Asset Allocation and TAA

Survey of long-term expected returns - Oct 2017

Forecasting returns for the world's major asset classes

Long-term expected returns (sometimes referred to as Capital Market Assumptions) are key parameters for many asset allocation models. Below we list some of the top papers (mostly published in the last few months) which forecast the long-term returns from the world's major asset classes.

winding road long term expected returns white papers

Five-Year Expected Returns 2018-2022: Coming of Age (Robeco)
In this 106-page document, Robeco presents its forecasts for the 5-year expected returns for all major asset classes.

Five-Year Capital Market Outlook (Willis Towers Watson, 2017)
This paper by Willis Towers Watson takes a detailed look at the capital market outlook for the next 5 years. It discusses risk management, portfolio construction, implementation and monitoring, and more.

Capital Market Assumptions: Five-Year Outlook 2017 (Northern Trust)
The populist movement of the past year has not dramatically changed the global economic outlook. Global equity returns are expected to remain below long-term historical averages over the next five years.

Capital Market Assumptions (BlackRock, 2017)
The BlackRock Investment Institute publishes capital market assumptions every quarter covering two time horizons: long-term equilibrium capital markets assumptions. Here's their latest document.

Long-run asset class performance: 30yr return forecasts (2017-46) Schroders
Here, Schroders outline the methodology used to produce its 30-year return forecasts, which is based on a series of building blocks and estimates of risk premia.

Survey of Capital Market Assumptions - 2017 Edition (Horizon Actuarial, Aug 2017)
This paper provides the results of a recent survey by Horizon Actuarial which considers the expected returns for a hypothetical pension plan.

The Long-Run Drivers of Stock Returns (Financial Analysts Journal, 2017)
This paper in the Financial Analysts Journal provides theoretical and empirical evidence (from 1871–2014) to show that total payouts (dividends plus buybacks) are the key drivers of long-run stock market returns.

Supertrends - Investing for the Long Term (Credit Suisse, 2017)
This 97-page report has been produced by Credit Suisse. It analyses the key trends affecting long-term investing, such as geopolitics, demographic shifts, and rapid technology change.

Long-term return forecasts - the top white papers (April 2017)
This Savvy Research post from April 2017 features long-term return forecast research notes written in early 2017; from JP Morgan, Franklin Templeton, Voya, BMO and others.

Secular Supertrends - BIS says 30-year cycle set to reverse
Research from the BIS argues that a 30-year secular supercycle is about to move into reverse driven by demographics and globalization, leading to higher inflation and higher real rates of interest.

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