Statistik › Langfristige Renditen › Drawdown by equity weight
The Sharpe ratio peaks at 30 per cent equities, not at 60/40
| Equity weight | Standard deviation | Sharpe Ratio | Standard error | Max Drawdown |
|---|---|---|---|---|
| 0% | 5.88% | 0.34 | 0.040 | -12% |
| 10% | 5.68% | 0.42 | 0.041 | -9% |
| 20% | 5.88% | 0.46 | 0.041 | -9% |
| 30% | 6.44% | 0.48 | 0.041 | -13% |
| 40% | 7.29% | 0.47 | 0.041 | -18% |
| 50% | 8.33% | 0.46 | 0.041 | -24% |
| 60% | 9.51% | 0.44 | 0.041 | -30% |
| 70% | 10.77% | 0.42 | 0.041 | -36% |
| 80% | 12.09% | 0.41 | 0.041 | -41% |
| 90% | 13.46% | 0.39 | 0.040 | -46% |
| 100% | 14.85% | 0.38 | 0.040 | -51% |
Monthly US data from 1961 to 2016. S&P 500 total return, a synthetic constant maturity Treasury proxy, and the three month Treasury bill as cash. Standard errors are given for the Sharpe ratios and not for the drawdowns. Drawdowns are measured on month end data and therefore understate intra month troughs.
Across US equity and bond mixes in ten per cent steps from 1961 to 2016, the Sharpe ratio is highest at 30 per cent equities and the maximum drawdown rises from nine per cent there to fifty one per cent at full equity exposure.
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