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 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 systemic.
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, the shifting of investor preferences, and the growing accessibility of diverse asset classes.
As of March 2025, the size of the GMP has reached an all-time high of USD 191 trillion, showing that investors are putting more and more capital to work. Investors could be well served by using the GMP to re-evaluate 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.
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
The GMP equals the total market value of all investable capital assets.
Our investable asset framework tracks the GMP over time. We present its capital market values in US dollars and weightings as of March 2025, 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?
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.
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 we remove commodities that are typically transformed and processed within their specific value chain—usually by companies that have issued equity and fixed income securities.
We have decided to include gold within this portfolio because a significant portion of gold is held as a store of value.1 Indeed, we are interested in gold that central banks, sovereign wealth funds, institutions, and individual investors treat as a store of value and own for reserves and other strategic reasons.
Recent changes
Over the years, we have refined our framework as we have covered more markets and sub-asset classes. This year, we broadened our Middle East capital markets coverage due to the region’s growing importance as both a capital source and investment destination. We also added a special focus on gold.