Research and Publications
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PrintOur annual publication summarizes our long-term (10-15 year) return expectations, expected volatilities and correlations across key asset classes.
J.P. Morgan Asset Management long-term capital market return 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.
Our 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.
Note: Given the complex risk-reward trade-offs involved, we advise clients to rely on judgment as well as quantitative optimization approaches in setting strategic allocations to all the above asset classes. Please note that all information shown is based on qualitative analysis. Exclusive reliance on the above is not advised. This information is not intended as a recommendation to invest in any particular asset class or as a promise of future performance. Note that these asset class assumptions are passive only – they do not consider the impact of active management. References to future returns for either asset allocation strategies or asset classes are not promises or even estimates of actual returns a client portfolio may achieve.