Estimating Long-Term Expected Returns

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dc.citation.volumeLatest articles
dc.contributor.authorMa R
dc.contributor.authorMarshall BR
dc.contributor.authorNguyen NH
dc.contributor.authorVisaltanachoti N
dc.date.accessioned2024-07-09T01:32:06Z
dc.date.available2024-07-09T01:32:06Z
dc.date.issued2024-07-01
dc.description.abstractEstimating long-term expected returns as accurately as possible is of critical importance. Researchers typically base their estimates on yield and growth, valuation, or a combined yield, growth, and valuation (“three-component”) framework. We run a horse race of the abilities of different frameworks and input proxies within each framework to estimate 10- and 20-year out-of-sample returns. The three-component model based on the TRCAPE valuation proxy outperforms estimates based on historical mean benchmark returns, with mean square error improvements exceeding 30%. Using this approach in asset allocation decisions results in an improvement in Sharpe ratios of more than 50%.
dc.description.confidentialfalse
dc.edition.edition2024
dc.format.pagination1-21
dc.identifier.citationMa R, Marshall BR, Nguyen NH, Visaltanachoti N. (2024). Estimating Long-Term Expected Returns. Financial Analysts Journal. Latest articles. (pp. 1-21).
dc.identifier.doi10.1080/0015198X.2024.2358737
dc.identifier.eissn1938-3312
dc.identifier.elements-typejournal-article
dc.identifier.issn0015-198X
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/70121
dc.languageEnglish
dc.publisherTaylor and Francis Group
dc.publisher.urihttps://www.tandfonline.com/doi/full/10.1080/0015198X.2024.2358737
dc.relation.isPartOfFinancial Analysts Journal
dc.rights(c) 2024 The Author/s
dc.rightsCC BY-NC-ND 4.0
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectasset allocation
dc.subjectlong-term expected returns
dc.subjectthree-component model
dc.subjectvaluation
dc.titleEstimating Long-Term Expected Returns
dc.typeJournal article
pubs.elements-id489451
pubs.organisational-groupOther
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