Asset Allocation

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Expected Returns (as of 06/30/2016)

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Welcome to the Research Affiliates Asset Allocation site where, using a structural building-block approach, we provide long-term capital market forecasts across a variety of asset classes. The navigation tabs can be used to explore core assets (Overview, Risk, Portfolios tabs) or to do a deeper dive into specific asset classes.

Performance

It’s not enough to look at past performance when thinking about future investment. In many cases, the best-performing asset classes of the past are not expected to continue to be the best in the future. All returns are presented in real terms (net of inflation), in order to show change in investors’ actual capacity to consume.​

10-Year Relative Rank columns identify the assets with the highest (longest green bar) and lowest (longest red bar) return as compared to all other assets.

The Research Affiliates Approach to Capital Markets Forecasting

With the objective of providing transparency to our long-term expected returns, the documents at right detail the methodologies underlying our models. A good place to start is with the methodology overview document, which provides background on the building block approach. This is the common framework that serves as the foundation on which each model is built. Each asset class then has its own methodology document detailing specifics related to that asset class. These are living documents that will evolve over time, and we encourage you to check back in the future for updates.

Deepen Your Understanding

Negative Rates Are Dangerous to Your WealthRecently enacted NIRP in several major developed economies means not only lower current yields but also lower future expected returns—and thus lower accumulated wealth—for investors investing in these markets.
How Can "Smart Beta" Go Horribly Wrong?If investors don’t wise up soon that rising valuations are responsible for most of the “alpha” produced by smart beta, the inevitable mean reversion to historical valuation norms threatens to unleash a smart beta crash.
Forecasting Returns: Simple Is Not SimplisticThe value of a forecasting model is that it improves on the alternative models available and classifies the forecaster’s knowledge of asset classes into an economically intuitive framework for building portfolios. A yield-based model is simple, but it checks both boxes.