Markets · Correlation
The 40% saved 23 points in 2008. In 2022 it saved none.
Same Damodaran splice: 0.4 × (10-year − S&P). 2008 the mix beat 100% equities by 22.7 points. 2022 by 0.1. The milder equity year was the worse product. Ranked smallest first.
- 012008The brochure year22.7
- 021931Banking collapse16.5
- 032002Bonds +15%14.8
- 041937Prior modern 60/40 low14.7
- 051930S&P −25.1, 10y +4.511.8
- 061974S&P −25.9, 10y +2.011.2
- 072000Mix finished +1.2%10.3
- 081973S&P −14.3, 10y +3.77.20
- 091969S&P −8.2, 10y −5.01.30
- 102022S&P −18.0, 10y −17.80.10
- 60/40 vs 100% S&P, 2022
- 0.1 pp
- 2008, the brochure year
- 22.7 pp
- 1969, the ancestor
- 1.3 pp
- T-bills, 2022 — the ballast
- +2.09%
The mix’s job is not the mix’s loss
Sixty-forty the exception ranks how far the product fell. This ranks whether the 40% did any work. 2022’s S&P lost 18.0%. The mix lost 18.0%. Four-tenths of a Treasury-minus-equity spread is 0.1 points — a rounding error wearing a diversification costume. 2008’s S&P lost 36.6%. The mix lost 13.9%. Duration paid +20.1% and lifted the year by 22.7 points. The worse equity year was the better product. That is the whole chart.
1969 is the ancestor. Cash was the 2022 ballast.
Damodaran, January 2023: only five calendar years in 1928–2022 had stocks and 10-year Treasuries both negative, and only 2022 had both worse than −10%. 1969 is the other both-red year that shows up as a bar: hedge 1.3 points. 1941 and 2018 are the near-misses, not crash rows. T-bills printed +2.09% in 2022 and +1.40% in 2008. Cash, not the 40%, was 2022’s ballast. Marquette’s live-style S&P/Agg hedge is 2.0 points that year — still a shrug, and a different bond. Alpha Architect’s 20-year mix made the 40% a cost. We print Damodaran’s 10-year so every year on this wall uses the same two series.
The long view is a 40% that can print 23 points
Own a sleeve that can leave 0.1. Pair with The mix versus the stock, the scatter. What would change this rank: a Damodaran year in which the 10-year again beats the S&P by fifty points while the S&P is down double-digits. Until then 2022 is the lead bar, and that is the insult.
Investing lens
Horizon Full cycle · Educational, not advice
Stress-test the 40% at 0.1 points of rescue, not at 22.7. If duration cannot leave the origin in an inflation shock, it is the same bet as the 60%.
Where the map points
- Cash and short quality duration as the 2022 ballast
- Long Treasuries as a named 2008 sleeve, not the whole 40%
- Do not treat Marquette 2.0 pp as Damodaran 0.1
- Rebalance rules that still fire when both legs are red
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 Callan’s Ibbotson/Agg ‘two years’ with this 10-year splice
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%.
- 02PrimaryAswath Damodaran2023-01-31Data Update 3 for 2023: Interest Rates, Inflation and Bond Returns
Only five calendar years 1928–2022 had stocks and 10-year Treasuries both negative; only 2022 had both worse than −10%. 2022 inflation 6.42%; real 10-year −22.79%. The T-bond year was the worst annual return, nominal and real, in 1928–2022 on his table.
- 03PrimaryMarquette 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.
- 04ContextualCallan2022-05Stock and Bond Declines
Ibbotson/Bloomberg Agg splice: only two calendar years with stocks and bonds both down, 1931 and 1969 (near-miss 2018). A different bond than Damodaran’s 10-year — 1941 and 2018 appear on Damodaran, not as Callan crash years. Not plotted on the Damodaran rank.
- 05CorroboratedAlpha 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 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.
0.08 pt
2022 60/40 vs 100% S&P
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 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