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Exhibit 2 Asset class—performance metrics (unhedged JPY returns; February 2002–January 2017).

From: Emerging market equity benchmarks for Japanese investors: countries, sectors or styles?

  Cap-weighted
DM equities DM ex-Japan equities Japan equities EM equities Global Govt. ex-Japan bonds Japan Govt. bonds
Returns (annualized) 5.6% 5.7% 4.5% 8.7% 4.6% 2.0%
Risk (annualized) 19.0% 19.6% 18.4% 24.1% 9.5% 2.1%
Sharpe ratio 0.28 0.28 0.23 0.35 0.47 0.87
Correl to Japan 0.78 0.75 1.00 0.72 0.50 − 0.37
Correl to DM 1.00 1.00 0.78 0.88 0.63 − 0.26
Correl to EM 0.88 0.87 0.72 1.00 0.54 − 0.25
Max. drawdown − 61.2% − 61.7% − 57.3% − 68.2% − 22.5% − 4.5%
  1. We proxy DM equities with MSCI World Total Return (TR) Index, DM ex-Japan equities with MSCI World ex-Japan TR index. Japan equities with MSCI Japan TR index, and EM equities with MSCI EM index. We proxy Global Govt. ex-Japan Bonds with J. P. Morgan Global Government Bond ex-Japan Index, and Japan Govt. Bonds (JGBs) with J. P. Morgan Japan Government Bond Index. Past performance is not a guarantee or a reliable indicator of future results. Chart is provided for illustrative purposes only