Capital Market Assumptions 2026
Side-by-side comparison of expected returns from five major providers across 27 asset classes. Where they agree matters. Where they disagree matters more.
| Asset Class ↑ | Vol | JPM | BLK | AQR | GMO | RA | Sharpe |
|---|---|---|---|---|---|---|---|
| AC Asia ex-Japan | 20.8% | 7.9% | — | — | — | 6.8% | 0.23 |
| AC World Equity | 16.8% | 7.0% | 7.8% | 6.5% | — | 4.6% | 0.23 |
| Bitcoin | 42.5% | 15.0% | — | — | — | — | 0.28 |
| Cash / Money Market | 0.7% | 3.1% | 3.4% | 3.7% | 3.4% | 3.5% | 0.00 |
| Chinese Domestic Equity | 28.7% | 7.7% | 6.7% | 7.3% | — | 7.7% | 0.16 |
| Commodities (Broad) | 18.3% | 4.6% | — | 6.8% | — | 5.1% | 0.08 |
| Diversified Hedge Funds | 5.8% | 5.3% | 8.6% | — | — | 7.2% | 0.38 |
| EAFE Equity | 17.6% | 7.5% | 7.6% | 6.9% | 1.5% | 7.3% | 0.25 |
| EM Local Currency Debt | 12.1% | 6.7% | 4.8% | — | — | 6.6% | 0.30 |
| EM Sovereign Debt | 8.8% | 6.3% | 4.4% | 5.6% | 4.1% | 4.8% | 0.36 |
| Emerging Markets Equity | 20.9% | 7.8% | 6.9% | 7.4% | 2.0% | 7.1% | 0.22 |
| Euro Area Large Cap | 22.0% | 7.8% | 7.9% | 6.9% | — | 6.8% | 0.21 |
| Global Infrastructure | 10.3% | 6.5% | 6.3% | — | — | — | 0.33 |
| Gold | 16.7% | 5.5% | — | — | — | -0.8% | 0.14 |
| Hong Kong Equity | 21.4% | 7.4% | — | — | — | 8.1% | 0.20 |
| Japanese Equity | 15.8% | 8.8% | — | 6.7% | — | 8.8% | 0.36 |
| Private Equity | 19.8% | 10.2% | 14.6% | 6.6% | — | 3.8% | 0.36 |
| TIPS | 5.9% | 4.3% | 4.2% | — | 4.4% | 4.7% | 0.20 |
| UK Large Cap | 17.5% | 6.6% | — | 7.1% | — | 6.7% | 0.20 |
| US Aggregate Bonds | 4.8% | 4.8% | 3.9% | 4.9% | 4.2% | 4.7% | 0.36 |
| US High Yield Bonds | 8.7% | 6.1% | 5.5% | 5.0% | — | 4.7% | 0.34 |
| US IG Corporate Bonds | 7.4% | 5.2% | 4.0% | 5.2% | — | 5.0% | 0.28 |
| US Intermediate Treasuries | 3.5% | 4.0% | 3.6% | 4.8% | — | 4.5% | 0.26 |
| US Large Cap | 16.5% | 6.7% | 7.7% | 6.3% | -4.0% | 3.1% | 0.22 |
| US REITs | 17.4% | 8.8% | 7.0% | — | — | 6.4% | 0.33 |
| US Small Cap | 21.1% | 6.9% | 6.1% | 7.4% | -2.4% | 6.8% | 0.18 |
| World Govt Bonds | 7.3% | 4.3% | 4.3% | — | — | 5.4% | 0.17 |
Risk vs Return by Provider
How Each Provider Builds Their Forecasts
Building-block equilibrium model. Decomposes returns into revenue growth, buyback yield, dividends, valuation drag, and margin pressure.
Three macro scenarios: Starting Point (base), AI Productivity Boom (US tech dominance), and US Risk Premia Reset (US valuations revert). Volatility held constant — only returns vary.
CAEP + payout model for equities. Rolling yield model for bonds. Averages two independent approaches.
Valuation-driven. Anchors on current prices relative to fair value. Mean reversion is central to the model.
CAPE-based mean reversion. Starting valuations are the primary return driver. Expects halfway reversion over 10 years.
Important Notes
All returns shown are nominal geometric (compound) annual returns in USD. GMO publishes real returns — we add 2.5% expected US CPI inflation for comparability.
Volatility column uses J.P. Morgan estimates throughout. Other providers don't publish volatility for all asset classes.
Sharpe ratio is computed from J.P. Morgan data: (expected return − 3.10% risk-free rate) / volatility.
"—" indicates the provider doesn't publish an estimate for that asset class. This doesn't mean they have no view — it may not be in their public dataset.
These are forward-looking estimates, not predictions. All five providers emphasise significant uncertainty around their central estimates.
Different forecast horizons (7–15 years) make direct comparison imperfect. Shorter horizons tend to be more sensitive to starting valuations.
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