The Global Multi-Asset Market Portfolio 1959-2012
Ronald Q. Doeswijk
Trevin W. Lam
Laurentius (Laurens) Adrianus Petrus Swinkels
Erasmus University Rotterdam (EUR); Norges Bank Investment Management (NBIM)
Financial Analysts Journal, Forthcoming
The global multi-asset market portfolio contains important information for strategic asset-allocation purposes. First, it shows the relative value of all asset classes according to the global financial investment community, which one could interpret as a natural benchmark for financial investors. Second, this portfolio may also serve as the starting point for investors who use a framework in the spirit of Black and Litterman (1992), or for investors who follow adaptive asset-allocation policies as advocated by Sharpe (2010). We estimate the invested global market portfolio for the period 1990-2012 by estimating the market capitalization for the eight asset classes: equities, private equity, real estate, high-yield bonds, emerging-market debt, investment-grade credits, government bonds and inflation-linked bonds. For the main asset categories - equities, real estate, non-government bonds and government bonds - we extend the period to 1959-2012. We provide these annual historical estimates in tabular form so that practitioners and academics can easily use these historical data going forward. To our knowledge, we are the first to document the global multi-asset market portfolio at these levels of detail for such a long period of time.
Number of Pages in PDF File: 32
Keywords: strategic asset allocation, optimal portfolio, global multi-asset market portfolio
JEL Classification: G11, G12Accepted Paper Series
Date posted: November 12, 2013 ; Last revised: December 3, 2014
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