Long-term Capital Market Return Assumptions

Nov 30, 2011

 
 

Long-term Capital Market Return Assumptions

LTCMRA
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

LTCMRA
This year for the first time, our assumptions are delivered in an expanded report offering in-depth perspective on the analysis and assessments that go into the development of our assumptions each year. We are taking this approach to provide additional value for the many institutional investors who use our assumptions when formulating their investment policies and decisions.

Full Report: Long-term Capital Market Return Assumptions (pdf)

Executive Summary: Long-term Capital Market Return Assumptions (pdf)


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 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.

Webcast
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

 

 

Speakers
 

David Shairp

Global Strategist,
Asset Management Solutions—GMAG

 
 

Expert insights

 
 

Provide Feedback

 

Please click here to provide feedback on our annual Long-term Capital Market Assumptions and report.

 
 


FOR INSTITUTIONAL USE ONLY

This website is intended to report solely on the investment strategies and opportunities identified by J.P. Morgan Asset Management. Additional information is available upon request. Information herein is believed to be reliable but J.P. Morgan Asset Management does not warrant its completeness or accuracy. Opinions and estimates constitute our judgment and are subject to change without notice. Past performance is not indicative of future results. The material is not intended as an offer or solicitation for the purchase or sale of any financial instrument. The investments and strategies discussed herein may not be suitable for all investors; if you have any doubts you should consult your J.P. Morgan Asset Management Client Advisor, Broker or Portfolio Manager. The material is not intended to provide, and should not be relied on for, accounting, legal or tax advice or investment recommendations. You should consult your tax or legal advisor about the issues discussed herein.

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.

J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

 
 
 

 
 

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