Data: The Risk and Reward of Investing

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