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JUSA - Risk Premia Forecasts: Major Asset Classes - December 2 2021
JPMorgan ActiveBuilders U.S. Large Cap Equity ETF
The expected risk premium for the Global Market Index (GMI) ticked lower in November but remains elevated relative to recent history.
Adjusting the forecast with short-term momentum and medium-term mean-reversion market factors (defined below) reduces - substantially - GMI’s ex ante risk premium to an annualized 5.3%.
Indeed, a number of studies published through the years document that combined forecasts tend to be more robust vs. single-model projections.