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Longterm Capital Assumptions

In: Business and Management

Submitted By izackim
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J.P. Morgan Asset Management

Long-term Capital Market Return Assumptions
2012 Edition

For institutional an d proFEssional invEstor usE only | not For rEtail usE or distribution

J.P. Morgan Asset Management Long-term Capital Market Return Assumptions
Expected 10–15 year annualized compound returns (%)1,2 u.s. Economic indicators
Inflation Core Inflation Real GDP U.S. Cash U.S. Intermediate Treasury3 U.S. Long Treasury4 U.S. TIPS U.S. Aggregate U.S. Short Duration Gov’t/Credit U.S. Long Duration Gov’t/Credit U.S. Investment Grade Corporate U.S. Long Corporate U.S. High Yield U.S. Leveraged Loan World Government Bond (local) World ex-U.S. Government Bond (local) World ex-U.S. Government Bond Emerging Market Sovereign Debt Emerging Market Local Currency Sovereign Debt Emerging Market Corporate Debt U.S. Municipal U.S. Large Cap U.S. Large Cap EPS Growth U.S. Large Cap Dividend Yield U.S. Large Cap P/E Return Impact U.S. Mid Cap U.S. Small Cap U.S. Large Cap Value U.S. Large Cap Growth Europe ex-U.K. Large Cap (local) Japan Large Cap (local) U.K. Large Cap (local) EAFE Equity (local) EAFE Equity Emerging Market Equity Asia ex-Japan Equity Global Equity U.S. Private Equity5,6 U.S. Direct Real Estate (unlevered)5,6 U.S. Value Added Real Estate (unlevered)5,6 European Real Estate (unlevered, local)5,6 U.S. REITs Global Infrastructure5,6 Hedge Fund—Diversified5,6 Hedge Fund—Event Driven5,6 Hedge Fund—Long Bias5,6 Hedge Fund—Relative Value5,6 Hedge Fund—Macro5,6 Commodities (spot)5 Gold (spot)

as of october 31, 2011

rationale

3.25 High unemployment and deleveraging of the public and private sectors to keep inflation low overall, while aggressive reflationary central bank policy and rising import prices risk higher inflation over the medium to longer term. 2.75 Strong growth in the emerging economies should drive commodity prices higher, causing headline

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