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JP Morgan Long-Term Capital Market Assumptions from J.P. Morgan

JP Morgan's Long-Term Capital Market Assumptions (LTCMAs) provide forward-looking estimates of risk, return, and correlations for major asset classes. The assumptions are available through interactive tools that allow investment professionals to develop strategic asset allocation models, test portfolio constructions, and evaluate the impact of different market scenarios on investment outcomes.

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Product analysis by function

Capital Market Assumption Tools for Investment Strategy & Asset Allocation

Specialized modeling software for developing forward-looking return, risk, and correlation expectations across asset classes that serve as inputs to strategic asset allocation models.
More Capital Market Assumption Tools More Investment Strategy & Asset Allocation ...

Data Integration & Sources
(3 Yes /3 Known /10 Possible features)

Modeling & Assumption Engine
(9 Yes /9 Known /11 Possible features)

Optimization & Asset Allocation
(4 Yes /4 Known /10 Possible features)

Reporting & Visualization
(5 Yes /5 Known /10 Possible features)

User Management & Collaboration
(0 Yes /0 Known /10 Possible features)

Scenario Analysis & Stress Testing
(3 Yes /3 Known /10 Possible features)

Performance, Scalability & Security
(3 Yes /3 Known /10 Possible features)

Customizability, Extensibility & APIs
(2 Yes /2 Known /10 Possible features)

Risk Analytics & Attribution
(8 Yes /8 Known /10 Possible features)

Support, Documentation & Training
(10 Yes /10 Known /10 Possible features)

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Multi-Asset Data Connectivity Ability to ingest data from multiple asset classes (e.g., equities, fixed income, real estate, alternatives).		LTCMAs provide estimates for major asset classes, evidence suggests support for multi-asset data input/output.
Live Data Feeds Integration with real-time data feeds for up-to-date market information.		No information available
Historical Data Coverage Availability and depth of historical market data accessible for modeling.		No information available
Data Vendor Integration Ability to link to major financial data vendors (Bloomberg, Refinitiv, etc.).		No information available
Custom Dataset Upload Support for uploading bespoke or proprietary datasets.		No information available
Data Mapping & Cleansing Tools Automated tools for mapping, cleaning, and validating large datasets.		No information available
Frequency Handling Capacity to handle and standardize data at different frequencies (daily, monthly, quarterly).		Forward-looking assumptions and outputs accommodate multiple data frequencies through interactive modeling platforms.
Currency Handling Support for multi-currency data and conversion capabilities.		The LTCMA tool suite allows outputs and analysis in multiple currencies for global investors.
API Access Provision of APIs for auto data ingestion and integrations.		No information available
Audit Trails Full traceability regarding source and transformation of input data.		No information available

Asset Return Forecasting Ability to project expected returns for various asset classes.		The core function of LTCMA is the forecast of asset class returns.
Volatility Forecasting Modeling projected volatility for asset classes.		LTCMA includes volatility projections for asset classes.
Correlation Estimation Capacity to estimate and customize asset class correlations.		LTCMA provides correlation estimates and allows scenario analysis using correlations.
Mean Reversion Modeling Modeling long-term mean reverting tendencies for returns/volatility.		Long-term mean reversion is a documented part of LTCMA methodology.
Fat-Tail/Non-Normal Distribution Support Ability to model distributions beyond the normal (e.g., skewness, kurtosis).		LTCMA discusses non-normality (fat tails, skewness) in its published methodology.
Scenario Generation Capability to generate and analyze multiple market scenarios based on user inputs or macro drivers.		Interactive tools and whitepapers demonstrate scenario generation capabilities.
Macroeconomic Linkages Modeling relationships between macro variables (inflation, GDP, rates) and asset returns.		LTCMA modeling incorporates macroeconomic variable linkages (e.g., GDP, inflation).
Automatic Calibration System-assisted calibration of CMAs to observed market pricing or benchmarks.		No information available
Multi-Horizon Modeling Model projections over multiple investment horizons (e.g., 1Y, 5Y, 10Y).		LTCMA projections are given over multiple horizons (e.g., 10-15 years).
Parameter Sensitivity Analysis Tools to test the impact of changing assumption parameters.		LTCMA tools allow for sensitivity analysis of key assumptions.
Speed of Assumption Update Time taken for recalibrating CMAs after data change.		No information available

Efficient Frontier Modeling Generation of efficient frontiers and trade-off curves.		Efficient frontier analysis is a marketed application of LTCMA data and tools.
Portfolio Optimization Algorithms Support for various optimization techniques (mean-variance, Black-Litterman, risk budgeting).		Portfolio optimization methods (mean-variance, Black-Litterman) are supported in the tools using LTCMA inputs.
Custom Constraints Handling Ability to impose regulatory, ESG, liquidity, and other constraints.		LTCMA tools highlight custom constraint handling, including ESG and liquidity constraints.
Multi-Objective Optimization Optimization based on multiple objectives (risk, return, ESG scores).		No information available
Scenario-Based Optimization Run optimization under different what-if macro/market scenarios.		No information available
Asset Class Granularity Maximum number of asset classes handled per optimization run.		No information available
Optimization Speed Average time for a full optimization run.		No information available
Multi-Period Asset Allocation Support for dynamic or glide-path asset allocation approaches.		No information available
User-Defined Views Integration Ability for users to input subjective views for optimization.		No information available
Result Exportability Options for exporting optimization results (Excel, PDF, CSV).		Visualization and result export (Excel, PDF) options are shown in online demos and marketing materials.

Customizable Dashboards Flexibility to build and customize dashboards for different users/teams.		Dashboard customization is a feature in the LTCMA interactive platform.
Charting Capabilities Variety of graphical outputs (charts, histograms, heatmaps, scenario trees).		LTCMA tools include advanced charting for scenario and result visualization.
Assumption Traceability Clear visibility into how assumptions are derived and used.		JP Morgan documentation describes detailed traceability on assumption input/output.
Interactivity Users can interactively change assumptions and view real-time impact.		Users can change assumptions in the interactive platform and see impacts in real time.
Simulation Outputs Visualization of simulation/model outcomes (fan charts, Monte Carlo clouds).		No information available
White-Label Reporting Ability to generate branded reports and presentations.		No information available
Automated Report Scheduling Set up reports to auto-generate and distribute on schedule.		No information available
Download Formats Number of file formats supported for output downloads.		No information available
Annotations/Notes Ability to annotate charts and reports with notes or rationales.		User can annotate and save rationale in portfolio models.
Multi-Language Support Options for reports in multiple languages.		No information available

Role-Based Access Control Fine-grained permissioning for individual users and teams.		No information available
Audit Logging Complete logging of user actions and changes for compliance/audit.		No information available
Collaboration Tools Real-time note sharing, discussions, and shared workspaces.		No information available
Approval Workflows Built-in review and approval process for changing key assumptions or outputs.		No information available
User Capacity Maximum number of active user accounts supported.		No information available
Version Control Tracking and management of different assumption/model versions.		No information available
Single Sign-On (SSO) Integration with enterprise authentication standards.		No information available
User Activity Monitoring Monitoring and reporting of user sessions and activities.		No information available
Collaboration with External Partners Controlled access and sharing with clients or third-party consultants.		No information available
Data Room/Document Repository Secure cloud storage for files and documentation.		No information available

Custom Scenario Builder Build bespoke market or macroeconomic scenarios.		The tool supports custom scenario creation and macro inputs in the interface.
Historical Scenario Replay Replay and analyze past crisis events (e.g., 2008, COVID-19 shock).		Historical crisis scenario analysis is a documented feature in LTCMA-based modeling.
Reverse Stress Testing Identify scenarios that would cause portfolio failure or breach risk thresholds.		No information available
Multi-Scenario Comparison Simultaneous analysis and comparison of multiple market scenarios.		No information available
Macro Factor Shocks Introduce shocks to macro drivers (rates, inflation) and analyze impact.		No information available
Downside/Extreme Event Analysis Assessment of tail risks and low-probability extreme outcomes.		Extreme/tail risk analysis is a covered subject in LTCMA publications and interactive tools.
Sensitivity Dashboards Visual dashboards to understand key sensitivities.		No information available
Fast Scenario Computation Average time to run and present a new scenario simulation.		No information available
Pre-Built Scenario Libraries Library of pre-defined macro and market scenarios.		No information available
Scenario Export/Documentation Ability to export scenario specifications and results for audit and review.		No information available

System Uptime SLA Percentage uptime guaranteed by the vendor.		No information available
Concurrent User Support Maximum number of simultaneous users supported.		No information available
Calculation Speed Median time required for full assumption modeling and optimization run.		No information available
Cloud Compatibility Capability to deploy or access securely via cloud infrastructure.		The tool is deployable online and available via the cloud; users access through a web portal.
On-Premise Option Available as an installable solution within internal firewalls.		No information available
Data Encryption (at rest/in transit) Full encryption of data both when stored and transmitted.		No information available
Multi-Tenancy Support Segregation of data and resources for different clients or teams.		No information available
Penetration Testing Certification Regular external security testing and reporting.		No information available
GDPR/Regulatory Compliance Adherence to relevant data privacy, retention, and usage regulations.		J.P. Morgan asset management affirms regulatory compliance in data handling, typically including GDPR.
Disaster Recovery/Backup Automated backup schedule and recovery protocols.		Disaster recovery is a standard commitment for cloud-based J.P. Morgan client applications.

Custom Assumption Models Users can build and integrate bespoke modeling assumptions.		No information available
Open API Access Rich, documented APIs for both data ingestion and result extraction.		No information available
SDK Availability Software development kits for developer customization or embedding.		No information available
Scriptable Workflows Use of scripting languages or formula editors for workflow automation.		No information available
Modular Architecture Core modules plus optional add-ons/plugins for increased flexibility.		No information available
Integration with Portfolio Management/Order Systems Ready-to-go interfaces with downstream execution or monitoring systems.		JP Morgan's platform integrates with downstream portfolio management/monitoring/reporting solutions.
Custom UI Components Build/edit custom user interface components for specific needs.		No information available
Custom Report Template Design Create and save personalized report formats and templates.		Reporting templates can be customized for institutional clients.
Plug-In Marketplace Access Access to a community or marketplace for add-ons/extensions.		No information available
Script Execution Time Average time to run custom scripts or extensions.		No information available

Multi-Factor Risk Models Incorporate multiple risk drivers and factor models.		LTCMA methodology discusses multiple macro and risk factor models.
Ex-Ante/Ex-Post Risk Reporting Forward-looking (ex-ante) and backward-looking (ex-post) risk analytics.		LTCMA-based reports and tools support both ex-ante and ex-post analytics.
Historical VaR & Expected Shortfall Calculation and reporting of Value at Risk and ES based on history.		Historical VaR and expected shortfall are referenced in LTCMA technical documentation and tool interfaces.
Stress/Scenario VaR Model stress-testing and VaR under defined scenarios.		Stress testing and scenario-based VaR are included in the LTCMA risk analytics suite.
Contribution to Risk Attribution of risk to individual assets or allocations.		Contribution-to-risk analytics are a standard feature in portfolio analytics.
Attribution by Macro Factors Show exposure and risk/return attribution by macroeconomic or style factors.		Macro and style attribution is part of deeper LTCMA analytics models.
Risk Reporting Frequency Supported data/reporting periodicity for risk analytics.		No information available
Drill-Down Analytics Ability to analyze at asset, sector, region, and risk factor levels.		LTCMA's analytics allow drill-down by sector, region, and risk factor.
Comparative Portfolio Analysis Compare risk across proposed vs. existing portfolios.		Comparison analytics for model and existing portfolios are explicitly supported.
Visual Risk Heatmaps Graphical display of risk concentrations and hotspots.		No information available

Dedicated Account Manager Assigned point of contact for support queries and escalation.		Large institutional and consultant clients have access to dedicated account managers at J.P. Morgan.
24/7 Technical Support Round-the-clock helpdesk availability.		J.P. Morgan provides 24/7 technical support for their institutional interfaces.
Online Knowledge Base Comprehensive, searchable user manuals and guides.		User manuals and technical guides are available online and via client support.
Onboarding/Training Programs Structured training sessions and onboarding support.		Formal onboarding and training programs are available for LTCMA clients.
Release Notes & Change Alerts Regularly published updates on product changes.		J.P. Morgan produces and distributes release notes for platform updates.
User Community/Forums Access to discussion forums and product user groups.		Customer forums and user communities are available via J.P. Morgan's asset management website.
Custom Training Materials Bespoke training resources tailored to firm workflows.		Bespoke training and webinars are a documented resource for institutional clients.
Multichannel Support Support available via email, phone, and chat.		Multi-channel support (email/phone/chat) is available through institutional client services.
API/Developer Documentation Extensive, well-maintained documentation for technical integrations.		API and developer documentation is mentioned for J.P. Morgan investment data platform integrations.
User Feedback Mechanism Platform for submitting enhancement requests and feedback.		Feedback and enhancement request tools are available through the platform and client portal.

JP Morgan Long-Term Capital Market Assumptions from J.P. Morgan

Product analysis by function

Capital Market Assumption Tools for Investment Strategy & Asset Allocation

Data Integration & Sources (3 Yes /3 Known /10 Possible features)

Modeling & Assumption Engine (9 Yes /9 Known /11 Possible features)

Optimization & Asset Allocation (4 Yes /4 Known /10 Possible features)

Reporting & Visualization (5 Yes /5 Known /10 Possible features)

User Management & Collaboration (0 Yes /0 Known /10 Possible features)

Scenario Analysis & Stress Testing (3 Yes /3 Known /10 Possible features)

Performance, Scalability & Security (3 Yes /3 Known /10 Possible features)

Customizability, Extensibility & APIs (2 Yes /2 Known /10 Possible features)

Risk Analytics & Attribution (8 Yes /8 Known /10 Possible features)

Support, Documentation & Training (10 Yes /10 Known /10 Possible features)