You can't generate robust forecasts of risk premia by looking only at the past, but you can certainly learn a lot about how the capital markets fluctuate.
With that in mind, we present a cursory look at recent history. In particular, the chart below compares the Global Market Index to a few of the major asset classes since the late-1990s. (For a larger view, click on the chart.) We'd like to include all the corners of the capital and commodity markets, but the chart would be far too busy.
Nonetheless, you can grasp a sense of how a passively allocated mix of all the world's major asset classes (as defined by GMI) has fared against a few of the usual suspects. As the chart suggests, GMI tends to deliver middling performance relative to its major components over time. That's one reason why GMI, or an equivalent, is worthy as everyone's benchmark.
Does that mean we should never deviate from GMI's asset allocation? No. In fact, every investor should hold a customized asset allocation that fits his particular needs and expectations. But strategic-minded investors should wander from GMI cautiously and for reasons that are economically sound.
Beating GMI over the long haul isn't easy, at least on a risk-adjusted basis, but it can be done. But even if that's your goal, the first step is analyzing GMI and building projections for each of its major asset class components. That's not easy, nor does it lend itself to quick profits. No wonder, then, that the finer points of multi-asset class investing tend to be an afterthought, if that.