Finding Historical Capital Market Return Expectations
Summary
The document asks whether investors can find historical records of forecasts for future returns, broken down by asset class and issued at regular intervals. The desired data would preserve what an institution expected at each date for a coming year, quarter, or longer horizon, making it possible to compare expectations across time and markets.
The answer points to long-term capital market assumptions published by large financial institutions, using JPMorgan’s assumptions as an example and noting that some prior editions are available. These publications offer a possible source for historical forecasts, though the response does not provide a compiled time series, describe forecast definitions or coverage, or assess forecast accuracy. Researchers would need to locate and reconcile the original reports, whose horizons and asset classifications may differ. The example return figures in the question are explicitly illustrative and should not be treated as actual expectations.
Key ideas
- Large financial institutions publish long-term capital market assumptions.
- Some institutions make earlier editions of their assumptions available.
- Historical forecast research may require collecting reports across vintages and aligning their horizons and asset categories.
- The sample return figures in the question are fictional illustrations, not reported forecasts.
Tags
Full text
# Anyone know where I can get some expected returns?
# Anyone know where I can get some expected returns?
Does anyone publish future expectations on any decent interval? Someone like, I dont know, Fidelity or BlackRock or Goldman or someone? What I am looking for is a historical time series of future expectations over the coming decade/year/quarter broken up by asset class or market. Kind of like the following (these are just junk numbers, and random asset classes/classifications):
```
US Equities IG Debt Emerg Mkts Alts Commod
2010-01-01 -0.562717500 -0.6067040 -1.1361507 -1.00982199 1.98093338
2011-01-01 1.368597855 -0.4130927 -0.4937642 -0.80985096 0.90505591
2012-01-01 1.337929407 0.5083512 0.1336754 0.92828093 -0.28171892
2013-01-01 0.201993831 0.6160652 1.5035705 -1.04733665 -0.57603410
2014-01-01 0.002473048 -0.2077556 -1.0995428 -0.57457520 -0.88669179
2015-01-01 -0.819709898 0.6034144 -1.1489759 -0.08771504 -0.07681634
```
Again, to be clear, these would be what they expected for the coming year. E.g. - at the beginning of the year in 2010, whomever expected US Equities to return 56%, and investment grade debt to lose 60%, etc. (I know that's ridiculous, work with me.)
Does this make sense? Anyone know of any resources? (Preferably, FREE!)
## Answer by Helin (score 1)
https://quant.stackexchange.com/a/28376
Pretty much all the big banks publish their long-term capital market assumptions. JPM's is available here: LONG-TERM CAPITAL MARKET ASSUMPTIONS 2016. They also provide a few issues from prior years, and you can google around for even earlier issues.Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.