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 AQR Capital Management explores the big picture market assumptions for major asset classes.|
|There are some real blockbuster papers in this list, representing some of the most insightful investment content published recently.|
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.
Invesco updates their quarterly return estimates and explains methodologies behind their 10-year capital market assumptions.
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.
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.
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.
This paper explores key global trends and macroeconomic topics that truly long-term investors such as Sovereign Wealth Funds should prioritize in their investment framework.
Forecasting Long-Term Equity Trends: A Comparison of Popular Methodologies (PGIM Institutional Advisory & Solutions, 2018)
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.
With less room to engage in additional quantitative easing, what sort of unconventional responses could central banks turn to when the next recession arrives?
This 38-page report by the American Academy of Actuaries Pension Practice Council explains how pension actuaries select or recommend an expected investment return assumption or assess capital market models from an outside party, and may also facilitate discussion with investment professionals to better understand the basis for their assumptions.
QMA’s CMAs underpin the long-run outlook for strategic allocations in our individual strategies and multi-asset portfolios. They provide 10-year forward-looking expectations for the most widely held equity, fixed income and nontraditional asset classes, measuring both return and risk.
Strategists at PineBridge Investments argue that markets this year will show that global growth is now more robust and less fragile. Their latest Capital Market Line document explains how they're assessing the opportunities in their five-year, forward-looking view of risk and returns.
This article updates AQR Capital Management's estimates of medium-term (5- to 10-year) expected returns for major asset classes. It also includes a section on estimating expected returns for private equity and real estate.
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.
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.
This document includes Amundi’s view on asset returns used to build reference portfolios for our institutional clients. The edition published in February covers major macro and financial foundations, while on a quarterly basis it will provide table updates.
This report by Willis Towers Watson examines the five-year capital market outlooks for different regions around the world including Australia, North America and Asia.
This paper sets out the Multi Asset Team’s views, as at 31 December 2018, on what different asset classes are likely to deliver over the next 10 years and in the long run beyond 10 years.