Solutions
Modern CMAs
Capital Market Assumptions shape some of the most consequential decisions an investor makes. Expected returns, risks, and correlations must capture the opportunities investors face today: better assumptions ultimately lead to better asset allocations.
We rethink CMAs from first principles: forward-looking, horizon-specific and consistent with current market pricing. We also test them against outcomes, because expected returns should tell investors something about the returns that follow if they are to be useful inputs to asset allocation.
30k+
Expected return estimates
2.4m+
Risk & Correlation Estimates
18
Currency perspectives
1 - 30 Years
Horizons covered
About
Allocations are only as good as the assumptions they are built from
01
Forward-looking assumptions
Expected returns, risk and correlations underpin asset allocation. When those inputs are stale, backward-looking or inconsistent across markets, the portfolios built from them inherit those weaknesses.
We use present-value frameworks to build expected returns and risk estimates that are inherently forward-looking, high-frequency, and accurate.
02
Tailored to your investment context
There is no single set of CMAs that works for every investor. Expected returns depend on the horizon you invest over, the currency you measure outcomes in, and the level of granularity at which you allocate capital.
We produce CMAs across multiple horizons, currencies and levels of asset detail, so assumptions can be matched to the way your portfolio is actually managed and decisions are actually made.
03
From assumptions to outcomes
An expected return is only useful if it contains information about what markets subsequently go on to deliver. Too often, CMA processes are assessed on methodology rather than outcomes.
We benchmark our expected returns against realised returns to test whether they have been genuinely informative for future asset performance.
Use Cases
Solve real-world allocation problems
A dynamic allocation team wanted a systematic way to identify short-term opportunities across a broad multi-asset universe.
Short-horizon expected returns
We provide short-horizon expected returns across the investment universe, delivered programmatically and ready to integrate into the investment process.
Focus on positioning, not infrastructure
This allows the team to focus on portfolio positioning, implementation and testing investment ideas, rather than maintaining the underlying data and model infrastructure.
- Allocation Strategycorr. 0.25
- Other providerscorr. −0.41
A strategy team at a large pension fund wanted a more robust way to build and explain their Capital Market Assumptions.
Market-implied reference point
We provided a market-implied reference point, breaking down what current prices imply for future returns and underlying drivers. This gave the team a clearer framework for explaining why its views differed from what markets were pricing.
Disciplined processes with macro consistency
The result was a more disciplined CMA process, with stronger links between expected returns, macroeconomic narratives and the discussions taken to management and investment committees.
- Allocation Strategy
- Client in-house
An asset manager needed to build glide paths for investment funds and retirement savings accounts.
Cross-horizon CMAs
Our CMAs consistently cover one- to thirty-year horizons, unlocking glide path analysis that needs to integrate many asset allocation layers.
Coherent glide path design
The team can design glide path portfolios with a granular view on horizon-specific expected returns and risk, instead of forcing single horizon assumptions into their analysis.
- Early de-risking70% → 25%
- Late de-risking70% → 40%
FAQs
Common questions about our CMAs
Modern CMAs are forward-looking estimates of expected returns, risk and related portfolio inputs designed around how investors actually allocate capital. They are updated more frequently, available across multiple horizons and granular asset classes, and built within a consistent cross-asset framework.
Investors use them to review strategic asset allocations, compare opportunities across asset classes, benchmark in-house assumptions, set hurdle rates for new investments, assess tactical positioning and provide inputs into portfolio construction and simulation models.
Expected returns, risk and correlations for 200+ series across public and private markets, at horizons from one year to thirty, from 18 currency perspectives, in nominal or real terms. The coverage extends beyond broad asset classes into regions, countries, sectors, maturities, currencies and other relevant segments of the opportunity set. We also provide more than 20 years of historical estimates.
Daily. Each run reads the latest market prices, so the estimates move with what markets are pricing rather than waiting for an annual review.
Risk is modelled stochastically rather than treated as a fixed historical input. Volatility and cross-asset relationships can change through time and across horizons, producing distributions that better reflect how portfolio risk can evolve.
We benchmark our expected return estimates against subsequent realised returns and assess whether they contain useful information about future relative performance. The aim is to validate the models empirically rather than judging them solely on whether the methodology sounds plausible.
Through our platform, or programmatically by API, ready to feed your own investment process.
Insights
