SFY - Risk Premia Forecasts: Major Asset Classes - February 4 2020
The expected risk premium for the Global Market Index was steady in January after edging higher in recent months. Tuesday's revised estimate leaves GMI's long-term ex ante return at an annualized 5.0% (before factoring in a "risk-free" rate).
GMI's current projection matches last month's 5.0% forecast and is moderately above the year-ago estimate (4.5%). GMI is an unmanaged, market value-weighted portfolio that holds all the major asset classes (except cash) and represents the optimal portfolio for the average investor with an infinite time horizon. Accordingly, GMI can be used as a baseline starting point