Overview Executive Summary Matrices
STABLE LONG-TERM FORECAST; RISING RISKS IN THE SHORT TERM
Our long-run volatility expectations remain stable. Although markets have become further entrenched in late-cycle dynamics since last year, we see little in the way of structural change to alter our long-term view for most asset classes.
Equity market movements have become more significant moving deeper into late cycle, which translates into marginally higher equity volatility forecasts, led by the U.S.
Portfolio construction that includes a measure of downside risk can help mitigate drawdowns — especially relevant as recession risk increases.
Our case study finds that, compared with a conventional Sharpe ratio-based portfolio optimization, a Sortino ratio-based optimization realized lower drawdowns during market downturns.
READ FULL ARTICLE
Histogram of S&P 500 monthly returns highlights the increased frequency recently of more extreme market movements
HISTORICAL DISTRIBUTION OF U.S. LARGE CAP STOCK RETURNS
Source: Bloomberg, J.P. Morgan Asset Management; data as of July 31, 2019. For illustrative purposes only.
VIEW OTHER ASSUMPTIONS
Examine our return projections by major asset class, their building blocks and the thinking behind the numbers.