Historical Returns of the Market Portfolio

72 Pages Posted: 2 Jun 2017 Last revised: 31 Jan 2019

See all articles by Ronald Q. Doeswijk

Ronald Q. Doeswijk

Independent

Trevin Lam

Rabobank

Laurens Swinkels

Erasmus University Rotterdam (EUR); Robeco Asset Management - Quantitative Investing

Date Written: January 28, 2019

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

Suggested Citation

Doeswijk, Ronald Q. and Lam, Trevin and Swinkels, Laurens, Historical Returns of the Market Portfolio (January 28, 2019). Available at SSRN: https://ssrn.com/abstract=2978509 or http://dx.doi.org/10.2139/ssrn.2978509

Ronald Q. Doeswijk

Independent ( email )

No Address Available

HOME PAGE: http://www.linkedin.com/in/ronalddoeswijk/

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 Asset Management - Quantitative Investing ( email )

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

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