Skip to main content

Hover over an Asset Class to highlight rows and columns. Click individual cells to add a highlight.

Download Excel

TEST ASSET CLASS (ROWS):

FIVE-YEAR CMA FORECAST:

SELECTIONS:

× RESET
              FIXED INCOME EQUITIES REAL ASSETS ALTERNATIVES
        FIVE-YEAR CMA FORECAST UNITED STATES EUROPE JAPAN UK CANADA AUSTRALIA GLOBAL DEVELOPED MARKETS EMERGING MARKETS GLOBAL
ASSET CLASS    
Benchmark
Geometric Return Arithmetic Return Risk Cash                                                                              
FIXED INCOME UNITED STATES Cash FTSE Treasury Bill 3 Mon 0.3 0.3 0.4 1.00 Inflation
Linked
                                                                           
Inflation Linked BBgBarc Gbl Infl Linked US TIPS 2.2 2.4 5.8 0.02 1.00 Investment
Grade
                                                                         
Investment Grade BBgBarc US Agg Bond 2.4 2.5 3.4 0.06 0.79 1.00 High Yield                                                                        
High Yield BBgBarc US Corporate High Yield 3.5 3.9 9.1 -0.10 0.36 0.23 1.00 Municipal                                                                      
Municipal BBgBarc Municipal 1-10Y Blend 1-12Y 1.6 1.6 3.0 0.01 0.59 0.72 0.28 1.00 Cash                                                                    
EUROPE Cash JPM GBI Germany 3 Mon -0.4 0.1 9.6 0.09 0.37 0.24 0.38 0.12 1.00 Inflation
Linked
                                                                 
Inflation Linked BBgBarc Euro Govt Infl Lkd 1.0 1.7 11.8 0.04 0.54 0.43 0.49 0.30 0.90 1.00 Investment
Grade
                                                               
Investment Grade BBgBarc Euro Agg Bond 1.0 1.5 10.1 0.04 0.50 0.45 0.42 0.29 0.94 0.97 1.00 Cash                                                              
JAPAN Cash JPM GBI Japan 3 Mon -0.1 0.3 9.0 0.04 0.37 0.43 -0.06 0.37 0.23 0.23 0.28 1.00 Inflation
Linked
                                                           
Inflation Linked BBgBarc JPN Govt Infl Lkd 0.2 0.7 9.8 -0.00 0.55 0.53 0.18 0.44 0.32 0.38 0.39 0.90 1.00 Investment
Grade
                                                         
Investment Grade BBgBarc Japanese Aggregate 0.2 0.7 9.8 0.04 0.40 0.49 -0.06 0.41 0.23 0.25 0.30 0.98 0.91 1.00 Cash                                                        
UK Cash JPM GBI UK 3 Mon 0.2 0.6 8.9 0.08 0.22 0.02 0.43 -0.01 0.62 0.55 0.56 0.02 0.11 -0.00 1.00 Inflation
Linked
                                                     
Inflation Linked BBgBarc Gbl Infl Linked UK 1.0 1.6 10.9 0.01 0.59 0.45 0.53 0.32 0.53 0.62 0.61 0.16 0.32 0.19 0.64 1.00 Investment
Grade
                                                   
Investment Grade BBgBarc Sterling Agg 1.5 1.9 9.4 0.01 0.50 0.42 0.45 0.25 0.57 0.63 0.65 0.17 0.27 0.18 0.82 0.86 1.00 Cash                                                  
CANADA Cash FTSE TMX Canada 91 Day TBill 0.2 0.6 9.3 0.09 0.28 0.10 0.59 0.08 0.56 0.57 0.53 0.05 0.16 0.03 0.54 0.41 0.44 1.00 Inflation
Linked
                                               
Inflation Linked FTSE TMX Canada Real Return Bond 2.0 2.8 12.3 0.02 0.64 0.43 0.65 0.30 0.52 0.65 0.58 0.16 0.35 0.17 0.42 0.60 0.55 0.77 1.00 Investment
Grade
                                             
Investment Grade FTSE TMX Canada Universe Bond 2.4 2.9 9.5 0.06 0.51 0.41 0.64 0.29 0.57 0.65 0.62 0.17 0.32 0.18 0.48 0.54 0.56 0.92 0.89 1.00 High Yield                                            
High Yield ICE bofAML CA HY CA Isurs 3.8 4.6 12.5 0.00 0.30 0.19 0.65 0.09 0.55 0.60 0.57 0.03 0.15 0.02 0.53 0.47 0.52 0.88 0.76 0.87 1.00 Cash                                          
AUSTRALIA Cash JPM GBI Australia 3 Mon 0.3 1.1 12.6 0.02 0.44 0.25 0.59 0.12 0.71 0.70 0.68 0.13 0.27 0.12 0.57 0.54 0.56 0.73 0.74 0.75 0.74 1.00 Investment
Grade
                                       
Investment Grade BBgBarc Global Australia 1.5 2.2 11.8 0.02 0.56 0.45 0.56 0.29 0.70 0.74 0.74 0.26 0.41 0.27 0.51 0.60 0.62 0.68 0.76 0.78 0.70 0.95 1.00 Inflation
Linked
                                     
GLOBAL Inflation Linked BBgBarc Global Inflation Linked 1.5 1.8 7.6 0.03 0.81 0.64 0.55 0.46 0.73 0.86 0.83 0.32 0.51 0.35 0.56 0.87 0.78 0.52 0.76 0.69 0.56 0.68 0.78 1.00 Investment
Grade
                                   
Investment Grade BBgBarc Global Aggregate 1.6 1.8 5.5 0.05 0.70 0.73 0.38 0.52 0.76 0.84 0.88 0.61 0.70 0.65 0.43 0.65 0.67 0.44 0.62 0.64 0.49 0.61 0.75 0.87 1.00 High
Yield
                                 
High Yield BBgBarc Global High Yield 4.0 4.5 9.9 -0.09 0.42 0.28 0.97 0.31 0.53 0.63 0.56 -0.02 0.21 -0.02 0.51 0.59 0.53 0.66 0.71 0.71 0.72 0.68 0.65 0.65 0.49 1.00 United
States
                               
EQUITIES DEVELOPED MARKETS United States MSCI USA IMI 4.3 5.4 14.8 -0.08 0.15 -0.01 0.72 0.01 0.39 0.43 0.38 -0.20 -0.02 -0.21 0.41 0.36 0.37 0.59 0.56 0.59 0.65 0.59 0.53 0.40 0.24 0.73 1.00 Europe                              
Europe EUROPE ex UK IMI 4.7 6.6 19.5 0.01 0.18 0.07 0.72 0.06 0.62 0.63 0.60 -0.11 0.06 -0.12 0.53 0.46 0.49 0.62 0.59 0.62 0.67 0.67 0.61 0.54 0.42 0.78 0.87 1.00 Japan                            
Japan MSCI Japan IMI 4.1 5.2 15.0 -0.06 0.19 0.06 0.53 0.02 0.33 0.40 0.33 -0.01 0.12 -0.05 0.37 0.34 0.33 0.47 0.47 0.49 0.51 0.51 0.46 0.38 0.27 0.57 0.66 0.67 1.00 United
Kingdom
                         
United Kingdom MSCI UK IMI 6.2 7.7 17.3 -0.01 0.18 0.03 0.72 0.07 0.53 0.54 0.51 -0.14 0.02 -0.15 0.63 0.49 0.56 0.66 0.59 0.64 0.70 0.67 0.59 0.50 0.36 0.77 0.85 0.92 0.66 1.00 Canada                        
Canada MSCI Canada IMI 5.2 7.2 20.1 0.03 0.28 0.08 0.73 0.09 0.48 0.53 0.47 -0.06 0.09 -0.08 0.52 0.45 0.45 0.83 0.75 0.81 0.83 0.72 0.65 0.52 0.37 0.77 0.81 0.79 0.61 0.83 1.00 Australia                      
Australia MSCI Australia IMI 4.7 7.2 22.2 0.02 0.32 0.15 0.72 0.09 0.55 0.60 0.56 -0.05 0.12 -0.05 0.49 0.47 0.49 0.67 0.70 0.70 0.75 0.83 0.77 0.57 0.45 0.78 0.81 0.83 0.63 0.84 0.84 1.00 Developed
Markets
                   
Developed Markets MSCI World IMI 4.5 5.7 15.3 -0.04 0.19 0.04 0.76 0.04 0.50 0.53 0.48 -0.15 0.03 -0.17 0.50 0.43 0.45 0.66 0.62 0.66 0.71 0.68 0.61 0.49 0.33 0.79 0.97 0.94 0.74 0.92 0.86 0.87 1.00 Emerging
Markets
                 
EM Emerging Markets MSCI EM IMI 5.3 7.5 21.0 0.04 0.29 0.12 0.72 0.07 0.54 0.58 0.53 -0.04 0.12 -0.06 0.50 0.45 0.47 0.70 0.69 0.71 0.74 0.79 0.72 0.54 0.42 0.78 0.77 0.84 0.66 0.81 0.84 0.87 0.85 1.00 Global Equities                
GLOBAL Global Equities MSCI ACWI IMI 4.6 5.8 15.6 -0.03 0.21 0.05 0.77 0.04 0.51 0.55 0.50 -0.14 0.04 -0.15 0.51 0.44 0.46 0.68 0.64 0.68 0.73 0.70 0.63 0.50 0.35 0.80 0.96 0.94 0.74 0.93 0.88 0.89 1.00 0.99 1.00 Natural
Resources
             
REAL ASSETS Natural Resources S&P Global Natural Resources 5.0 7.2 20.8 0.06 0.22 0.00 0.61 -0.01 0.53 0.52 0.48 -0.03 0.07 -0.06 0.52 0.40 0.42 0.71 0.62 0.67 0.71 0.72 0.64 0.48 0.36 0.67 0.74 0.78 0.62 0.84 0.88 0.82 0.82 0.83 0.83 1.00 Listed
Real Estate
           
Listed Real Estate MSCI ACWI IMI Core RE 5.1 6.8 18.6 -0.02 0.36 0.27 0.77 0.21 0.47 0.58 0.52 0.01 0.21 0.01 0.44 0.52 0.51 0.59 0.66 0.66 0.66 0.66 0.66 0.59 0.48 0.80 0.81 0.80 0.66 0.79 0.75 0.83 0.85 0.79 0.86 0.65 1.00 Listed
Infrastructure
         
Listed Infrastructure S&P Global Infrastructure 5.5 6.7 15.5 0.05 0.36 0.26 0.75 0.23 0.57 0.66 0.61 0.02 0.21 0.03 0.52 0.58 0.56 0.66 0.69 0.73 0.73 0.70 0.69 0.65 0.54 0.81 0.80 0.87 0.66 0.86 0.82 0.86 0.87 0.81 0.88 0.78 0.86 1.00 Private
Equity
       
ALTERNATIVES Private Equity Cambridge Associate Global Private Equity 7.6 9.6 19.8 0.00 0.06 -0.29 0.66 -0.13 0.41 0.46 0.34 -0.22 0.11 -0.26 0.57 0.56 0.51 0.66 0.55 0.57 0.63 0.64 0.52 0.51 0.10 0.66 0.82 0.76 0.58 0.74 0.76 0.75 0.80 0.75 0.81 0.71 0.65 0.69 1.00 Private
Credit
     
Private Credit Cambridge Associate Global Private Credit 6.0 6.6 11.1 -0.03 0.11 -0.19 0.77 -0.05 0.41 0.51 0.58 -0.18 -0.01 -0.20 0.61 0.65 0.62 0.73 0.62 0.66 0.76 0.70 0.58 0.60 0.18 0.77 0.80 0.79 0.59 0.79 0.82 0.78 0.81 0.78 0.82 0.70 0.77 0.77 0.88 1.00 Hedge
Fund
     
Hedge Fund HFRI Fund Weighted 2.9 3.1 6.3 -0.00 0.23 0.03 0.75 0.07 0.43 0.49 0.42 -0.13 0.02 -0.15 0.50 0.45 0.44 0.65 0.63 0.66 0.73 0.66 0.58 0.48 0.30 0.78 0.85 0.83 0.68 0.86 0.89 0.84 0.90 0.86 0.91 0.85 0.76 0.82 0.71 0.71 1.00        

Forward-looking statements and assumptions are Northern Trust’s current estimates or expectations of future events or future results based upon proprietary research and should not be construed as an estimate or promise of results that a portfolio may achieve. Actual results could differ materially from the results indicated by this information.

Capital Market Assumption (CMA) model expected returns do not show actual performance and are for illustrative purposes only. They do not reflect actual trading, liquidity constraints, fees, expenses, taxes and other factors that could impact the future returns. Stated return expectations may differ from an investor’s actual result. The assumptions, views, techniques and forecasts noted are subject to change without notice.

This material is directed to professional clients only and is not intended for retail clients. For Asia-Pacific markets, it is directed to institutional investors, expert investors and professional investors only and should not be relied upon by retail investors. For legal and regulatory information about our offices and legal entities, visit northerntrust.com/disclosures. The following information is provided to comply with local disclosure requirements: The Northern Trust Company, London Branch; Northern Trust Global Services Limited; Northern Trust Global Investments Limited; Northern Trust Securities LLP. The following information is provided to comply with Article 9(a) of The Central Bank of the UAE’s Board of Directors Resolution No 57/3/1996 Regarding the Regulation for Representative Offices: Northern Trust Global Services Limited, Abu Dhabi Representative Office. The Northern Trust Company of Saudi Arabia — a Saudi closed joint stock company — Capital SAR 52 million. Licensed by the Capital Market Authority — License No. 12163-26 — C.R.: 1010366439. Northern Trust Global Services Limited Luxembourg Branch, 6 rue Lou Hemmer, L-1748 Senningerberg, Grand-Duché de Luxembourg, Succursale d’une société de droit étranger RCS B129936. Northern Trust Luxembourg Management Company S.A., 6 rue Lou Hemmer, L-1748 Senningerberg, Grand-Duché de Luxembourg, Société anonyme RCS B99167. Northern Trust (Guernsey) Limited (2651)/Northern Trust Fiduciary Services (Guernsey) Limited (29806)/Northern Trust International Fund Administration Services (Guernsey) Limited (15532) Registered Office: Trafalgar Court Les Banques, St Peter Port, Guernsey GY1 3DA. Issued in the United Kingdom by Northern Trust Global Investments Limited.

© 2021 Northern Trust Corporation. Head Office: 50 South La Salle Street, Chicago, Illinois 60603 U.S.A. Incorporated with limited liability in the U.S. Products and services provided by subsidiaries of Northern Trust Corporation may vary in different markets and are offered in accordance with local regulation. For more information, read our legal and regulatory information about individual market offices at northerntrust.com/disclosures. Northern Trust Asset Management is composed of Northern Trust Investments, Inc. Northern Trust Global Investments Limited, Northern Trust Fund Managers (Ireland) Limited, Northern Trust Global Investments Japan, K.K, NT Global Advisors Inc., 50 South Capital Advisors, LLC and investment personnel of The Northern Trust Company of Hong Kong Limited, Belvedere Advisors LLC and The Northern Trust Company.