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Historical Returns of the Market Portfolio

58 Pages Posted: 2 Jun 2017 Last revised: 14 Nov 2017

Ronald Q. Doeswijk

Independent

Trevin Lam

Rabobank

Laurens Swinkels

Erasmus University Rotterdam (EUR); Robeco Institutional Asset Management

Date Written: November 11, 2017

Abstract

Using a newly constructed unique dataset, we are the first to document returns of the market portfolio that contains basically all assets in which financial investors across the globe have invested. We analyze its return and risk characteristics since 1960. The market portfolio realizes a compounded real return of 4.36% with a standard deviation of 11.5% annually. This figure differs from those reported for aggregate wealth in recent literature. We also evaluate the performance of alternative portfolio allocations with fixed weights and periodic rebalancing. We find support for their use as benchmarks for multi-asset portfolios, although they are not macro consistent.

Keywords: Asset Allocation, Benchmarking, Investing, Market Portfolio

JEL Classification: G11, G12

Suggested Citation

Doeswijk, Ronald Q. and Lam, Trevin and Swinkels, Laurens, Historical Returns of the Market Portfolio (November 11, 2017). Available at SSRN: https://ssrn.com/abstract=2978509

Ronald Doeswijk

Independent ( email )

No Address Available

Trevin Lam (Contact Author)

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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