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1、 Joseph Nelesen Tim Edwards 2002 S&P DJI SPIVA 60/40 96.9%10 1 160/40 CRSP 2024 12 31 1,000 60/40 60/40 60/40 Active Portfolios60/40 Index Blend0%1%2%3%4%5%6%7%8%9%6%7%8%9%10%11%12%13%10 10 60/40 60/40 2025 12 2 1.3 2.3 3.7 4.12 5.15 6.19 7.24 2025 12 3 1.SPIVA 1 SPIVA SPIVA 60/40 2 2.1 Richard Ferr

2、i Alex Benke 2013 2 60/40 60/40 2025 12 4 60/40 60/40 70 3 20 80 Rolf Banz Eugene Fama Kenneth French 1992 4 SPIVA 5(IFC)SPIVA 3 Harry M.Markowitz 7 1 77-91 1952 3 (MPT)60/40 Harry Markowitz William Sharpe 50%60%40%4 Rolf W.Banz 9 1 3-18 1981 2 2 Eugene F.Fama Kenneth R.French 47 2 427-65 1992 5 Hai

3、m Levy Marshall Sarnat 60 4 668-75 1970 Herbert G.Grubel 58 5 1299-314 1968 Geert Bekaert 107-73 1998 2025 12 5 Markowitz (MPT)Sharpe 20 60 (CAPM)(CML)67 20 70 80 8 20 90 9 SPIVA 60/40 2014 12 31 10 2 6 William F.Sharpe 19 3 425-42 1964 7 W.Braddock Hickman1958 8 Marshall E.Blume Donald B.Keim 43 4

4、26-66 1987 9 William L.Nemerever1996 Sandeep Dahiya 6 5 45-60 1997 12 Charles Froland 2 3 84-99 1998 2025 12 6 260/40 CRSP 2024 12 31 60/40 10%90%(10/90)90%10%(90/10)3 3 /(%)10/90 20/80 30/70 40/60 50/50 60/40 70/30 80/20 90/10 500 5.25 10.50 15.75 21.00 26.25 31.50 36.75 42.00 47.25 400 0.42 0.83 1

5、.25 1.67 2.08 2.50 2.92 3.33 3.75 600 0.17 0.33 0.50 0.67 0.83 1.00 1.17 1.33 1.50 3.58 7.17 10.75 14.33 17.92 21.50 25.08 28.67 32.25 /IFCI 0.58 1.17 1.75 2.33 2.92 3.50 4.08 4.67 5.25 iBoxx 50.63 45.00 39.38 33.75 28.13 22.50 16.88 11.25 5.63 iBoxx 27.00 24.00 21.00 18.00 15.00 12.00 9.00 6.00 3.0

6、0 Large-Cap Core-S&P 500,31%Mid-Cap Core-S&P 400,2%Small-Cap Core-S&P 600,1%International-S&P World ex-U.S.,21%Emerging Markets-S&P/IFCI Composite,4%General Government-iBoxx USD Domestic Sovereigns&Sub-sovereigns,23%General Investment Grade-iBoxx$Liquid Investment Grade,12%High Yield-iBoxx$Liquid Hi