In this insightful 120-page paper, Robeco offer their prognosis for expected returns for major asset classes between 2016 and 2020. They also set out in detail the building blocks underlying these forecasts. They argue that longer-term forecasting is more reliable than short-term forecasting. Valuation corrections, for instance, are impossible to forecast on a three month horizon, but over a five-year period, some reversion to normal valuations is likely to occur. Furthermore, the impact of unexpected economic or political developments is more likely to even out, during a five year time frame. Robeco forecast five year global equity returns at 5.5%pa.
2016 Long-Term Capital Market Assumptions by JP Morgan
This detailed paper demonstrates the rationale behind JP Morgan's long-term outlook for all alternative strategy and major asset classes. The 80-page document is separated into three sections: a) thematic issues and trends, b) rationale and methodology, c) numerical assumptions.
The past 30 years have seen the biggest corporations in the world benefit from market expansion, declining costs, and profit growth, but these gains may end soon. In this McKinsey Global Institute report, the global corporate-profit pool is projected: with potential reductions from 10% world GDP to 8% by 2025, all the recent gains may become undone in a single decade.
Dynamic Asset Allocation Through the Business Cycle by OppenheimerFunds
The authors of this report present a dynamic approach to asset allocation, which allocates assets according to the macro regime. The report begins by defining macro regimes, and analysing how the risk premia of different asset classes varies within each regime. They then develop leading indicators to anticipate changes to a regime, demonstrating that regime changes are more important than the absolute level of economic growth.
The ins and outs of illiquid assets investing: A review of the most important aspects when considering investing in illiquid assets by Robeco
In this paper, the authors discuss the evidence, both theoretical and empirical, on illiquid asset investments, commenting on potential diversification benefits of illiquid investments, and drawing attention to associated problems and risks.
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