .0 % 10 .9 % 8.6 % 15 .2 % 11.4 % - 3 .0 % 2 3 .0 % 12 .5 % 0 .8 % 9 .7% 14 .5 % 5 .8% 1.4 % 6.1% 6 .3 % 10 .0 %

Ma rke t Ne utra l

Ma c ro Equity L/S

Ma rke t Ne utra l

Equity L/S

Re la tive V a lue

Re la tive Va lue

Equity L/S

Eve nt Drive n

Eve nt Drive n

Event Drive n

Eve nt Drive n

Re la tive V a lue

Mac ro Re la tive V a lue

Re la tive V a lue

Eve nt Drive n

0 .9 % 2 1.5 % 7 .9 % 6 .1% 12 .8 % 10 .0% - 17 .3 % 2 2 .3 % 11.5 % - 0 .5 % 6 .5% 13 .4 % 5 .3% 0 .4 % 4 .9% 6 .0 % 8 .6 %

Equity L/S

Equity L/S

Ma c ro Ma c ro Re la tive Va lue

Eve nt Drive n

Eve nt Drive n

Eve nt Drive n

Equity L/S

Ma cro Equity L/S

Re la tive V a lue

Equity L/S

Re la tive Va lue

Equity L/S

Ma c ro Re la tive V a lue

- 1.7 % 16 .9 % 7 .5 % 6 .1% 12 .2 % 8.7 % - 2 0 .8 % 2 0 .3 % 8 .9 % - 0 .7 % 4 .7% 7 .5 % 3 .6% 0 .2 % 3.1% 5 .5 % 6 .2 %

Eve nt Drive n

Re la tive V a lue

Re la tive Va lue

Re la tive V a lue Ma c ro Ma rke t

Ne utra lEquity

L/S Ma cro Ma c ro Ma rke t Ne utra l

Ma rke t Ne utra l

Ma rke t Ne utra l

Ma rke t Ne utra l

Equity L/S Ma c ro Equity

L/S Ma c ro

- 3 .1% 9 .1% 6 .1% 5.3 % 8 .2 % 5.7 % - 2 6 .4 % 6 .9 % 3 .2 % - 1.5% 3 .1% 6 .4 % 3 .2% - 0 .2 % 2 .1% 5 .0 % 5 .1%

Large Ca p

Ma rke t Ne utra l

Marke t Ne utra l

La rge Ca p

Marke t Ne utra l

La rge Ca p

La rge Ca p

Ma rke t Ne utra l

Ma rke t Ne utra l

Equity L/S Ma c ro Mac ro Event

Drive nEve nt Drive n

Ma rke t Ne utra l

Ma rke t Ne utra l

Ma rke t Ne utra l

- 2 2 .1% 3 .3 % 3 .4 % 4.9 % 7 .0 % 5.5 % - 3 7 .0 % - 1.7% 2 .5 % - 4 .3 % - 1.3 % 0 .1% 2 .6% - 2 .8 % 0 .4% 2 .8 % 2 .7 %

14-yrs. '02-'15

Hedge funds

Source: Barclays, FactSet, HFRI, Standard & Poor’s, J.P. Morgan Asset Management.Hedge fund returns in different market environments are based on monthly returns over the past 15 years through August 31, 2016, due to data availability. Year-to-date returns are as of August 31, 2016. Guide to the Markets – U.S. Data are as of September 30, 2016.

56

Hedge fund returns in different market environmentsAverage return in up and down months for S&P 500

Hedge fund returns in different market environmentsAverage return in up and down months for Barclays Agg.

HFRI FW Comp.Barclays U.S. Agg.

HFRI FW Comp.S&P 500

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1.3%

-1.1%

3.0%

-3.7%-5%-4%-3%-2%-1%0%1%2%3%4%

S&P 500 up S&P 500 down

0.5%0.3%

0.8%

-0.7%-1.0%

-0.5%

0.0%

0.5%

1.0%

Barclays Agg up Barclays Agg down

|GTM – U.S.

11

|

Source: Cambridge Associates, Deutsche Bank, FactSet, MSCI, National Venture Capital Association, J.P. Morgan Asset Management.Age at IPO is defined as time elapsed from first funding round until IPO date. *Data as of 1Q16. Guide to the Markets – U.S. Data are as of September 30, 2016.

Private debt and equity 57

Composition of firms’ external financing sources

Public vs. private equity returnsMSCI AC World total return and Global Buyout & Growth Equity Index*

Buyout & Growth Equity Index

MSCI ACWI

Private company age and market value

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86%

29%

10%

46%

4%24%

0%

20%

40%

60%

80%

100%

Europe U.S.

4 years

8 years

$534

$2,493

$0

$500

$1,000

$1,500

$2,000

$2,500

$3,000

0

1

2

3

4

5

6

7

8

9

2001 2012

Bank lending Non-bank lendingCapital markets

Avg. age at IPO (years)

Avg. post offer value ($ mm)

5.8%

4.6%

5.6%6.2%

11.3%10.9%

12.0%

12.9%

0%

2%

4%

6%

8%

10%

12%

14%

5 years 10 years 15 years 20 years

|GTM – U.S. |

12

Yield alternatives: Domestic and global

Source: FactSet, J.P. Morgan Asset Management; (Top) Ibbotson, Standard & Poor’s; (Bottom) Alerian, BAML, Barclays, Clarkson, Drewry Maritime Consultants, Federal Reserve, FTSE, MSCI, NCREIF, Standard & Poor’s. Dividend vs. capital appreciation returns are through 12/31/15. Yields are as of 9/30/16, except maritime (12/31/2015), infrastructure assets and private real estate (6/30/16). Maritime: Unlevered yields for maritime assets are calculated as the difference between charter rates (rental income) and operating expenses as a percentage of current asset value. Yields for each of the sub-vessel types above are calculated and the respective weightings are applied to calculate sub-sector specific yields, and then weighted to arrive at the current indicative yield for the World Maritime Fleet; MLPs: Alerian MLP; Preferreds: BAML Hybrid Preferred Securities; Private Real Estate: NCREIF ODCE; Global/U.S. REITs: FTSE NAREIT Global/USA REITs; Infrastructure Assets: MSCI Global Infrastructure Asset Index; Convertibles: Barclays U.S. Convertibles Composite; EM Equity: MSCI Emerging Markets; DM Equity: MSCI The World Index; U.S. Equity: MSCI USA.Guide to the Markets – U.S. Data are as of September 30, 2016.

58

Asset class yields

S&P 500 total return: Dividends vs. capital appreciationAverage annualized returns Capital appreciation

Dividends

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7.2%

6.0%

4.0% 3.9% 3.7% 3.7% 3.5%2.6% 2.6%

2.1%1.6%

0%

2%

4%

6%

8%

10%

Maritime MLPs Preferreds InfrastructureAssets

Global REITs U.S. REITs Convertibles Private RealEstate

DM Equity EM Equity U.S. Equity U.S. 10-year

4.7% 5.4% 6.0% 5.1% 3.3% 4.2% 4.4% 2.5%1.8%

4.0%

13.9%

-5.3%

3.0%

13.6%

4.4%1.6%

12.6% 15.3%

-2.7%

5.8%

-10%

-5%

0%

5%

10%

15%

20%

1926 - 1929 1930s 1940s 1950s 1960s 1970s 1980s 1990s 2000s 1926 to 2015

|GTM – U.S.

13

-3 -2 -1 0 1 2 3 4 5

BloombergCommodity

Index

Livestock

Crude oil

Industrial metals

Agriculture

Natural gas

Silver

Gold

Source: FactSet, J.P. Morgan Asset Management; (Left) Bloomberg, CME; (Top right) BLS, CME; (Bottom right) Bloomberg, BLS.Commodity prices are represented by the appropriate Bloomberg Commodity sub-index. Crude oil shown is Brent crude. Other commodity prices are represented by futures contracts. Z-scores are calculated using daily prices over the past 10 years.Guide to the Markets – U.S. Data are as of September 30, 2016.

Global commodities 59

Commodity prices Commodity price z-scores

Commodity prices and inflationYear-over-year % change

Headline CPI Bloomberg Commodity Index

Gold pricesUSD per ounce

Gold, inflation adjustedGold

Sep. 2016:$1,323

Example High levelCurrent

Low level

$48.2

$24.0

$19.2

$1317.1

$26.2 $145.3

$71.5

$48.6

$1891.9$566.7

$8.8

$24.0

$266.8$84.2$102.0

$101.8$47.7$55.1

$13.6$1.8$3.0

$238.0$72.9$85.3

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|GTM – U.S.

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Source: (Left) U.S. Real Estate: NCREIF, J.P. Morgan Asset Management; (Top right) Europe real estate: IPD, Barclays J.P. Morgan Asset Management; (Bottom right) Asia Pacific real estate: IPD, FTSE, S&P ASX, J.P. Morgan Asset Management. All property yields (equally-weighted, capitalization rates), government bonds and BBB-rated bonds for Asia Pacific are represented by Australia and Japan. Guide to the Markets – U.S. Data are as of September 30, 2016.

Global commercial real estate 60

U.S. real estate net operating income growthYear-over-year NCREIF ODCE Index NOI growth

Europe real estate property yield spreadsProperty yields vs. government bonds vs. BBB rated bonds

Asia Pacific real estate property yield spreadsProperty yields vs. government bonds vs. BBB-rated bonds

-10%

-5%

0%

5%

10%

15%

20%

25%

2000 2002 2004 2006 2008 2010 2012 2014 2016

2Q16: 5.1%

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0%

2%

4%

6%

8%

10%

2006 2008 2010 2012 2014 2016

Government bonds BBB-rated bonds All-property yield

0%

2%

4%

6%

8%

2006 2008 2010 2012 2014 2016

All-property yield Government bonds BBB-rated bonds

15

GTM – UK |

50

150

250

350

450

550

0

200

400

600

800

'95 '00 '05 '10 '15

Commodities

Commodity pricesIndex level, rebased to 100 at Dec 2012

China’s imports of key commoditiesMillions of metric tonnes

Gross fixed capital formation in commodity industryIndex level, rebased to 100 at Jan 1995

Source: (Left) Bloomberg, FactSet, J.P. Morgan Asset Management. (Top right) Thomson Reuters Datastream, China Customs, J.P. Morgan Asset Management. (Bottom right) Australia Bureau of Statistics, Worldscope, Thomson Reuters Datastream, J.P. Morgan Asset Management. *Global data defined as global listed integrated oil and gas. Guide to the Markets - UK. Data as of 30 September 2016.

'13 '14 '15 '1620

40

60

80

100

120

140

Bloomberg Commodity Index weightsLivestock 6% Industrial metals 17%Energy 31% Precious metals 15%Crops 31%

Global oil and gas*

Australian mining

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Iron ore (LHS)

Copper (RHS)

Crude oil (LHS)

69

0

2

4

6

0

40

80

120

2000 2005 2010 2015

16

GTM – UK |

0

20

40

60

80

100

120

140

160

'80 '84 '88 '92 '96 '00 '04 '08 '12 '1680

85

90

95

100

'05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17

0

600

1,200

1,800

200

400

600

'00 '02 '04 '06 '08 '10 '12 '14 '16

Oil market drivers

Crude oil pricesUSD per barrel

US rig count vs. oil inventories*Thousands of barrels (LHS); rigs (RHS)

Global oil supply and demand Millions of barrels per day

Source: (Left) FactSet, J.P. Morgan Asset Management. (Top right) Bloomberg, Baker Hughes, US Department of Energy, J.P. Morgan Asset Management. *Excluding US strategic petroleum reserve. (Bottom right) Bloomberg, EIA, J.P. Morgan Asset Management. Forecast from EIA. Guide to the Markets - UK. Data as of 30 September 2016.

YTD changeBrent crude +29.7%

Oth

er a

sset

s

Forecast

Demand

Supply

Rigs

Inventories

Average: $42

70

17

GTM – UK |

-1.0

-0.5

0.0

0.5

1.01,000

1,300

1,600

1,900

'12 '13 '14 '15 '16

-5000

5001,0001,5002,0002,500

Jewellery Technology Total bar andcoin demand

ETFs &similar

products

Central bank& other inst.

Gold market dynamics

Gold priceGold vs. US 10-year Treasury real yields$ per Troy ounce (LHS); % inverted (RHS)

Breakdown of world gold demand by sectorTonnes

Source: (Top left) Thomson Reuters Datastream, J.P. Morgan Asset Management. (Bottom left) World Gold Council, J.P. Morgan Asset Management. (Right) FactSet, J.P. Morgan Asset Management. Guide to the Markets - UK. Data as of 30 September 2016.

Oth

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sset

s

'69 '74 '79 '84 '89 '94 '99 '04 '09 '140

500

1,000

1,500

2,000

2,500Inflation-adjusted gold priceGold price

Real yields (inverted)

Gold

$ per Troy ounce

2015Q2 2016 ann.

71

18

GTM – UK |

-1.0

-0.5

0.0

0.5

1.0

'06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16

1.4

-1.1

0.5 0.4

3.1

-3.8

1.0

-0.7

-4

-2

0

2

4

Risk-adjusted returns and downside protection

Risk-adjusted returns of a 50/50 portfolioSharpe ratio of a portfolio of 50% global equities and 50% global bonds*

Three-month stock and bond correlationsOf total return on US equities (S&P 500) and US Treasuries (10-yr)

Hedge fund returns in different market environments%, average total return in up and down months, 2001-2015

Source: (Left) MSCI, J.P. Morgan Asset Management. *The equity index is the MSCI World (EUR hedged) and the bond index is the JP Morgan Global Bond index (EUR hedged). The portfolio is rebalanced monthly. Sharpe ratio is calculated as (Return - Risk free rate) / Volatility. (Top right) Bloomberg, J.P. Morgan Asset Management. (Bottom right) Barclays, Thomson Reuters Datastream, Hedge Fund Research, Standard & Poor’s, J.P. Morgan Asset Management. **HFRI FW is Hedge Fund Research Index Fund Weighted. ***US bonds is the Barclays US Aggregate Bond Index. Downside protection refers to attempting to minimise the impact of any falls in the underlying investments. Guide to the Markets - UK. Data as of 30 September 2016.

HFRI FW**US bonds***

HFRI FW**S&P 500

5-year Sharpe ratio

3-year Sharpe ratio

S&P 500 up S&P 500 down Bond downBond up

Oth

er a

sset

s

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

'04 '06 '08 '10 '12 '14 '16

72

19

GTM – UK |

7.4

5.13.9

6.3

15.3

12.611.1

13.4

0

6

12

18

5 years 10 years 15 years 20 years

-10

-5

0

5

10

15

20

25

0

4

8

12

16

'70 '80 '90 '00 '10

Alternative strategies

Manager dispersion: Public and private markets*%, annual returns

Public vs. private equity returns%, MSCI AC World total return vs. Global Buyout & Growth Equity Index**

Infrastructure returns%, OECD allowed RoE over cost of debt

Source: (Left) Lipper, Cambridge Associates. *Manager dispersion is based on the time period from 31 December 2009 through 31 December 2014, except for private equity, which is based on the five-year period ending 31 March 2014 due to returns being reported with a lag. (Top right) National Venture Capital Association, MSCI, Cambridge Associates, Deutsche Bank, FactSet, J.P. Morgan Asset Management. **Data as of Q315. (Bottom right) Bloomberg, Regulatory Research Associates, J.P. Morgan Asset Management. Guide to the Markets - UK. Data as of 30 September 2016.

Recession

Electric

Natural gas

10-yr US Treasury

Utility bond

Global Buyout & Growth Equity Index

MSCI ACWI75th percentile

25th percentileMedian

Public Private

Oth

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sset

s

73

20

J.P. Morgan Asset Management: Index DefinitionsAll indexes are unmanaged and an individual cannot invest directly in an index. Index returns do not include fees or expenses. The S&P 500 Index is widely regarded as the best single gauge of the U.S. equities market. This world-renowned index includes a representative sample of 500 leading companies in leading industries of the U.S. economy. Although the S&P 500 Index focuses on the large-cap segment of the market, with approximately 75% coverage of U.S. equities, it is also an ideal proxy for the total market. An investor cannot invest directly in an index. The Tokyo Stock Price Index ('TOPIX') is a composite index of all common stocks listed on the First Section of Tokyo Stock Exchange (TSE).The index is basically a measure of the changes in aggregate market value of TSE common stocks. The base for the index is the aggregate market value of its component stocks as of the close on January 4, 1968. The aggregate market value is calculated by multiplying the number of listed shares of each component stock by its price and totaling the products derived there from.The Bombay Exchange Sensitive Index (‘SENSEX), first compiled in 1986, was calculated on a "Market Capitalization-Weighted" methodology of 30 component stocks representing large, well-established and financially sound companies across key sectors. The base year of SENSEX was taken as 1978-79. SENSEX today is widely reported in both domestic and international markets through print as well as electronic media. It is scientifically designed and is based on globally accepted construction and review methodology. Since September 1, 2003, SENSEX is being calculated on a free-float market capitalization methodology.The Korea Composite Stock Price Index (‘KOSPI) is market capitalization based index on all common stocks listed on the Stock Market Division of the Korea Exchange (KRX) and excludes preferred stocks. The stock price index is calculated using the actual price traded on the market and not the “base price” used for market management such as establishment of price change limits. When no market price is available for issues that are not being traded or have halted trading, the latest closing price is used. KOSPI was a assigned a base index of 100 set to January 4, 1980.The China Shenzhen Composite Index is an actual market-cap weighted index that tracks the stock performance of all the A-share and B-share lists on Shenzhen Stock Exchange. The index was developed on April 3, 1991 with a base price of 100. The MSCI® EAFE (Europe, Australia, Far East) Net Index is recognized as the pre-eminent benchmark in the United States to measure international equity performance. It comprises 21 MSCI country indexes, representing the developed markets outside of North America. The MSCI Emerging Markets IndexSM is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. As of June 2007, the MSCI Emerging Markets Index consisted of the following 25 emerging market country indices: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Israel, Jordan, Korea, Malaysia, Mexico, Morocco, Pakistan, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.The MSCI ACWI (All Country World Index) Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. As of June 2009 the MSCI ACWI consisted of 45 country indices comprising 23 developed and 22 emerging market country indices.The following MSCI Total Return IndicesSM are calculated with gross dividends:This series approximates the maximum possible dividend reinvestment. The amount reinvested is the dividend distributed to individuals resident in the country of the company, but does not include tax credits.The MSCI Europe IndexSM is a free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe. As of June 2007, the MSCI Europe Index consisted of the following 16 developed market country indices: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom. The MSCI Pacific IndexSM is a free float-adjusted market capitalization index that is designed to measure equity market performance in the Pacific region. As of June 2007, the MSCI Pacific Index consisted of the following 5 Developed Market countries: Australia, Hong Kong, Japan, New Zealand, and Singapore.

The MSCI Europe ex UK IndexSM is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed markets in Europe, excluding the United Kingdom. The MSCI Europe ex UK Index consists of the following 15 developed market country indices: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, and Switzerland.The MSCI Pacific ex Japan IndexSM is a free float-adjusted market capitalization index that is designed to measure equity market performance in the Pacific region, excluding Japan. As of June 2007, the MSCI Pacific Index consisted of the following 4 Developed Market countries: Australia, Hong Kong, New Zealand, and Singapore. The MSCI USA IndexSM is designed to measure the performance of the large and mid cap segments of the U.S. market. With 586 constituents, the index covers approximately 84% of the free float-adjusted market capitalization in the U.S.. The MSCI USA Index was launched on Dec ember 31, 1969.The MSCI China IndexSM captures large and mid cap representation across China H shares, B shares, Red chips and P chips. With 148 constituents, the index covers about 84% of this China equity universe. The MSCI China Index was launched on December 31, 1992.The MSCI Indonesia IndexSM is designed to measure the performance of the large and mid cap segments of the Indonesian market. With 25 constituents, the index covers about 84% of the Indonesian equity universe. The MSCI Indonesia Index was launched on December 31, 1990.The MSCI Korea IndexSM is designed to measure the performance of the large and mid cap segments of the South Korean market. With 105 constituents, the index covers about 84% of the Korean equity universe. The MSCI Korea Index was launched on December 31, 1989.The MSCI India IndexSM is designed to measure the performance of the large and mid cap segments of the Indian market. With 71 constituents, the index covers about 84% of the Indian equity universe. The MSCI India Index was launched on December 31, 1993.The MSCI Japan IndexSM is designed to measure the performance of the large and mid cap segments of the Japan market. With 315 constituents, the index covers approximately 84% of the free float-adjusted market capitalization in Japan. The MSCI Japan Index was launched on December 31, 1969.The MSCI Hong Kong IndexSM is designed to measure the performance of the large and mid cap segments of the Hong Kong market. With 42 constituents, the index covers approximately 84% of the free float-adjusted market capitalization of the Hong Kong equity universe. The MSCI Hong Kong Index was launched on December 31, 1972.The MSCI Taiwan IndexSM is designed to measure the performance of the large and mid cap segments of the Taiwan market. With 113 constituents, the index covers approximately 84% of the free float-adjusted market capitalization in Taiwan. The MSCI Taiwan Index was launched on December 31, 1989.West Texas Intermediate (WTI) is the underlying commodity for the New York Mercantile Exchange's oil futures contracts. The Dow Jones-UBS Commodity Index is composed of futures contracts on physical commodities and represents nineteen separate commodities traded on U.S. exchanges, with the exception of aluminum, nickel, and zinc.The Dow Jones-UBS Commodity Subindexes represent commodity groups and sectors, as well as single commodities, that make up the Dow Jones-UBS Commodity Index. The subindexes track exchange-traded futures of physical commodities, and the commodity groups and sectors, like in the case of the broad index, are weighted to account for economic significance and market liquidity. The different subindexes are Energy, Livestock, Grains, Industrial Metals, and Precious Metals.

21

The Euro Stoxx 600 Index represents large, mid and small capitalization companies across 18 European countries.The Barclays High Yield Index covers the universe of fixed rate, non-investment grade debt. Pay-in-kind (PIK) bonds, Eurobonds, and debt issues from countries designated as emerging markets (e.g., Argentina, Brazil, Venezuela, etc.) are excluded, but Canadian and global bonds (SEC registered) of issuers in non-EMG countries are included. Original issue zeroes, step-up coupon structures, and 144-As are also included.The Barclays 1-3 Month U.S. Treasury Bill Index includes all publicly issued zero-coupon U.S. Treasury Bills that have a remaining maturity of less than 3 months and more than 1 month, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate and non convertible.The Barclays Corporate Bond Index is the Corporate component of the U.S. Credit index.The Barclays TIPS Index consists of Inflation-Protection securities issued by the U.S. Treasury.The J.P. Morgan EMBI Global Index includes U.S. dollar denominated Brady bonds, Eurobonds, traded loans and local market debt instruments issued by sovereign and quasi-sovereign entities.The J.P. Morgan GBI-EM Global Diversified consists of regularly traded, liquid fixed-rate, domestic currency government bonds to which international investors can gain exposure. The weightings among the countries are more evenly distributed within this index.The J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI): The CEMBI tracks total returns of US dollar-denominated debt instruments issued by corporate entities in Emerging Markets countries, and consists of an investable universe of corporate bonds.The J.P. Morgan Domestic High Yield Index is designed to mirror the investable universe of the U.S. dollar domestic high yield corporate debt market.The VIX-CBOE Volatility Index measures market expectations of near-term volatility conveyed by S&P 500 Index (SPX) option prices. The MOVE-Merrill Lynch Option Volatility Index is a blended implied normal volatility for constant one-month at-the-money options on U.S. Treasuries.

Price to forward earnings is a measure of the price-to-earnings ratio (P/E) using forecasted earnings. Price to book value compares a stock's market value to its book value. Price to cash flow is a measure of the market's expectations of a firm's future financial health. Price to dividends is the ratio of the price of a share on a stock exchange to the dividends per share paid in the previous year, used as a measure of a company's potential as an investment.Bonds are subject to interest rate risks. Bond prices generally fall when interest rates rise.The price of equity securities may rise, or fall because of changes in the broad market or changes in a company’s financial condition, sometimes rapidly or unpredictably. These price movements may result from factors affecting individual companies, sectors or industries, or the securities market as a whole, such as changes in economic or political conditions. Equity securities are subject to “stock market risk” meaning that stock prices in general may decline over short or extended periods of time.Small-capitalization investing typically carries more risk than investing in well-established "blue-chip" companies since smaller companies generally have a higher risk of failure. Historically, smaller companies' stock has experienced a greater degree of market volatility than the average stock.Mid-capitalization investing typically carries more risk than investing in well-established "blue-chip" companies. Historically, mid-cap companies' stock has experienced a greater degree of market volatility than the average stock.Real estate investments may be subject to a higher degree of market risk because of concentration in a specific industry, sector or geographical sector. Real estate investments may be subject to risks including, but not limited to, declines in the value of real estate, risks related to general and economic conditions, changes in the value of the underlying property owned by the trust and defaults by borrower.International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies can raise or lower returns. Also, some markets may not be as politically and economically stable as other nations. Investments in emerging markets can be more volatile. The normal risks of international investing are heightened when investing in emerging markets. In addition, the small size of securities markets and the low trading volume may lead to a lack of liquidity, which leads to increased volatility. Also, emerging markets may not provide adequate legal protection for private or foreign investment or private property.Investments in commodities may have greater volatility than investments in traditional securities, particularly if the instruments involve leverage. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. Use of leveraged commodity-linked derivatives creates an opportunity for increased return but, at the same time, creates the possibility for greater loss.Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic or market conditions than other types of investments and could result in losses that significantly exceed the original investment. The use of derivatives may not be successful, resulting in investment losses, and the cost of such strategies may reduce investment returns.There is no guarantee that the use of long and short positions will succeed in limiting an investor's exposure to domestic stock market movements, capitalization, sector swings or other risk factors. Investing using long and short selling strategies may have higher portfolio turnover rates. Short selling involves certain risks, including additional costs associated with covering short positions and a possibility of unlimited loss on certain short sale positions.

J.P. Morgan Asset Management: Index Definitions, Risks and Disclosures

22

J.P. Morgan Asset Management: Risks and DisclosuresThe Market Insights program provides comprehensive data and commentary on global markets without reference to products. It is designed to help investors understand the financial markets and support their investment decision making (or process). The program explores the implications of economic data and changing market conditions for the referenced period and should not be taken as advice or recommendation.

The views contained herein are not to be taken as an advice or a recommendation to buy or sell any investment in any jurisdiction, nor is it a commitment from J.P. Morgan Asset Management or any of its subsidiaries to participate in any of the transactions mentioned herein. Any forecasts, figures, opinions or investment techniques and strategies set out are for information purposes only, based on certain assumptions and current market conditions and are subject to change without prior notice. All information presented herein is considered to be accurate at the time of production, but no warranty of accuracy is given and no liability in respect of any error or omission is accepted. This material does not contain sufficient information to support an investment decision and it should not be relied upon by you in evaluating the merits of investing in any securities or products. In addition, users should make an independent assessment of the legal, regulatory, tax, credit, and accounting implications and determine, together with their own professional advisers, if any investment mentioned herein is believed to be suitable to their personal goals. Investors should ensure that they obtain all available relevant information before making any investment. It should be noted that investment involves risks, the value of investments and the income from them may fluctuate in accordance with market conditions and taxation agreements and investors may not get back the full amount invested. Both past performance and yield may not be a reliable guide to future performance.

J.P. Morgan Asset Management is the brand for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide. This communication is issued by the following entities: in the United Kingdom by JPMorgan Asset Management (UK) Limited, which is authorized and regulated by the Financial Conduct Authority; in other EU jurisdictions by JPMorgan Asset Management (Europe) S.à r.l.; in Hong Kong by JF Asset Management Limited, or JPMorgan Funds (Asia) Limited, or JPMorgan Asset Management Real Assets (Asia) Limited; in India by JPMorgan Asset Management India Private Limited; in Singapore by JPMorgan Asset Management (Singapore) Limited, or JPMorgan Asset Management Real Assets (Singapore) Pte Ltd; in Taiwan by JPMorgan Asset Management (Taiwan) Limited; in Japan by JPMorgan Asset Management (Japan) Limited which is a member of the Investment Trusts Association, Japan, the Japan Investment Advisers Association, Type II Financial Instruments Firms Association and the Japan Securities Dealers Association and is regulated by the Financial Services Agency (registration number “Kanto Local Finance Bureau (Financial Instruments Firm) No. 330”); in Korea by JPMorgan Asset Management (Korea) Company Limited; in Australia to wholesale clients only as defined in section 761A and 761G of the Corporations Act 2001 (Cth) by JPMorgan Asset Management (Australia) Limited (ABN 55143832080) (AFSL 376919); in Brazil by Banco J.P. Morgan S.A.; in Canada for institutional clients’ use only by JPMorgan Asset Management (Canada) Inc., and in the United States by JPMorgan Distribution Services Inc. and J.P. Morgan Institutional Investments, Inc., both members of FINRA/SIPC.; and J.P. Morgan Investment Management Inc.

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Copyright 2016 JPMorgan Chase & Co. All rights reserved.

Unless otherwise stated, all data are as of September 30 2016 or most recently available.

MI-GTMALT OCTOBER2016