The Global Multi-Asset Market Portfolio 1959-2012

32 Pages Posted: 12 Nov 2013 Last revised: 3 Dec 2014

Ronald Q. Doeswijk

Independent

Trevin Lam

Rabobank

Laurens Swinkels

Erasmus University Rotterdam (EUR); Robeco Institutional Asset Management

Date Written: January 2014

Abstract

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.

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, The Global Multi-Asset Market Portfolio 1959-2012 (January 2014). Financial Analysts Journal, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2352932

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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