An Epic Historical Performance Streak: Domestic 60/40
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.
- 60/40 = 60% SP500 and 40% LTR
- SP500 = S&P 500 total return
- LTR = 10-year treasury total return
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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Please remember that past performance is not an indicator of future results. Please read our full disclosures. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. This material has been provided to you solely for information and educational purposes and does not constitute an offer or solicitation of an offer or any advice or recommendation to purchase any securities or other financial instruments and may not be construed as such. The factual information set forth herein has been obtained or derived from sources believed by the author and Alpha Architect to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness, nor should the attached information serve as the basis of any investment decision. No part of this material may be reproduced in any form, or referred to in any other publication, without express written permission from Alpha Architect.
Definitions of common statistics used in our analysis are available here (towards the bottom)