Markets · Issue 02
2022 is the worst 60/40 since 1937. 2008 was kinder.
Damodaran S&P 60 / 10-year Treasury 40, calendar years. 1931 −27.3%. 1937 −20.7%. 2022 −18.0%. 2008 only −13.9%, because the 40% returned +20%. The worse equity year was not the worse mix.
- 011931S&P −43.8, bonds −2.627.3
- 021937S&P −35.3, bonds +1.420.7
- 032022S&P −18.0, bonds −17.818
- 041974S&P −25.9, bonds +2.014.7
- 052008S&P −36.6, bonds +20.113.9
- 061930S&P −25.1, bonds +4.513.3
- 072002S&P −22.0, bonds +15.17.10
- 081973S&P −14.3, bonds +3.77.10
- 60/40 in 2022, Damodaran splice
- −18.0%
- 1937, the prior modern low
- −20.7%
- 2008 — the hedge paid
- −13.9%
- S&P/Agg calendar (Marquette)
- −16.1%
The worse equity year was the better mix
2008’s S&P lost 36.6%. 2022’s lost 18.0%. A 60/40 of Damodaran’s two series lost 13.9% in 2008 and 18.0% in 2022. Read that twice. The 40% returned +20.1% in the depression of credit and −17.8% in the inflation of rates. Marquette’s version with the Aggregate, the index most models actually hold, is −16.1% calendar 2022 — still the neighbourhood of 1937, still worse than 2008 on this wall. Intra-year it was uglier: CNBC, 3 October 2022, 60/40 down 20% through 28 September. We do not promote Morningstar’s −25.1% onto this rank; that is a 150-year construction with a June 2025 recoup, and it is a different ruler.
1937 is the rhyme. 1931 is the other planet.
1931 is −27.3% and a banking collapse. 1937 is −20.7% with Treasuries barely positive — the last time, on this splice, that a 60/40 had a worse calendar than 2022. Alpha Architect, swapping in 20-year duration, puts 2022 at −20.3% and 1937 at −21%. Both rulers, one sentence: 2022 joined a list you can count on one hand. Callan, in May 2022, said calendar years with stocks and bonds both down had been 1931 and 1969. Vanguard has cited 1977. The discrepancy is a footnote. 2022 is not.
The long view is a mix that can sit in 2022
A 60/40 that can only survive 2008 is an unfinished product. Pair with When both fell. What would change this rank: a Damodaran year worse than −18 with the same two series. April 2025’s −18.9% equity correction is not a row — the year closed with stocks +17.8% and Treasuries +7.8%.
Investing lens
Horizon Full cycle · Educational, not advice
Stress-test the mix at 1937 and 2022, not at the average 60/40 year and not at 2008 alone. The 40% needs a job description for an inflation shock.
Where the map points
- A barbell 40%: cash and a smaller long-duration sleeve
- Rebalance rules that still fire when both legs are red
- Do not treat Marquette −16.1% and Morningstar −25.1% as one number
- Size gold as 1974 insurance, outside the 60/40
What can break it
- A 1931-shaped year this splice cannot fund
- A 2008-shaped year that makes the cash sleeve look timid
- Mixing calendar loss with peak-to-trough loss on the same bar
CHART does not recommend securities, funds or trades. Figures can be revised by their publishers. Do your own research and consider regulated advice before allocating capital.
Sources
Every headline number traces to a named publisher. Contextual sources inform the essay, not the key stat.
- 01PrimaryAswath Damodaran, NYU Stern2026-01Historical Returns on Stocks, Bonds and Bills: 1928–2025
Calendar total returns. 2022: S&P −18.04%, 10-year Treasuries −17.83%, T-bills +2.09%, Baa −15.23%, gold +0.55%, real estate +5.65%. 2008: S&P −36.55%, 10-year +20.10%, gold +4.32%. 2025: S&P +17.78%, 10-year +7.80%, gold +66.22%.
- 02PrimaryMarquette Associates2023-02The 60/40 Portfolio Revisited: Back from the Dead?
Calendar 2022: S&P −18.1%, Bloomberg US Agg −13.1%, 60/40 −16.1%. Full-year average stock–bond correlation +0.15 vs long-term −0.24. 90-day window a 20-year high.
- 03CorroboratedAlpha Architect2023-09-08Implications of Regime-Shifting Stock-Bond Correlation
2022: S&P −18.1% and 20-year Treasuries −26.1% produced a 20.3% 60/40 loss, second-worst after 1937 (−21%). Average corr. +0.35 (1970–1999), −0.31 (2000–2022).
- 04ContextualMorningstar2025The 60/40 Portfolio: A 150-Year Markets Stress Test
Their 60/40 declined 25.1% in 2022 and recouped the prior high in June 2025. Different construction from the Damodaran splice and from Marquette’s S&P/Agg mix — not plotted on the same bar.
- 05PrimaryHartford Funds / Ned Davis Research2025-0310 Things You Should Know About Bear Markets
S&P 500 close-to-close declines of 20% or more, 1929–2024. As of 31 Mar 2025. Average −35% across 20% episodes. Cycle depths (1929 −86%, 2008 −57%) are a different ruler, used on our crash bubble.
Keep reading
The year stocks and bonds occupied the same quadrant
Each bubble is a calendar year. X is Damodaran’s S&P total return. Y is his 10-year Treasury. Size is gold. 2008 is the upper-left hedge. 2022 sits on the 45-degree line, both down 18%.
−18.0 / −17.8
S&P and 10-year Treasuries, 2022
The same six assets. Two crashes. One of them changed jobs.
X is Damodaran’s 2008 calendar return. Y is 2022. Size is how far the job changed. Treasuries are the outlier: +20% in the GFC, −18% in the rate shock. The S&P just fell twice.
+20 → −18
10-year Treasuries, 2008 then 2022
Twelve months when the 40% fell with the 60%
SPY and TLT, month-end, indexed to 100 at December 2021. By October the stock fund was at 81, the long Treasury fund at 65. They did not take turns. Interactive Brokers last prints.
65
TLT in Oct 2022, Dec 2021 = 100
Five months, or twenty-two years
Months from the S&P 500 closing low back to the prior closing high. 2020: 5. 1982: 3. 2022: 15. 2008: 48. 1929: 267. Price only. Dividends would have you whole sooner. The newspaper would not.
48 mo
2009 low to 28 Mar 2013 high
The $348 trillion ledger
Private and public debt set a record in 2025. Sovereign debt is heading back to 100% of world GDP — earlier than the IMF thought.
$348 tn
Global debt stock, end-2025 (IIF)