Data · dataset · 2025
Data: The Risk and Reward of Investing
Listed in IISH Dataverse
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.
Description
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.
Links
Where it is published
- Dataverse dataset page dataverse.nl/dataset.xhtml?persistentId=doi%3A10.34894%2FGSS4PM ↗
landing page · from datasets iisg amsterdam
- DOI doi.org/10.34894/gss4pm ↗
DOI / persistent id · from datasets iisg amsterdam
Catalogue records · 1
- Dataverse API dataverse.nl/api/datasets/:persistentId/?persistentId=doi%3A10.34894%2FGSS4… ↗
metadata API · from datasets iisg amsterdam
Topics
- Stated by source
- Other
- From keywords
- Economics & Finance
- Inferred from text
- Banking, finance and investment 75%
Provenance · 1 source records, 9 field assertions
| Source | Key | Last seen | Raw |
|---|---|---|---|
| IISH Dataverse | doi:10.34894/GSS4PM | 11 d ago | JSON v1 |
| Field | Assertion | Extractor | Evidence |
|---|---|---|---|
| concepts[field].anzsrc:group:3502 | enrichment · datasets iisg amsterdam | taxonomy-embedding@1.1.0 | title+keywords+description (75%) |
| concepts[field].dataverse_subject:other | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | /subjects |
| concepts[field].local:field:economics-finance | mapping · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | /subjects |
| created_date | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | |
| description | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | /description |
| publication_date | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | |
| title | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | /name |
| updated_date | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 | |
| version_label | source · datasets iisg amsterdam | connector:datasets_iisg_amsterdam@1.0.0 |