We create an annual return index of the invested global multiasset market portfolio. We use a newly constructed unique data set covering the entire market of financial investors. We analyze returns and risk from 1960 to 2017, a period during which the market portfolio realized a compounded real return in U.S. dollars of 4.45%, with a standard deviation of annual returns of 11.2%. The compounded excess return was 3.39%. We publish these data on returns of the market portfolio, so they can be used for future asset pricing and corporate finance studies.

Additional Metadata
JEL Financial Markets and the Macroeconomy (jel E44), Portfolio Choice; Investment Decisions (jel G11), Asset Pricing (jel G12), Business Economics (jel M21), Financial Markets and Institutions: General, International, or Comparative (jel N20)
Persistent URL hdl.handle.net/1765/120124
Journal The Review of Asset Pricing Studies
Citation
Doeswijk, R.Q., Lam, T.W., & Swinkels, L.A.P. (2019). Historical returns of the market portfolio. The Review of Asset Pricing Studies, forthcomin. Retrieved from http://hdl.handle.net/1765/120124