What is the Global Market Portfolio?
We define the Global Market Portfolio (GMP) as the aggregate of all investable capital assets. As the sum of all holdings from the collective decisions of investors, issuers, suppliers, and demanders of capital, the GMP can be seen as a de facto proxy for the investable opportunity available to all investors globally.
What the Global Market Portfolio tells us
The Global Market Portfolio (GMP), a portfolio of all risky assets proportionally weighted by their market capitalization, continues to be a solid way for institutional investors to view the broad and growing slate of asset classes available in the marketplace. The GMP continues to show diversifying properties, as it holds all asset classes and therefore diversifies away all risk, except systematic. However, the biggest diversifiers and the highest sources of alpha in the portfolio have shifted significantly in recent years. The changing composition of the GMP reflects the evolving global investment landscape, shifting investor preferences, and the growing accessibility of diverse asset classes.
The size of the GMP reached another all-time high in March 2026, showing that investors are putting more and more capital to work and rate it dearly. Investors could be well served by re-evaluating which asset classes provide alpha, how certain risk premia can be harnessed, and which assets can be relied on for diversification to traditional equities.
A brief history
The idea of a global market portfolio was originally proposed by James Tobin in 1958 and subsequently refined by William Sharpe in 1964 to become a cornerstone of the modern portfolio theory.1
Because it includes all asset classes and securities, the GMP is exposed only to the systemic risks associated with its multi-asset components—and provides tangible diversification benefits to investors. This idea has shaped the asset management industry, playing a crucial role in the formation of concepts of asset allocation and the Capital Asset Pricing Model.
In 2014, an important research article presented the methodology for a Global Multi-Asset Market Portfolio, an aggregate portfolio of the market as a whole, containing all types of investable assets available globally. What was at the beginning a cornerstone of the Modern Portfolio Theory over time became a tangible investment reality: Over 90% of the aggregate market portfolio’s exposure and composition can now be accessed by all categories of investors using easily tradable financial instruments and exchange-traded products.
Constructing the Global Market Portfolio
We define the GMP as the aggregate of all investable capital assets. This equals the total investable market value of all these assets. The portfolio weight of an asset is determined by dividing the asset’s market value by the total market value of all assets within the portfolio.
Our investable asset framework tracks the GMP over time. We present its capital market values in US dollars and weightings as of March 2026, along with expected risk–return profiles for various horizons. Additionally, we analyze each asset class’s contribution to the GMP’s risk (variance) and highlight its diversification benefits.
What’s in the Global Market Portfolio?
In our framework, we use broad indexes to obtain the invested market capitalizations for different asset classes. However, we exclude cash—as highlighted above—and remove commodities that are typically transformed and processed within their specific value chain, typically by companies who have issued equity and fixed income securities.
We have decided to include gold within this portfolio as a significant portion of gold is held as a store of value.2 Indeed, we are interested in gold that central banks, sovereign wealth funds, institutions and individual investors treat as a store of value and owns for reserves and other strategic reasons.
Over the years, we have refined our framework, as we covered more markets and sub-asset-classes.
This year, we continue our coverage of Middle East capital markets due to their growing importance as both a capital source and investment destination, and add a special focus on gold, private markets and cryptocurrencies.
The GMP provides exposure to a broad set of global asset classes and market factors, in particular equity risk premia, interest rate term premia, credit risk premia and, to a lesser extent, liquidity risk premia through the existence of less liquid assets. We acknowledge the strategic importance of cash and short-term money-market securities, but we deliberately exclude such assets from our framework to focus on assets that are expected to deliver risk premia over a risk-free asset such as cash.