GMO released its monthly 7-Year Asset Class Forecasts for the end of February. The document can be viewed on GMO’s site with free registration required.
A summary is below, and indicates that in GMO’s opinion most asset classes were priced to under-perform the 6.5% long-term historical US equity return.
Returns are real-return forecasts with a long term inflation assumption of 2.5%.
| Asset Class | Annualized Return Over 7 Years |
| US Large | -0.1% |
| US Small | -2.7% |
| US High Quality | 4.3% |
| Intl Large | 1.8% |
| Intl Small | -0.6% |
| Emerging | 4.7% |
| US Bonds | 0.6% |
| Intl Bonds | -0.5% |
| Emerging Debt | 1.9% |
| Index Linked Bonds | 0.3% |
| Cash | -0.7% |
| Timber | 6.0% |
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