Estimating Returns for Asset Allocation外文.pdfVIP

Estimating Returns for Asset Allocation Northfield Asset Allocation Seminar September 2004 Expected Returns u Optimum portfolio weights are very sensitive to return expectations. – Small changes in expected returns large weight changes. u Historic returns are often used, but they are not usually good predictors of future returns. – Domestic Equity returns are upwardly biased by an expansion of P/E ratios. – Bond returns are upwardly biased by decreases in interest