Laurens Swinkels, Associate Professor of Finance at Erasmus School of Economics, and Ronald Doeswijk introduced new research to better determine a truer market portfolio. The Financial Times has dedicated an article to this research paper.
The new research by Doeswijk and Swinkels attempts to present a truer market portfolio and estimate all its aspects. The inspiring part about this paper is that the researchers use monthly pricing from 1970 to 2022. This is an improvement from their earlier papers that constructed a global market portfolio from annual data across 1990 – 2012 and 1960-2017. They have investigated the global market portfolio’s risk and reward characteristics over more than half a century. The struggle is finding out what the market portfolio looks like. This paper uses investable assets and weights them by market sizes. This is an imperfect solution, but as a broad measure of viable investment asset across the world this is fine.
The headline finding from the research paper is that the global market portfolio has generated excess returns of 0.3 per cent per month between 1970 and 2022. This does not come as a surprise, but what is interesting is the nuance that the monthly data gives.
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You can download the full article from Financial Times, 26 August 2024, above.
Laurens Swinkels is parttime Associate Professor of Finance at Erasmus School of Economics and Head of Quant Strategy at the Sustainable Multi-Asset Solutions team at Robeco. His area of expertise is empirical asset pricing. He teaches Finance courses and has published his academic work in peer-reviewed journals such as the Journal of Financial Economics. Prior to rejoining Robeco in 2016, he was a Researcher at Norges Bank Investment Management. He was a Researcher at Robeco from 2004 to 2012 and at PensionFactory and APG Asset Management from 1999 to 2004. He is member of the Research Committee of Inquire Europe. Laurens holds a PhD in Finance and a Master’s in Econometrics from Tilburg University.
