Markets · Correlation
The 45-degree line is a 60/40 that did no work
X is Damodaran’s S&P calendar return. Y is 60% that S&P and 40% his 10-year. The dashed line is Y = X: the mix is the stock. 2008 sits far above it. 2022 sits on it.
- 2022 60/40 vs 100% S&P
- 0.08 pt
- 2008 mix versus the S&P
- +22.7 pt
- 2008 60/40, the better mix
- −13.9%
- 2022 60/40, the stock
- −18.0%
A mix that sits on Y = X is not a mix
The dashed line is the product you thought you did not own: 100% equities, wearing a 40% costume. 2022 is on it. Damodaran’s 60/40 of S&P and 10-year Treasuries printed −18.0%. The S&P printed −18.04%. Four hundredths of a point is not diversification. It is a rounding error. 2008 is the other geometry. Equities −36.6%, mix −13.9%. The 40% returned +20.1% and lifted the year by 23 points. That is the picture in every 60/40 brochure. It is also the picture 2022 retired.
Size is the job the 40% did
The disc is |60/40 − S&P|. Large means the Treasury sleeve changed the year. 2008 is the largest on this wall. 2002 and 1931 are the next. 2022 is almost invisible, which is the point — not a charting failure. 2000 is the quiet win: stocks −9%, mix +1.2%. 1973–74 are medium discs because bonds were barely up; gold, on the other wall, did the work. Marquette’s live-style S&P/Agg mix is −16.1% in calendar 2022, still in the neighbourhood of 1937, still worse than 2008. We do not promote it onto these axes. Same two series, every year.
The long view is a line you can fail
Own a 40% that can leave the dashed line. Cash and short quality duration are how 2022 would have left it. Long Treasuries are how 2008 did. What would change this page: a Damodaran year in which the mix again prints 20 points better than the S&P while the S&P is down double-digits. Until then 2022 is the occupant of the line.
Investing lens
Horizon Full cycle · Educational, not advice
Stress-test the mix at Y = X, not at 2008. If the 40% cannot leave the dashed line in an inflation shock, it is the same bet as the 60%.
Where the map points
- A barbell 40%: cash for 2022, a smaller long-duration sleeve for 2008
- Rebalance rules that still fire when both legs are red
- Do not treat a 60/40 tracking error of 0.08 points as a hedge
- Gold as 1974 insurance, outside the mix on this wall
What can break it
- A 2008-shaped year that makes the cash sleeve look timid
- A 2022-shaped year that makes the long bond look late
- Mixing Marquette −16.1% or Morningstar −25.1% onto this scatter
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.
- 03ContextualMorningstar2025The 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.
- 04CorroboratedAlpha 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).
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
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.
−18.0%
60/40 in 2022, Damodaran splice
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
Gold did the 1970s job. Not 2008’s. Not 2022’s.
X is Damodaran’s S&P. Y is his gold. 1973–74 sit in the upper-left, +73% then +66% while stocks fell. 2022 is −18% equities and +0.55% gold — a hedge that did not show up. 2025’s +66% is a bull year, not a crash.
+0.55%
Gold, Damodaran, calendar 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