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Data sets – historical returns of the market portfolio

Data sets – historical returns of the market portfolio

06-01-2020 | Data sets
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  • Laurens Swinkels

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.

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