Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 28, 2023 erstellt
Beschreibung:
Estimating 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 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 over 140-year and more recent time periods. Our results indicate that several approaches strongly outperform estimates based on historical mean benchmark returns, with mean square error improvements exceeding 40%. Using these approaches in asset allocation decisions results in an improvement in Sharpe ratios of more than 50%