Classic 60/40 (as SPY/cash): does it still work? Replicated through 2026
We re-ran it on S&P 500 from 2010-01-04 to 2026-11-10 (16.8 years, before costs): +8.5% a year, Sharpe 0.86, worst drawdown -20.6%. The benchmark, S&P 500 buy-and-hold, did +13.8% a year (Sharpe 0.85, worst drawdown -33.7%).
Verdict: About the same risk-adjusted return as its benchmark. Historical, hypothetical results before costs, taxes and fees. Not investment advice.
This is our adapted version, not the real portfolio or fund. Read what is lost before comparing it with anything published about the original.
What is lost
- The whole 40% bond sleeve is cash earning 0%: no coupon income, no price gains in equity sell-offs.
- This is NOT a real 60/40; it is a 60% equity, 40% cash mix.
40% of the original allocation is government bonds. We have no bond data, so that 40% is held as cash earning 0%.
What this means: no coupon income, no price gains when yields fall or stocks crash, and none of the losses bonds had when yields rose (2022). Read the results as the non-bond part plus idle cash. The real portfolio would have done differently, better in some years and worse in others.
Where it comes from
The default balanced benchmark that most pension and advisor portfolios are measured against.
Rules, weights and thresholds are given as commonly cited. We have not re-checked them against the primary text.
The original rules
60% equities and 40% bonds, rebalanced periodically (annually or quarterly).
How we replicate it
What we changed
Clearly labelled substitute: the 40% bond sleeve is cash at 0%, so this is effectively a 60% equity exposure with no bond diversification or income.
The exact rule we run
Buy 60% SPY and keep 40% in cash (0%). Rebalance at the last close of each year.
Target weights: 60.0% S&P 500, 40.0% Cash (0%).
Conventions: Position decided at a close earns the next day's return; no look-ahead; before costs; cash earns 0%; starts 2010-01-04, when all its assets have data; weights drift between rebalances (annually); rebalanced at the last close of the period.
Growth of 1 vs the benchmark
Benchmark: S&P 500 buy-and-hold, same period. Bought on the first day and held.
Drawdown from the previous peak
Key numbers
Sample: 2010-01-04 to 2026-11-10, 16.8 years, 4240 daily observations. Annualised from the number of observations per year of the strategy's own calendar. Before costs.
Recent and full-period returns
| Period | Replica | Benchmark |
|---|---|---|
| Last month | -2.3% | -3.7% |
| Last year | +6.7% | +11.2% |
| Last 5 years | +42.2% | +72.9% |
| Whole period (cumulative) | +295.1% | +788.9% |
Calendar-year returns
| Year | Replica | Benchmark | Replica minus benchmark |
|---|---|---|---|
| 2026* | +6.5% | +10.8% | -4.3% |
| 2025 | +10.6% | +17.7% | -7.1% |
| 2024 | +14.9% | +24.9% | -10.0% |
| 2023 | +15.7% | +26.2% | -10.5% |
| 2022 | -10.9% | -18.2% | +7.3% |
| 2021 | +17.2% | +28.7% | -11.5% |
| 2020 | +11.0% | +18.3% | -7.3% |
| 2019 | +18.7% | +31.2% | -12.5% |
| 2018 | -2.7% | -4.6% | +1.8% |
| 2017 | +13.0% | +21.7% | -8.7% |
| 2016 | +7.2% | +12.0% | -4.8% |
| 2015 | +0.7% | +1.2% | -0.5% |
| 2014 | +8.1% | +13.5% | -5.4% |
| 2013 | +19.4% | +32.3% | -12.9% |
| 2012 | +9.6% | +16.0% | -6.4% |
| 2011 | +1.1% | +1.9% | -0.8% |
| 2010 | +7.9% | +13.1% | -5.3% |
* Partial year. The first year starts on the first day of the replica; the current year is year to date.
Position as of 2026-11-10
| Holding | Weight |
|---|---|
| S&P 500 SPY | 62.4% |
| Cash (0%) | 37.6% |
Weights today, after drifting since the last rebalance on 2025-12-31. Target weights are in the rule above. Drawdown from its peak today: -2.4%.
What it did in 2020 and 2022
| Episode | Dates | Replica | Benchmark |
|---|---|---|---|
| COVID crash | 2020-02-19 → 2020-03-23 | -20.6% | -33.7% |
| 2022 bear market | 2022-01-03 → 2022-10-12 | -14.7% | -24.5% |
Close to close between the two dates. Two episodes only: not enough to judge a strategy.
How much to trust it
- A fixed allocation has no signals, so it is one path of history (16.8 years), not a test.
- This is one backtest on one path of history, before costs and with hindsight on the choice of strategy. It does not show the strategy will work in future.
Honest caveat
Without bonds this is not a true 60/40; it is a low-risk SPY/cash mix and is labelled as such.
Related
Other famous strategies
Markets used: S&P 500
Historical, hypothetical results before costs, taxes and fees. Not investment advice.