Capital Market Assumptions
New Generation Capital Market Assumptions
Capital Market Assumptions are fundamental inputs for all asset allocation problems. AS Capital Market Assumptions are a new generation of expected returns, risk measures, and asset allocation tools. Our solution provides investors with advanced inputs and tools to enhance their strategic asset allocation decisions, quantitative risk analysis, dynamic strategies, and scenario-based stress-testing.
Our forward-looking expected return and risk estimates are produced using a proprietary modelling approach underpinned by our AS Asset Market and Macro Model. Our solution is built on robust theoretical foundations and the latest academic thinking, which translates into intuitive estimates and tools that deliver real-world performance.
We provide the most advanced estimates in the market, with expected returns and risk metrics carefully constructed across investment horizons. We offer key tools in the form of asset return paths, underlying macro variables, and our unique scenario builder. This package gives investors the confidence to build robust strategic asset allocations, and the means to build high-performing investment strategies.
Key Facts
- Simulated returns by asset class and macro paths consistent with expected returns and risk estimates
- Scenario builder for exploring alternative expected returns in changing market and macro enviroments
Key Features
SCENARIO BUILDER
Explore alternative expected returns in changing market and macro environments
Our unique scenario builder gives clients the means to stress-test their expected return assumptions. Our flexible tool helps clients understand the effects of changing macro and market environments or assumptions.
Intuitive scenario tool allows clients to stress-test their capital markets assumptions
Explore market and expected return implications for user-defined scenarios
Assess impact of changing valuations, growth, inflation, real rates and other macro drivers on full range of asset classes and horizons
Return Prediction
Short-term estimates
AS CMAs span all horizons, including short term expected returns. These metrics are demonstrated predictors of returns, and are valuable inputs into tactical macro and dynamic asset allocation strategies.
Simulated paths
Asset return and macro paths
AS CMAs include simulated paths of all asset class returns and underlying macro variables from 1-quarter to 30-years. The simulation paths allow clients to test their strategies, create their own risk metrics, and impose their own views in a consistent way.
Flexibility
Tailored perspectives
Tailor your analysis of expected returns and risk by selecting horizons from 1 to 30 years ahead, choosing different currency perspectives and nominal and real terms, updated every day.
Delivery
Modern tech stack
All Capital Market Assumptions data are made available through API, cloud, and FTP delivery. Our API site provides clear guidance on data including an API query builder for multiple programming languages.
Applications
How AS Capital Market Assumptions Add Value
AS CMAs provide comprehensive visibility on investment opportunities and risk, helping investors construct and maintain robust and optimal asset allocations and portfolios. Detailed return perspectives allow investors to tailor estimates over horizons from 1 to 30 years ahead, adjusting for different currency perspectives and nominal and real terms, every day.
- Refine strategic asset allocations
- Asset owners, boards, and investment committees need the best tools in hand to determine how to allocate for the long-term. Combine our advanced and comprehensive expected return and risk measures with return paths and scenarios to build tailored and resilient asset allocations.
- Enhance tactical and dynamic strategies
- Short-term expected returns are valuable signals portfolio managers, strategists, and researchers to implement tactical positioning.
- Stress-test your allocations
- Use our unique tool to design your own scenarios to understand how expected returns change in different market and macro conditions, plus analyse any strategy and the full distribution of outcomes using return paths
- Respond quickly and confidently during market stress
- React quickly and with clarity to market sell-offs and changing investment opportunities with daily updates.
Read more
Using CMAs to navigate the recent equity market sell-off
Did our expected returns anticipate subsequent performance across markets?
What is the expected return on gold?
The macro drivers of Gold and its role in multi-asset portfolios
Breaking down yields for asset allocation in volatile bond markets
Short- versus long-term perspectives and forecasting bond returns.
Coverage
Comprehensive coverage of globally investible asset classes, markets, and segments
Kingdom
Markets
Markets
Corporate
bonds
bonds
bonds
Kingdom
Markets
Markets
Gov. Bonds
Corporate Bonds
Corporate
bonds
bonds
bonds
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