Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011

22 Pages Posted: 3 Nov 2012  

Ronald Q. Doeswijk

Independent

Trevin Lam

Rabobank

Laurens Swinkels

Erasmus University Rotterdam (EUR); Robeco Institutional Asset Management

Date Written: November 2, 2012

Abstract

The portfolio of the average investor contains important information for strategic asset allocation purposes. This portfolio shows the relative value of all assets according to the market crowd, which one could interpret as a benchmark or the optimal portfolio for the average investor. We determine the market values of equities, private equity, real estate, high yield bonds, emerging debt, non-government bonds, government bonds, inflation linked bonds, commodities, and hedge funds. For this range of assets, we estimate the invested global market portfolio for the period 1990-2011. For the main asset categories equities, real estate, non-government bonds and government bonds we extend the period to 1959-2011. To our understanding, we are the first to document the global multi-asset market portfolio at these levels of detail for such a long period of time.

Keywords: strategic asset allocation, optimal portfolio, global multi-asset market portfolio

JEL Classification: G11, G12

Suggested Citation

Doeswijk, Ronald Q. and Lam, Trevin and Swinkels, Laurens, Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011 (November 2, 2012). Available at SSRN: https://ssrn.com/abstract=2170275 or http://dx.doi.org/10.2139/ssrn.2170275

Ronald Q. Doeswijk (Contact Author)

Independent ( email )

No Address Available

Trevin Lam

Rabobank ( email )

Croeselaan 18
Utrecht, 3521 CB
Netherlands
+31 30 21 30543 (Phone)

HOME PAGE: http://www.linkedin.com/pub/dir/trevin/lam

Laurens Swinkels

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Robeco Institutional Asset Management ( email )

Rotterdam, 3000
Netherlands
+31 10 224 2470 (Phone)
+31 10 224 2110 (Fax)

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