%0 Journal Article %A Frank K. Reilly %A David J. Wright %T Analysis of Risk-Adjusted Performance of Global Market Assets %D 2004 %R 10.3905/jpm.2004.412321 %J The Journal of Portfolio Management %P 63-77 %V 30 %N 3 %X The broad set of 38 global capital market assets examined here includes U.S. and international stocks and bonds, real estate, commodities, and a composite index of global stocks and bonds. Relationships between returns and risk reported are consistent with theoretical expectations. The risk-adjusted performance measures indicate a wide range of performance for alternative assets. Rankings of alternative assets, though, depend on the specific risk-adjusted performance measure used. %U https://jpm.pm-research.com/content/iijpormgmt/30/3/63.full.pdf