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Long Term Return Forecasts - by asset class

  • Posted by: ,  Chief Executive
  • 05 November 2018
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Long Term Expected Returns and how to derive them

What returns will global equity markets generate over the next five years, and how should investors derive these expectations?  Man Group details four separate methodologies for forecasting equity returns, PineBridge's CML highlights a disparity between higher EM equity expectations and lower forecasts for developed markets, while JP Morgan holds their long-term DM equity forecast steady at 5.5% p.a.

There are some real blockbuster papers in this list, representing some of the most insightful investment content published in 2018. 

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Medium-Term Asset Allocation Views (BNP Paribas AM, Oct 2018)
In addition to supplying medium-term return expectations, this update aims to provide guidance for institutional investors and asset allocators looking down the barrel of low yields, increased competition, and regulatory pressure.

2019 Long-Term Capital Market Assumptions (JP Morgan AM)
J.P. Morgan Asset Management provides 10 to 15-year risk/return projections for over 50 asset classes/strategies and several thematic articles relevant to long-term investors. 

5-year Expected Returns 2019-2023: Patience is a virtue (Robeco)
(For compliance reasons, this paper is NOT accessible in the United States)
This 116-page publication contains Robeco's 5-year investment outlook for all major asset classes. Also, five special features peer into some of the concerns facing professional investors today.

Long-Term Return Expectations - H2 2018 (Baillie Gifford)
(For compliance reasons, this paper is only accessible in the United Kingdom)
This paper sets out the views of Ballie Gifford's Multi Asset Team as of 30 June 2018, including what returns asset classes are likely to generate over the next 10 years and beyond.


Capital Market Assumptions Q4 2018 (Invesco)
(For compliance reasons, this paper is only accessible in certain geographies)
Invesco updates their quarterly return estimates and explains methodologies behind their 10-year capital market assumptions.

CML: The Medium Risk/Lower Return Bull Market Ahead (PineBridge, Oct 2018)
The Capital Market Line (CML) is based on PineBridge Investments’ estimates of forward-looking five-year returns and standard deviations. It quantifies asset class-level expectations of the Global Multi-Asset Team. 

Forecasting Long-Term Equity Trends (PGIM Institutional Advisory & Solutions)
(For compliance reasons, this paper is only accessible in the United States)
In this 16-page paper by PGIM, the authors examine the empirical performance of two different approaches to forecasting future ten-year equity returns: a regression methodology using CAPE and a more traditional “building block” approach.

Multi-Asset Outlook 4Q2018: How late in the cycle are we? (Wellington Management)
Multi-asset strategists from Wellington Management discuss the late stage of the current economic cycle, along with expectations for interest rates and asset class returns. 

Unconventional policy in the next downturn (LGIM, May 2018)
(For compliance reasons, this paper is NOT accessible in the United States and Canada)
With less room to engage in additional quantitative easing, what sort of unconventional responses could central banks turn to when the next recession arrives?

EM Roundtable: Is the emerging market story over? (Macquarie IM, Sep 2018)
Four Macquarie portfolio managers share their insights about the medium-term outlook for emerging market equity and fixed income. 

Estimating Strategic Returns (Man Group, 2018)
Man Group looks at four approaches to determining strategic return expectations for an asset class.  These strategic expectations can then be used to inform tactical decision-making processes. 

The enduring link between demography and inflation (BIS, 2018)
This BIS paper examines the level of influence that demographic trends such as population ageing have upon global inflation expectations, finding evidence that a strong relationship exists.

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