Overview              Executive Summary              Matrices

IncludedImage

VOLATILITY ASSUMPTIONS

IN BRIEF

  • Our broad volatility forecasts are little changed compared with last year, despite the spike in financial asset volatility at the beginning of 2018.
  • With major markets becoming further entrenched in late-cycle dynamics, more frequent volatility spikes are likely — but we see little in the way of structural change to alter our long-term view.
  • Late cycle highlights the need to pay attention to the left-tail risks of financial assets. We remind investors that return distributions for financial assets are non-normal, with a higher probability and magnitude of left-tail returns, notably in equities and especially in credit.

     READ FULL ARTICLE

 

The magnitude of left-tail risk for risk assets is historically higher than their theoretical values, assuming normal distribution

HISTORICAL VALUE AT RISK (VaR) AND CONDITIONAL VALUE AT RISK (CVaR) VALUES IN MONTHLY RETURNS, WITH THEIR THEORETICAL VALUES, ASSUMING NORMAL DISTRIBUTION (IN PARENTHESES)

IncludedImage
Source: J.P. Morgan Asset Management; historical estimates with monthly return data from February 1990 to June 2018.
 

VIEW OTHER ASSUMPTIONS

Examine our return projections by major asset class, their building blocks and the thinking behind the numbers.
 
 
 


2019 Long-Term Capital Market Assumptions

Download Full Report >