APPENDIX
Risk and Return of Asset Classes and Risk Factors Through Business Cycles
This appendix presents graphs of risks and returns of major asset classes through time. The goal is to familiarize readers with the behavior of these variables as the economy goes through various stages of the business cycle. Our other goal is to show that return and, especially, risk characteristics of asset classes do change through time and some of these changes will be quite dramatic during periods of economic stress.
On the graphs that follow, periods of economic stress are highlighted with shading.
EXHIBIT A.1 S&P 500: Growth of $100
Source: Bloomberg Corporation
117
EXHIBIT A.2 S&P 500: Volatility
Source: Bloomberg Corporation.
118
EXHIBIT A.3 NASDAQ Composite: Growth of $100
Source: Bloomberg Corporation.
119
EXHIBIT A.4 NASDAQ Composite: Volatility
Source: Bloomberg Corporation.
120
EXHIBIT A.5 Russell 1000 Growth: Growth of $100
Source: Bloomberg Corporation.
121
EXHIBIT A.6 Russell 1000 Growth: Volatility

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