The global market portfolio is diversified across liquid asset classes and geographical regions. It can be implemented using low-cost passive mutual funds or exchange-traded funds.Passive investing How to actually combine different asset classes remains an open question. The textbook approach of weighting asset classes by market capitalisation is critically assessed and alternatives such as fixed weights (“60/40”) and GDP-based weights are discussed.Weights, fixed What they all have in common is that they do not take into account political and economic developments. In response, we present a novel approach that takes into account institutional consensus expectations on the performance of different asset classes to construct a global market portfolio, guided by empirical evidence.