Where the Crowd Is
November 13, 2012 - 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: Keep Reading