Five-year forecasts in our latest semi-annual capital market assumptions include: an average cash rate of 3.5%, estimated annualized return of 6.8% for U.S. large cap equities based on the S&P 500, estimated annualized U.S. government bond returns ranging from 4.7% to 6.4%, and estimated risk premiums from 1.1% to 2.8%…
This outlook covers the economic prospects for the U.S., Canada, the Euro area, UK, China, EM, and Australia. 10-year annualized nominal return and volatility forecasts for the U.S. are also included.
We study probability forecasts in the context of cross-sectional asset pricing with a large number of firm characteristics. Empirically, we find that a simple probability forecast model can surprisingly perform as well as a sophisticated probability forecast model, and all of which deliver long-short portfolios whose Sharpe…