Long-term capital market assumptions fixed income

This document presents our Capital Market Assumptions (CMA) for fixed income,
outlining the expected returns, volatility, and correlation estimates of different fixedincome asset classes in various countries/regions. We adopt a “building block” approach to estimate fixed income returns, wherein individual underlying components are forecasted and then aggregated to form the return estimates. Backtesting is further applied to validate our model choice. The effects of inflation and foreign exchange rate changes are finally considered to account for nominal price changes and cross-border investment.