Global 60/40 versus Domestic 60/40

Global 60/40 versus Domestic 60/40

September 23, 2015 Tactical Asset Allocation Research
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(Last Updated On: September 23, 2015)

The Harvard Management Company report was recently released here. h.t. Tom for pointing out.

The biggest surprise was the spread in returns between the global 60/40 portfolio and the domestic 60/40 portfolio:

global 60_40 and domestic 60_40

An 8.5% spread is quite large…


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Definitions of common statistics used in our analysis are available here (towards the bottom)




About the Author

Wesley R. Gray, Ph.D.

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.


  • Tyler Cruickshank

    Geesh. That is a discouraging finding for world diversification. What do you, AA, think about the findings?

  • Mark

    majority of the spread is due to the strength of USD!

  • If your goal is preservation of capital as a primary concern, I think you still hold a globally diversified portfolio…

  • Chris

    Well, if you are globally diversified, you are always going to “miss out on” riding the best asset class, which is pretty much what the U.S. 60/40 has been lately. But as a result, a lot of this outperformance doesn’t look sustainable for the next 20 years, given how highly valued the assets in the U.S. 60/40 are right now.

    As so often seems to happen in the investment world, I wouldn’t be surprised if the outperformance of the U.S. in the last 20 years (and even moreso over the last 1 and 5 years) portends to mean reversion over the next 20.