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Long-Term Capital Market Return Assumptions - 2012 Paper

Long-Term Capital Market Return Assumptions - 2012 Paper

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Published by: blacksmithMG on Jul 28, 2012
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Long-term Capital MarketReturn Assumptions
2012 estimates and the thinking behind the numbers
For InstItutIonal and proFessIonal Investor use only | not For retaIl use or dIstrIbutIon
 
aboutJ.p. Morgan asset ManageMentlong-terM CapItal Marketreturn assuMptIonsaboutJ.p. Morgan asset ManageMent
J.P. Morgan Asset Management Long-term Capital Market Return Assumptions are developedeach year by our Assumptions Committee, a multi-asset class team o senior investors romacross the rm. The Committee relies on the input and expertise o a range o portoliomanagers and product specialists, striving to ensure that the analysis is consistent across assetclasses. The nal step in the process is a rigorous review o the proposed assumptions and theirunderlying rationale with the senior management o J.P. Morgan Asset Management.Our capital market assumptions are used widely by institutional investors—including pensionplans, insurance companies, endowments and oundations—to ensure that investment policiesand decisions are based on real-world, consistent views and can be tested under a variety omarket scenarios.For more than a century, institutional investors have turned to J.P. Morgan Asset Managementto skillully manage their investment assets. This legacy o trusted partnership has been builton a promise to put client interests ahead o our own, to generate original insight and totranslate that insight into results.Today, our advice, insight and intellectual capital drive a growing array o innovative strategiesthat span U.S., international and global opportunities in equity, xed income, real estate,private equity, hedge unds, inrastructure and asset allocation.This publication was edited, designed and produced by the Institutional Americas marketinggroup at J.P. Morgan Asset Management.
 
table oF Contents
1
Fw
2
oii   im i  ciw
by David Shairp
I. long-terM CapItalMarket theMes
7
deleveragIng
 
ocmi   
by David Shairp and Jason Warner
17
InFlatIon
 
“u”   “aw”
by Ehiwario Eeyini and Anthony Werley
25
struCtural trends
 
a i wi i ?
by Michael Feser, CFA and Grace Koo, PhD
II. long-terM CapItalMarket returnassuMptIons
31
FIxed InCoMe Markets
 
lw  
by Michael Feser, CFA and Grace Koo, PhD
34 
equIty Markets
 
s  i wcmi
by Ehiwario Eeyini
39
alternatIve strategy Classes
 
Cmi mi  m 
by Anthony Werley
43
rIsk estIMatIon
 
ai  imc  ici   imi  i
by Abdullah Sheikh, FSA and Michael Feser, CFA
50
g
52
J.p. M a Mm l-mCi M r ami—2012

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