"Asset returns" refers to the gains or losses generated by investing in assets such as stocks, bonds, real estate, or any other investment. It measures how much money an investor has made or lost on their investments over a specific period.
Full definition
Are higher even moments
of asset return distributions useful predictors of future returns?
The safety of a 4 % initial withdrawal strategy depends
on asset return assumptions.
People are looking through the rearview mirror, not the windshield,
at asset returns.
Bonus depreciation on purchases of new
business assets returned and will remain at 50 percent of the value of assets placed into service.
They simply recognize that those trends can only be identified with hindsight, and therefore have no value when estimating
expected asset returns.
This is one clue that the relationships
between asset returns and inflation are not as stable and pervasive as sometimes implied.
A good plan will attempt to leave some slack in
case asset returns are lower than expected.
During the boom phase of the cycle, the degree of correlation
of asset returns is low.
Another easy prediction to make is that junk bonds and non-bond income vehicles will be a large contributor to the shortfall in
asset return in the next bear market, because a decent number of people are buying them as if they are magic.
The cult of equity promises a prosperous future that can prevent us from making the difficult choices required
when asset returns fall below the Siegel constant.
The structure of ARBNs before 2010 featured principal protection and returned the the absolute value of the
underlying asset return within a certain range.
Though moderate inflation during the past decade has resulted in current withdrawal rates that are a bit less for the 2000 retiree than for some retirees in the 1960s, this is hardly reassuring with further analysis based on the required
future asset returns needed for sustainability.
In their February 2018 paper entitled «Matching Market Views and Strategies: A New Risk Framework for Optimal Selection», Adil Reghai and Gaël Riboulet present an approach for quantitatively relating
historical asset return statistics to investor views.
In a 2016 essay titled Long -
Term Asset Returns, Dimson, Marsh, and Staunton showed that over the last 115 years, currencies have jumped around a lot in relative value, but you would not have been any better off with exposure to one currency over another.
Monthly inverse volatility weights derive from actual
daily asset return volatilities over the past 90 trading days.
Monthly risk parity weights derive from actual daily
asset return volatilities and correlations over the past 90 trading days.
However,
asset return distributions may not be normal, investors generally borrow at an interest rate above the risk - free rate and Federal Reserve Regulation T restricts borrowing to 100 % of an investor's initial capital.
As a second example, the 1981 Reagan policies of falling inflation and falling tax rates reversed this shift by boosting
financial asset returns relative to returns on tangible assets.
They look at
asset returns like I do — asking what the non-speculative returns would be off of the underlying assets and starting there.
Considering the «combined expectations for
low asset returns and the unavoidable reality of downside risk in a highly uncertain global political and economic climate,» investors of all types are looking for new ways to diversify their portfolios, according to a new analysis from Willis Towers Watson, «Breaking the Style Box.»
Consensus growth expectations caught up to ours and global earnings jumped — but the magnitude of
asset returns surprised us.
Mrs. Dabiri - Erewa, who said asset recovery was different
from asset returning, decried the uncooperative attitude of the countries where stolen funds are stashed.
Other than having a database of
historic asset returns, an automatic way to download online investment account data into the program (to self - input the current portfolio), talking to CRM software, making trades, and a having a built - in portfolio optimizer; this investment software does everything, and more, compared to other vendors.
Asset returns vary considerably, and the number of years from which average returns are calculated are few relative to the volatility of returns.
The equal -
weighted asset returns of the first quartile were less than the second quartile by 44 bps whereas the asset - weighted returns of the first quartile were more than the second quartile by only 12 bps over the same five - year period.
PREA recently released the results of its first quarter Consensus Forecast Survey, which asked respondents about their views on real estate
asset returns over the next few years.
Carhart four - factor model adds momentum as the fourth factor for
explaining asset returns, and the Fama - French five - factor model extends the three - factor model with profitability (RMW) and investment (CMA) factors.
Unlike volatility weighting, risk parity weighting incorporates
asset return correlations, assigning higher (lower) weights to assets with lower (higher) average pairwise correlations with other assets.
Every year, a quantitative group within Franklin Templeton Multi-Asset Solutions reviews the data and themes driving capital markets in order to
build asset return expectations for different asset classes for the next five to 10 years.
In the January 2013 version of their paper entitled «Conditional Risk Premia in Currency Markets and Other Asset Classes», Martin Lettau, Matteo Maggiori and Michael Weber explore the ability of a simple downside risk capital asset pricing model (DR - CAPM) to explain and
predict asset returns.
From my knowledge of economics and the current global scenario, I would expect that the European markets to rebound from their debt problems and exhibit
better asset returns in the future.
Within the $ 520 billion RBC Investor & Treasury Services All Plan universe — the industry's most comprehensive universe of Canadian pension plans — defined benefit (DB)
pension assets returned 4.8 per cent during the three months ending March 31, 2014, bringing 12 month totals to 14.8 per cent.
They measure long - term risk as the probability that portfolio value is below its initial value after ten years from 10,000 Monte ‐ Carlo simulations based on expected asset class returns,
pairwise asset return correlations, inflation, investment alpha (baseline constant 1 % annually) and withdrawals (baseline approximately 5 % annual real rate).
However, we
know asset returns are unstable, and we know we can rebalance to manage that risk.
When you come up with these figures, you have two choices: you can look at the historical data, as imperfect as they may be, and use them to make reasonable estimates
about asset returns.
Leaving aside financial repression, for the most part
cash assets return in line with inflation.
The asset correlation tool computes the Pearson correlation for the selected assets based on daily, monthly or
annual asset returns.
The second intuitive way to view it is that it is analogous to Modiglani and Miller's capital structure theory,
where assets return the same regardless of how they are financed with equity and debt.
The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of
negative asset returns, called downside deviation
This is important, because in planning for retirement in the future, it is not clear
whether asset returns in the twenty - first century United States will continue to be as great as in the twentieth century, or whether savers and retirees should plan for something closer to the average international experience.
Given the extremely
strong asset returns of the»80s and»90s, it would have made sense to salt a lot of assets away, but that was not to be.