2026年长期资本市场假设：指导投资组合规划的分析报告-第30个年度版本 2026 Long-Term Capital Market Assumptions Analysis to guide portfolio planning-摩根大通

2026Long-TermCapitalMarketAssumptions

30thAnnualEdition

Analysistoguideportfolioplanning

J.P·Morgan

ASSETMANAGEMENT

Foreword

Weareexcitedtosharethe30theditionofJ.P.MorganAssetManagement’sLong-Term

CapitalMarketAssumptions.Forthreedecades,thispublicationhasbeenacornerstoneofourcommitmenttoprovidingclear,objectiveglobalforecasting,leveragingour

experts’perspectivestohelpourclientsachievetheirfinancialgoals.

Thisyear’slaunchfindsusinaworldevolvinginsignificantways.Shiftingeconomiclandscapes,includingtheriseofeconomicnationalismandrenewedfiscal

GeorgeGatch

ChiefExecutiveOfficer

J.P.MorganAssetManagement

engagement,aretestinginvestorsbutalsoofferingsilverlinings.

Inour30thedition,we’veassembledtheexpertiseofmorethan100industry-leading

portfoliomanagers,researchanalystsandstrategistsworldwidetoprovidereturnandriskexpectationsformorethan200assetsandstrategiesin20basecurrencies.Manyinvestorshavecometorelyontheseassumptionstosettheirstrategicassetallocationandtoestablishreasonableriskandreturnexpectationsforthecoming10to15years.

Inourview,theincreasingdeploymentoftechnologywilldrivenear-termprofitability

andlong-termproductivity.Publicandprivateinvestmentwillsupportgrowth,butoverthecomingdecadeinvestorswillneedtoaccountforinflationandrateshocksaswell

DavidFrame

ChiefExecutiveOfficer

J.P.MorganPrivateBank

aseconomic(growth)shocks.Notably,ourprojectionsindicatethatabalancedglobal

portfoliostandstobenefitfromtheseevolvingtrends,withampleopportunitiesto

strengthenportfolioresilience.Wealsoseeabroadersetofpossibilitiesforskilledactivemanagersthanperhapseverbefore,inpublicandprivateassetmarkets.

Successfulinvestingisn’taboutpredictingtomorrow’sheadlines.It’saboutintentionaldecision-makingtiedtotheoutcomesyou’dliketoachieveforyouandthoseyoucaremostabout.OurLong-TermCapitalMarketAssumptionscanguideyourthinkingandofferadisciplinedframeworkforevaluatingrisk,returnandtimehorizon.Weusethe

assumptionsasthebackboneofourWealthPlanandGoals-BasedAnalysestobuildandstress-testclientportfoliosonanongoingbasis.

Thirtyyearsofmarkethistoryhavetaughtusthatthefuturerarelyunfoldsexactlyasexpected.Butthosewhoplanthoughtfully,investconsistentlyandremainresolute

achievetheirmostimportantfinancialgoals.Lettheseassumptionsguideyour

planning,butletyourgoalsdriveyourcommitmenttotheremarkablewealth-buildingpowerofpatient,disciplinedinvesting.

OnbehalfofeveryoneatJ.P.MorganAsset&WealthManagement,thankyouforyourcontinuedtrustandpartnership.

DavidFrame

ChiefExecutiveOfficer

J.P.MorganPrivateBank

GeorgeGatch

ChiefExecutiveOfficer

J.P.MorganAssetManagement

J.P.MorganAssetManagement3

Contents

3Foreword

6Executivesummary

Shiftinglandscapesandsilverlinings

16Investingpastandfuture

Theevolvingscience,andart,ofinvesting:30yearsback,

30yearsforward

Assumptions

26Macroeconomicassumptions

Resilientgrowthandwarmerinflation

29Publicmarketassumptions

Resilientprofits,higheryields

31Privatemarketandalternativeassetassumptions

Powerfulmarketforcessetcapitalinmotion

Appendix

36Acknowledgments

J.P.MorganAssetManagement5

Backtocontents

Executivesummary

Shiftinglandscapesandsilverlinings

Authors

JohnBilton,CFA

HeadofGlobalMulti-AssetStrategyMulti-AssetSolutions

KarenWard

ChiefMarketStrategist,EMEAGlobalMarketInsightsStrategy

GracePeters

Co-HeadofGlobalInvestmentStrategyGlobalPrivateBank

Inbrief

•Inthe30theditionofourLong-TermCapitalMarketAssumptions

(LTCMAs),weexplorehowshiftingeconomiclandscapes,markedbyrisingeconomicnationalismandfiscalactivism,createboth

challengesandsilverliningsforinvestors.

•LaborconstraintsweighonU.S.trendgrowth,modestlynarrowingtheU.S.vs.restofworldgrowthadvantage,butdonotprecludecyclical

economicstrengthorsolidassetreturns.Weexpectinvestmenttobefront-loadedandbelievetechnologyadoptionwillprovideanear-termboosttoprofitsandalonger-termboosttoproductivity.

•Evenafterayearofstrongequitymarketgains,assetreturnsholdup.Profitabilityoffsetsvaluationsforglobalstocksandhighertermriskpremiapushupbondreturnforecasts.

•WehavehighconvictionintheprofitabilityofU.S.corporatesbut

acknowledgetheimpactofhighvaluationsandaweakeningdollar.CurrencyprovidesatailwindtointernationalstocksforUSD-basedinvestorsandrenewsthefocusonFXhedgingfornon-USD-basedinvestors.Globalstocksroughlydoubleoverourforecasthorizon,givenstronginvestmentandresilientprofits.

•Higherinflationvolatilityisafeatureofoureconomicoutlookand

pushesupourforecastedreturnsforhighqualitybonds.Givenhigherstartingyieldsandsteepercurves,weprojectthebestoutlookfor

intermediatetreasuriessincetheglobalfinancialcrisis.Creditholdsup,withbetterrisklessreturnsoffsettingtightspreads.

•Astheinvestmentcyclepicksup,so,too,doesthescopetoharvestalpha.Privatefinancialassetsandhedgefundsarewellplaced

tobenefit,whilerealassetsoffercompellingreturns,givenrisinginflationvolatility.

•Theeconomiclandscapeisshiftingpalpably.But,inourview,muchofwhatworriesinvestorstodaywillultimatelypalebesidethesilverliningsweseebreakingthroughoverthelongrun.

62026Long-TermCapitalMarketAssumptions

J.P.MorganAssetManagement7

Executivesummary|Shiftinglandscapesandsilverlinings

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Thisyearmarksthe30theditionofourLong-TermCapitalMarketAssumptions(LTCMAs).Thelast30yearsbroughttheinternet,thedot-combubble,thebirthoftheeuro,

theascentofChina,theglobalfinancialcrisis(GFC),

quantitativeeasing(QE),thepandemicandthedawnofartificialintelligence(AI).Overthisjourney,globalbondsannualizedtotalreturnsof4.3%eachyear,andglobal

stocks8.3%.

Suchstrongmarketperformance,despiteperiodicshocks,commandsattentionasweconsiderhowtheglobaleconomymayevolveinthenextdecade.

Economiesandmarketshaveawayofadaptingto

changeandadversityoverthelongrun–potentially

creatingnewseculartrends.Forthisreason,wetitlethisyear’sedition“Shiftinglandscapesandsilverlinings.”

Webelievethehealthierfoundationstotheglobal

economydescribedinlastyear’sedition,1suchasrobustcorporatebalancesheetsandgreaterwillingnessto

invest,remaininplay.Still,recentpoliticaleventsare

shiftingthelandscape,withatrendtowardeconomic

nationalismandincreasingbarriersimposedontrade

andmigration.Allelseequal,thesetrendspotentially

constrainglobalgrowth,buttheyarealsoquickly

galvanizingoffsettingpositiveforces–creatingsilver

linings.Twooftheseforceswerealreadyafeatureofourprojectionslastyear,butthisadversityisacceleratingthethemeswehighlighted.

First,tradeuncertaintyandslowingglobalizationmeansurpluscountrieshavenochoicebuttoinvestlocallytoboosttheireconomies.Fiscalactivism–athemecentraltoourprojectionslastyear–hasbeenturbocharged.

Second,alessabundantlaborsupplyaspopulations

ageandmigrationslowswillforcecompaniestoturn

totechnologicalsolutionstomaintainbothproductionlevelsandprofitmargins.2ThiswillinturnacceleratetheadoptionofAIandothertechnologies.

Accountingforthesesilverliningsoverour10-to15-

yearforecasthorizon,globalgrowthholdsupevenas

weprojectamodesterosionoftheU.S.vs.restofworld

(RoW)growthadvantage.Greaterrelianceonfiscalpolicyinevitablystokesdeficitfears,butthiswilllikelymanifestmainlyinsteeperyieldcurvesandhigherterm-risk

premia–inturnboostingbondreturns.

Strongyear-to-dateequityreturnsmeanhigherstartingvaluationsforstocks.3Nevertheless,withcapexand

fiscalspendingrising,andmarginsresilient,ourreturnforecastsforglobalequitiesarelittlechangedfrom

lastyear.

Economicnationalismtrimsgrowthinsomeregions,boostsfiscalresponseinothers

Someassumethattheshifttowardmorenationalistic

economicpolicies,mostevidentintheU.S.,mightweigh

heavilyonglobaltrendgrowth.Tradefrictionstendto

reduceproductivityovertime,asinternationalcompetitionspursbothknowledgetransferandinnovation.

Buttighterimmigrationcontrolmaywellexerta

greaterdragongrowth,anditisafeaturethatwe

expecttoendureinmanyregionsbeyondanysingle

administration.Manyeconomiesaresufferingfrom

decadesofdecliningfertilityrates,whicharelimitingpopulationgrowth.Higherratesofinwardmigration

mighthavebothsupportedgrowthandeasedthe

fiscalpressuresthatsocietieswithagingpopulationsbear.However,thiseconomicsolutionfacespolitical

challenges,withmigrationincreasinglyprovingpivotalinshapingelectoraloutcomes.

Buttwopositivedevelopmentscomeintoplay.Inthe

faceoftradehostility,regionsthatreliedonotherstobuytheirexportsareforcedtogenerategreaterdomestic

demand.Goods-exportingnationssuchasGermanyandJapanhavelittleoptionbuttodeploypoliciestostimulatedomesticconsumptionandinvestment,potentially

redistributingdemandgeographically;China,too,mayyetneedtofollowsimilarpoliciestoboostdomesticdemand.

Inaddition,themarketinefficienciesarisingfrom

tradefrictionareforcingfirmstoinvestinnew

technologiesinresponsetoscarcerlaborandnatural

resources.Accountingforoffsettingforces,ourglobal

growthforecastisunchangedat2.5%.However,ina

redistributionofgrowth,theU.S.forecastfallsby20basispoints(bps),to1.8%(Exhibit1),whileexpectedgrowth

risesinotherregions.

1The2025Long-TermCapitalMarketAssumptionsexploredhowhigherstartingvaluationsandyieldsreflectedanincreasingoptimismthatthelowinvestment,lowinflationandlowgrowtheraofthe2010sisbehindus.

2Givenprofit-maximizingincentiveforfirms,asthelaborsupplytightensandthemarginalcostofwagesgoesup,thereturnoninvestmentintechnologyincreases,allelseequal.

3MSCIACWIforwardP/Erosefrom18.0xonSeptember30,2024to19.3xonSeptember30,2025.

Executivesummary|Shiftinglandscapesandsilverlinings

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82026Long-TermCapitalMarketAssumptions

Weacknowledgethatarebalancingofglobaldemand

couldprovedisruptive.Economicnationalismthat

acceleratesinvestmentinproductivity-enhancing

technologycouldcreateorexacerbatepoliticalstrains.Thesectionsofsocietymostsupportiveofprotectionismandleastsupportiveofmigrationareoftenthosethat

alsofeelleftbehindbytechnologicaladvances.

Thistensionbetweentechnologicaladvancementand

politicalregressionisasourceofeconomicvolatilitythatmaypushupthecostofcapitalandincreasetheriskofcapitalmisallocationoverourforecasthorizon.

Intodaysdeeplyinterconnectedglobaleconomy,policiesthatlurchquicklytowardeconomicnationalismmay

precipitateepisodesofacutevolatility.Insuchcases,inflationmayactasabrake,forcinggovernments

tosoftenpoliciesthatpushtoofarortoofast

towardisolationism.

Our2026assumptionsseemostlysteadygrowthandmodestlyhigherinflation

Exhibit1:2026long-termcapitalmarketmacroeconomicassumptions(%,annualaverage)

RealGDP

Inflation

20262025Change*

20262025Change

RealGDP

Inflation

20262025Change*

20262025Change

Developedmarkets

1.7

1.7

0.0

2.3

2.2

0.1

Emerging

markets

3.7

3.6

0.1

3.0

3.2

-0.2

UnitedStates

1.8

2.0

-0.2

2.5

2.4

0.1

0.0

0.2

0.0

0.1

0.0

0.0

-0.1

China

3.6

3.6

0.0

1.6

2.1

-0.5

Euroarea

1.5

1.4

0.1

2.0

2.0

India

5.9

5.9

0.0

4.5

4.5

0.0

Japan

0.9

0.9

0.0

1.7

1.5

Brazil

2.1

2.1

0.0

4.7

4.4

0.3

UnitedKingdom

1.5

1.5

0.0

2.2

2.2

Korea

2.1

2.1

0.0

1.9

2.0

-0.1

Australia

2.2

2.3

-0.1

2.7

2.6

Taiwan

1.8

1.8

0.0

1.5

1.5

0.0

Canada

1.7

1.8

-0.1

2.2

2.2

Mexico

2.1

2.2

-0.1

3.9

3.7

0.2

Sweden

2.1

2.1

0.0

2.2

2.2

SouthAfrica

2.1

2.1

0.0

4.9

5.4

-0.5

Switzerland

1.6

1.5

0.1

1.2

1.3

Turkey

3.1

3.1

0.0

13.3

13.6

-0.3

Source:J.P.MorganAssetManagement;estimatesasofSeptember30,2025.CompositeGDPandinflationnumbersfordevelopedmarkets,emerging

marketsandglobalaggregatesarecalculatedbyassigningweightstoindividualeconomiesproportionaltoprojectednominalGDPovertheforecast

horizon.Thisyear,weremoveRussiafromourLTCMAassumptions,andthusshowEMandGlobalcompositeGDPandinflationnumbersexcludingRussiaforboth2025and2026.*Changerepresentsthechangecalculatedfromrounded2026and2025estimates.Duetotheseroundingconventions,theremaybesomeminordiscrepanciesforusersaccessingtheunroundeddata.

Executivesummary|Shiftinglandscapesandsilverlinings

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J.P.MorganAssetManagement9

Fiscalactivismandcorporateinvestment

Fiscalactivism4athemecentraltoourforecasts

sincethepandemicmovesfurtherintotheforefront

ofthecurrenteconomiclandscape.Thepandemic,

togetherwithageneralwearinessofausterity,particularlyinEurope,startedintheearly2020storeverseadecadeoffiscalretrenchment.2025broughtanotableupward

inflectioninfiscalactivism.Weexpectitwilldrive

economicmomentumoverthenextfewyearsandleavealastingimpressiononriskpremiaandassetreturnsoverthenextdecade.

Asgovernmentsincreasetheirspendingcommitments,weexpectcorporationstofollowsuit.Historysuggests

thatgovernmentspendingismorelikelytoattract

privateinvestmentthancrowditout.GiventheestimatedUSD4.6trillionofcash5onthebalancesheetsoflarge

firmsglobally,anaccelerationinfiscalspending

andcapexsupportsbothourgrowthforecastsandprojectionsforcompanyprofits.

IntheU.S.,fiscalspendingremainselevated,andwell-publicizedeffortstoslashgovernmentspending

havedeliveredlittlesofar.6Newtaxcutsarelargelyan

extensionofexistingpolicyandlooktobemainlyfundedbyanticipatedimportduties,actingthereforeasacapitaltransferratherthanatrueboosttogrowth.Thus,wedo

140

120

100

80

60

40

notexpectfiscalpolicytofullyoffsetthedowngradestoU.S.growththatcomefromlowerlaborforcegrowthduetodemographicchangesandimmigrationpolicies.

Intheeuroarea,thespeedandscaleoffiscalactivism

havebeenremarkable.Lastyear,Europeanfiscal

activismpromptedustoupgradeourEuropean

growthforecasts.Butthisyear,EuropeanUnion(EU)

policymakersthrewofftheirself-imposedfiscalshackles

particularlyGermanys“debtbrake”policy7as

governmentsurgentlysoughttogeneratedomesticdemandandfundregionaldefense.

AmeaningfulfiscalpackageinGermany,higherEU

defenseinvestmentandasignificantunspentwarchestfromtheNextGenfundwillpushEUfiscalcommitmentssharplyhigherinthenextfewyears.Asaresult,

weonceagainupgradeourgrowthoutlookfortheeuroarea,raisingourforecastto1.5%.Inaregionbesetby

unfavorabledemographics,andincreasinglyhesitant

overimmigration,thisupliftintrendgrowthissignificant.IthalvestheU.S.-Europegrowthdifferential,from60bpsto30bps.

Inotherregions,too,weexpectthatfiscalactivismwillfeaturestrongly,whetherthroughdirectgovernmentinvestmentorfurtherincentivesforcorporatecapex.

Whilehigherinvestmenthasthepotentialtosupport

growth,itisnotwithoutitsrisksparticularlyforalreadyindebtedregions.Whiledebt-to-GDPprojectionsdonotaccountforanyGDPboostthatmayarisefromhigher

investment(Exhibit2),fiscalactivismclearlyraisesconcernsaboutdebtsustainability.

Fiscalcommitmentspushupdebt-to-GDPacrosstheglobe,

butsomeregionshavemorefiscalspacethanothersExhibit2:Debt-to-GDPtrajectoriesofmajoreconomies,givenfiscalcommitments

Debt-to-GDPratio

Forecast

>

,10,12,14,16,18,20,22,24,26,28

U.S.EuroareaUKGermany

Source:BankforInternationalSettlements,Eurostat,IMF,LSEGDatastream,J.P.MorganAssetManagement;dataasofAugust31,2025.Debtrefersto

grossdebtatfacevalue.DottedlinesrepresentIMFforecasts.

4Wedefinefiscalactivismasawillingnessforgovernmentstousefiscaltoolssuchastaxesandinvestmentspendingtostimulatetheeconomy.

5Source:FactSet,aggregatecashinMSCIACWIindex;dataasofAugust2025,basedonMSCIACWI.

6ThroughJuly,PoliticoestimatedcontractsavingsofaroundUSD1.4billion,notincludingsavingsfrompersonnelcutsthatweremadealongwithother“rescissions,”whichweestimateatUSD45billion;theDepartmentofGovernmentEfficiency(DOGE)initiallytargetedUSD2trillion.

7GermanysSchuldenbremse(debtbrake)wasaconstitutionalrulelimitingthefederalstructuralbudgetdeficitinnormaltimesto0.35%ofGDPannuallyandgenerallyprohibitingstate-levelborrowing.Thedebtbrakewasrescindedin1Q2025bytheoutgoingadministration.

Executivesummary|Shiftinglandscapesandsilverlinings

Backtocontents

102026Long-TermCapitalMarketAssumptions

Higherdebtanddeficitlevelswillmanifestthemselves

mostlythroughhigherterm-riskpremiaandcurrency

adjustments.Ourcycle-neutralyieldforecastforthe

10-yearU.S.Treasury(UST)movesup20bpsthisyear,

to4.1%,withthetermpremiumbetweencashandthe10-yearincreasing10bps,to120bps.Asaresult,ourreturnforecastforthe10-yearUSTrises40bps,to4.6%

(Exhibit3A).

Weexpecthigherterm-riskpremiaandstrongerbond

returnsacrossdevelopednations.TheaverageSharpe

ratiosoverourfullinvestmenthorizonrisemeaningfully,especiallyforlong-maturitybonds.Still,wearemindful

thatrealizedrisk-adjustedreturnscouldvarysignificantlyfromoneyeartothenext,givenourexpectationsof

elevatedinflationvolatility.Investorsrelyingonbondsalonetohedgeportfolioriskswouldbeprudentto

considerinflationhedgesaswellasgrowthhedgesintheirassetmix.

OngoinginflationvolatilityandashrinkingU.S.-RoWgrowthadvantagealsoweighonthedollar.Forsometime,wehaveviewedUSDasovervalued.Whilethe

greenbackhasfallensignificantlyin2025,webelieveitremainsabout10%overvaluedintrade-weighted

terms(Exhibit3B).Tobeclear,wedonotthinkthatasofterdollarsignalsareversalofU.S.exceptionalism.

Instead,weanticipateagradualdeclineinUSDas

globalcapitalmovessteadilytotakeadvantageofmoregeographicallydispersedopportunities.

Thedollarissettoweakenfurther,withJPYandCNYhavingthegreatestscopetoappreciate

Exhibit3B:Key2026LTCMAcurrencyassumptions

Terminalspotforecast(10–15yearsout)

Current

spot20262025ChangeChange%

AUD*

0.6588

0.70

0.71

-0.01

-0.7%

BRL

5.3342

6.50

6.66

-0.16

-2.4%

CAD

1.3934

1.24

1.18

0.06

5.1%

CHF*

1.2502

1.36

1.31

0.05

3.8%

CNY

7.1224

5.46

6.05

-0.59

-9.8%

EUR*

1.1644

1.26

1.29

-0.03

-2.3%

GBP*

1.3429

1.45

1.48

-0.03

-2.0%

JPY

152.38

118.34

113.52

4.82

4.3%

MXN

18.36

24.20

28.00

-3.80

-13.6%

SEK

9.4150

8.19

8.41

-0.22

-2.6%

Source:J.P.MorganAssetManagement;estimatesasofSeptember30,

2024andAugust2025.*USDasbasecurrencyexceptwhereindicated(*).

Thecombinationoftradefrictionandfiscal

dominancehasinflationaryundertones.Thiswill

likelydrivepersistentdemandforinflation-resistant

assets,suchasgold,realestate,infrastructureand

transportation.Althoughgoldpricessurgedover45%in2025,persistentinflationvolatilityandincreasing

demandfrombothinvestorsandcentralbankspointtofurtherupside.Weforecastannualreturnsof5.5%forgold,up100bpsfromlastyear.

Fixedincomereturnspickup,givenhigherstartingyieldsandanincreaseinterm-riskpremiathatreflectshigherinflationvolatility

Exhibit3A:Fixedincomereturnstable

GBP

USD

EUR

JPY

2026assumptions

Cycle-neutral yield(%)/spread(bps)

2026expectedreturn

Cycle-neutral yield(%)/spread(bps)

2026expectedreturn

Cycle-neutral yield(%)/spread(bps)

2026expectedreturn

Cycle-neutral yield(%)/spread(bps)

2026expectedreturn

Inflation2.5%

2.2%

2.0%

1.7%

Cash

10-yearbond

LongBondIndex*

Investmentgradecredit

Highyield

2.9%

4.1%

4.5%

5.5%/150bps

8.3%/475bps

3.1%

4.6%

5.2%

5.2%

6.1%

2.5%

3.5%

3.6%

5.1%/175bps

2.7%

4.8%

6.3%

5.3%

2.3%

3.4%

3.7%4.5%/145bps

6.9%/395bps

2.3%

4.0%

4.8%

4.0%

5.3%

1.6%

2.3%

2.6%

2.8%/75bps

1.4%

2.1%

3.8%

2.4%

Emergingmarketdebt**7.8%/380bps

6.3%

Source:J.P.MorganAssetManagement;estimatesasofSeptember30,2025.*EUR:15y+index;JPY:JGBBondIndex;GBP:15y+index;USD:20y+index.

**EMDhardcurrencydebt.

Executivesummary|Shiftinglandscapesandsilverlinings

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J.P.MorganAssetManagement11

Realestatereturnsrise10bpsforcoreU.S.and30bpsforcoreAsiabutdip70bpsincoreEurope.Higherrisklessratesconstrainexitvaluations,butingeneraltheassetclassbenefitsfromattractivestartingyieldsandbetterfinancingcosts.Long-termleaseagreementshedge

againstinterestratevolatility,whilethepositivegearingofrealestatetoinflationprovidesacompellingmeansof

buildinggreaterrobustnessintomulti-assetportfolios

(Exhibit4).WealsonotethatevenwithSharperatiosfor

highqualityfixedincomeimprovingthisyear,assetssuchasrealestate,infrastructureandtransportationcontinuetoofferinvestorsverycompellingrisk-adjustedreturns

thatsitwellabovethoseforpublicmarketassets.

Our2026returnexpectationsforrealassetsandfinancialalternativesreflectbothshiftinglandscapesandsilverliningsExhibit4:LTCMAexpectedreturns(leveraged,*netoffees,%),2026vs.2025

Realassets20262025Financialalternatives20262025

Privaterealestateequity(USD)

U.S.core

8.2

8.1

U.S.value-added

10.1

10.1

Europeancore

6.9

7.6

Europeanvalue-added

9.0

9.7

Asia-Pacificcore

8.4

8.1

REITs(USD)

U.S.REITs

8.8

8.0

EuropeanREITs

6.7

8.7

Asia-PacificREITs

8.1

7.8

GlobalREITs**

8.7

8.0

Commercialmortgageloans(USD)

U.S.

6.2

6.4

Globalinfrastructure(USD)

Core

6.5

6.3

Globaltransport(USD)

Core

7.9

7.8

Globaltimberland(USD)

Globaltimberland

6.3

5.3

Commodities(USD)◊

Commodities

4.6

4.3

Gold5.54.5

Privateequity(USD)†

Cap-weightedcomposite

10.2

9.9

Privateequity-smallcap

10.1

10.1

Privateequity-midcap

9.9

9.8

Privateequity-large/megacap

10.2

9.8

Privatedebt(USD)

Directlending

7.7

8.2

Venturecapital(USD)

Venturecapital

8.5

8.8

Hedgefunds(USD)

Equitylongbias

5.5

5.0

Event-driven

5.2

4.9

Relativevalue

5.7

5.0

Macro

4.1

3.8

Diversified††

5.3

4.9

Conservative‡

4.0

3.4

Source:J.P.MorganAssetManagement;estimatesasofSeptember30,2024andSeptember30,2025.

*Allreturnassumptionsincorporateleverage,exceptforcommodities,whereitdoesnotapply.

**Theglobalcompositeisbuiltassumingthefollowingweights:roughly70%U.S.,10%Europeand20%Asia-Pacific.

◊The2026commodityprojectionsdonotaccountforexecution/managementfeesconsistentwithapassivebenchmark.

†TheprivateequitycompositeisAUM-weighted:65%largecapandmegacap,25%midcapand10%smallcap.Capitalizationsizecategoriesrefertothesizeoftheassetpool,whichhasadirectcorrelationtothesizeofcompaniesacquired,exceptinthecaseofmegacap.

††TheDiversifiedassumptionrepresentstheprojectedreturnformulti-strategyhedgefunds.

‡TheConservativeassumptionrepresentstheprojectedreturnformulti-strategyhedgefundsthatseektoachieveconsistentreturnsandlowoverallportfolio

volatilitybyprimarilyinvestinginlowervolatilitystrategiessuchasequitymarketneutralandfixedincomearbitrage.The2026Conservativeassumptionusesa0.70betatoDiversified.

Executivesummary|Shiftinglandscapesandsilverlinings

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