Specifically, the index is composed of ETFs and minor cash positions
tracking the performance of 11 asset classes.
In 1964, William Sharpe postulated that the market portfolio was the natural starting
point in portfolio construction. More than 50 years later and after three years of research,
Panthera Solutions, with the goal of providing a representative, broad-based benchmark
for multi-asset investing, developed a framework to measure the Global Capital Stock,
considering both financial and non-financial investable assets (Working Paper download:
here). The Global Capital Stock for investors is acting as an academically sound proxy for
the global market portfolio.
Their research has resulted in a global market portfolio organized into 11 asset classes,
each weighted in proportion to the respective market capitalizations. These include public
equities, government securities, financial institutions bonds, nonfinancial corporate
bonds, securitized loans, non-securitized loans, cash equivalents, cash, real estate, land
and private businesses. The components of the Solactive Panthera World Market
Portfolio Index are selected based on their ability to track as closely as possible each asset
class and represent the underlying market properly.
The Solactive Panthera World Market Portfolio Index can be used as a benchmark against
which to compare the performance of multi-asset portfolios. Equally, it can be employed
to analyse the relative performance of each asset class through time. In addition, it can act
as the parent index of active strategies or as the foundation on which to build investment
products such as ETFs.
Steffen Scheuble, CEO of Solactive, commented: “Most benchmark solutions for multiasset
strategies have typically focused on traditional financial assets, thus overlooking
non-financial ones. The consequence is a partial picture of asset holdings globally. In order
to fill the gap, Panthera Solutions and Solactive have come up with a proxy for the global
asset market taking into account both financial and alternative assets. This is captured by
the Solactive Panthera World Market Portfolio Index, which can be considered as one of
the most representative and least biased benchmarks for multi-asset investing in the
market so far.”
Markus Schuller, Managing Partner at Panthera Solutions, stated: “In recent years, multiasset
investing became increasingly popular. In Europe alone, more than 14.000 multiasset
funds are offered. Evaluating their asset allocation quality with traditional risk
measures or non-representative benchmarks has proven to be insufficient.
The Solactive
Panthera World Market Portfolio Index offers the very first representative benchmark for
multi-asset strategies as it is based on the Global Capital Stock.”
The Solactive Panthera World Market Portfolio Index is calculated as a price return, net
total return and gross total return index. The index is published in USD. As of the launch
date, the index was composed of 78 ETFs. The asset classes are represented by a minimum
of 2 ETFs up to 47. The weight of each asset class is proportional to the market
capitalization of other asset classes. Similarly, the weight of each ETF covering a specific
asset class is proportional to its market capitalization within that asset class. The index is
rebalanced monthly.
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