Long-term Capital Market Return Assumptions
J.P. Morgan Asset Management Long-term Capital Market Return Assumptions summarize our long-term (10–15 year) return expectations, expected volatilities and correlations across key asset classes.
Methodology
These assumptions are developed each year by our Assumptions Committee, a multi-asset class team of senior investors from across the firm. The Committee relies on the input and expertise of a range of portfolio managers and product specialists, striving to ensure that the analysis is consistent across asset classes. The final step in the process is a rigorous review of the proposed assumptions and their underlying rationale (as depicted in the figure below) with the senior management of J.P. Morgan Asset Management.
These Long-term Capital Market Return assumptions are used widely by institutional investors—including pension plans, insurance companies, endowments and foundations — to ensure that investment policies and decisions are based on real-world, consistent views and can be tested under a variety of market scenarios.
Long-term Capital Market Return Assumptions (pdf)
Related
December 9, 2010
Webcast: Outlook for Long-Term Capital Market Returns
Questions
For further information contact your J.P. Morgan representative or email: jpmam.info@jpmorgan.com
Methodology
These assumptions are developed each year by our Assumptions Committee, a multi-asset class team of senior investors from across the firm. The Committee relies on the input and expertise of a range of portfolio managers and product specialists, striving to ensure that the analysis is consistent across asset classes. The final step in the process is a rigorous review of the proposed assumptions and their underlying rationale (as depicted in the figure below) with the senior management of J.P. Morgan Asset Management.
Fixed income
Equity
Alternatives
- Equilibrium yield
- Plus or minus expected valuation changes
- Inflation
- Real earnings growth
- Dividend yield
- Plus or minus expected valuation changes
- Historical analysis/investor judgment about relationship to public markets
- Estimates are based on industry medians
These Long-term Capital Market Return assumptions are used widely by institutional investors—including pension plans, insurance companies, endowments and foundations — to ensure that investment policies and decisions are based on real-world, consistent views and can be tested under a variety of market scenarios.
Long-term Capital Market Return Assumptions (pdf)
Related
December 9, 2010
Webcast: Outlook for Long-Term Capital Market Returns
Questions
For further information contact your J.P. Morgan representative or email: jpmam.info@jpmorgan.com