How the return forecasts are calculated
Portfolio Lab calculates future dividends and a terminal sale value from current benchmark inputs and explicit assumptions. The 38 covered equity classes use this payout model, including the local benchmarks listed below. It is our calculation, not a newly published forecast from an asset manager and not an endorsed investment recommendation.
What is current, and what is assumed
Income inputs come from benchmark administrator profiles, the dated S&P 500 dividend series repriced using its latest available close, or the explicitly labelled trailing distribution calculation below. A new price does not make the underlying reported earnings or dividends newer. Their dates remain separate. Monthly profile observations and quarterly company reporting have different publication schedules.
Future earnings growth cannot be observed today. We use separately published AQR 2026 payout-model real earnings-per-share growth assumptions, dated 2025-12-31, as structural inputs. These are not AQR's total-return forecasts, and our model does not replicate its full two-model framework. Several benchmarks use a related-market growth assumption rather than a benchmark-specific estimate, as the table discloses.
| Benchmark | Income observation | Real growth assumption | Scope of growth input |
|---|---|---|---|
| S&P 500 | 2026-09-25 Reporting period: 2026-06-30 | 3.5% / year | Broad US large-cap growth assumption; the published group uses MSCI USA, while cash flows here use S&P 500. |
| Russell Midcap Index | 2026-08-31 | 3.5% / year | Broad US growth prior; no benchmark-specific midcap growth estimate or extra size premium is claimed. |
| JP Morgan US Value Factor Index | 2026-08-31 | 3.5% / year | Broad US growth prior; no extra value-factor premium is added. This is not a measured growth forecast for the JPM factor index. |
| Russell 2000 Index | 2026-08-31 | 3.7% / year | US small-cap growth assumption from MSCI small caps, used as a related-market prior for Russell 2000. |
| MSCI EMU Index | 2026-08-31 | 3.0% / year | Euro-area growth prior; the source's five-country aggregation differs from MSCI EMU. |
| MSCI United Kingdom Index | 2026-08-31 | 2.2% / year | UK market growth assumption. |
| MSCI Japan Index | 2026-08-31 | 3.9% / year | Japanese market growth assumption. |
| MSCI AC Asia ex Japan Index | 2026-08-31 | 3.1% / year | Broad emerging-market growth prior for this emerging-heavy Asian basket; developed Asian constituents are not separately calibrated. |
| MSCI EM (Emerging Markets) Index | 2026-08-31 | 3.1% / year | Emerging-market growth assumption; the provider uses its GDP-based approach, not a measured buyback adjustment. |
| CSI 300 | 2026-08-31 | 3.8% / year | China country growth prior; the source's broad MSCI China universe differs from domestic CSI 300. |
| MSCI Hong Kong Index | 2026-08-31 | 3.1% / year | Developed ex-US structural growth prior, not a measured Hong Kong earnings forecast. Hong Kong-listed domestic index coverage is distinct from MSCI China; no China GDP growth is substituted. |
| MSCI EAFE Index | 2026-08-31 | 3.1% / year | Developed ex-US structural growth prior. EAFE excludes Canada while the source group includes it; this related-market assumption is not benchmark-specific. |
| MSCI ACWI Index | 2026-08-31 | 3.5% / year | Broad developed-world structural growth prior applied to the all-country benchmark. Emerging-market earnings growth is not separately calibrated; no emerging-market premium is added. |
| Russell 1000 Value Index | 2026-08-31 | 3.5% / year | Broad US large-cap structural growth prior, not today's constituents' reported five-year growth. Reconstitution changes the style basket; no persistent value alpha or valuation convergence is assumed. |
| Russell 1000 Growth Index | 2026-08-31 | 3.5% / year | Broad US large-cap structural growth prior. Growth-stock classifications do not justify extrapolating today's unusually fast constituent earnings growth for a decade. No style alpha is added. |
| Russell 2000 Value Index | 2026-08-31 | 3.7% / year | Related US small-cap structural growth prior. Russell style reconstitution and migration are not separately forecast; no extra value or size premium is added. |
| Russell 2000 Growth Index | 2026-08-31 | 3.7% / year | Related US small-cap structural growth prior. High reported growth among surviving profitable constituents is not used as whole-index forward growth; no extra style premium is added. |
| MSCI World ex USA Value Index | 2026-08-31 | 3.1% / year | Developed ex-US growth prior for MSCI World ex USA Value (large and mid caps, including Canada). No extra value premium or convergence to the growth index's multiple is assumed. |
| MSCI World ex USA Growth Index | 2026-08-31 | 3.1% / year | Developed ex-US growth prior for MSCI World ex USA Growth (large and mid caps, including Canada). Constituent growth is not extrapolated through future style reconstitution. |
| MSCI World ex USA Small Cap Value Index | 2026-09-25 | 3.1% / year | Developed ex-US structural growth prior; no separately calibrated small-value growth or premium is claimed. Income is trailing gross index distributions recovered from matched daily price and gross-return series, not indicated yield or the different value-weighted index. |
| MSCI World ex USA Small Cap Growth Index | 2026-09-25 | 3.1% / year | Developed ex-US structural growth prior, including Canada; no small-growth premium or extrapolation of constituent growth through future reconstitution. |
| MSCI World Value Index | 2026-08-31 | 3.5% / year | Developed-world structural growth prior. The benchmark includes large and mid caps; no convergence to the growth index multiple or extra value premium. |
| MSCI World Growth Index | 2026-08-31 | 3.5% / year | Developed-world structural growth prior for large and mid caps. Current growth classifications do not imply permanently faster index earnings growth. |
| MSCI World Small Cap Value Index | 2026-09-25 | 3.5% / year | Broad developed-world structural growth prior; small-value growth, migration and factor premiums are not separately calibrated. |
| MSCI World Small Cap Growth Index | 2026-09-25 | 3.5% / year | Broad developed-world structural growth prior; no permanent small-growth premium or survivor-only earnings extrapolation. |
| MSCI Emerging Markets Value Index | 2026-09-25 | 3.1% / year | Emerging-market GDP-based structural growth prior, not a measured style-specific EPS forecast. Net issuance and style migration may differ; no additional buyback or value premium. |
| MSCI Emerging Markets Growth Index | 2026-09-25 | 3.1% / year | Emerging-market GDP-based structural growth prior. Fast-growing constituents and style reconstitution do not establish a permanent index growth premium; no separate buyback yield. |
| MSCI United Kingdom IMI Index | 2026-08-31 | 2.2% / year | UK structural per-share growth prior. Current income is MSCI UK IMI, an explicitly labelled broad UK all-cap proxy, not the FTSE All-Share benchmark held by the tracked fund. Constituents and coverage differ; no additional size premium. |
| MSCI United Kingdom Small Cap Index | 2026-08-31 | 2.2% / year | UK structural per-share growth prior applied to MSCI UK Small Cap. No separately verified small-company growth forecast or automatic small-cap premium is claimed. |
| MSCI EMU Small Cap Index | 2026-08-31 | 3.0% / year | Eurozone structural per-share growth prior applied to MSCI EMU Small Cap. No extra size premium or extrapolation of recent constituent earnings growth. |
| NASDAQ Canada Small Cap Index | 2026-09-25 | 3.1% / year | Related developed ex-US real per-share growth prior for the exact Nasdaq Canada Small Cap index. No measured Canadian small-company growth premium is claimed. Income comes from matched daily price and gross-return levels, including source corrections; not ETF distributions or a compounded return gap. |
| NASDAQ South Africa Mid Cap Index | 2026-09-25 | 2.8% / year | Emerging ex-China structural per-share growth prior for the exact Nasdaq South Africa Mid Cap index. This is a related-market assumption, not South African GDP passed through one-for-one or a measured mid-cap premium. Matched daily price and gross-return levels recover current distributions; no extra buyback yield. |
| NASDAQ South Africa Small Cap Index | 2026-09-25 | 2.8% / year | Emerging ex-China structural per-share growth prior for the exact Nasdaq South Africa Small Cap index. No extrapolation of survivor earnings, country GDP or size premium. Income is recovered from matched daily price and gross-return levels; future payout, dilution and index membership remain uncertain. |
| MSCI Canada Custom Capped Index | 2026-08-31 | 3.1% / year | Related developed ex-US real per-share growth prior. Current income is the exact MSCI Canada Custom Capped benchmark followed by EWC, not the uncapped Canada index. The fund history before September 2017 followed its prior benchmark; its full history remains a Canadian equity proxy. No independently calibrated Canadian growth or concentration premium is claimed. |
| MSCI South Africa 25/50 Index | 2026-08-31 | 2.8% / year | Related emerging ex-China real per-share growth prior. Current income is MSCI South Africa 25/50, matching EZA's capped large- and mid-cap benchmark rather than generic MSCI South Africa. Sector concentration, foreign revenues and local dilution can differ from the broad growth prior; no separately assumed country premium. |
| MSCI Europe Small Cap Index | 2026-08-31 | 3.1% / year | Related developed ex-US real per-share growth prior for MSCI Europe Small Cap. This Europe benchmark includes the UK and other non-euro markets; it is not MSCI EMU Small Cap. No independently measured European small-cap growth premium, and no extra buyback yield. |
| DAX | 2026-08-31 | 3.1% / year | DAX ordinary income recovered from exact EUR price and gross-return variants in the administrator's monthly-published daily history. Uses the provider's ex-date divisor convention. Special payouts already adjusted in both indexes are not recovered in full; differential withholding-tax adjustments and corrections may remain. Related developed ex-US real per-share growth prior; no independently estimated German growth premium. DAX concentration and foreign revenues can differ from that prior. |
| STOXX Europe 600 | 2026-08-31 | 3.1% / year | STOXX Europe 600 broad-cap proxy, matching this row's existing return-history benchmark. Despite the catalogue's European Large Cap name, the index also includes mid and small companies across Europe, including non-euro markets. Ordinary income from exact EUR price/gross histories using the ex-date divisor convention, monthly publication; special distributions already adjusted in both indexes are not recovered in full, and differential tax adjustments may remain. Related developed ex-US real per-share growth assumption, no extra size or buyback premium. |
Value, growth and international small companies
Style indexes periodically change their members. We therefore use the related broad-market structural growth assumption, not the historical earnings growth of today's selected companies. Differences in starting income yield affect the result; we add no assumed value, growth or small-company excess return. This is a neutral planning baseline, not an empirically calibrated style-premium model. The growth assumptions and terminal valuation remain editable, and their sensitivities matter.
EAFE excludes the US and Canada. The developed ex-US value and growth benchmarks include Canada and cover large and mid caps. International small value uses MSCI World ex USA Small Cap Value, not its separately constructed Value Weighted index. These forecast benchmarks also differ from the Ken French sorted-portfolio proxies used for style return histories; the forecast does not turn those proxies into exact benchmark histories.
For the international and global small-style series and emerging-market styles without a current public fundamental profile, we derive trailing regular distribution points from matching daily USD price and gross total-return index levels: previous price × daily gross-return factor − current price. Summing the trailing 365 days and dividing by the latest price gives the income input. This removes reinvestment compounding and keeps the actual historical index membership. It is a trailing distribution yield, not an indicated annualized yield; future distributions may differ, and special distributions already reflected in price adjustments are not separately inferred. Net-return series are rejected.
Canadian hedged and unhedged Treasuries
The CAD intermediate-Treasury holding offers both variants. Unhedged keeps USD/CAD currency risk and assumes no nominal FX movement in the central return. Hedged uses the same IEF portfolio, with monthly start-notional hedge resets. Its current central estimate is 3.37% a year.
The monthly hedge payoff is (1 + CORRA × days / 365) / (1 + SOFR × days / 360) − 1, less a 5 bp annual dealing allowance divided by 12. Rates enter as decimals. We use 365/12 days per model month, add the payoff to the monthly bond return and compound. This avoids treating hedge carry as extra bond yield or changing its duration.
Common rate date: 2026-09-25. Bank of Canada CORRA and New York Fed SOFR are overnight benchmarks used as proxies for a rolling forward. They are held flat over the horizon. The dealing allowance is an assumption; this is not an observed forward quote and does not include measured cross-currency basis. A one percentage-point change in the annual hedge carry changes expected annual return by approximately one point. Future rate differences, basis and implementation costs remain uncertain.
The hedge choice also selects matching historical returns and correlations. Both volatility estimates use the actual IEF proxy histories over the correlation matrix risk window (July 2006 to June 2025): about 11.74% unhedged and 6.71% hedged. The hedge history uses historical short-rate differences; one month without financing inputs is excluded. The previous 3.48% published hedged assumption described a different Treasury risk exposure and is no longer paired with this IEF forecast. Changing the forecast never substitutes an unhedged return into hedged risk. Daily refresh validates identities and common dates; rates older than seven calendar days prevent a new hedged forecast.
Twelve current credit and international bond models
These twelve classes use dated issuer portfolio observations, replacing older house returns, approximate Treasury yields and fixed spread deductions. The table shows unhedged ten-year annual estimates before fees and investor taxes. The same calculations feed the default current assumptions, Forecaster and optimizer transfer.
| Asset / proxy | Observed | Starting yield | Duration | Credit / reserve effect | Central return |
|---|---|---|---|---|---|
IG Corporate (LQD)Scope and assumptionsLQD: US dollar investment-grade corporate bonds; iBoxx USD liquid corporate proxy. Yield to worst 6.089% and effective duration 7.643 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1981 to 2024 corporate one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 0.082%/year; assumed recovery 40%; annual performing credit loss 0.049%. All selected holdings have usable yield observations. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01. | 2026-09-25 | 6.09% | 7.64 years | -0.052 pp | 6.04% |
High Yield (HYG)Scope and assumptionsHYG: US dollar high-yield corporate bonds; iBoxx USD liquid high-yield proxy. Yield to worst 7.553% and effective duration 3.208 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1981 to 2024 corporate one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 3.325%/year; assumed recovery 40%; annual performing credit loss 1.978%. 0.857% non-accrual/defaulted market value retained; a one-time 50% value reserve centrally, 100% in stress. The prior is applied only to the remaining performing sleeve. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +2 points, double defaults and 20% recovery. Callable/prepayable exposure uses explicit duration multipliers 1.25 in rising-yield stress and 0.75 in falling-yield sensitivity; these are assumptions, not a full option/prepayment model. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01. | 2026-09-25 | 7.55% | 3.21 years | -2.141 pp | 5.41% |
EM Sovereign (EMB)Scope and assumptionsEMB: US dollar emerging-market sovereign and quasi-sovereign debt; J.P. Morgan EMBI Global Core proxy. Yield to worst 6.982% and effective duration 6.375 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1975 to 2025 foreign-currency sovereign one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 1.736%/year; assumed recovery 40%; annual performing credit loss 1.038%. 0.356% non-accrual/defaulted market value retained; a one-time 50% value reserve centrally, 100% in stress. The prior is applied only to the remaining performing sleeve. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +2 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01. | 2026-09-25 | 6.98% | 6.37 years | -1.118 pp | 5.86% |
EM Local Currency (LEMB)Scope and assumptionsLEMB: Emerging-market sovereign bonds in their actual local currencies; J.P. Morgan GBI-EM 15% cap/4% floor proxy. Yield to worst 7.438% and effective duration 5.238 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1993 to 2025 local-currency sovereign one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 0.160%/year; assumed recovery 40%; annual performing credit loss 0.096%. All selected holdings have usable yield observations. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +2 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: PYG 4.1%, UYU 4.1%, RSD 4.0%, DOP 4.0%, TRY 4.0%, BRL 4.1%, CLP 3.9%, PEN 3.9%, ZAR 4.1%, HUF 3.9%, COP 3.9%, MXN 5.4%, PLN 4.4%, INR 9.0%, CNY 15.4%, CZK 3.9%, RON 3.9%, IDR 4.9%, THB 4.2%, MYR 4.9%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01. | 2026-09-25 | 7.44% | 5.24 years | -0.102 pp | 7.34% |
US Muni 1-15 Yr (TAXI)Scope and assumptionsTAXI: ICE intermediate tax-exempt investment-grade municipals; proxy for the app's 1-15-year municipal blend. Yield to worst 4.170% and effective duration 4.680 years, observed 2026-09-25; issuer portfolio yield to worst. 0.05% annual IG municipal default planning allowance; a conservative model assumption, not a measured current fund default probability. Default prior 0.050%/year; assumed recovery 50%; annual performing credit loss 0.025%. Issuer aggregate: individual missing-yield coverage is not published. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Callable/prepayable exposure uses explicit duration multipliers 1.25 in rising-yield stress and 0.75 in falling-yield sensitivity; these are assumptions, not a full option/prepayment model. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01. | 2026-09-25 | 4.17% | 4.68 years | -0.026 pp | 4.14% |
US Muni High Yield (CGHM)Scope and assumptionsCGHM: Capital Group Municipal High-Income active portfolio proxy, including lower-rated investment-grade and high-yield/unrated US municipal debt; not an exact broad-index replication. Yield to worst 5.500% and effective duration 8.100 years, observed 2026-09-25; issuer portfolio yield to worst. 1.2% annual high-income municipal default planning prior, rounded from the separately dated 1.19% historical study; applied to the entire active proxy because a usable current rating breakdown is unavailable. Default prior 1.200%/year; assumed recovery 50%; annual performing credit loss 0.600%. Issuer aggregate: individual missing-yield coverage is not published. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +2 points, double defaults and 20% recovery. Callable/prepayable exposure uses explicit duration multipliers 1.25 in rising-yield stress and 0.75 in falling-yield sensitivity; these are assumptions, not a full option/prepayment model. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01. | 2026-09-25 | 5.50% | 8.10 years | -0.628 pp | 4.87% |
US Securitized (AGG)Scope and assumptionsAGG: US aggregate securitized sleeve only: agency mortgage pass-throughs, ABS and CMBS, weighted by actual market value. Yield to worst 5.780% and effective duration 5.713 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current sector weights × explicit annual default allowances: 0.01% government/agency/agency-MBS/supranational, 0.14% other investment-grade credit/ABS/CMBS. The latter uses the corporate BBB historical prior as a conservative proxy; it is not a tranche cash-flow or issuer-level default model. Default prior 0.020%/year; assumed recovery 40%; annual performing credit loss 0.012%. 0.024% non-accrual/defaulted market value retained; a one-time 50% value reserve centrally, 100% in stress. The prior is applied only to the remaining performing sleeve. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Callable/prepayable exposure uses explicit duration multipliers 1.25 in rising-yield stress and 0.75 in falling-yield sensitivity; these are assumptions, not a full option/prepayment model. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01. | 2026-09-25 | 5.78% | 5.71 years | -0.014 pp | 5.77% |
US Short Gov/Credit (AGG)Scope and assumptionsAGG: US aggregate government/credit sleeve with remaining contractual maturity from one to three years; excludes mortgages, ABS and CMBS. Yield to worst 4.912% and effective duration 1.788 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current sector weights × explicit annual default allowances: 0.01% government/agency/agency-MBS/supranational, 0.14% other investment-grade credit/ABS/CMBS. The latter uses the corporate BBB historical prior as a conservative proxy; it is not a tranche cash-flow or issuer-level default model. Default prior 0.040%/year; assumed recovery 40%; annual performing credit loss 0.024%. All selected holdings have usable yield observations. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01. | 2026-09-25 | 4.91% | 1.79 years | -0.025 pp | 4.89% |
US Long Corporate Bonds (IGLB)Scope and assumptionsIGLB: US dollar corporate bonds with remaining maturity over ten years; ICE BofA long corporate proxy. Yield to worst 6.477% and effective duration 11.607 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1981 to 2024 corporate one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 0.084%/year; assumed recovery 40%; annual performing credit loss 0.051%. All selected holdings have usable yield observations. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01. | 2026-09-25 | 6.48% | 11.61 years | -0.054 pp | 6.42% |
World ex-US Govt Bonds (IGOV)Scope and assumptionsIGOV: Developed-market government bonds outside the US in their actual currencies; FTSE WGBI developed ex-US capped proxy. Yield to worst 3.947% and effective duration 7.243 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1993 to 2025 local-currency sovereign one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 0.035%/year; assumed recovery 40%; annual performing credit loss 0.021%. All selected holdings have usable yield observations. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: EUR 54.6%, DKK 1.5%, ILS 3.4%, JPY 11.7%, GBP 7.1%, NZD 2.2%, CAD 4.6%, AUD 4.6%, KRW 4.8%, SGD 2.9%, SEK 1.4%, NOK 1.3%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01. | 2026-09-25 | 3.95% | 7.24 years | -0.022 pp | 3.93% |
EM Corporate Bonds (CEMB)Scope and assumptionsCEMB: US dollar emerging-market corporate bonds; J.P. Morgan CEMBI Broad Diversified Core proxy. Yield to worst 6.595% and effective duration 4.190 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current issuer rating mix × S&P 1981 to 2024 corporate one-year historical default priors. Own minimum annual allowances AAA 0.01%, AA 0.02%, A 0.05%, BBB 0.10% avoid treating zero observed defaults as zero risk. Unrated uses the B prior. Rating agency aggregation and quasi-sovereign coverage are proxy limitations. Default prior 0.936%/year; assumed recovery 40%; annual performing credit loss 0.558%. 0.585% non-accrual/defaulted market value retained; a one-time 50% value reserve centrally, 100% in stress. The prior is applied only to the remaining performing sleeve. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +2 points, double defaults and 20% recovery. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01. | 2026-09-25 | 6.59% | 4.19 years | -0.622 pp | 5.97% |
US Aggregate (AGG)Scope and assumptionsAGG: US investment-grade aggregate: Treasury, agency, corporate and securitized holdings weighted by market value. Yield to worst 5.456% and effective duration 5.733 years, observed 2026-09-25; market-value-weighted yield to worst; zero accrual on explicitly identified missing-yield sleeve. Current sector weights × explicit annual default allowances: 0.01% government/agency/agency-MBS/supranational, 0.14% other investment-grade credit/ABS/CMBS. The latter uses the corporate BBB historical prior as a conservative proxy; it is not a tranche cash-flow or issuer-level default model. Default prior 0.047%/year; assumed recovery 40%; annual performing credit loss 0.028%. 0.006% non-accrual/defaulted market value retained; a one-time 50% value reserve centrally, 100% in stress. The prior is applied only to the remaining performing sleeve. Flat-yield central case, monthly carry and reinvestment, constant-duration first-order repricing. No extra roll-down, convexity gain or duplicated spread deduction. Yield to worst is an annual carry approximation, not an exact reinvested cash-flow IRR. Rate sensitivities ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. Callable/prepayable exposure uses explicit duration multipliers 1.25 in rising-yield stress and 0.75 in falling-yield sensitivity; these are assumptions, not a full option/prepayment model. Scenarios are sensitivities, not probability bounds. Currency basket: USD 100.0%. Unhedged with unchanged nominal exchange rates; no house FX premium. Currency risk remains and is not included in these rate/credit sensitivities. Gross of fees and investor taxes; municipal tax exemptions are not grossed up. Structural credit research reviewed 2026-09-07, due 2027-04-01. | 2026-09-25 | 5.46% | 5.73 years | -0.030 pp | 5.43% |
Income, losses and changing yields
For portfolios with published holdings we weight each bond's yield to worst and effective duration by its market value. We exclude cash from the bond sleeve. The central case compounds monthly carry, less expected credit losses, while maintaining the portfolio's duration and credit-quality mix. It assumes unchanged yields and no additional roll-down gain. Yield to worst is a practical carry approximation; a changing fund does not promise that exact cash-flow return.
Corporate and sovereign loss allowances use today's rating mix multiplied by separately dated historical annual default rates and loss given default. Foreign-currency and local-currency sovereign studies are distinct. Recovery is a planning assumption: 40% for these corporate/sovereign models and 50% for municipal models. Minimum allowances on the highest ratings avoid interpreting a history with no defaults as proof of no risk. Unrated corporate/sovereign holdings use the relevant B-rated prior. This does not predict individual defaults or explicitly model rating migration and forced-sale losses.
The short government/credit sleeve is drawn from AGG holdings with one to three years remaining, excluding securitized assets. The securitized sleeve contains agency mortgage pass-throughs, ABS and CMBS. These use their actual sector weights with explicit annual default allowances of 0.01% for government/agency/supranational exposure and 0.14% for other investment-grade credit. The latter is a BBB corporate proxy, not measured structured-credit tranche risk. The municipal models use explicit annual default priors of 0.05% for investment grade and 1.2% for high income. Those sector assumptions are less granular than the rating-weighted models and remain material limitations.
TAXI represents intermediate investment-grade municipals; CGHM is an active high-income municipal proxy containing some investment-grade bonds. Neither is claimed to replicate the app's broad asset class exactly. Their issuer aggregate yields do not establish complete individual-holding yield coverage. Municipal yields are used as published, without assuming the investor qualifies for a tax exemption or converting them to tax-equivalent yields.
Missing observations and stress cases
Missing or extreme holding yields are retained in the market-value denominator with no assumed income. More than 3% missing or unreliable yield coverage rejects a holdings-derived forecast. For the retained non-accrual/defaulted sleeve, the central case reserves half its current market value once, and stress reserves all of it. That reserve is an explicit uncertainty allowance; it does not claim to estimate recoveries on those particular distressed securities. Already-defaulted positions are not assumed to default again every year.
Separate sensitivities move yields gradually by ±1.5 percentage points, widen credit yields by one or two points, double default rates and lower recovery to 20%. Combined stress applies both rate and credit changes. Callable and mortgage-sensitive portfolios use duration multipliers of 1.25 in rising-yield stress and 0.75 in falling-yield sensitivity. These are disclosed stress choices, not measured future option exercise or prepayment paths. There is no invented convexity bonus. The displayed lower and upper figures are scenario extremes, not confidence intervals, exhaustive worst cases or guarantees.
Actual currencies, regular updates and limits
EM local debt retains its actual local-currency basket; World ex-US government bonds retain their developed-market currencies. A fund's USD listing currency is not its underlying bond currency. The central model assumes unchanged nominal exchange rates for every currency and adds no asset-manager FX premium. This neutral assumption is uncertain, particularly in higher-inflation markets. Rate and credit sensitivities omit currency shocks; historical currency risk remains in the app's selected risk model. Supported hedged variants instead include monthly currency financing and a dealing allowance, using the actual currency basket. Unsupported hedges cannot take these unhedged forecasts.
Hedging uses covered-interest-parity ratios from current overnight benchmarks, with explicitly labelled central-bank policy-rate proxies where traded benchmarks are not available. Each currency keeps its own source date. The model resets the foreign start-notional monthly and compounds its payoff with bond income; domestic holdings incur no currency hedge. The assumed annual dealing allowance is five basis points of foreign exposure. Current financing rates stay flat, and an additional sensitivity changes annual hedge carry by plus or minus one percentage point of foreign exposure. Policy proxies, rate conventions and unobserved cross-currency basis are meaningful limitations, especially for less liquid currencies; these are planning estimates, not executable forward quotes or a forecast of future rate paths.
The daily collection job checks fund identity, observation dates, units, weights and coverage, then runs forecast checks, tests and a build before publishing. Market observations expire after ten calendar days, including ratings where used. Failed collection cannot stamp an old observation as current. Structural default/recovery research has its own review date (2026-09-07) and deadline (2027-04-01); historical research periods remain visible. An exact security-level model with currency-specific curves, migration, turnover, option-adjusted cash flows and implementation costs would require more inputs. These are transparent portfolio planning approximations, not a claim that such a full model or an external expert review has been completed.
Currency financing sources and dates
- AUD: RBA cash target, 4.35% (policy-proxy), 2026-08-12. Policy effective date; verifiedAt is the separate check of the live current-rate source. These inputs expire after ten days; a failed download never refreshes the source date.
- NZD: RBNZ OCR, 2.75% (policy-proxy), 2026-09-18. BIS daily policy-rate observation. These inputs expire after ten days; a failed download never refreshes the source date.
- ILS: Bank of Israel policy rate, 3.25% (policy-proxy), 2026-09-28. Bank of Israel daily policy-rate observation. These inputs expire after ten days; a failed download never refreshes the source date.
- KRW: Bank of Korea base rate, 3% (policy-proxy), 2026-08-27. Policy decision date; verifiedAt separately records checking the current central-bank rate display. These inputs expire after ten days; a failed download never refreshes the source date.
- SEK: Riksbank policy rate, 1.75% (policy-proxy), 2026-08-26. Policy effective date; verifiedAt is the separate check of the live current-rate source. These inputs expire after ten days; a failed download never refreshes the source date.
- DKK: Danmarks Nationalbank certificates of deposit rate, 2.1% (policy-proxy), 2026-09-11. Policy effective date; verifiedAt is the separate check of the live current-rate source. These inputs expire after ten days; a failed download never refreshes the source date.
- JPY: BOJ overnight call target, 1.25% (policy-proxy), 2026-09-24. Policy effective date; verifiedAt is the separate check of the live current-rate source. These inputs expire after ten days; a failed download never refreshes the source date.
- NOK: Norges Bank policy rate, 4.5% (policy-proxy), 2026-09-25. Norges Bank daily policy-rate observation. These inputs expire after ten days; a failed download never refreshes the source date.
- USD: SOFR, 3.9% (overnight), 2026-09-25. overnight observation. These inputs expire after ten days; a failed download never refreshes the source date.
- CAD: CORRA, 2.3% (overnight), 2026-09-25. overnight observation. These inputs expire after ten days; a failed download never refreshes the source date.
- EUR: ESTR, 2.44% (overnight), 2026-09-25. overnight observation. These inputs expire after ten days; a failed download never refreshes the source date.
- GBP: SONIA, 3.7305% (overnight), 2026-09-24. overnight observation. These inputs expire after ten days; a failed download never refreshes the source date.
- ZAR: ZARONIA, 7.111% (overnight), 2026-09-25. overnight observation. These inputs expire after ten days; a failed download never refreshes the source date.
- SGD: SORA, 1.4974% (overnight), 2026-09-25. overnight observation. These inputs expire after ten days; a failed download never refreshes the source date.
- S&P 2024 corporate study, Table 4, weighted long-run one-year defaults (1981 to 2024)
- S&P 2025 sovereign study, Tables 4 and 11, calendar-year one-year default transitions (1975 to 2025 foreign / 1993 to 2025 local)
- VanEck March 2026 profile reports 1.19% annualized high-yield municipal defaults, citing Moody’s (1970 to 2022)
- Moody’s methodology recovery assumptions vary by seniority; 40% here is our planning assumption, not a current recovery quote
Fourteen local bond models
These models use dated GBP, EUR or CAD portfolio yields and rating mixes. The table shows unhedged ten-year conditional growth estimates with unchanged nominal exchange rates, before fees and tax. Each source keeps its actual observation date. Separate currency hedges use the portfolio currency and dated financing inputs.
| Asset / proxy | Currency | Observed | Yield | Duration | Credit effect | Central |
|---|---|---|---|---|---|---|
UK Gilts (IGLT)Inputs and limitationsIGLT: FTSE Actuaries UK Conventional Gilts All Stocks; sterling UK sovereign bonds. GBP portfolio yield 5.15% and duration 7.01 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Local-currency sovereign priors. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.012%; marginal-allocation range 0.012 to 0.012%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +0 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | GBP | 2026-09-25 | 5.15% | 7.01 years | -0.013 pp | 5.14% |
UK Short Gilts (IGL5)Inputs and limitationsIGL5: FTSE UK Conventional Gilts up to 5 years; short sterling UK sovereign bonds. GBP portfolio yield 4.59% and duration 2.18 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Local-currency sovereign priors. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.012%; marginal-allocation range 0.012 to 0.012%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +0 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | GBP | 2026-09-25 | 4.59% | 2.18 years | -0.013 pp | 4.58% |
Euro Government Bonds (IEGA)Inputs and limitationsIEGA: Bloomberg Euro Treasury; euro-area sovereign bonds. EUR portfolio yield 3.92% and duration 6.64 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Foreign-currency sovereign priors: S&P classifies euro-area national sovereigns this way because they do not individually control the euro. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.038%; marginal-allocation range 0.038 to 0.038%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +0 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | EUR | 2026-09-25 | 3.92% | 6.64 years | -0.040 pp | 3.88% |
Italian Government Bonds (IITB)Inputs and limitationsIITB: Bloomberg Italy Treasury; euro-denominated Italian government bonds. EUR portfolio yield 4.13% and duration 5.99 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Foreign-currency sovereign priors: S&P classifies euro-area national sovereigns this way because they do not individually control the euro. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.096%; marginal-allocation range 0.096 to 0.096%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +0 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | EUR | 2026-09-25 | 4.13% | 5.99 years | -0.100 pp | 4.03% |
German Short Government Bonds (EXHB)Inputs and limitationsEXHB: eb.rexx Government Germany 1.5–2.5 years; matching historical EXHB proxy. EUR portfolio yield 3.26% and duration 1.85 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Foreign-currency sovereign priors: S&P classifies euro-area national sovereigns this way because they do not individually control the euro. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.006%; marginal-allocation range 0.006 to 0.006%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +0 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | EUR | 2026-09-25 | 3.26% | 1.85 years | -0.006 pp | 3.25% |
German Government Bonds (EXHA)Inputs and limitationsEXHA: eb.rexx Government Germany 1.5–10.5 years; matching historical EXHA proxy. EUR portfolio yield 3.43% and duration 5.1 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Foreign-currency sovereign priors: S&P classifies euro-area national sovereigns this way because they do not individually control the euro. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.006%; marginal-allocation range 0.006 to 0.006%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +0 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | EUR | 2026-09-25 | 3.43% | 5.10 years | -0.006 pp | 3.42% |
Euro Covered Bonds (German proxy) (EXHE)Inputs and limitationsEXHE: German Pfandbriefe covered-bond proxy, matching EXHE history; not the entire euro-area covered-bond universe. EUR portfolio yield 3.75% and duration 4.02 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Corporate rating priors are a conservative planning proxy for this covered-bond sleeve; they do not estimate the benefit of dual recourse or model the cover pool. This calibration gap remains. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.006%; marginal-allocation range 0.006 to 0.006%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | EUR | 2026-09-25 | 3.75% | 4.02 years | -0.006 pp | 3.74% |
UK Corporate Bonds (SLXX)Inputs and limitationsSLXX: iBoxx GBP liquid investment-grade corporate bonds. GBP portfolio yield 6.08% and duration 5.35 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Corporate rating default priors. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.057%; marginal-allocation range 0.057 to 0.057%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | GBP | 2026-09-25 | 6.08% | 5.35 years | -0.060 pp | 6.02% |
Euro Corporate Bonds (IEAC)Inputs and limitationsIEAC: Bloomberg Euro Corporate; euro-denominated investment-grade corporate bonds. EUR portfolio yield 4.29% and duration 4.32 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Corporate rating default priors. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.055%; marginal-allocation range 0.055 to 0.055%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | EUR | 2026-09-25 | 4.29% | 4.32 years | -0.058 pp | 4.23% |
Euro High Yield (IHYG)Inputs and limitationsIHYG: iBoxx EUR Liquid High Yield; euro-denominated high-yield corporate bonds. EUR portfolio yield 6.52% and duration 2.51 years, observed 2026-09-25. Issuer weighted average bond yield: callable holdings use yield to worst; gross of fees. Corporate rating default priors. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 1.601%; marginal-allocation range 1.601 to 1.601%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +2 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | EUR | 2026-09-25 | 6.52% | 2.51 years | -1.684 pp | 4.84% |
Canadian Short Bonds (XSB)Inputs and limitationsXSB: FTSE Canada Short Term Overall Bond Index; Canadian dollar government and corporate bonds. CAD portfolio yield 3.67% and duration 2.84 years, observed 2026-09-25. Issuer weighted average yield to maturity, gross of fees; not confirmed as yield to worst. Only federal exposure receives sovereign priors. Other sectors use corporate rating priors as a conservative proxy, including sub-sovereign, agency and secured exposures. The issuer publishes rating and sector marginals, not their joint allocation; the central allowance assumes independence and the allocation bounds cover every pairing of those marginals. The issuer labels 0.26% as Other, not a credit rating. This residual is retained with a full-loss annual reserve and zero assumed recovery; it is not silently assigned investment-grade credit. More than 1% unclassified exposure requires review. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.280%; marginal-allocation range 0.279 to 0.282%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | CAD | 2026-09-25 | 3.67% | 2.84 years | -0.289 pp | 3.38% |
Canadian Universe Bonds (XBB)Inputs and limitationsXBB: FTSE Canada Universe Bond Index; Canadian dollar government and corporate bonds. CAD portfolio yield 4.09% and duration 6.73 years, observed 2026-09-25. Issuer weighted average yield to maturity, gross of fees; not confirmed as yield to worst. Only federal exposure receives sovereign priors. Other sectors use corporate rating priors as a conservative proxy, including sub-sovereign, agency and secured exposures. The issuer publishes rating and sector marginals, not their joint allocation; the central allowance assumes independence and the allocation bounds cover every pairing of those marginals. The issuer labels 0.18% as Other, not a credit rating. This residual is retained with a full-loss annual reserve and zero assumed recovery; it is not silently assigned investment-grade credit. More than 1% unclassified exposure requires review. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.199%; marginal-allocation range 0.197 to 0.200%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | CAD | 2026-09-25 | 4.09% | 6.73 years | -0.206 pp | 3.88% |
Canadian Long Bonds (XLB)Inputs and limitationsXLB: FTSE Canada Long Term Overall Bond Index; Canadian dollar government and corporate bonds. CAD portfolio yield 4.85% and duration 13.74 years, observed 2026-09-25. Issuer weighted average yield to maturity, gross of fees; not confirmed as yield to worst. Only federal exposure receives sovereign priors. Other sectors use corporate rating priors as a conservative proxy, including sub-sovereign, agency and secured exposures. The issuer publishes rating and sector marginals, not their joint allocation; the central allowance assumes independence and the allocation bounds cover every pairing of those marginals. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.019%; marginal-allocation range 0.018 to 0.020%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | CAD | 2026-09-25 | 4.85% | 13.74 years | -0.020 pp | 4.83% |
Euro Aggregate Bonds (SYBA)Inputs and limitationsSYBA: Bloomberg Euro Aggregate Bond Index; plain aggregate exposure, replacing the changed ESG/SRI IEAG proxy for current inputs. EUR portfolio yield 3.96% and duration 5.93 years, observed 2026-09-25. Issuer weighted average yield to maturity, gross of fees; not confirmed as yield to worst. Only Treasury exposure receives sovereign priors. Other sectors use corporate rating priors as a conservative proxy, including sub-sovereign, agency and secured exposures. The issuer publishes rating and sector marginals, not their joint allocation; the central allowance assumes independence and the allocation bounds cover every pairing of those marginals. Dated S&P default studies and explicit minimum allowances use the same research as the other credit models; 40% recovery is a planning assumption. Annual credit loss 0.036%; marginal-allocation range 0.034 to 0.037%. Flat-yield central path, monthly reinvestment and constant-duration first-order repricing; no invented roll-down or convexity gain. Rate shifts ±1.5 percentage points; credit stress +1 points, double defaults and 20% recovery. These are conditional path sensitivities, not probability-calibrated expected outcomes or confidence bounds. Published yield is a carry approximation, not a contractual cash-flow IRR; call/prepayment and rating-migration risks remain. Issuer portfolio aggregates; individual missing-yield coverage is not separately supplied. Small settlement cash balances are preserved. Gross of fees and taxes. Unhedged, unchanged nominal exchange rates; the same numeric return translates to each investor currency only under that assumption. FX uncertainty remains. Credit research review due 2027-04-01. | EUR | 2026-09-25 | 3.96% | 5.93 years | -0.037 pp | 3.92% |
Euro-area national sovereigns follow S&P's foreign-currency default convention. Aggregate portfolios have separate rating and sector totals. The central credit allowance assumes independence; allocation bounds test every possible pairing. Sub-sovereign, agency, secured and covered exposures retain conservative corporate-rating proxies where matched calibration is unavailable. Covered bonds have dual recourse; this model does not claim to price the cover pool or measure that protection precisely.
Canadian and State Street inputs are yield to maturity, without claiming yield to worst. Monthly carry is a portfolio approximation, not an exact cash-flow IRR. Missing individual-yield coverage and small settlement cash balances are disclosed. These limits remain relevant even though the current inputs and calculations are shared throughout the app.
UK medium index-linked gilts
FTSE 5 to 15-year RPI-linked gilts: 4.72% nominal GBP central growth over ten years, before fees and tax. Bond inputs: 2026-08-31. RPI survey: 2026-08-19.
Calculation and limitations
FTSE Actuaries UK Index-Linked Gilts 5 to 15 Years (IL04), 11 bonds: quoted real redemption yield 1.90% compounded semi-annually and modified duration 9.45 years at 2026-08-31. Monthly real carry is converted once to nominal GBP using 10-year RPI 2.758%. HM Treasury's 2026-08-19 compilation of independent annual RPI forecasts is used through 2030; these are calendar-year averages treated as annual rates. Later years use the terminal CPI forecast plus the DMO's post-reform 0.4pp RPI-CPI planning wedge. This does not apply another reform deduction to the published RPI forecasts. Flat real yields centrally; gradual ±1.5pp real-yield and ±1pp RPI shifts are conditional sensitivities, not probability-calibrated outcomes or confidence bounds. The factsheet does not identify the inflation assumption used for its lag-sensitive real yield and duration; these are administrator-quoted carry/repricing approximations, not a new valuation of every cash flow. Constant duration, first-order repricing, no invented roll-down or convexity gain. Indexation lags, exact coupon timing and index turnover are not individually priced. Gross of fees and tax. Unhedged, unchanged nominal exchange rates. RPI-linked UK payments do not protect another country’s purchasing power. Monthly bond observations expire after 45 days; the inflation survey after 120 days. This forecast update does not recalibrate the separate historical risk series.
FTSE basket analytics · Independent RPI forecasts · DMO post-reform convention
South African nominal government bonds
Current GOVI yield or domestic-rating inputs are unavailable. An old reference forecast is not substituted.
South African inflation-linked government bonds
Current South African linker yield, CPI or rating inputs are unavailable. The current model does not substitute an old reference forecast.
Three current government-bond forecasts
Intermediate US Treasuries use IEF's portfolio of Treasuries maturing in seven to ten years, matching the app's historical proxy; long Treasuries use TLT's 20-plus-year portfolio. World government bonds use IGLO's G7 basket as a disclosed developed-sovereign proxy. It includes the US and is not the separate world-ex-US class or the complete world-government universe. Current portfolio yields replace approximate curve points and fixed country weights.
| Portfolio proxy | Observed | Yield / base | Duration | Maturity |
|---|---|---|---|---|
| IEF: ICE US Treasury 7-10 Year Bond Index; intermediate-maturity proxy, consistent with the app's IEF historical proxy | 2026-09-25 | 5.13% | 6.86 years | 8.43 years |
| TLT: ICE US Treasury 20+ Year Bond Index; long-maturity Treasury proxy | 2026-09-25 | 5.55% | 14.84 years | 26.04 years |
| IGLO: FTSE G7 Government Bond Index; G7 developed-sovereign proxy, not all countries in the wider world-government universe; unhedged currency basket | 2026-09-25 | 4.58% | 6.26 years | 8.31 years |
The central case holds yields constant and compounds monthly income. Reported weighted-average yield to maturity or worst is an annual carry approximation; it is not an exact cash-flow forecast for a fund that continually replaces its bonds. Rate sensitivities gradually shift yields by 1.5 percentage points in either direction, or 1.2 points for long Treasuries, while repricing at the observed duration and reinvesting at the changing yield. These are assumptions, not implied policy paths. No unverified convexity benefit or extra roll-down is added.
Current unhedged government, credit and alternative forecasts use the same long-term currency convention as equities: relative purchasing-power parity, based on horizon-matched expected inflation. Raw cash flows are calculated in their documented reference currency, then translated once into USD, GBP, EUR, CAD or ZAR. The raw multi-country reference baskets still assume unchanged internal exchange rates; they are proxies, not a detailed forecast of every bilateral currency. Supported hedges instead use dated financing costs. The same selected return travels through the optimizer, reloads and currency changes. Missing currency or hedge inputs make that estimate unavailable.
Returns are before fees and tax. The model assumes no sovereign default loss centrally; default, nonparallel curve movements, changing duration, transaction costs and FX shocks remain risks outside these rate sensitivities. Portfolio observations expire after ten days. A stronger bond implementation would reprice individual holdings against currency-specific curves and model turnover and hedge costs; these portfolio approximations are not claimed to be that full model.
The cash-flow calculation
Start with a portfolio price of 1. Each future dividend is today's annual income yield multiplied by cumulative real earnings-per-share growth, assuming an unchanged payout ratio. The final sale price is cumulative earnings growth multiplied by the assumed terminal-to-current valuation ratio. We solve for the annual discount rate that makes those dividends and the sale price worth 1 today.
Dividend(t) = initial yield × cumulative real EPS growth(t) Sale price(H) = cumulative real EPS growth(H) × terminal/current multiple 1 = sum[Dividend(t)/(1+r)^t] + Sale price(H)/(1+r)^H
This is a real annual cash-flow IRR. Nominal return compounds it with expected inflation: (1 + real return) × (1 + expected inflation) − 1. The workstation derives the corresponding arithmetic return using its volatility assumption so that optimization and simulation do not retain a mismatched old arithmetic forecast.
Buybacks, issuance and other distributions
A buyback can reduce the share count and raise earnings per remaining share. Adding a separate buyback yield to a growth forecast that already includes this effect would count it twice. Our dividend-plus-per-share-growth calculation therefore adds no separate buyback yield. Gross repurchases are not the same as net share shrinkage: employee shares, new issuance, acquisitions, financing costs and index membership changes matter.
AQR's developed-market payout growth estimates include its historical growth, buyback-regime and shrinkage adjustments. Its emerging-market growth method uses a different GDP-based approach; we do not claim to have measured a fresh net-buyback series for every market. Benchmark dividend definitions also differ: annualized regular dividends can exclude special distributions. We have not assumed all forms of capital distribution are equivalent to recurring dividends.
Valuation and uncertainty
The central scenario assumes the valuation multiple stays unchanged. Current valuation still affects the forecast through the income yield, but there is no automatic return to a historical median. A historical median is not proof of fair value, and a loss-excluding P/E cannot be substituted for a full-market earnings yield. Current P/E observations are retained as diagnostics, not silently turned into a reversion forecast.
The lower sensitivity reduces real growth by two percentage points and the terminal multiple by 25% over ten years. The upper sensitivity raises growth by two points and the multiple by 25%. The valuation changes scale geometrically for three- and five-year horizons. These are transparent stress assumptions, not calibrated confidence intervals, worst cases or measured probabilities. Users can change growth and the terminal/current multiple.
A stronger valuation anchor requires consistent historical earnings definitions, index membership treatment, structural-change analysis and validation using only information available at each forecast date. We do not claim that revised historical data constitute a point-in-time backtest or that an expert panel has validated these forecasts.
Currency, fees and tax
The benchmark model covers unhedged exposure. It assumes unchanged real exchange rates, commonly called relative purchasing-power parity, and compounds real returns with the investor currency's dated inflation assumption. This is a long-run modelling assumption, not a currency prediction. USD inflation uses the Cleveland Fed model; EUR and CAD use paths from the ECB and Bank of Canada surveys. GBP uses fresh independent annual CPI forecasts compiled by HM Treasury, holding the final annual rate beyond the published years. ZAR uses the BER professional survey mean over five years; its three- and ten-year use explicitly extrapolates that rate. No second published-house FX adjustment is added during transfer to the workstation. Hedged exposure needs a separate hedge-cost model and is not represented as this unhedged forecast.
The displayed equity forecasts are before fees and investor taxes. An MSCI net-return benchmark name does not make an annualized gross dividend-yield input net of withholding. Fund-level returns can differ because of fees, withholding, tracking and distribution treatment.
Local UK and euro-area equities
UK All Cap uses the current MSCI United Kingdom IMI income profile as an explicitly identified broad-market proxy; it is not the exact FTSE All-Share benchmark used by the historical holding. UK Small Cap and Euro-area Small Cap use their MSCI benchmark income profiles. The related UK or euro-area real per-share growth assumption is used without an extra size premium or separate buyback yield. Central valuations remain unchanged; users can edit growth and terminal multiples.
For the GBP-hedged Euro-area Small Cap variant, we first calculate the native EUR equity return and then apply a rolling EUR/GBP hedge using current overnight financing and a dealing allowance. There is no USD financing leg or extra purchasing-power-parity adjustment. Forward carry is held constant as an explicit scenario; ±1 percentage point annual carry sensitivities are not probability bounds. The unhedged and hedged values are shown separately in the Forecaster and the workstation uses the selected variant.
Updates and unavailable inputs
The source pipeline checks index identity, dates, units, duplicate rows and backward revisions before publishing observations. It refreshes the benchmark data daily; a monthly source keeps its actual month-end date. Prices expire after seven days, monthly profiles after 45 days, and the S&P reporting input after 150 days. Structural growth assumptions have a separate annual review deadline. Failed updates do not relabel old data as new.
When the current model lacks usable inputs, the workstation asks the user to explicitly select a separate reference model instead of silently presenting old house forecasts as current benchmark calculations.
The wider app and the separate CAPE research view
The current benchmark forecaster table, its optimizer transfer and the default current-equity assumption choice share the same calculation. Applied forecasts also carry their horizon-specific investor inflation rate into CPI-linked planning and reporting. Annual assumptions are held constant if the planning period extends beyond that forecast horizon. Imported benchmark growth and valuation edits also reach the current private-infrastructure, private-equity, venture-capital, listed-private-debt and hedge-fund factor forecasts. Listed infrastructure uses half the broad-world growth assumption, including a user edit. Factor benchmarks are named explicitly. Agreement with the app’s covariance assumptions does not establish that its historical proxies, samples and economic risk estimates are an empirically matched calibration. The three government-bond classes, twelve credit/international classes, TIPS and twelve alternative classes above share their current models across these same modules. Other asset classes still use their existing reference models pending their own overhaul. The current AC World forecast uses its own benchmark income and a disclosed broad growth prior; it is not a weighted aggregate of the country forecasts.
The broader CAPE research view remains separately labelled, with CAPE observations dated August 31, 2026. Its overlapping market proxies do not replace the benchmark model. Its valuation targets and growth assumptions belong to that research model and should not be interpreted as inputs to the new payout forecasts.
Primary sources
- AQR 2026 capital market assumptions, Appendix Exhibit A1 and equity methodology
- Shiller S&P dividend and earnings history; S&P 500 closes via FRED
- MSCI fundamental data methodology
- The forecaster's individual rows link directly to the MSCI, FTSE Russell and CSI benchmark observations used.
Frequently asked questions
Do buybacks need to be added to dividend yield?
Only if their effect is absent from the growth estimate. Our model uses per-share earnings growth, so it adds no separate buyback yield. New share issuance and dilution must be considered alongside repurchases.
Does the central forecast assume valuations return to their historical average?
No. The current benchmark models assume an unchanged valuation multiple centrally. Users can change the terminal/current multiple, and the lower and upper cases show explicit valuation and growth sensitivities. Those cases are not probability bounds.
Are these current forecasts from AQR or another asset manager?
No. These are Portfolio Lab calculations using current benchmark income observations and separately dated structural growth assumptions. The use of an AQR growth input does not make the result an AQR forecast or imply endorsement.