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.

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The Review of Asset Pricing Studies

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