PT - JOURNAL ARTICLE AU - Frank K. Reilly AU - David J. Wright TI - Analysis of Risk-Adjusted Performance of Global Market Assets AID - 10.3905/jpm.2004.412321 DP - 2004 Apr 30 TA - The Journal of Portfolio Management PG - 63--77 VI - 30 IP - 3 4099 - https://pm-research.com/content/30/3/63.short 4100 - https://pm-research.com/content/30/3/63.full AB - 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.