A 60/40 Portfolio’s Sharpe Ratio Performance

60/40 Portfolio’s Sharpe Ratio Performance

Over the last 30 years, the average Sharpe ratio of a traditional 60/40 portfolio has been 0.63. For the past 10 years, the Sharpe Ratio of the 60/40 portfolio has almost doubled that of its historical long-term mean. Investors need to decide whether it’s likely to maintain its elevated level for the next decade, or will it revert back towards the long-term average.

Download PDF >