The Review of Asset Pricing Studies Vol. 10 No. 3 2020

Historical Returns of the Market Portfolio

Ronald Doeswijk¹; Trevin Lam²; Laurens Swinkels³

¹ Unaffiliated · ² Rabobank · ³ Erasmus University Rotterdam and Robeco Institutional Asset Management

Abstract

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.

DOI

10.1093/rapstu/raz010

Volume

10

Issue

3

Pages

521-567

Language

en

Sources

crossref bibtex:phds-export.bib openalex

Cite

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