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Overview / Strategies / 60/40 stocks/bonds
Baseline · family benchmark

60/40 stocks/bonds

Baseline  A well-known reference strategy. Not a candidate: it sets the bar new ideas must clear.

Validation Sharpe1.09train 0.55
Validation CAGR11.9%train 6.6%
Max drawdown-18.9%train -32.5%
Correlation to 60/401.00validation
Deflated Sharpe99%discounted for 2 trials
PerformanceHow it works

Performance

Backtest after costs. Train is where the idea was developed; validation is where it was judged.

Growth of $160/40 stocks/bondsSPY
trainvalidation$0.5$1$1.5$2.5$4200820102012201420162018202060/40 stocks/bonds60/40 stocks/bo… $3.49SPYSPY $4.51
Drawdown from peak60/40 stocks/bondsSPY
-40%-20%0%60/40 stocks/bonds-32% (Mar 2009)SPY2008201020122014201620182020
Calendar-year returns60/40 stocks/bonds
-20%0%20%2007 60/40 stocks/bonds: +7.5%’072008 60/40 stocks/bonds: -17.9%’082009 60/40 stocks/bonds: +12.8%’092010 60/40 stocks/bonds: +13.5%’102011 60/40 stocks/bonds: +7.7%’112012 60/40 stocks/bonds: +11.2%’122013 60/40 stocks/bonds: +15.6%’132014 60/40 stocks/bonds: +11.8%’142015 60/40 stocks/bonds: +1.7%’152016 60/40 stocks/bonds: +7.7%’162017 60/40 stocks/bonds: +13.7%’172018 60/40 stocks/bonds: -2.0%’182019 60/40 stocks/bonds: +22.0%’192020 60/40 stocks/bonds: +16.4%’202021 60/40 stocks/bonds: +15.0%’21
MetricTrain 2007–15Validation 2016–21
CAGR6.6%11.9%
Volatility11.6%9.9%
Sharpe0.551.09
Sortino0.701.22
Max drawdown-32.5%-18.9%
Calmar0.200.63
Worst month-10.3%-6.0%
Months up61%76%
Turnover / yr0.2×0.2×
Avg gross exposure1.00×1.00×
Correlation to SPY0.970.98
Correlation to 60/401.001.00
Beta to SPY0.520.54

Average holdings

SPYUS large-cap equities60.1%
IEFUS Treasuries 7–10y39.9%

How it works

60% US stocks (SPY) / 40% Treasuries (IEF), rebalanced monthly — the classic balanced portfolio.