AgPa #3: Measuring the World’s Assets (1/2)
The Global Market Portfolio (2021)
Gregory Gadzinski, Markus Schuller, Andrea Vacchino
The Journal of Portfolio Management 47(8), 151-163, URL
This week’s AGNOSTIC Paper attempts to translate an important theoretical concept into practice – the global market portfolio.
The global market portfolio captures all available assets and each is weighted by its market value. The authors develop two proxies for this portfolio and present some interesting insights:
- Global assets were worth about $667T in 2019
- The investable market portfolio returned 4.7% p.a. from 2005-2020/Q1
- The non-investable market portfolio returned 5.9% p.a. from 2005-2020/Q1