Historical Returns of the Market Portfolio

Abstract

This study documents annual returns of the invested global multi-asset market portfolio, using a newly constructed unique dataset which basically covers the whole invested market. We analyze returns as well as risk over the period from 1960 to 2017. The market realizes a compounded real return in US dollars of 4.45% with a standard deviation of 11.2% from 1960 until 2017. The compounded return is 3.39 percentage points above the riskless rate. We report returns in ten base currencies, which shows that real compounded returns vary from 2.87% to 4.93% and maximum cumulative drawdowns range from 34.9% to 56.6%.

Keywords: Strategic Asset Allocation, Market Portfolio, Historical Returns, Investment Risk,

JEL Classification: G11, G12