SPIVA® 60/40主动型投资组合与指数混合表现研究报告

Joseph Nelesenjoseph.nelesen@spglobal.com 2002S&P DJISPIVA®60/4096.9%101 Tim Edwardstim.edwards@spglobal.com CRSP202412311,00060/4060/40 on.spdji.com/SignUpSC 1.32.33.74.125.156.197.24 1. SPIVA1 SPIVA SPIVA 60/402 2. 60/4060/40703 2080Rolf BanzEugene FamaKennethFrench19924SPIVA 5(IFC)SPIVA Markowitz(MPT)Sharpe2060(CAPM)(CML)67207080820909SPIVA 60/402014123110 2 60/4010%90%(10/90)90%10%(90/10)3 3. SPIVA201412312024123110SPIVA202410 2014123160/4031.5%210/10/9090/10100,000900,000 202412120 SPIVA10SPIVA20244 10105/101.73.0 50%31%49%99%11 1010126/ 10/9090/101011,00060/4096.9%60/407 810/9090/10100,0001094.6% 10SPIVA91010/9060/4090/10 201513 4. 91010 160/40111214 CRSP20241231 5. SPIVA100,000201412315(Top-Q)1560/4013Top-Q 15201412315SPIVA 14Top-Q90% 15Top-Q 1415Top-Q10/90Top-Q2.1%(2.2%)5.8%7.2%Top-Q Top-Q1660/40Top-Q1.9%1.7%Top-Q3.5%5.4% Top-Q5Top-Q SPIVA20091220141218%1078% 9Top-Q60/4017Top-Q Top-Q1090% 6. 101819 10 201.1%0.9%0.8% 1060/4021 7. SPIVA 1.2./3.4. 5.+ 16 60/401959x 5=45100,000221 CRSP/20241231 CRSP/20241231 ©2026S&PS&P 500500SPXSPY500(The 500)US500 US30S&P 100100S&P COMPOSITE 15001500S&P 400400S&P MIDCAP 400400S&P 600600S&P SMALLCAP 600600S&P GIVIGIVIGLOBAL TITANSDIVIDEND ARISTOCRATSDIVIDEND MONARCHSBUYBACK ARISTOCRATSSELECT SECTORS&P MAESTROMAESTROS&P PRISMPRISMS&P STRIDESTRIDEGICSSPIVASPDRINDEXOLOGYiTraxxiBoxxABXADBICDX CMBX LCDX MBX MCDX PRIMEX TABX HHPI IRXX I-SYND SOVX CRITSCRITRDOW JONESDJIATHE DOWDOW JONESINDUSTRIAL AVERAGE 19401577k(a) (GICS®)MSCIMSCIMSCIGICSMSCIGICS / http://www.spglobal.com/spdji/zh// 20135312013531 ESGESGESG //101210%11.5%1,6508.35%8,3501.5%10%33.10%5,37527.2%27,200