Portfolio stress · ended winters, not a ticket
If this mix meets a winter
Competitors sell crash probabilities. This desk walks your weights through tapes that already ended — 2000, 2008, 2020, 2022 — at the valuation room we are in. 60/40 is a photograph, not a law. 2022 broke it. A peak is not called.
Live room · crowding and mix
The starting photograph
US equity + credit 60% of the mix. The valuation room rhymes nearest 2022. Ended winters, not a forecast. A peak is not called.
Crowding
57
Ordinary
Shiller CAPE
30.8
PE10
Buffett
230%
market / GDP
Bubble sleeve
60%
ballast 40%
Rhyme
2022
CAPE · Buffett · household
Tech / S&P
0.23
XLK ÷ SPY
Weights · leftover is cash
The mix
Four photographs · this mix
Scenario cards
Rhyme is the nearest valuation room. 2000, 2008, and 2022 are the winters competitors put on a ticket. vs 100% equity is trough minus the overlay trough — positive means the mix held up. Bounce is from the mix trough, not from the high. A peak is not called.
distance 0.22
Rhyme · 2022
-23.6%
month 8
- vs equity
- +0.5%
- bounce 12m
- +7.2%
- +3y
- +4.9%
- recover
- m30
Nearest valuation room, not identity.
Nasdaq winter
2000–02
-45.6%
month 31
- vs equity
- +30.4%
- bounce 12m
- —
- +3y
- -44.5%
- recover
- —
2000 overlay is Nasdaq.
Bonds paid
2007–09
-27.1%
month 17
- vs equity
- +29.7%
- bounce 12m
- +15.6%
- +3y
- -10.7%
- recover
- —
2008 is the photograph where long bonds paid.
Stocks and bonds
2022
-23.6%
month 8
- vs equity
- +0.5%
- bounce 12m
- +7.2%
- +3y
- +4.9%
- recover
- m30
2022 is the photograph where they fell together.
Same winters · every preset
Preset comparison
60/40 is the old hedge photograph. 2022 is why it is not a law. All-weather and barbell are ballast cousins. Nasdaq-heavy is the concentration cousin. vs Eq is the mix trough minus 100% equity.
| Preset | 2022 | vs Eq | 2008 | vs Eq | 2000 | +3y 2022 | Bounce 12m |
|---|---|---|---|---|---|---|---|
| The overlay | -20.6% | +3.5% | -56.8% | 0.0% | -76.0% | +33.8% | +19.7% |
| mixThe old hedge | -23.6% | +0.5% | -27.1% | +29.7% | -45.6% | +4.9% | +7.2% |
| Still equity | -22.1% | +2.0% | -41.9% | +14.9% | -60.8% | +19.3% | +13.6% |
| QQQ + S&P | -24.7% | -0.6% | -17.0% | +39.8% | -76.0% | +40.8% | +29.5% |
| Stocks · bonds · gold | -20.1% | +4.0% | -19.7% | +37.1% | -38.0% | +16.7% | +8.8% |
| S&P + gold | -15.1% | +9.0% | -27.3% | +29.5% | -45.6% | +42.9% | +16.1% |
| 30 / 40 / 15 / 15 | -18.5% | +5.6% | -11.3% | +45.5% | -22.8% | +3.3% | +0.6% |
| 50 / 20 / 15 / 15 | -21.2% | +2.9% | -22.3% | +34.5% | -38.0% | +15.8% | +10.7% |
| S&P · QQQ · BTC | -27.2% | -3.1% | -22.7% | +34.1% | -53.2% | +52.7% | +24.7% |
Reverse stress · 2022 trough above −20%: Barbell · All-weather-ish. Photograph of who held the rate-shock winter, not a product.
Sleeve print at the overlay trough · what paid
Hedge attribution
Each sleeve’s return from the known high, at the month the equity overlay was worst. 2022 is why long bonds were not a hedge. 2008 is why they were. Gold is the 1973 cousin. Missing sleeves are a gap, not cash here — this table is the sleeve, not the mix.
S&P vs TLT, 2022
0.58
18-month Pearson
S&P vs TLT, 2008
-0.40
18-month Pearson
Ulcer, 2022 mix
12.4
rms drawdown from peak
| Sleeve | 2000 trough | 2008 trough | 2022 trough |
|---|---|---|---|
| S&P | -76.0% | -56.8% | -14.2% |
| Nasdaq 100 | -76.0% | — | -23.4% |
| Russell | — | — | -8.9% |
| Emerging | — | — | -30.0% |
| High yield | — | — | -13.3% |
| Long bonds | — | +17.5% | -32.5% |
| Gold | — | +17.0% | -8.6% |
| Bitcoin | — | — | -50.7% |
Known highs · mix path from 100
The winters
Indexed to 100 at the known high. Trough is the low of the mix, not of the S&P. 2000 overlay is Nasdaq. TLT is absent before 2002. Bitcoin is absent before 2014.
2022 trough
-23.6%
stocks and bonds
2008 trough
-27.1%
housing clock
2000 trough
-45.6%
Nasdaq winter
vs 100% equity, 2022
+0.5%
trough minus overlay
Bounce +12m, 2022
+7.2%
from the mix trough
On $100k, 2022
$76,400
month 8
- 1929
- 1973–74
- 1987
- 2000–02
- 2007–09
- 2020
- 2022
| Winter | Trough | Month | vs Eq | +3m | +1y | +3y | Bounce 3m | Bounce 12m | Underwater | Ulcer | Recover | $100k low | Gap |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 19291929-09 | -51.7% | 34 | +34.4% | -19.1% | -19.8% | -43.3% | — | — | 36m | 32.8 | — | $48,300 | 40% |
| 1973–741973-01 | -28.8% | 21 | +19.2% | -5.3% | -10.5% | -14.5% | +5.9% | +16.6% | 36m | 15.4 | — | $71,200 | 40% |
| 19871987-08 | -17.2% | 3 | +11.4% | -17.2% | -14.2% | +2.6% | +5.1% | +5.8% | 22m | 8.9 | m23 | $82,800 | 40% |
| 2000–022000-03 | -45.6% | 31 | +30.4% | -13.9% | -35.6% | -44.5% | +5.2% | — | 36m | 34.8 | — | $54,400 | 40% |
| 2007–092007-10 | -27.1% | 17 | +29.7% | -3.8% | -21.0% | -10.7% | +6.2% | +15.6% | 35m | 15.2 | — | $72,900 | — |
| 20202020-02 | -15.0% | 1 | +14.2% | -5.2% | +6.2% | +4.3% | +14.7% | +22.7% | 4m | 6.1 | m5 | $85,000 | — |
| 20222022-01 | -23.6% | 8 | +0.5% | -11.5% | -15.7% | +4.9% | +3.4% | +7.2% | 29m | 12.4 | m30 | $76,400 | — |
CAPE · Buffett · household at the known high
The valuation room
Distance is the root-mean-square gap vs now, as a fraction of the winter's own print. Nearest is a rhyme, not identity. Our CAPE is the datasets PE10 cousin and can sit below Shiller's live print.
| Room | CAPE | Buffett | Household | Distance |
|---|---|---|---|---|
| Now | 30.8 | 230% | 48.2% | — |
| 19291929-09 | — | — | — | — |
| 1973–741973-01 | 18.7 | — | 23.7% | 0.87 |
| 19871987-08 | 18.3 | — | 15.3% | 1.60 |
| 2000–022000-03 | 43.2 | 136% | 38.7% | 0.46 |
| 2007–092007-10 | 27.3 | 102% | 31.5% | 0.80 |
| 20202020-02 | 30.7 | 119% | 29.2% | 0.66 |
| 20222022-01nearest | 36.9 | 181% | 39.7% | 0.22 |
Shiller PE10 bins · overlapping monthly medians
What the S&P did after this CAPE room
Hussman and GuruFocus publish 10-year expected returns from CAPE. This desk shows subsequent S&P after those bins. Overlapping months, not independent observations. Not a ticket.
Subsequent S&P after CAPE bins
Overlapping monthly medians, not independent observations. Hussman and GuruFocus publish 10-year expected returns from this room. This is the photograph of what the S&P did after those rooms, not a ticket. Current bin 30–35.
| CAPE | n | +1y | +3y ann. | +10y ann. | Max 3y DD | Down 1y |
|---|---|---|---|---|---|---|
| < 16 | 807 | +9.7% | +7.3% | +7.5% | -11.4% | 33% |
| 16–20 | 397 | +4.5% | +2.7% | +4.0% | -14.4% | 42% |
| 20–25 | 261 | +6.8% | +6.7% | +4.3% | -15.4% | 32% |
| 25–30 | 145 | +9.5% | +8.9% | +6.4% | -8.5% | 26% |
| 30–35now | 56 | +7.9% | +10.4% | +6.0% | -9.4% | 30% |
| 35+ | 47 | -6.0% | -4.1% | -1.7% | -20.3% | 55% |
Portfolio Visualizer Monte Carlo cousin · ended winters only
Sequence of returns
Sequence of ended winters, not a Monte Carlo. The order is the photograph. A peak is not called.
Stacked trough
-62.1%
2000–02 → 2007–09 → 2022
Month of low
80
across winters
End of stack
-48.0%
still from 100
On $100k
$37,900
low of the sequence
3 winters stacked. Each winter starts from the wealth the last one left.
Portfolio Visualizer tactical cousin · 10-month SMA of the overlay
10-month SMA timing
In the overlay when last month closed above its 10-month average; otherwise only ballast. First ten months stay in so the average can form. Photograph of a rule, not a product.
| Winter | Hold trough | 10mma trough | vs hold | Time in |
|---|---|---|---|---|
| 1929 | -51.7% | -20.2% | +31.5% | 3% |
| 1973–74 | -28.8% | -7.8% | +21.0% | 35% |
| 1987 | -17.2% | -18.1% | -0.9% | 81% |
| 2000–02 | -45.6% | -23.5% | +22.1% | 13% |
| 2007–09 | -27.1% | -10.4% | +16.7% | 42% |
| 2020 | -15.0% | -15.0% | 0.0% | 100% |
| 2022 | -23.6% | -22.8% | +0.8% | 65% |