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Russell's Market Expectations

1st Qtr 2012

Posted: February 9, 2012 (Signal Date: February 3, 2012)

The summit of finance ministers in Europe at the end of January brought real progress in addressing the debt issue. Markets anticipated, and responded to, the news both by delivering positive equity returns and a decline in volatility. Italian and Spanish sovereign bond yields also improved, coming down from their highs in 2011. Although material concerns still remain (e.g., the ongoing negotiations surrounding Greek private-sector involvement, upcoming elections in France; potential European Stability Mechanism ratification), we have elected to slowly ramp up implementation of the signals below. We will be observing the markets and policy decisions closely and will update you in a timely manner if our strategists’ views on using the model signals change even if it does not fall in line with our normal quarterly reporting schedule.

Please remember that even in more normal market environments, this high level, simplified overview of our market forecasts is not intended to be used as the basis for a trading strategy or asset class timing. Among other things, a client’s individual risk tolerance and objectives, and more extensive details about the power and alignment of the various model signals would need to be taken into account to form a robust trading strategy.

Outperform SymbolOutperform

Strongly Outperform SymbolStrongly outperform

Comparison1 Expectation Why we chose it
U.S. Equities
vs.
U.S. Fixed Income
U.S. Equities
Outperform
We favor a modest overweight to U.S. Equities based on the attractive long-term mean reversion trend and fundamental and statistical valuations U.S. Equities enjoy relative to U.S. Treasuries.

U.S. Equity Styles

Large Cap
vs.
Small Cap
Neutral Although Large Cap benefits from mean reversion and a modest price–to–earnings advantage, momentum, price–to–book and price–to–sales signals are neutral. This puts us between a slight overweight to Large Cap and a neutral position.
Growth
vs.
Value
Growth
Outperform
We have a slight preference for Growth as a result of price–to–sales and price–to–earnings comparisons that show Growth is undervalued relative to Value. This signal is more pronounced in Large Cap than in Small Cap.

Equity Regions

U.S.
vs.
Non–U.S. Developed
Neutral A modest preference for Non–U.S. Developed would be justified from a price–to–earnings comparison, however to take advantage of this opportunity an this signal could change or reverse rapidly should concerns about Europe spark significant volatility again.
Global REITs
vs.
U.S. Equities
Neutral We have a neutral position in this pair. U.S. Equities are favored very slightly from a long-term mean reversion perspective. However, virtually all other indicators are neutral.
U.S.
vs.
Emerging Markets
Neutral We have a neutral weight in this pair. With the exception of a modest preference for Emerging Markets from a price–to–sales ratio of ratio comparison, all signals in this pair are neutral.
Non–U.S. Developed
vs.
Emerging Markets
Neutral We have a neutral position in this pair. Aside from a very modest preference for Non-–U.S. Developed from a long–term mean reversion perspective, valuation signals are neutral.

U.S. Fixed Income

Corp. Bonds
vs.
Treasuries
Corp. Bonds
Outperform
Option–adjusted spreads lead us to favor Corporate Bonds of non–Financials issuers. Corporate Bonds of Financials issuers appear underpriced, but material policy risks mitigate that optimism.
U.S. Fixed Income
vs.
Global REITs
Global REITs
Outperform
Global REITS are attractive from a relative yield comparison and neutral from a long–term mean reversion and momentum perspective. As a result, we prefer Global REITS to U.S. Fixed Income.

How do we expect the
U.S. Dollar (USD) to compare
to other currencies? 2

Undervalued relative to USD

  • Chinese yuan/Renminbi

Overvalued relative to USD

  • Yen
  • Euro

Neutral relative to USD

  • British pound
  • Australian dollar
  • Canadian dollar

Frequently Asked Questions

What is Russell's Market Expectations?

  • This quarterly report provides Russell's viewpoint on the direction of the market based on which asset classes and currencies we think are undervalued as indicated by our proprietary models.
  • The information is used to estimate the relative performance of the two asset classes shown in the pair. It does not provide insight into the absolute returns that an investor could expect. A model may suggest that asset A will offer a higher return than asset B if the relative valuation between the two returns to a historical level. However, the models do not suggest that asset A will provide a high return, simply a return that may surpass that provided by asset B. The returns of both asset A and B could be negative.
  • The asset class and currency views are pair-wise comparisons, based on the relative value of each asset class or currency, and reflect the valuation of asset classes or currencies that may be most attractive compared to one another.
  • Russell's proprietary models use financial theory, historical data and forecasts to measure relative valuation.
  • Nothing contained in this material is intended to constitute legal, tax, securities, or investment advice, nor an opinion regarding the appropriateness of any investment, nor a solicitation of any type. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional.

Why is it important?

  • Russell's Market Expectations can be used as a reference point for providing context and perspective on the direction of the market and as a viewpoint on the attractiveness of different asset classes and currencies

Can I use Russell's Market Expectations as an asset class timing tool?

  • No. This report is not intended to be used as the basis for a trading strategy or as an asset class timing tool.
  • The signals displayed in Russell's Market Expectations are a high level overview of a limited subset of the insights from Russell's Enhanced Asset Allocation (EAA) Strategies and do not reflect the risk and conviction controls that are part of the EAA portfolio customization.

How should I interpret it?

  • In simple terms, the chart shows you the relative valuation of asset classes for this quarter.
  • Each pair-wise expectation contains two important data points: the asset class we believe will outperform – or a neutral expectation if we believe they will have similar performance – and, if applicable, the strength of the outperformance. Moderate outperformance potential is indicated by a single plus sign (+), while strong outperformance potential is indicated by two plus signs (++).
  • The boxes shown to the right gives you a view on which major currencies we believe will be stronger, or weaker, than the U.S. dollar.
  • No model or group of models can offer a precise estimate of future returns available from capital markets. We remain cautious that rational analytical techniques cannot predict extremes in financial behavior, such as periods of financial euphoria or investor panic. Our models rest on the assumptions of normal and rational financial behavior. Forecasting models are inherently uncertain, subject to change at any time based on a variety of factors and can be inaccurate.

How often is it updated?

  • Russell's Market Expectations is typically updated during the first month of each quarter. In the first quarter of 2012 this communication will be updated in a timely manner if our strategists’ views on using the model signals change, even if does not fall in line with our normal quarterly reporting schedule.

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1All asset class comparison are Large Cap unless otherwise noted.

2 Currency rates may fluctuate significantly due to many factors including political developments in the U.S. or abroad. As a result, investments in non-U.S. dollar-denominated currencies may result in reduced returns.

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Important information and disclosures

Nothing contained in this material is intended to constitute legal, tax, securities, or investment advice, nor an opinion regarding the appropriateness of any investment, nor a solicitation of any type. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional.

These views are subject to change at any time based upon market or other conditions and are current as of the date at the top of the page.

The information, analysis, and opinions expressed herein are for general information only.

Diversification and strategic asset allocation do not assure profit or protect against loss in declining markets.

Please remember that all investments carry some level of risk, including the potential loss of principal invested. They do not typically grow at an even rate of return and may experience negative growth. As with any type of portfolio structuring, attempting to reduce risk and increase return could, at certain times, unintentionally reduce returns.

Large capitalization (large cap) investments involve stocks of companies generally having a market capitalization between $10 billion and $200 billion. The value of securities will rise and fall in response to the activities of the company that issued them, general market conditions and/or economic conditions.

Small capitalization (small cap) investments involve stocks of companies with smaller levels of market capitalization (generally less than $2 billion) than larger company stocks (large cap). Small cap investments are subject to considerable price fluctuations and are more volatile than large company stocks. Investors should consider the additional risks involved in small cap investments.

Growth investments focus on stocks of companies whose earnings/ profitability are accelerating in the short term or have grown consistently over the long term. Such investments may provide minimal dividends which could otherwise cushion stock prices in a market decline. Stock value may rise and fall significantly base, in part, on investors' perceptions of the company, rather than on fundamental analysis of the stocks. Investors should carefully consider the additional risks involved in growth investments.

Value investments focus on stocks of income-producing companies whose price is low relative to one or more valuation factors, such as earnings or book value. Such investments are subject to risks that their intrinsic values may never be realized by the market, or, such stock may turn out not to have been undervalued. Investors should carefully consider the additional risks involved in value investments.

Specific sector investing such as real estate can be subject to different and greater risks than more diversified investments. Declines in the value of real estate, economic conditions, property taxes and tax laws and interest rates all present potential risks to real estate investments.

Treasury Bills (T-bills) are short-term debt securities issued by the U.S. government with maturities of usually one year or less. Fixed income investors should carefully consider risks such as interest rate risk, credit risk, securities lending, repurchase and reverse repurchase transaction risk.

Bond investors should carefully consider risks such as interest rate, credit, repurchase and reverse repurchase transaction risks. Greater risk, such as increased volatility, limited liquidity, prepayment, non-payment and increased default risk, is inherent in portfolios that invest in high yield ("junk") bonds or mortgage backed securities, especially mortgage backed securities with exposure to sub-prime mortgages.

Although stocks have historically outperformed bonds, they also have historically been more volatile. Investors should carefully consider their ability to invest during volatile periods in the market.

Non-U.S. markets entail different risks than those typically associated with the U.S. markets, including currency fluctuations, political and economic instability, accounting changes, and foreign taxation. Securities may be less liquid and more volatile.

Investments in emerging or developing markets involve exposure to economic structures that are generally less diverse and mature, and to political systems which can be expected to have less stability than those of more developed countries. Securities may be less liquid and more volatile than U.S. and longer-established non-U.S. markets.

Indexes are unmanaged and cannot be invested in directly. Returns represent past performance, are not a guarantee of future performance, and are not indicative of any specific investment.

Forecasting represents predictions of market prices and/or volume patterns utilizing varying analytical data. It is not representative of a projection of the stock market, or of any specific investment.

Russell Investment Group, a Washington USA corporation, operates through subsidiaries worldwide, including Russell Investments, and is a subsidiary of The Northwestern Mutual Life Insurance Company.

The Russell logo is a trademark and service mark of Russell Investments.

Russell Financial Services, Inc., member FINRA (www.finra.org), part of Russell Investments.

First used February 2010
Revised February 2012
RFS 7628