SMLL - Risk Premia Forecasts: Major Asset Classes - May 4 2020
The projected long-run risk premium for the Global Market Index ((GMI)) rebounded in April after slipping below 4% annualized in the previous month. Today's revised estimate for GMI: 4.3%, which is the index's long-term projection over the "risk-free" rate. Compared with the outlook a year ago, today's forecast is modestly lower.
The coronavirus crisis has created unusually high volatility in asset classes since March and the effects have rocked GMI risk premia estimates lately. Relative to the fractional changes that are typical from month to month, recent updates for risk premia estimates have been comparatively