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.