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Tag Archives: GMI

Risk Premia Forecasts: Major Asset Classes | 4 April 2022

The expected risk premium for the Global Market Index ticked slightly higher in March to an annualized 5.8% pace, fractionally above last month’s estimate.    The forecast reflects the projected long-run return over the “risk-free” rate, according to a risk-based model (detailed below). GMI is an unmanaged, market-value-weighted portfolio that holds all the major asset classes (except cash) and represents a theoretical benchmark of the optimal portfolio for the average investor...

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Major Asset Classes | March 2022 | Performance Review

Commodities continued to top monthly returns for the major asset classes in March. The leadership marks the third straight month that raw materials outperformed the rest of the field by a wide margin, based on a set of proxy ETFs. WisdomTree Enhanced Commodity Strategy Fund (GCC), a broad measure of raw materials, rose 7.5% last month. Year to date, GCC is up 21.3%, marking a large upside outlier performance so far this year for the major asset classes. A strong second-place...

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Major Asset Classes | February 2022 | Risk Profile

The Global Market Index’s (GMI) risk-adjusted performance continues to retreat after peaking in December, based on the trailing 3-year Sharpe ratio, a measure of return adjusted by volatility. The sharp reversal has also dragged down the 10-year rolling Sharpe ratio. Both measures fell in February to their lowest levels in nearly a year for this multi-asset-class benchmark. As usual, there are specific factors that led to the reversal in GMI’s Sharpe ratio. But the decline...

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Risk Premia Forecasts: Major Asset Classes | 2 March 2022

War, turmoil and chaos tend to shorten our attention span, and Russia’s invasion of Ukraine is no different. As the world reels from the crisis, the blowback is rippling across the world economy and markets. Volatility and uncertainty have spiked – for the short term. But when it’s hard to look past the next 24 hours, it’s still useful to think long term as a tool to look through the crisis and consider how the long game may unfold for investment strategies. On that basis,...

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Major Asset Classes | February 2022 | Performance Review

Most markets around the world continued to slide in February, marking the second month of widespread losses in 2022 for the major asset classes. The main exceptions: commodities and inflation-indexed government bonds. A broad measure of commodities posted another strong monthly gain in February. WisdomTree Enhanced Commodity Strategy Fund (GCC) rose 7.5%, building on the previous monthly’s solid advance. Elevated inflation around the world, exacerbated by the war in Ukraine,...

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Risk Premia Forecasts: Major Asset Classes | 2 February 2022

The expected risk premium for the Global Market Index (GMI) edged down in January from the previous month’s estimate. Today’s revised 5.9% annualized forecast marks the first dip below the 6.0%-plus mark since October. The estimate reflects the projected long-run return over the “risk-free” rate, according to a risk-based model (detailed below). GMI is an unmanaged, market-value-weighted portfolio that holds all the major asset classes (except cash) and represents a theoretical...

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Major Asset Classes | January 2022 | Performance Review

Red ink flowed like wine for most of the major asset classes in January, with some notable exceptions, based on a set of ETFs. Commodities were the upside outlier last month, offering substantial ballast to sliding prices elsewhere for most of the world’s markets. WisdomTree Enhanced Commodity Strategy Fund (GCC) rose 5.0% in January.   Stocks (VWO) and bonds (EMLC) in emerging markets also sidestepped January’s selling with modest gains for the month: 0.4% and 0.3%,...

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Risk Premia Forecasts: Major Asset Classes | 4 January 2022

The expected risk premium for the Global Market Index (GMI) continued to hold at the 6.0%-plus level in December. Today’s 6.1% estimate (fractionally above the previous month’s forecast) marks the third straight month at 6.0% or higher. The estimate reflects the projected long-run return over the “risk-free” rate, according to a risk-based model (detailed below). GMI is an unmanaged, market-value-weighted portfolio that holds all the major asset classes (except cash) and represents...

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