An Epic Historical Performance Streak: Domestic 60/40

/An Epic Historical Performance Streak: Domestic 60/40

An Epic Historical Performance Streak: Domestic 60/40

By | 2017-08-18T17:10:38+00:00 May 23rd, 2016|Uncategorized|2 Comments
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(Last Updated On: August 18, 2017)

US-centric 60/40 portfolios have knocked it out of the park since 2010. Nearly a 10 percent compound annual growth rate, less than a 7 percent worst drawdown, and a Sharpe ratio of 1.33 (see below).

This is a 6 -year performance run that the highest paid hedge fund managers in the world would drool over. Incredible.

The summary stats below run from 1/1/2010 to 12/31/2015. Results are gross of fees. All returns are total returns and include the reinvestment of distributions (e.g., dividends). Monthly rebalanced to 60/40 weights. 60% S&P 500 Total Return Index and 40% 10-year Treasury Bond Total Return index.

  1. 60/40 = 60% SP500 and 40% LTR
  2. SP500 = S&P 500 total return
  3. LTR = 10-year treasury total return

Summary statistics

60_40 is hot

The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.

Wow.

But let’s think about how this past performance might be currently influencing performance chasing fund flows…and of course, there is always the issue with long-term valuations…

As is always the case, who knows what the Market Gods will present, but the 5-10 year performance metrics for the domestic 60/40 buy-and-hold construct will be interesting out of sample.


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About the Author:

After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes, ETF.com, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.
  • Jacob Rothman

    Wes, I always appreciate your work, but I have to take issue with your non-literal use of the word “literally”. That aside, keep up the great work.

  • fixed.thx