Forecasting returns across major asset classes
Long-term return forecasts are amongst the most important instruments in the asset allocators tool-box. Not only are they helpful for setting long-term asset allocation parameters, but they also help guard investors against getting caught up with passing fads and fashions.
Below we have listed some of the top papers, all published in 2017, which provide long-term return forecasts; plus another paper which aims to unlock the holy grail of assessing fair value in equity markets.
Long run asset class performance: 30-year return forecasts (Schroders)
Schroders Economics Group produces 30-year return forecasts, on an annual basis, for a range of asset classes. Here we outline the methodology used, which is based on a series of building blocks and estimates of risk premia, and surmise the key conclusions from our analysis.
2017 Long-term Capital Market Assumptions (Franklin Templeton)
This 21-page paper by Franklin Templeton Investments discusses long-term capital market expectations within the context of a changing global economic environment.
2017 Long-term Capital Market Assumptions (Voya Investments)
This 21-page paper by Voya Investment Management provides an overview of the firm's long-term capital markets forecast of asset class returns over the 2017-2026 horizon.
Global Investment Forum 2017-2022: Five-Year Outlook (BMO)
Portfolios built to take advantage of discrete themes can enjoy a favourable tailwind; those that ignore them are bound to struggle in the face of formidable headwinds.
Expected Returns 2017-2021: It’s Always Darkest Just Before Dawn (Robeco)
Sentiment among professional investors seems to have reached new lows, and truly, there are enough reasons investors can think of to justify a bearish view on financial markets. The authors of this paper discuss in detail (117 pages) their expectations of a number of global market issues over the next five years.
2017 Long-Term Capital Market Assumptions (JP Morgan)
This edition of JP Morgan's Long-Term Capital Market Assumptions is written against a backdrop of low investment return expectations, slow global growth and unprecedented monetary policy decisions. The paper considers the long-term impact of the structural factors affecting economies today on a 10-15 year investment horizon.
Quest for the Holy Grail: The Fair Value of the Equity Market (Research Affiliates, 2017)
In this 8-page paper by Research Affiliates, the authors discuss the quest for fair value in the U.S. equity market.