GiMPy

June 08, 2017

Nice quick analysis of the Global Market Portfolio returns since 1960.  Mirrors the results from our book…a basic global asset allocation gets you about 4-5% real returns over time.  Abstract then download…

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Using a newly constructed unique dataset, this study is the first to document returns of the market portfoliofor a long period and with a high level of detail. Our market portfolio basically contains all assets in whichfinancial investors have invested. We analyze nominal, real, and excess return and risk characteristics of thisglobal multi-asset market portfolio and the asset categories over the period 1960 to 2015. The global marketportfolio realizes a compounded real return of 4.38% with a standard deviation of 11.6% from 1960 until2015. In the inflationary period from 1960 to 1979, the compounded real return of the GMP is 2.27%, whilethis is 5.57% in the disinflationary period from 1980 to 2015. The reward for the average investor is acompounded return of 3.24%-points above the saver’s. We also compare the performance of an investor whoholds the market portfolio with an investor who uses simple heuristics for the portfolio allocation. Ourresults suggest that the market portfolio is close to the mean-variance frontier, but our heuristic allocationsachieve a significantly higher reward for risk.

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Link to Download

Website

SSRN link

https://ssrn.com/abstract=2978509