The market portfolio, in theory, is a simple concept. Buy and hold everything in market-value weights. But the road from concept to implementation is rocky. Some asset classes are relatively illiquid and therefore difficult to own directly. There’s also debate about how to estimate weights. Minds, in other words, will differ on devising a market portfolio benchmark for use in investment analytics and/or real-world investing. And now there’s one more perspective to consider thanks to the arrival of a new entry in this niche: “Historical Returns of the Market Portfolio” by Ronald Doeswijk, an independent researcher, and two co-authors.

One of the paper’s selling points is the comparatively long history of the global market portfolio (GMP), as the authors label their index. With a start date of 1960, GMP provides a deeper historical window for profiling what is considered the gold standard of investment benchmarks.

Regular readers of The Capital Spectator know that a comparable effort at quantifying the market portfolio is a staple on these pages, including the monthly updates of the Global Market Index (GMI), an unmanaged benchmark that holds all the major asset classes in market-value weights. The limitation of GMI is that it only dates to 1997. GMP, by contrast, extends the history of Mr. Market’s portfolio by nearly four decades.

“Historical Returns of the Market Portfolio” is worth a close read, but as a teaser let’s pull out a few highlights, starting with the annualized return for the sample period. The authors report that GMP earned an annualized 8.4% for 1960-2015 – a handsome premium over GMI’s 5.6% for 1997 through June 2017. The implication: the market portfolio’s performance tends to be higher over longer periods relative to track record of the past 20 years.

What accounts for GMP’s higher return? Perhaps it’s due to design rules, which differ from GMI’s. GMP’s longer history may be a factor too.