Capital Market Assumptions
PGIM Quantitative Solutions Q3 2023 10-Year Capital Market Assumptions
Asset | Asset Class | Expected Geometric Return | Expected Arithmetic Return | Expected Volatility | Expected Sharpe Ratio |
---|---|---|---|---|---|
Fixed Income | Fixed Income | ||||
Cash | Fixed Income | 3.77 | - | - | - |
US Treasury Bonds | Fixed Income | 4.04 | 4.15 | 4.67 | 0.09 |
US Long Treasury | Fixed Income | 3.85 | 4.4 | 10.53 | 0.06 |
Global Treasury Bonds Hedged | Fixed Income | 4.18 | 4.41 | 6.77 | 0.1 |
US Aggregate Bonds | Fixed Income | 4.34 | 4.5 | 5.62 | 0.13 |
Global Aggregate Bonds Hedged | Fixed Income | 4.22 | 4.39 | 5.77 | 0.11 |
US Investment Grade Bonds | Fixed Income | 4.84 | 5.07 | 6.77 | 0.2 |
US High Yield Bonds | Fixed Income | 5.42 | 5.78 | 8.53 | 0.24 |
US TIPS | Fixed Income | 4.31 | 4.47 | 5.75 | 0.13 |
Equities | Equities | ||||
US Equities | Equities | 6.56 | 7.74 | 15.34 | 0.26 |
US Small Cap | Equities | 7.06 | 9.01 | 19.72 | 0.27 |
UK Equities Unhedged | Equities | 8.42 | 10.06 | 18.1 | 0.35 |
Europe ex UK Equities Unhedged | Equities | 7.9 | 9.4 | 17.32 | 0.33 |
Japan Equities Unhedged | Equities | 8.63 | 10.73 | 20.5 | 0.34 |
Developed International ex US Equities Unhedged | Equities | 8.44 | 9.72 | 16.03 | 0.38 |
EM Equities Unhedged | Equities | 9.24 | 12.07 | 23.77 | 0.35 |
Global Equities Unhedged | Equities | 7.27 | 9.31 | 20.23 | 0.28 |
Real Assets | Real Assets | ||||
US REITs | Real Assets | 6.46 | 8.02 | 17.68 | 0.25 |
Developed REITs Unhedged | Real Assets | 7.1 | 9.46 | 21.73 | 0.27 |
Commodities | Real Assets | 5.15 | 6.24 | 14.72 | 0.17 |
Private Assets | Private Assets | ||||
US Private Real Estate - Core | Private Assets | 5.82 | 6.79 | 13.97 | 0.22 |
US Private Real Estate - Opportunistic | Private Assets | 6.64 | 8.33 | 18.42 | 0.25 |
US Private Debt - Mezzanine | Private Assets | 5.55 | 6.15 | 10.96 | 0.22 |
US Private Equity - Buyout | Private Assets | 8.04 | 9.97 | 19.69 | 0.32 |
US Private Equity - Venture Capital | Private Assets | 9.72 | 12.94 | 25.4 | 0.37 |
60/40 Portfolio | 60/40 Portfolio | 6.47 | 7.34 | 13.22 | 0.28 |
Source: PGIM Quantitative Solutions as of 6/30/2023. Forecasts may not be achieved and are not a guarantee or reliable indicator of future results.
Asset Class | Income Focused | Balanced Income and Growth | Growth Focused |
---|---|---|---|
Equities | 0.3 | 0.55 | 0.7 |
U.S. Large Cap | 0.2 | 0.35 | 0.4 |
U.S. Small Cap | 0.02 | 0.03 | 0.08 |
International ex U.S. | 0.05 | 0.12 | 0.15 |
Emerging Markets | 0.03 | 0.05 | 0.07 |
Fixed Income | 0.6 | 0.35 | 0.2 |
U.S. Aggregate | 0.5 | 0.3 | 0.1 |
U.S. Investment Grade | 0.08 | 0.03 | 0.03 |
U.S. High Yield | 0.02 | 0.02 | 0.07 |
Real Assets | 0.1 | 0.1 | 0.1 |
TIPS | 0.06 | 0.03 | 0.02 |
U.S. REITS | 0.02 | 0.04 | 0.05 |
Commodities | 0.02 | 0.03 | 0.03 |
Expected Geometric Return | 0.0565 | 0.065 | 0.0703 |
Expected Standard Deviation | 0.0707 | 0.1001 | 0.1241 |
Expected Sharpe Ratio | 0.3016 | 0.3236 | 0.3252 |
Source: PGIM Quantitative Solutions as of 6/30/2023. For illustrative purposes only. The asset allocations are hypothetical and should not be construed as investment advice. No investment strategy or risk management technique can guarantee returns or eliminate risk in any market environment. There is no guarantee strategies will be successful. Forecasts may not be achieved and are not a guarantee or reliable indicator of future results.
Asset Class | Income Focused | Balanced Income and Growth | Growth Focused |
---|---|---|---|
Equities | 0.31 | 0.545 | 0.669999999 |
U.S. Large Cap | 0.15 | 0.3 | 0.35 |
U.S. Small Cap | 0.04 | 0.035 | 0.06 |
International ex U.S. | 0.07 | 0.14 | 0.169999999 |
Emerging Markets | 0.05 | 0.07 | 0.09 |
Fixed Income | 0.57 | 0.335000001 | 0.210000004 |
U.S. Aggregate | 0.47 | 0.325 | 0.15 |
U.S. Investment Grade | 0.06 | 0.01 | 0.010000004 |
U.S. High Yield | 0.04 | 0 | 0.05 |
Real Assets | 0.12 | 0.12 | 0.119999986 |
TIPS | 0.040000001 | 0.03 | 0.01 |
U.S. REITS | 0.039999999 | 0.04 | 0.06 |
Commodities | 0.04 | 0.05 | 0.049999986 |
Expected Geometric Return | 0.0592 | 0.0663 | 0.071 |
Expected Standard Deviation | 0.0755 | 0.101 | 0.122 |
Expected Sharpe Ratio | 0.3236 | 0.3339 | 0.3344 |
Source: PGIM Quantitative Solutions as of 6/30/2023. For illustrative purposes only. The asset allocations are hypothetical and should not be construed as investment advice. No investment strategy or risk management technique can guarantee returns or eliminate risk in any market environment. There is no guarantee strategies will be successful. Forecasts may not be achieved and are not a guarantee or reliable indicator of future results.