Friday, April 18, 2014

The global multi-asset portfolio (paper)

The global multi-asset market portfolio contains important information for strategic asset-allocation purposes. First, it shows the relative value of all asset classes according to the global financial investment community, which one could interpret as a natural benchmark for financial investors. Second, this portfolio may also serve as the starting point for investors who use a framework in the spirit of Black and Litterman (1992), or for investors who follow adaptive asset-allocation policies as advocated by Sharpe (2010). We estimate the invested global market portfolio for the period 1990-2012 by estimating the market capitalization for the eight asset classes: equities, private equity, real estate, high-yield bonds, emerging-market debt, investment-grade credits, government bonds and inflation-linked bonds. For the main asset categories - equities, real estate, non-government bonds and government bonds - we extend the period to 1959-2012. We provide these annual historical estimates in tabular form so that practitioners and academics can easily use these historical data going forward. To our knowledge, we are the first to document the global multi-asset market portfolio at these levels of detail for such a long period of time.


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Lunch is for wimps

Lunch is for wimps
It's not a question of enough, pal. It's a zero sum game, somebody wins, somebody loses. Money itself isn't lost or made, it's simply transferred from one perception to another.