The long-run risk premia estimate for the Global Market Index (GMI) ticked higher again in July, edging up to 4.8%. This annualized outlook for GMI reflects the long-term forecast over the "risk-free" rate, based on a risk-centered model outlined by Professor Bill Sharpe (details below).
Today's update is slightly higher vs. last month's estimate. Compared with the year-ago projection, today's estimate is unchanged at 4.8% annualized.
GMI is an unmanaged, market-value-weighted portfolio that holds all the major asset classes (except cash) and represents a benchmark of the theoretical, optimal portfolio for the average investor with