Historical Returns of the Market Portfolio

Ronald Doeswijk, Trevin Lam and Laurens Swinkels

The Review of Asset Pricing Studies, vol. 10, issue 3, 521-567

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. 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.

Keywords: E44; G11; G12; M21; N20) (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1093/rapstu/raz010 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:rasset:v:10:y::i:3:p:521-567.

Access Statistics for this article

The Review of Asset Pricing Studies is currently edited by Zhiguo He

More articles in The Review of Asset Pricing Studies from Society for Financial Studies
Bibliographic data for series maintained by Oxford University Press ().