he expected risk premium for the Global Market Index (GMI) continued to hold at a relatively low level in February. GMI — an unmanaged, market-value weighted mix of the major asset classes — is projected to earn an annualized 2.9% return over the “risk-free” rate in the long term. (For details on the equilibrium-based methodology that’s used to generate the forecasts each month, see the summary below.) Today’s revised estimate, which is based on data through last month, matches the projection in last month’s update.

Adjusting for short-term momentum and longer-term mean-reversion factors (defined below) usually delivers a different forecast, but not at the moment. Here too the the ex ante risk premium for GMI is currently 2.9%, based on data published through the end of February–a slightly lower estimate from the previous round of numbers.

In contrast with recent history, the gap widened a bit last month between GMI’s risk premia forecast and the index’s slightly higher trailing performance for the last three years through Feb. 2016. That’s an intriguing shift when you consider that projected risk premia for GMI are no longer falling. After sliding for more than a year, GMI’s forward estimates have been holding steady in the last three months. Is that a sign that the future will deliver stronger results? It’s certainly a subject that’s worthy of deeper analysis.

Meantime, here’s how the trailing performance stacks up at the moment. GMI earned an annualized 3.4% risk premium for the 3-year period through February 2016.  That’s moderately higher than GMI’s implied performance for the years ahead. In other words, GMI’s recent performance remains close to projected results. Although any one point forecast should be considered cautiously, recent GMI projections suggest that multi-asset class strategies in general will generate comparatively subdued results vs. the historical record in recent years. Managing expectations down for GMI and related strategies has been a theme in this column for much of the past year, even when trailing results were considerably higher vs. expectations (see this April 2015 update, for instance).

Here’s a review of the current risk premia projections for GMI and the major asset classes that comprise the benchmark:

Here’s a recap of how GMI’s risk premia forecasts have evolved in recent months:

Turning to what the markets actually delivered, here’s a chart of rolling three-year annualized risk premia for GMI, US stocks (Russell 3000) and US Bonds (Barclays Aggregate Bond Index) through last month.