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
Long-term Capital Market Return Assumptions (pdf)
The Thinking Behind the Numbers
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 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.
Replay from December 1, 2011
Three senior members of our Assumptions Committee – David Shairp, Michael Feser and Tony Werley – reveal our long-term capital market return and risk assumptions, including:
- Broad themes impacting our capital market assumptions — deleveraging, inflation and demographic/structural trends
- The interplay of emerging and developed market dynamics and implications for growth, inflation, currency and capital market returns
- Our long-term outlook across a broad range of asset classes, from fixed income to equity and alternatives (hedge funds, private equity, commodities, real estate and infrastructure) and the implications for investors
Watch the Webcast
Asset Management Solutions—GMAG
Head of Quantitative Research and Portfolio Management, Asset Management Solutions—GMAG
Anthony D. Werley
Chief Strategist, Endowments &
Please click here to provide feedback on our annual Long-term Capital Market Assumptions and report.
FOR INSTITUTIONAL USE ONLY
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The projections in the charts above are based on J.P. Morgan Asset Management’s (JPMAM) proprietary long term capital markets assumptions (10 – 15 years) for risk, return and correlations between major asset classes. The resulting projections include only the benchmark return associated with the portfolio and does not include alpha from the underlying product strategies within each asset class. The assumptions are presented for illustrative purposes only. They must not be used, or relied upon, to make investment decisions. The assumptions are not meant to be a representation of, nor should they be interpreted as JPMAM investment recommendations. Allocations, assumptions, and expected returns are not meant to represent JPMAM performance. Please note all information shown is based on assumptions, therefore, exclusive reliance on these assumptions is incomplete and not advised. The individual asset class assumptions are not a promise of future performance. Note that these asset class assumptions are passive-only; they do not consider the impact of active management.
Opinions, estimates, forecasts, projections and statements of financial market trends that are based on current market conditions constitute our judgment and are subject to change without notice. There can be no guarantee they will be met.
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