Capital Markets - News and analysis

A new paper shows the global multi-asset market portfolio 1959-2011. It represents the views of the market crowd with respect to the pricing and value of all asset classes. In 2011, for the first time in the observation period, equities no longer outweigh government bonds.

Doeswijk, Ronald Q., Lam, Trevin W. and Swinkels, Laurens A. P., Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011 (November 2, 2012). Available at SSRN: http://ssrn.com/abstract=2170275

Abstract:

"The portfolio of the average investor contains important information for strategic asset allocation purposes. This portfolio shows the relative value of all assets according to the market crowd, which one could interpret as a benchmark or the optimal portfolio for the average investor. We determine the market values of equities, private equity, real estate, high yield bonds, emerging debt, non-government bonds, government bonds, inflation linked bonds, commodities, and hedge funds. For this range of assets, we estimate the invested global market portfolio for the period 1990-2011. For the main asset categories equities, real estate, non-government bonds and government bonds we extend the period to 1959-2011. To our understanding, we are the first to document the global multi-asset market portfolio at these levels of detail for such a long period of time." Source: SSRN

Keywords: Strategic Asset Allocation, Optimal Portfolio