Amundi considers changes in theory of forecasting returns

Amundi’s Cross Asset Special Focus on long-term returns has looked at how forecasting returns on assets has changed along with the investment environment.

The latest Focus report says that the practice of forecasting returns has evolved from an initial approach based on asset fundamentals to a modelling centred on a long-term equity risk premium.

“More recently, academic work has focused on considering risk premia themselves as time-varying quantities, and on broadening the investment universe to non-traditional assets (commodities, real estate), investment styles (value, trend, carry, volatilities) and underlying factors (growth, inflation, illiquidity, and tail risks),” it adds.

Click here to read the full report: Cross Asset Special Focus


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