The expected risk premium for the Global Market Index (GMI) edged up in June, rising to an annualized 4.8%. Tuesday's revision reflects a modest gain over last month's 4.5% projection. GMI is an unmanaged market value-weighted portfolio that holds all the major asset classes (except cash). The performance estimate for the benchmark represents the ex ante premium over the projected "risk-free" rate for the long term.
Adjusting for short-term momentum and medium-term mean-reversion factors (defined below) trims GMI's return outlook to an annualized 4.5% forecast - a fractionally higher projection vs. last month's estimate.
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