Markets · Correlation
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%.
- S&P and 10-year Treasuries, 2022
- −18.0 / −17.8
- Treasuries in 2008, the hedge
- +20.1%
- 2022 stock–bond corr. (Marquette)
- +0.15
- Long-run corr. vs Agg (Marquette)
- −0.24
The upper-left is the product you thought you owned
Aswath Damodaran’s year-table is the boring splice: S&P 500 with dividends, a 10-year Treasury, gold. Plot stocks against bonds and the crash years fall into quadrants. 2008 is the picture in every 60/40 brochure — equities −36.6%, Treasuries +20.1%. 2000 and 2002 sit with it. The hedge is a demand shock: growth dies, the Fed eases, duration is the thing you sell to buy the low. 2022 is the other picture. Equities −18.0%, Treasuries −17.8%. Gold, the 1970s answer, printed +0.55%. That is not a rounding error in the mix. That is the mix failing as a mix.
Positive correlation is the 20th-century default
Marquette, wrapping S&P 500 against the Bloomberg US Aggregate: 2022’s average correlation was +0.15, against a long-run −0.24, and the 90-day window was a twenty-year high. MarketVector’s three-year rolling S&P vs 10-year peaked at +0.67 in December 2024. Molenaar and co-authors in the Financial Analysts Journal: US stock–bond correlation averaged +0.35 from 1970 to 1999 and −0.29 from 2000 to 2023. The negative era is what made 60/40 feel like physics. It was a low-inflation, Fed-put regime. 1973–74 on this wall is the ancestor of 2022 — stocks down, bonds barely up, gold doing the work (+73%, then +66%). 2025’s gold +66% is a price, not a crash. Pair with CAPE at 42: a high multiple is not a date.
The long view is a quadrant, not a slogan
Own a rule that still works when the bubble sits on the 45-degree line. Cash and short quality duration are the 2022 answer; gold is the 1974 answer; Treasuries are the 2008 answer. The error is to treat the last crash as the next one. April 2025’s tariff week took the S&P 18.9% off the February high and gave it back by June — a correction, a V, not a new point in the lower-left. What would change this page: a Damodaran year with stocks and 10-year Treasuries both down double-digits again. Until then 2022 is the modern occupant of a very small room.
Investing lens
Horizon Full cycle · Educational, not advice
A 60/40 is a bet that the next shock is a demand shock. Size a sleeve that still pays if it is an inflation shock instead — cash, short quality duration, a little gold — and do not let 2008’s +20% Treasury year be the stress test.
Where the map points
- A written playbook for the lower-left quadrant, not only the upper-left
- T-bills and two-year quality as the 2022 ballast
- Allocated gold sized for a 1970s tape, not as a 2022 saviour
- Avoid a 60/40 that is only 60/40
What can break it
- A 2008-shaped year that makes the extra ballast look late
- A further stretch of positive correlation that is the 1970s, not a year
- Treating 2025’s gold print as the hedge working in a crash
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.
- 03CorroboratedMarketVector2026-04-13The 60/40 Portfolio Is Dead. Long Live the 60/40.
Post-2000 3-year rolling S&P vs 10-year average −0.18; peaked +0.67 in December 2024. 1970s average +0.24. 2022 described as stocks and bonds drawing down together, worst 60/40 calendar since 1937 on their telling.
- 04PrimaryFinancial Analysts Journal (Molenaar et al.)2024The Stock-Bond Correlation
US stock–bond correlation averaged +0.35 (1970–1999) and −0.29 (2000–2023).
- 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
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
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
The deeper the crash, the longer the wait. Except twice.
S&P 500 price, peak to trough versus months from the low back to the old high. 1929 is a different animal. 2020 is the other exception: −34% and whole in five months. 2022 was −25% and fifteen. There is no 2026 crash on this wall.
5 mo
2020: trough to prior peak (price)
CAPE is 42. It has only been higher once.
Shiller via Multpl: January 2000 43.8, the record 44.2 in December 1999. 2 September 2026: 41.93. January 2009: 15.2. A high CAPE is not a crash date. 2007’s crash arrived from 27.
41.93
Shiller CAPE, 2 Sep 2026 (Multpl)