Asset Allocation and TAA

Long-term return forecasts - darkest before the dawn?

Forecasting returns across major asset classes

Robeco's previous paper on five-year return forecasts is one of the most popular papers of all time on the Savvy Investor site. Earlier this week, Robeco released an updated version - an excellent 110-page report providing the building blocks for return forecasts across each of the major asset classes.

Below we have listed links to the Robeco paper, and to other recently published papers on the same topic.

dark pools Long term return forecasts darkest before dawn

Expected Returns 2017-2021: It’s Always Darkest Just Before Dawn (Robeco)
Sentiment among professional investors seems to have reached new lows. The authors of this paper by Robeco discuss in detail their expectations of a number of global market issues over the next five years.

Capital Market Assumptions: Five-Year Outlook 2016 (Northern Trust)
Northern Trust provides five-year return forecasts for a variety of asset classes including fixed income, equities, natural resources, global real estate, listed infrastructure, hedge funds and private equity. The document also highlights six "themes to watch" for the years ahead, with the primary theme being "market cycles in a cycle-less economy".

BlackRock's Methodology for Long-Term Return Forecasts (2016)
What investment returns can we expect in the long term across asset classes? This paper presents the methodology used to calculate the BlackRock Investment Institute’s long-term equilibrium capital market assumptions.

Secular Outlook for Global Growth: 2016–2035 (Fidelity Investments)
This report by Fidelity Investments focuses exclusively on secular outlook trends that may influence the long-term outlook for various investment asset classes.

Expected Returns on Major Asset Classes (Antti Ilmanen)
In this paper, Antti Ilmanen asks if the art and science of fund management can simply be reduced to a collection of patterns that markets generally follow, in violation of the efficient market hypothesis.

Long run asset class performance: 30-year return forecasts (Schroders)
This paper outlines the methodology used by Schroders to produce its 30-year return forecasts for a range of asset classes.

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