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“Expected” returns across the world’s major asset classes
Long-term return forecasts are key inputs into many asset allocation models. Here we’ve listed some of the top papers, published in the last few months, which provide long-term return expectations for the main asset classes.
At the end of the list, we’ve included a few papers that examine longer-term themes, such as secular trends, demographic drivers and disruptive technology.
2018 Long-Term Capital Market Expectations (Franklin Templeton Investments)
(EMEA only)
In their 2018 Long-Term Capital Market Expectations paper, Franklin Templeton uses forward estimates of economic data (not just historical performance) to generate return expectations over a time frame of the next 5 to 10 years.
Five-Year Expected Returns 2018-2022: Coming of Age (Robeco, Sept 2017)
Robeco forecasts their 5-year expected returns for all asset classes, focusing on boad trends such as secular stagnation, volatility, passification, the Eurozone, and the origin of returns.
Five-Year Outlook 2018-2023 (BMO Global Asset Management, Dec 2017)
BMO’s Five-Year Outlook considers scenarios and opportunities relevant to investment managers, including themes such as demographics and labor supply, populism, innovative technology, and the global economic outlook.
SSGA Long-Term Asset Class Forecasts, Nov 2017
SSGA combines their assessment of economic growth, inflation, current valuations, and risk premia in order to generate their long-term total return estimates. Short-term forecasts from tactical asset allocation models are also included.
Long-run asset class performance: 30yr return forecasts (2017-46) Schroders
Schroders presents their 30-year return forecasts for a host of asset classes. Their methodology is based on a series of building blocks and estimates of risk premia. Also included within are country-specific return expectations for Asia.
2018 Long-Term Capital Market Assumptions (JP Morgan AM, Oct 2017)
This 2017 edition of JP Morgan’s Long-Term Capital Market Assumptions report explores secular themes such as technology, demographics, and cyclical factors that they expect to influence returns over the next 10 to 15 years.
Capital Market Assumptions (BlackRock, Nov 2017)
In this quarterly update, Blackrock describes its Capital Market Assumptions as of November 2017, having updated their five-year capital market assumptions after recent gains in asset values.
SSGA Long Term Smart Beta Forecasts, Sept 2017
In order to generate their long term smart beta forecasts, SSGA derives excess return expectations from current factor valuations and return premiums on a historical basis, then combines this info with equity total return forecasts.
The Rationale for Investing in Secular Trends (Robeco, 2017)
A good story on its own does not translate into a solid investment strategy. Herein, Robeco establishes a trend investing philosophy by laying out a conceptual and analytical framework for trend investing that moves beyond story telling.
Institutional Investment: Short-term thinking on the rise? (Franklin Templeton)
(EMEA only)
Franklin Templeton discusses results of a comprehensive survey on how institutional investors are adapting to market conditions such as technological disruption, demographics, political instability, regulatory change, and lower yields.
Long-Term Thinking: Demographic drivers (LGIM, June 2017)
(Not available in USA/Canada)
Demographic factors are shifting towards disadvantageous territory, with the global labour force declining, fewer births, and increased retirement age populations. LGIM derives long-term views from these global demographic trends.
Back to long-term investing in the age of geopolitical risk (Amundi, Dec 2017)
Amundi presents their analysis of a survey of pension plans on the topic of how to cope with a variety of geopolitical and economic risk factors, while still managing assets with a long-term mindset.
Longer Term Investments: Automation and Robotics (UBS, 2017)
UBS discusses recent trends and the outlook for factory and process automation, industrial software and 3D printing, as well as commercial drone and AI.
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