Using Capital Market Assumptions (CMA) reports, in which managers publish long-horizon forecasts and explain how they construct them, we show how they form beliefs about returns, volatilities, and correlations. They decompose return expectations into broad building blocks across asset classes, but assign different values to them. For U.S. equity, valuation change is the largest net source of disagreement. Growth expectations, however, partly offset valuation-change expectations because the two are strongly negatively correlated, so return expectations understate disagreement in the underlying views. In most non-U.S. equity markets, growth is the main source of disagreement. This matters for portfolios: equity allocations are more strongly associated with growth expectations than with valuation-change expectations. Three mechanisms shape belief formation: managers anchor to peer consensus, use different modeling assumptions, and process information through narratives that differ in complexity and topic attention. Modeling assumptions such as mean reversion and historical calibration predict systematic forecast differences. Narrative complexity and topic attention predict responses to news: managers with more complex or valuation-focused narratives respond less to positive earnings news, whereas attention to dividend yield or downturn risks is associated with stronger responses. Comparisons with N-CSR shareholder letters show that CMA narratives reflect persistent institution-specific investment views. Volatility and correlation beliefs, by contrast, remain backward-looking.