The Test Bench › famous_system

Does The Classic 60/40 actually work?

MARGINAL

Real but small -- not worth what it costs to run.

The claim

60% stocks / 40% bonds = the safe, balanced default — Conventional 'balanced' wisdom

What we did

Tested against Buy & hold SPY / honest reconstruction.

The result

Result: +8.6%/yr, Sharpe 0.79, maxDD -31%, 2008 -17%, 2022 -16%

+8.6%/yr, Sharpe 0.79, maxDD -31%, 2008 -17%, 2022 -16%

Verdict

The 'balanced/safe' default bled in BOTH crises -- -17% in 2008 and -16% in 2022 -- with a -31% max drawdown. Fine in calm decades, but it delivers far less protection than its reputation exactly when you need it, in every kind of crisis.

What the test did and did not do

net of real costs
tested out of sample
point-in-time data
checked for look-ahead

Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.

Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.

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Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.