Consultants Shifting Capital Markets Assumptions

Capital markets assumptions are used by consultants and investors to assess and articulate return expectations over a set time as they make investment allocation recommendations and decisions. Mining our Public Plan IQ data, eVestment’s new Capital Markets Assumptions white paper looks at how top institutional investment consultants’ capital markets assumptions have shifted from the beginning of 2016 through the end of 2017 across a variety of asset classes and geographies.

The report looks at consultant capital market return assumptions for Equity, Fixed Income, Real Assets, Private Debt, Private Equity and Hedge Fund investment options.

Some key points from the report include:

For all consultants analyzed, Emerging Markets Equity had either the highest or second highest return assumptions among Equity strategies. For 2016 and 2017 intermediate term assumptions, the largest dispersion within consultants’ assumptions for Fixed Income was for Emerging Markets Debt strategies, with more than a 200 basis point difference. Real Assets strategies have seen decreases to their return assumptions in 2017. For overall Real Estate, six consultants decreased their assumptions. Most notably, Wilshire decreased their assumptions by 150 bps. Callan, NEPC, PCA and Verus all lowered their intermediate-term assumptions for Private Equity in 2017. The largest decrease came from PCA who lowered their assumptions by 150 bps. Of the consultants where data is available, Wilshire was the only one to raise their assumptions for Private Equity last year. Long-term assumptions for Private Equity followed a similar pattern to intermediate term assumptions. Aon, RVK and Wilshire all lowered their assumptions in 2017 while Meketa was the only consultant to raise their assumptions.

To download a full copy of the paper, please click here.

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