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SPLB - Risk Premia Forecasts: Major Asset Classes - February 2 2022
SPDR Portfolio Long Term Corporate Bond
The expected risk premium for the Global Market Index edged down in January from the previous month’s estimate.
Using short-term momentum and medium-term mean-reversion market factors to adjust the forecast reduces GMI’s ex-ante risk premium to an annualized 5.4%.
The adjusted risk premia estimates in the table above reflect changes based on two factors: short-term momentum and long-term mean reversion.