#SAVINGS & FINANCIAL PRODUCTS
In 2022 US equities lost 19.44%. The sleeve meant to cushion the blow — the ten-year US Treasury — lost 16.26%. Both halves of the portfolio fell together.
Published on September 1, 2026
The calculation is reproducible on a single official series, the ten-year yield published by the Federal Reserve (H.15). An investor buys at par, on 31 December 2021, a ten-year Treasury at that day's yield, 1.52%. A year later nine years remain and the market demands 3.88%: discounting the remaining cash flows, the bond is worth 17.78% less. The 1.52% coupon received brings the loss to 16.26%. The S&P 500 loses 19.44% over the same year, in price terms. A 60/40 portfolio therefore falls 18.17% — the exact opposite of what it is meant to do. In the two previous crashes, the bond sleeve did its job: +18.55% in 2008, +10.45% in 2020.
Do government bonds protect a portfolio when equities fall?
Often, but not always. When the equity fall is driven by rising interest rates, both sleeves fall together — which is what happened in 2022.
In other words: bond protection depends on the cause of the crash, not on the crash itself.
Five caveats, because they matter
- The calculation covers a single ten-year bond, not a full bond index. A diversified fund, of shorter duration, mechanically lost less: the loss depends on duration, and ten years is a long duration.
- The 19.44% for the S&P 500 is a price return, excluding dividends. Adding them back, the 2022 equity loss is slightly lighter, and the gap with bonds narrows further.
- The bond is assumed bought at par, with a coupon equal to that day's yield, and sold a year later: that is a calculation convention, not a real trade. A holder who keeps it to maturity realises none of these losses.
- 2022 is a special case, not the rule: the equity-bond correlation stayed negative through most of the previous twenty years. What the figure shows is that this correlation is not a law.
- Everything is in dollars and on the US market. The timing of European rates differs, even if the 2022 move was of the same nature.
Why it still matters: a 60/40 portfolio is not a hedged portfolio: it is diversified for as long as rates do not rise.
For you
- When the bond sleeve is presented as the "safe" part of a portfolio, safe against what exactly?
- If both halves can fall together, over what horizon does your allocation actually hold?
Source: reproducible Ze Finance calculation on the ten-year US Treasury constant maturity rate published by the Federal Reserve (series DGS10, H.15 Selected Interest Rates) and on S&P 500 closing levels — discounted cash flow valuation, semi-annual convention.
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