The article discusses how the CAPM theory has influenced investment strategies, particularly in defining market portfolios for stocks and bonds. While equity and fixed-income market portfolios are easily defined using indexes, creating portfolios for both asset classes is more complex. The authors show how to compute such a multi-asset market portfolio and analyze its specifics across different countries and regions over the past thirty years. They also explore how the portfolio's dynamics can provide insights into the risk premiums of stocks and bonds. Additionally, the market portfolio can be used to benchmark diversified funds and understand long-term investment strategies.