【英文】摩根资产报告：2023长期资本市场假设（124页）

英文研究报告 2022年12月13日 08:55 管理员

Lower valuations and higher yields mean that asset markets today offer the best long-term returns in more than a decade. It took a painful slump in stock and bond markets to get here, the worst of which may not yet be over. Still, the turmoil of 2022 might be considered a cathartic moment, revitalizing the portfolio toolkit and creating attractive investment opportunities in the years ahead. In the near term, investors face a challenging time, as a recession or at least several quarters of subtrend growth lie immediately ahead. Nevertheless, our assessment of longterm trend growth is only marginally below last year’s. We expect today’s inflationary surge to eventually subside to a rate only slightly above our previous estimates. Our forecast annual return for a USD 60/40 stock-bond portfolio over the next 10–15 years leaps from 4.30% last year to 7.20%. Over the last 25 years, the rolling 10-year return for this portfolio has averaged 6.10%. But that statistic bears some scrutiny.

The secular decline in bond yields over this period1 provided a tailwind of about 50 basis points (bps) per year (Exhibit 1A). Without that tailwind – which we do not expect to recur in the coming decade – the fair historical comparison for a rolling 10-year USD 60/40 portfolio return is closer to 5.60%. 1 U.S. 10-year yields followed a path of secular decline from 15.84% in 1981 to a low of 0.53% in 2020. Source: Bloomberg. 2 Allowing for a 16% drawdown in a 60/40 portfolio this year, and assuming a linear 7.2% 60/40 return, a balanced portfolio recovers in approximately three years. 2022 saw drawdowns across asset classes, with international investors also hit hard by a soaring dollar (Exhibit 1B). Today, however, opportunities for long-term investors with capital to deploy are the best we’ve seen since 2010.2 Meanwhile, we would remind those shouldering losses from the last year that investors able to avoid selling during drops tend to be rewarded in the longer run,2 and that the sharpest gains are often banked early in the cycle as markets first turn.