JPMorgan Asset Management assigns Bitcoin (BTC) a 10% compound annual return in its long-term outlook, above its U.S. large-cap forecast, but leaves it outside the main portfolio model, Bitcoin analyst Joe Consorti said.
Consorti reviewed the Long-Term Capital Market Assumptions in an Oct. 22 video. He said the Bitcoin figure exceeds estimates of 7.5% for U.S. large-cap stocks, 5.5% for gold, 5.6% to 6.6% for U.S. Treasuries and 7% for a 60–40 stock-and-bond portfolio. The outlook puts small-cap stocks at 7.7%, he said.
Bitcoin is not the highest-return category in the assumptions Consorti discussed. He cited 10.6% for small-cap private equity and 10.2% for value-added real estate. The outlook covers a 10- to 15-year horizon, as EconoTimes previously reported.
Consorti said Bitcoin is absent from the main covariance matrix, which assesses how assets move together to help determine portfolio weights. He said the outlook instead evaluates Bitcoin in a separate, smaller model; his account did not specify which assets that model includes.
The assumptions attach substantial volatility to the return figure. Consorti said the report uses 55% as Bitcoin’s annual volatility, roughly three times the level for stocks or gold.
Consorti argued that including Bitcoin in the long-term assumptions could give pension fund committees a reference point in allocation discussions. He cited a proposed 1% Bitcoin position as an example of a figure an investment committee member could raise. The return estimate and the portfolio model address separate questions: the former sets an assumption, while the latter assesses how assets move together.
