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Data: The Risk and Reward of Investing

dataset
posted on 2024-03-15, 10:42 authored by Ronald Q. Doeswijk, Laurens SwinkelsLaurens Swinkels

We examine the risk and reward of investing by constructing a uniquely comprehensive
market portfolio of $150 trillion worth of global assets that financial investors have invested
in, spanning the period 1970-2022 at the monthly frequency. This monthly frequency allows
us to more accurately estimate the risks involved with investing. Even though the Sharpe
ratio of the global market portfolio is not much higher than that of equities, it is much more
stable over time. Moreover, drawdowns of the global market portfolio are less deep and
shorter. When the market portfolio is expressed in other currencies than the U.S. dollar,
risks of investing appear larger.

History

Encoding format

  • ODS

Content size

430 KB

Conditions of access

  • Open access

Language

English

Temporal coverage

1969-12-1/2022-12-31

Spatial coverage

Worldwide

Universe

Global Assets

Analysis unit

Financial Investors

Usage metrics

    Erasmus School of Economics

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