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α: calibrated so average coauthorship-adjusted count equals average raw count
We examine the risks and rewards of investing by constructing a comprehensive market portfolio valued at $150 trillion in global assets and spanning 1970–2022 at a monthly frequency. The monthly frequency allows for a more accurate estimate of investment risks compared to previous studies. Although the Sharpe ratio of the global market portfolio is not much higher than that of equities, it is much more stable over time. In addition, the drawdowns of the global market portfolio are less deep and shorter. When the market portfolio is expressed in currencies other than the U.S. dollar, risks of investing appear larger.