Historical Returns of the Market Portfolio
构建了全球多资产市场组合的年度回报指数，利用1960至2017年的独特数据集，发现市场组合实际复合年回报率为4.45%，超额回报为3.39%，数据可供资产定价和公司金融研究使用。
Abstract We create an annual return index for 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. Received March 4, 2019; editorial decision October 9, 2019 by Editor Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.