TY - JOUR T1 - Analysis of Risk-Adjusted Performance of Global Market Assets JF - The Journal of Portfolio Management SP - 63 LP - 77 DO - 10.3905/jpm.2004.412321 VL - 30 IS - 3 AU - Frank K. Reilly AU - David J. Wright Y1 - 2004/04/30 UR - https://pm-research.com/content/30/3/63.abstract N2 - 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. ER -