Where the Crowd Is

Posted in Strategic Allocation


What is the aggregate posture of all investors or, said differently, the asset class allocation of the average investor? In their November 2012 paper entitled “Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011”, Ronald Doeswijk, Trevin Lam and Laurens Swinkels estimate the crowd-sourced relative market valuations of investments in ten asset classes: equities, private equity, listed and unlisted (commercial) real estate, high-yield bonds, emerging market debt, non-government bonds (mostly corporate bonds and mortgage-backed securities), government bonds, inflation-linked bonds, commodities and hedge funds since the beginning of 1990. They also estimate the relative valuations of four core asset classes (equities, commercial real estate, non-government bonds and government bonds) since the beginning of 1959. Using annual market valuation estimates from a variety of sources during 1990 through 2011 across all ten asset classes, and during 1959 through 2011 for the core subset, they find that: (more…)

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