June 16, 2017

THANKS GIPPER!:

Historical Returns of the Market Portfolio (Ronald Q. Doeswijk, Trevin Lam and Laurens Swinkels, June 1, 2017, SSRN)

Using a newly constructed unique dataset, this study is the first to document returns of the market portfolio for a long period and with a high level of detail. Our market portfolio basically contains all assets in which financial investors have invested. We analyze nominal, real, and excess return and risk characteristics of this global multi-asset market portfolio and the asset categories over the period 1960 to 2015. The global market portfolio realizes a compounded real return of 4.38% with a standard deviation of 11.6% from 1960 until 2015. In the inflationary period from 1960 to 1979, the compounded real return of the GMP is 2.27%, while this is 5.57% in the disinflationary period from 1980 to 2015. The reward for the average investor is a compounded return of 3.24%-points above the saver's. 

The deflationary epoch is the Golden Age.


Posted by at June 16, 2017 3:27 PM

  

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