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ACG’s Long-Term Capital Market Assumptions 2025

January 9, 2025 ACG Market Review

(Download the full report HERE)

Methodology for Capital Market Assumptions

  • ACG utilizes the Black-Litterman model as the foundation for our long-term (10-year forward) capital market assumptions (‘CMA’)
    • The Black-Litterman model was created by Fischer Black and Robert Litterman of Goldman Sachs in the early 1990s
    • Market return assumptions are derived using Reverse Optimization
      • Instead of solving for portfolio weights when performing Mean Variance Optimization, the Black-Litterman approach uses historical volatility, historical asset class correlation, and current market weights as inputs to solve for expected asset class returns
  • After the quantitative model is run, ACG reviews the asset class assumptions to help ensure validity and identify outliers
  • The building blocks approach is used on top of the Black-Litterman results for any outlying or esoteric asset classes
  • We perform a final quality control by comparing our assumptions vs. other firm’s forecasts
  • Please refer to the important disclosures at the end of this presentation

Download the full report HERE to see ACG’s 2025 Capital Market Assumptions.

Sources:

  • Horizon Actuarial 2024 Survey of Capital Market Assumptions
  • Absolute Strategy Research
  • Bloomberg
Important Disclosures
Investing is subject to a high degree of investment risk, including the possible loss of the entire amount of an investment. You should carefully read and review all information provided by the Atlanta Consulting Group Advisors, LLC (“ACG”), including ACG’s Form ADV, Part 2A Brochure and all supplements thereto, before making an investment.
The information contained herein reflects the opinions and projections of the ACG as of the date of publication, which are subject to change without notice at any time subsequent to the date of issue. All information provided is for informational purposes only and should not be deemed as investment advice or a recommendation to purchase or sell any specific security. While the information presented herein is believed to be reliable, no representation or warranty is made concerning the accuracy of any data presented. You should not treat these materials as advice in relation to legal, taxation, or investment matters.
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