A Global Market Portfolio: Composition, Performance, and Replicability

This thesis examines the theoretical concept of the Global Market Portfolio (GMP) and proposes an updated estimate of its composition. Starting from the definition of the GMP as a portfolio including all available asset classes weighted by market capitalization, the study collects market value data from major financial sources such as MSCI, Bloomberg, and Barclays. After applying the necessary assumptions and simplifications, a global multi-asset portfolio is reconstructed and its evolution over time is analyzed, with particular attention to changes in asset class weights. OLS regressions are conducted to examine the factors associated with changes in asset class weights over time. The portfolio’s performance is then compared with common benchmarks, such as the traditional 60/40 portfolio. Finally, the thesis evaluates whether the GMP can be realistically replicated by investors and discusses the practical limitations involved.