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SMLL - Risk Premia Forecasts: Major Asset Classes - September 2 2020
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The risk premia estimate for the Global Market Index (GMI) rose to 5.0% in August, 20 basis point above the previous month's estimate. This long-run forecast, which varies modestly from month to month, reflects an outlook for performance over the "risk-free" rate, according to a risk-based model (details below).
Wednesday's projection is above the 4.3-4.8% range of estimates in recent months. It's also above the 4.6% forecast from a year ago.
Adjusting for short-term momentum and medium-term mean-reversion factors (defined below) trims GMI's current ex ante premium to an annualized 4.5%.