Practical analysis for investment professionals
20 May 2014

Mapping the Global Market Portfolio (Podcast)

In 2012, global investments comprised $91 trillion across a wide array of asset classes. But when clients at Robeco asked how their portfolios matched up against the market portfolio, Chief Strategist Ronald Doeswijk found that “there was hardly any research available about the global multi-asset market portfolio.” He and his co-authors, Trevin Lam, CFA, and Laurens Swinkels, decided to investigate. The article detailing their findings, “The Global Multi-Asset Market Portfolio, 1959–2012,” appears in the March/April 2014 issue of the Financial Analysts Journal. We talked with Doeswijk about his research as part of our ongoing FAJ author interview series.

Doeswijk says that he and his team agree with William F. Sharpe’s conclusion in his May/June 2010 FAJ article, “Adaptive Asset Allocation Policies,” in which Sharpe said that he “cannot easily understand why funds do not routinely compare their asset allocations with current market proportions.” Doeswijk echoes that sentiment: “Although I think this is not necessarily the best portfolio, it serves as a good benchmark that every asset allocator should keep in the back of his mind.”

CFA Institute has made the researchers’ raw data available on the FAJ website, and Doeswijk is optimistic about what the finance community can do with it. “Obviously, we hope that our research contains helpful information to determine multi-asset benchmarks. . . . We also hope this article sparks new applications, both theoretical and empirical.”

To hear the rest of Doeswijk’s thoughts on his team’s research, listen to the full interview (above) or download the MP3.

CFA Institute members can access both the full journal article and the raw data (in spreadsheet form) on the CFA Publications website.

Please note that the content of this site should not be construed as investment advice, nor do the opinions expressed necessarily reflect the views of CFA Institute.

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About the Author(s)
Pat Light

Pat Light was an assistant editor at CFA Institute. Before joining the CFA Institute editorial staff, he worked as a teacher. Light has a bachelor's degree in English from Duke University.

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