Allocate Smartly the TAA site that tracks and backtests different strategies posted on their open blog site:
The 1-2 Punch of Major Losses in Both Stocks and Government Bonds
Random clips from the article which I found informative.
-90 trading days since the S&P 500 (represented by SPY) experienced its last all-time closing high on 01/03/2022. Since that time, SPY is down -17.6%. Over that same period, intermediate-term US Treasuries (IEF) are down -9.1%.
-There were 447 (overlapping) instances between 1963 and 2021 when the S&P 500 lost at least -15% over 90 trading days.
-When the S&P 500 fell at least -15%, US Treasuries were up in 81% of the time, with an average return of 5.2%. In only one instance did US Treasuries perform as poorly as they are currently (10/19/1987, -8.2%).
-for most of this 60-year period Treasury yields were significantly higher than they are today. That higher yield acted as a cushion . .
-Flipping the analysis: Performance of stocks when bonds are weak
-There were 106 instances between 1963 and 2021 when US Treasuries lost at least -8% over 90 trading days.