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The Global Market Portfolio Tracked Monthly

September 12, 2024 • Posted in Big Ideas, Bonds, Commodity Futures, Equity Premium, Real Estate

How does the performance of the global multi-class market look when evaluated at a monthly frequency? In their August 2024 paper entitled “The Risk and Reward of Investing”, Ronald Doeswijk and Laurens Swinkels assess global investing rewards and risks via an exhaustive $150 trillion portfolio of investable global assets priced at a monthly frequency, enabling greater granularity of risk estimates than does the annual frequency used in prior research. They consider five asset classes: equities, real estate, non-government bonds, government bonds and commodities. For these classes and the multi-class market, they examine stability of Sharpe ratios and severity, frequency and duration of drawdowns. Their default base currency is the U.S. dollar, but they measure effects of choosing one of nine other currencies on global market portfolio performance. They calculate excess investment returns generally relative to government bill yields as a proxy for return on savings. Using monthly returns for all investable global assets with reinvested dividends during 1970 through 2022, they find that:

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