The 90/10 Crash Hedge
MacroHold 90% SPY (S&P 500) and 10% TLT (20+ year Treasuries), rebalanced back to 90/10 on the first trading day of each January. Benchmark is 100% SPY.
See this in the terminal — live earnings bands, fair value and rates.
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Ten percent in bonds barely dents a crash — and it cost you real money in the recovery.
The rule. Hold 90% SPY (S&P 500) and 10% TLT (20+ year Treasuries), rebalanced back to 90/10 on the first trading day of each January. Benchmark is 100% SPY.
What actually happened.
- $10,000 became $17,909. The same $10,000 in S&P 500 (SPY) became $84,528. This strategy trailed the benchmark by $66,620.
- Compounded at 4.0% a year vs 15.3% for the benchmark.
- Best year: 2013 (+28%). Worst year: 2016 (-0%). This is not a smooth ride.
The catch. At its worst, this strategy fell -8% from a prior peak — shallower than the benchmark's -34%. Would you have held through that? Most people don't. That's the whole game.
The takeaway. The lesson isn't "this idea is stupid." It's that the simple, boring benchmark is harder to beat than the pitch decks admit. Before you try to be clever, respect the index.
Drawdown from prior peak
Calendar-year returns
| Line | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | 21 | 22 | 23 | 24 | 25 | 26 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 90/10 (SPY/TLT) | +8% | +15% | +28% | +15% | 0% | -0% | -0% | -0% | -0% | -0% | -0% | -0% | -0% | -0% | -0% | -0% |
| S&P 500 (SPY) | +8% | +16% | +32% | +13% | +1% | +12% | +22% | -5% | +31% | +18% | +29% | -18% | +26% | +25% | +18% | +13% |
The whole point of the 10% sleeve is the annual rebalance: after a crash it is sold to buy cheap stocks, which is where most of its value comes from. How we test
Rebalance: annual (first trading day of January), back to 90/10 · Window: 2011-09-02 → 2026-09-02 · Last run Sep 2, 2026 · JSON