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Capital Market Assumptions - Q3 2019

Long-term Return Expectations for Capital Markets

Every so often it makes sense to recalibrate one's expectations of medium and short-term events, given changes that have occurred to the long-term outlook for global asset classes.  With this in mind, we present below some recent updates from MFS, PineBridge, Invesco and other asset managers on their long-term capital market assumptions. 

Also included are a couple of interesting papers on the process of setting those expectations - one from the perspective of pension actuaries, and another on the analysis of country-specific risk. 

long term capital market assumptions

Long-Term Capital Markets Expectations Summary (MFS IM, Jul 2019)

This paper is a summary of MFS's July 2019 Long Term Capital Market Expectations, offering proprietary forward looking expectations across the capital markets.

Capital Market Line: 5 Year Forecasts Across Asset Classes (PineBridge, Jul 2019)

Disputes between the U.S. and China could be propelling the world towards a schism of the global technology supply chain. A divide like this occurring along intellectual property lines would make R&D (and innovation in general) more difficult for companies. PineBridge assesses the potential implications on global growth in their five-year forward-looking view of risk and returns.

Video: How the Capital Market Line Helps Guide Our Asset Allocation Decisions (PineBridge, Jul 2019)

Michael Kelly from PineBridge discusses their Capital Market Line, and how is slope and the dispersion of asset classes are used to assess opportunities for investment.

Capital Market Assumptions Q3 2019 (Invesco)

For compliance reasons, this paper is only accessible in certain geographies

Invesco provides their long-term estimations for global asset class behaviour over a 10-year time horizon. This presentation of capital market assumptions includes estimated returns, standard deviations, and correlations between asset classes, as well as quarter-on-quarter changes from Q2 2019.

2019 Long-Term Capital Market Expectations (Franklin Templeton)

For compliance reasons, this paper is only accessible in the EMEA region

Franklin Templeton's annual publications provides expectations for returns from the major asset classes over a seven-year investment horizon.

Asset Class Return Forecasts, Q3 2019 (Amundi AM)

For compliance reasons, this paper is NOT accessible in the United States

Amundi Asset Management's asset class return forecasts are presented from both a medium-term (3-5 years) and long-term (10 years) perspective. They also briefly discuss the present outlook for global economic growth and global monetary policy.

China's equity and bond markets: a five-year view (UBS AM, 2019)

UBS Asset Management presents their capital market assumptions for Chinese equity and fixed income markets over a 5-year time horizon.

Forecasting Investment Returns and Expected Return Assumptions for Pension Actuaries (2019)

This 38-page report has been produced by the American Academy of Actuaries Pension Practice Council. It explains how pension actuaries look at capital market models from third parties and how they arrive at expected return assumptions.

Country Risk: A Mid-Year 2019 Update (Aswath Damodaran)

In this post, Aswath Damodaran examines country risk through many lenses, but with the end game of being able to incorporate it into decision making both for investors and businesses.

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