by Bjørnar Mundal, on 18 November 2020 15:15
We are pleased to launch Quantfolio House View (QHV). As we know, the historical return is not always a reasonable estimate for future returns. Expected returns vary over time, and for investors and professionals, keeping track and estimating expected return can be a time consuming and challenging task. Therefore, we have decided to construct a house view that is ready for use. We will update our house view every quarter and publish the most recent estimates on our blog.
Quantfolio House View Q4-2020:
The following pictures show Quantfolio House View for Q4-2020:
Equities:
Fixed Income:
Mixed Allocation:
Alternatives:
All figures are annual % expected return.
Application:
Several of Quantfolio APIs support a house view as an estimation for return. We will also introduce house view to more of our APIs and our analytics platform Deep Alpha. For a full overview of our API-modules, read more here:
Our methodology:
When constructing QHV, we collect estimates on capital market return expectations from officially published data. When collecting published data, we prefer collecting 10-year estimates where that is available. We collect estimates for the currencies USD, EUR, GBP, SEK, and NOK and apply a hedging cost to estimate the returns in a home currency. We use a simplified hedging cost based on short term rate differentials. For mer detail description of our methodology, click here:
We will provide quarterly updates on our house view. Therefore, remember to subscribe, so you do not miss out on the next update.
Team Quantfolio
