The strongest foundation for rotation in more than a decade

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IMPORTANT: The capital market assumptions regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. The expectations and other information are for educational and illustrative purposes only. Hypothetical performance has inherent risks and limitations, and prospective investors should not place undue reliance on any such information. Because of Cohen & Steers’ investment focus on real assets, Cohen & Steers will benefit from increased interest in these asset classes, and you should keep this conflict in mind when evaluating the capital market assumptions. Other investments may have characteristics similar or superior to real assets. Additionally, Cohen & Steers may make investment decisions that are inconsistent with the capital market assumptions or any views expressed herein. Cohen & Steers may also develop and publish material that is independent of, and different than, the capital market assumptions or any views expressed herein.

The intent of the capital market assumptions is not to predict or project future returns of any investment, asset class or portfolio. Instead, the purpose of the capital market assumptions is to express Cohen & Steers’ view of expected general asset class returns of the period shown, which may be incorrect, potentially materially so, and are subject to change without notice.

By receiving this communication, you agree with and acknowledge the limitations of the capital market assumptions, the associated conflicts and the restrictions on use described herein.

The information presented is provided as educational and is not intended to be (and should not be) relied upon as a recommendation to invest in any specific security or asset class or to adopt any investment strategy, or as the primary basis for any investment decisions. Prior to making a decision to invest in any security or asset class, you should consult with your financial professional to determine whether the decision is appropriate for you. Return, yield and volatility expectations are based on Cohen & Steers’ analysis, are not a guarantee of future performance, and do not represent the past or projected performance of any fund, investor or other account managed by Cohen & Steers.

The assumptions used to form the basis for the information presented are as of the date shown and are subject to change. Projected returns, yield, volatility and liquidity are subject to many factors that are uncertain and outside the control of Cohen & Steers, and analysis may be subject to error. Projected outcomes depend on economic events, which (even if they occur) could result in outcomes that could be materially higher or lower than expected. The performance expectations displayed represent the midpoint possible expectations within a broader range of possible outcomes, some of which are negative. Actual outcomes could be materially lower than the central expectations.

An investor cannot invest directly in an index, and index performance does not reflect the deduction of any fees, expenses or taxes. Index comparisons have limitations, as volatility and other characteristics may differ from a particular investment. There can be no assurance that any trends or correlations shown herein will continue in the future.

The information presented is not being provided in a fiduciary capacity and does not account for the age, other investments, financial situation, tax status, investment objectives, investment experience, investment time horizon, liquidity needs or risk tolerance of any investor. We believe the information to be accurate, but we do not represent that it is complete or should be relied upon as the sole source of appropriateness for determining any investment strategy. Cohen & Steers does not provide investment, tax or legal advice and will not advise you on your investment decisions. Investors should consult with their investment, tax or legal professional regarding their individual circumstances prior to making any investment decisions.

Criteria and methodology: Inputs to these expectations include return, volatility and correlation across asset classes. Assumptions are generally not updated on a real-time basis; therefore, results may vary with each use and over time. All such expectations are subject to change. Yields on all markets are based on levels derived at year-end 2024.

Expectations for returns are driven by a range of factors. Within fixed income, forecasts for interest rates are determined at various maturities based on economic growth, inflation, and policy expectations, as well as factors such as the shape of the yield curve, the expected level of real interest rates and inflation breakeven, and credit spreads. These interest rates are used to compute expectations for total returns, accounting for the starting point of bond yields, capital gain/loss based on assumption of benchmark duration, and yield. Treasury bond returns are based on expectations for the level of inflation, the path of future short-term rates, and an expectation for the slope of the yield curve. Credit returns, including corporate, high yield and preferreds, are based on expectations for fair value spread levels along with adjustments for historical downgrade and default risk through an economic cycle.

For equities, including listed real assets, various factors contribute to total return expectations. Expectations are based on estimates for earnings growth and fair value multiples. Earnings growth expectations are driven by expected profitability and payout ratios, while valuation multiples are based on expected interest rates, risk premiums and growth rates. Changes in valuations are driven by forecasts of interest rates, risk premiums, growth and profitability. Dividend yield also contributes to total return.

For commodities, we forecast investable returns by coming up with expectations on index-level spot returns, roll returns and collateral returns. Spot returns are a function of inflation and expectations for supply/demand/inventory balances, roll returns are a function of the typical shape of the commodity futures curve, and collateral returns are a function of our forecast for short-term interest rates. Volatility assumptions are driven by historical experience as well as expectations for changes related to growth, inflation, policy, etc.

Volatility for private real estate is adjusted (per academic work by Geltner) to more accurately reflect economic volatility, correcting for the autocorrelation/smoothing that exists in private RE returns. Correlations reflect historical observations. Forward looking volatility and correlation assumptions are based on historical outcomes. Volatility data use the full available data history for each respective market. Correlation data use a common starting point. Future economic and market conditions could result in different experiences in coming years.

Due to the illiquid nature of private real estate, private real estate returns generally exhibit a pattern that understates the level of volatility that would be realised if assets were valued more frequently. We used a statistical adjustment (Geltner, David; 1993; “Estimating Market Values from Appraised Values without Assuming an Efficient Market”) to adjust for the first-order autocorrelation in the appraisal-based private real estate return series to arrive at an estimate that more accurately reflects the true volatility of private real estate returns for the time periods shown. This adjustment is also applied to calculations of private real estate correlation to other asset classes.

Estimates are inherently uncertain and may not reflect actual outcomes. Utilising different factors or assumptions in conducting the statistical analysis may result in materially different estimates than those shown. Investing in private real estate involves substantial risk, including the entire loss of an investment. Certain inputs into the capital market assumptions have been obtained from sources that Cohen & Steers believes to be reliable as of the date presented; however, Cohen & Steers cannot guarantee the accuracy of such content, assure its completeness, or warrant that such information will not be changed. The content herein and inputs into the capital market assumptions are current as of the date of publication (or such earlier date as referenced herein) and are subject to change without notice. Cohen & Steers does not make any express or implied warranties or representations as to the inputs into the capital market assumptions or the completeness or accuracy of its results.

Cohen & Steers Capital Management, Inc. (Cohen & Steers) is a registered investment advisory firm that provides investment management services to corporate retirement, public and union retirement plans, endowments, foundations and mutual funds. Cohen & Steers U.S. registered open-end funds are distributed by Cohen & Steers Securities, LLC and are only available to U.S. residents. Cohen & Steers UK Limited is authorized and regulated by the Financial Conduct Authority (FRN 458459). Cohen & Steers Asia Limited is authorized and regulated by the Securities and Futures Commission of Hong Kong (ALZ 367). Cohen & Steers Japan Limited is a registered financial instruments operator (investment advisory and agency business and discretionary investment management business with the Financial Services Agency of Japan and the Kanto Local Finance Bureau No. 3157) and is a member of the Japan Investment Advisers Association. Cohen & Steers Ireland Limited is regulated by the Central Bank of Ireland (No.C188319). Cohen & Steers Singapore Private Limited is a private company limited by shares in the Republic of Singapore.