Data sets – historical returns of the market portfolio

Data sets – historical returns of the market portfolio

06-01-2020 | Data sets
A research-driven approach is at the core of everything we do. By offering data sets, we give investors the opportunity to conduct their own analyses.
  • Laurens Swinkels
    Researcher - It is my passion to develop evidence-based investment solutions

This data set belongs to the research article by Ronald Doeswijk, Trevin Lam, and Laurens Swinkels entitled ‘Historical returns of the market portfolio’, published in the Review of Asset Pricing Studies. The study documents annual returns of the invested global multi-asset market portfolio, using a newly constructed unique dataset which basically covers the whole invested market. The authors analyze returns as well as risk over the period from 1960 to 2017. According to their research, the market realized a compounded real return in US dollars of 4.45% with a standard deviation of 11.2% from 1960 until 2017.

The study is actually an extension of their research article ‘The Global Multi-Asset Market Portfolio, 1959–2012’ published in the Financial Analysts Journal, which won the prestigious Graham & Dodd Readers’ Choice Award in 2014.

The data file contains the annual weights and returns of the global invested multi-asset market portfolio.

Subjects related to this article are:


The information contained in the website is solely intended for professional investors. Some funds shown on this website fall outside the scope of the Dutch Act on the Financial Supervision (Wet op het financieel toezicht) and therefore do not (need to) have a license from the Authority for the Financial Markets (AFM).

The funds shown on this website may not be available in your country. Please select your country website (top right corner) to view the products that are available in your country.

Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.

By clicking Proceed I confirm that I am a professional investor and that I have read, understood and accept the terms of use for this website.