@article {Reilly63, author = {Frank K. Reilly and David J. Wright}, title = {Analysis of Risk-Adjusted Performance of Global Market Assets}, volume = {30}, number = {3}, pages = {63--77}, year = {2004}, doi = {10.3905/jpm.2004.412321}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/30/3/63}, eprint = {https://jpm.pm-research.com/content/30/3/63.full.pdf}, journal = {The Journal of Portfolio Management} }