2022 Capital Market Assumptions

2022 Capital Market Assumptions

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Voya’s 2022 Capital Market Assumptions are a key input into our strategic asset allocation process for multi-asset portfolios.

Executive Summary

Our 2022 Capital Market Assumptions details our research on asset class returns, standard deviations of returns and correlations over the 2022–2031 timeframe. These estimates are a key input into our strategic asset allocation process for our multi-asset portfolios; they also provide a context for evaluation of the macroeconomic inputs that support the return estimates. 

We expect that the next ten-year period will be characterized by returns below historical averages, to varying degrees across all asset classes. Our current forecast is for U.S. and international developed market equities to produce mid-single-digit returns, which are similar to what was forecasted last year. 

The macro inputs of a historically low potential GDP growth trajectory, reduced labor supply and more inflation inform our forecasts. To combat utilizing a single point estimate forecast, we incorporate an alternate scenario into our methodology. This step delivers a holistic approach to our macro inputs, which produces blended estimates. Each year the asset allocation team determines through its research process if the alternative scenario is to have slightly better or worse macro inputs. This year we again used marginally higher productivity and lower terminal fed funds rate inputs for the alternative case scenario. 

In most cases, expected returns for developed international market assets are lower than those for comparable U.S. assets. Expected returns for emerging market equities are higher than U.S. equity returns. With a more uncertain path to growth than that of developed markets, emerging markets continue to have higher expected equity return volatility.

Our bond return assumptions imply that returns generally will be in the low single digits. We note that our projections assume that moves in both bond term premiums and real interest rate premiums will cap upside returns available to fixed income assets. 


1 Macroeconomic Advisors is an independent research firm focused on the U.S. economic outlook, monetary policy, and fixed income markets. MA is known for its ability to combine a rigorous, model-based approach with keen judgment to produce award-winning forecasts and insightful commentaries. The combination of rigorous analytical methods with an unmatched understanding of how monetary policy is conducted delivers an unbiased and thoughtful analysis of where the U.S. economy is headed.

2 “Understanding Glide Path Design: Distribution of Labor Income among Participant Populations,” Sinha, A. and Yuen, R., Voya Investment Management, 2Q18.

3 Mahalanobis, P., “On the Generalized Distance in Statistics,” Proceedings of the National Institute of Sciences of India vol. 2 no. 1 (1936): 49-55.

4 Kritzman, M. and Y. Li, “Skulls, Financial Turbulence, and Risk Management,” vol. 66 no. 5 (2010): 30-41.

5 Hall, R., “Stochastic Implications of the Life-Cycle-Permanent Income Hypothesis: Theory and Evidence,” Journal of Political Economy 86 (1978): 971–988.

6 Poterba, J. and Summers, L., “Mean Reversion in Stock Prices: Evidence and Implications,” Journal of Financial Economics 22 (1988): 27–60.

7 Ljung, G.M. and Box, G.E.P., “On a Measure of Lack of Fit in Time Series Models,” Biometrika, 65, (1978): 297–303.

8 The p-value is the probability of rejecting the null hypothesis of no serial correlation when it is true (i.e., concluding that there is serial correlation in the data when in fact serial correlation does not exist). We set critical values at 10% and thus reject the null hypothesis of no serial correlation for p-values <10%.

9 Khandani, A.E. and Lo, A., “Illiquidity Premia in Asset Returns: An Empirical Analysis of Hedge Funds, Mutual Funds, and U.S. Equity Portfolios,” Quarterly Journal of Finance 1 (2011): 205–264.

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