The Global Market Portfolio

It is with great pleasure and honor to announce that our research on creating the most accurate Global Market Portfolio is published in the current summer issue of the Journal of Portfolio Management.

The Journal of Portfolio Management is one of the best academic journals targeted to finance professionals (A-ranked). The research of Gregory Gadzinski PhD, Andrea Vacchino and Dr. Markus Schuller also marks the continuous commitment at Panthera Solutions to translate world class research into practical solutions for professional investors.


Three years after the global capital stock of Gadzinski, Schuller, and Vacchino (2018) and 36 years after the world market wealth portfolio of Ibbotson, Siegel, and Love (1985), investors still lack a global composite portfolio benchmark that includes a broad spectrum of assets with weights in line with a fair representation of the stock of capital for each asset class.


Despite ample evidence of the substantial use of alternatives and real assets in institutional portfolios, we argue that existing academic and practitioner attempts are still unable to provide a satisfactory approximation of the “true” global market portfolio. We fill this gap and provide two benchmarks: one for retail investors constrained by liquidity needs and one for institutional investors who have access to illiquid assets.


  • We provide two global market portfolio benchmarks, for retail and institutional investors, based on a measurable global capital stock, which include 87 existing indices within 11 asset classes.
  • Our investable global market portfolio is built with ETFs only, therefore transparent and systematic. The total return index realizes a compounded annual average return of 4.7%, with a standard deviation of 10.1% during the period 2005 Q1–2020 Q2.
  • Our non-investable global market portfolio realizes a compounded average return of 5.9%, with a standard deviation of 6.3% and a maximum cumulative drawdown of 20%. Thanks to a better allocation of resources toward real assets, diversification is then achieved and makes our total return index an efficient long-term portfolio benchmark.