The Global Multi-Asset Market Portfolio, 1959–2012

@article{Doeswijk2014TheGM,
  title={The Global Multi-Asset Market Portfolio, 1959–2012},
  author={Ronald Q. Doeswijk and Trevin W. Lam and Laurens Swinkels},
  journal={Financial Analysts Journal},
  year={2014},
  volume={70},
  pages={26 - 41}
}
The market portfolio contains important information for purposes of strategic asset allocation. One could consider it a natural benchmark for investors. The authors composed the invested global multi-asset market portfolio for 1990–2012 by estimating the market capitalization for equities, private equity, real estate, high-yield bonds, emerging-market debt, investment-grade credits, government bonds, and inflation-linked bonds. They also used an expanded period (1959–2012) for the main asset… 

The Global Capital Stock: Finding a Proxy for the Unobservable Global Market Portfolio

Thirty-five years after the World Market Wealth Portfolio of Ibbotson and Siegel [1983], this article summarizes the authors’ attempt to measure the stock of a broad universe of assets worldwide.

Brazilian Market Portfolio

In recent years, Brazil has achieved substantial progress in capital market development by building a diversified investor base and expanding the menu of available financial instruments. In this

Historical Returns of the Market Portfolio

We create an annual return index for the invested global multiasset market portfolio. We use a newly constructed unique data set covering the entire market of financial investors. We analyze returns

Yes, the Composition of the Market Portfolio Matters: The Estimated Cost of Equity

Market portfolio composition substantially affects the cost of equity estimates. Adding Treasury securities to an equity‐only market portfolio substantially changes both estimated market betas and

Selection of the right proxy market portfolio for CAPM

The purpose of the paper is to select the right market proxy for calculating the expected return, since critically evaluating proxies or selecting the correct proxy market portfolio is essential for

Real Estate Betas and the Implications for Asset Allocation

Real estate is an important asset class, but what specifically does real estate contribute to improve diversified stock–bond portfolios? The author decomposes real estate investment trust returns

The Most Basic Missing Instrument in Financial Markets: The Case for Bonds for Financial Security

There is a looming retirement crisis globally with the three pillars of retirement threatened because of insufficient funding, improper investment decisions, and transferring risk to individuals who

The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes

Abstract It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices

Information-Based Trade in German Real Estate and Equity Markets

This paper employs four established market microstructure measures on information-based trade in financial markets. A set of German mid and small caps is used to analyze potential differential

Information-Based Trade in German Real Estate and Equity Markets

This paper employs four established market microstructure measures on information-based trade in financial markets. A set of German mid and small caps is used to analyze potential differential

References

SHOWING 1-10 OF 32 REFERENCES

A Composite Portfolio Benchmark for Pension Plans

Successful management of a pension plan portfolio requires the focusing of investment attention on the asset configuration of the total portfolio. This focus is facilitated by a composite benchmark

The World Market Wealth Portfolio*

T hree years ago in this Journal, we presented returns and market values for the United States Market Wealth Portfolio.’ That hypothetical portfolio included the principal investable asset classes in

Adaptive Asset Allocation Policies

This article proposes an asset allocation policy that adapts to market movements by taking into account changes in the outstanding market values of major asset classes. Such a policy considers

The Significance of the Market Portfolio

The market portfolio is in one sense the least important portfolio to provide to investors. In an J-agent one-period stochastic endowment economy, where preferences are quadratic, a

Does Finance Theory Make the Case forCapitalization-Weighted Indexing?

Indexers often evoke financial theory to claim that cap-weighted stock market indices are good investment choices. This article analyzes the existing literature to see whether the recommendation of

Emerging Market Inflation-Linked Bonds

Investigating the value added by inflation-linked bonds in investment portfolios in emerging markets, the author found that the inclusion of inflation-linked bonds improved the risk–return

Leverage Aversion and Risk Parity

The authors show that leverage aversion changes the predictions of modern portfolio theory: Safer assets must offer higher risk-adjusted returns than riskier assets. Consuming the high risk-adjusted

Global Commercial Real Estate

This article explores the role of global commercial real estate in a strategic asset allocation. Global REIT and listed real estate stock indices are used to proxy the broader direct and indirect

Emerging Market Inflation-Linked Bonds

Investigating the value added by inflation-linked bonds in investment portfolios in emerging markets, the author found that the inclusion of inflation-linked bonds improved the risk–return

The Capital Asset Pricing Model and the Market Model

Is Beta Dead?” (Wallace [1980]) and other recent articles have asked whether broad consequences, disastrous to modern investment technology, would result from misspecification of the Capital Asset