Historical Returns of the Market Portfolio | Zendy

Ronald Q. Doeswijk | Zendy; Trevin Lam | Zendy; Laurens Swinkels | Zendy

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Historical Returns of the Market Portfolio

Author(s) -

Ronald Q. Doeswijk,

Trevin Lam,

Laurens Swinkels

Publication year - 2019

Publication title -

the review of asset pricing studies

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 4.356

H-Index - 19

eISSN - 2045-9939

pISSN - 2045-9920

DOI - 10.1093/rapstu/raz010

Subject(s) - portfolio , capital asset pricing model , market portfolio , rate of return on a portfolio , publication , financial economics , economics , index (typography) , excess return , risk–return spectrum , the internet , modern portfolio theory , web site , financial market , business , actuarial science , finance , computer science , paleontology , context (archaeology) , world wide web , advertising , biology

We create an annual return index for the invested global multiasset market portfolio. We use a newly constructed unique data set covering the entire market of financial investors. We analyze returns and risk from 1960 to 2017, a period during which the market portfolio realized a compounded real return in U.S. dollars of 4.45%, with a standard deviation of annual returns of 11.2%. The compounded excess return was 3.39%. We publish these data on returns of the market portfolio, so they can be used for future asset pricing and corporate finance studies. Received March 4, 2019; editorial decision October 9, 2019 by Editor Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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