Index Comparisons for Active Portfolio Performance

This research report presents a detailed analysis of the performance of active fund portfolios compared to blends of indices, specifically focusing on the 60/40 allocation model. The report utilizes data from S&P Dow Jones Indices' SPIVA Scorecards, which have tracked active fund performance since 2002. The findings indicate that 96.9% of 60/40 portfolios of active funds underperformed equivalent index blends over a ten-year period, often with increased volatility. The report discusses the methodology for selecting fund categories and the rationale behind the chosen allocations, emphasizing the importance of diversification in portfolio construction. It also addresses the challenges faced by managers in selecting and allocating funds effectively. The analysis includes a historical context for the 60/40 portfolio and examines various asset classes, including equities and fixed income, to provide insights into the dynamics of active versus passive investment strategies. The report concludes with reflections on the implications of these findings for institutional investors.