Markets · Correlation
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.
- 10-year Treasuries, 2008 then 2022
- +20 → −18
- S&P 2008
- −36.6%
- S&P 2022
- −18.0%
- Gold, 2022 — not the 1970s
- +0.6%
Treasuries applied for a different job
Read the axes as two crash tapes. 2008 on X, 2022 on Y. Anything on the 45-degree line did the same thing twice. The S&P is that line, down then down. T-bills are the origin, small and positive both years. Treasuries are the off-diagonal: the one asset whose job reversed. Damodaran’s 10-year returned +20.1% in 2008 and −17.8% in 2022. That single move is why a 60/40 of his two series lost 18.0% in 2022 and only 13.9% in 2008 — the worse equity year was the better mix, because the 40% paid.
Gold did not save 2022. Credit made it worse.
Gold is a 1974 story on the other wall. Here it is +4.3% and +0.55%. Baa corporates, Damodaran’s credit sleeve, went from a mild −3.4% in 2008 to −15.2% in 2022: investment-grade duration, not a 2008 default cycle. Housing in his table is residential property (+5.7% in 2022), which is not VNQ. Equity REITs took the duration hit. The investing sentence is narrower than a diversification poster: in an inflation shock the things that look like bonds behave like bonds, including the ones with a stock ticker.
The long view is two crashes in the sample, not a law
A sample of two is how you get surprised a third time. Size for both quadrants. What would change this page: a Damodaran year in which Treasuries again print +20 while the S&P prints −30. Until then the off-diagonal is the whole chart.
Investing lens
Horizon 5–15 years · Educational, not advice
Do not let the 40% be the same bet as the 60% when inflation is the shock. The asset that changed jobs is the one to size explicitly.
Where the map points
- Cash and short quality duration as a named sleeve
- Long Treasuries as a recession hedge, sized — not as the whole 40%
- Credit as equity-beta with a duration wrapper in a rate shock
- Gold as 1970s insurance, not as 2022 insurance
What can break it
- A 2008 rerun that punishes the cash sleeve
- A 2022 rerun that punishes the long bond
- Mixing Damodaran housing with REIT beta
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.
- 03PrimaryHartford 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
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
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
Minus 86, then 57, then 49. The modern crash is not 1929.
S&P 500 cycle drawdowns, price. 1929–32 −86.2%. 2007–09 −56.8%. 2000–02 −49.1%. 2020 −33.9%. 2022 −25.4%. Hartford’s 20% census averages −35%. That average is a slice, not the Depression.
−56.8%
GFC, 9 Oct 2007 – 9 Mar 2009
Gold’s year averaged $3,431. Two years earlier it was $1,800.
World Gold Council: LBMA annual average $1,800 in 2022, $2,386 in 2024, $3,431 in 2025 — up 44%, with 53 record highs. Q2 2026 printed $4,506. That is a quarter. It is not a year.
$3,431
LBMA annual average, 2025 (WGC)