Source: Bloomberg, J.P. Morgan Asset Management Multi-Asset Solutions; data as of June 2021. Forecasts refer to our 2021 LTCMA projections. Real Assets include Real Estate and Infrastructure. Private Assets include Private Equity and Direct Lending. Note that GTAA and FX overlay assume a 100% of portfolio overlay; international equities assumes a market-cap weight optimized allocation; and real assets/PE are capped at a 15% allocation – hence the numbers are not directly comparable one lever to another, but instead build up from the baseline return following these parameters.
The numbers in the table represent a reasonably conservative view of potential return uplift based on our LTCMAs and our experience in designing and running multi-asset portfolios. Estimates for elements of active investing in particular do have an upside skew, and the numbers captured represent a median long-term experience in a multi-asset portfolio context.