Paper Spotlight: Historical Returns of the Market Portfolio

Ronald Doeswijk

Trevin Lam

Laurens Swinkels







The market portfolio plays a special role in asset pricing. Although many finance researchers use a U.S. equity portfolio to proxy for the market portfolio, theory usually dictates a broad, world portfolio that includes global equities, global real estate, commodities, and fixed income. In a new Review of Asset Pricing Studies paper, “Historical Returns of the Market Portfolio,” Ronald Doeswijk, Trevin Lam, and Laurens Swinkels introduce the best proxy for the global market portfolio to date. Since 1960, this portfolio has delivered a realized annual compound return (in U.S. dollars) of 4.45%.  Their index and its components may be downloaded for free.

Spotlight by Jeffrey Pontiff
Photos courtesy of Ronald Doeswijk, Trevin Lam, and Laurens Swinkels

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