Historical Returns of the Market Portfolio
Review of Asset Pricing Studies, Forthcoming
75 Pages Posted: 2 Jun 2017 Last revised: 23 Oct 2019
Date Written: October 2019
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
Suggested Citation: Suggested Citation