I like nedsaid's speculation, above. Essentially, that someone pulled a sensible round number out of the air and it become amplified by repeated passage through "authorities" repeating each other. I'd love to see it proved, though.
Great find.Except I ain't reproducing those results.
Now my calculations, I have to keep saying this, could be off. And I also have to say this, this is just playing with numbers, I don't believe any of it much, don't take this as actionable information. It's a real pity he does not say what data they were using--specifically what he means by "bonds"
and whether or not he was including inflation. But since he's from Ibbotson, it seems likely that he is using the Ibbotson SBBI data which is nice because that's what I have.
There are three possible choices that could have been made for "bonds."
So I'm running through all three possible choices, with and without inflation correction.1926-1965, stocks and "bonds," any of the three Ibbotson "bond" series.
Low correlation, YES.
60/40 optimum, NO.
Stocks = Ibbotson SBBI large-company stocks (S&P 500 and antecedents)
LT Corp = Ibbotson SBBI long-term corporate bonds
LT Gov = Ibbotson SBBI long-term government bonds
IT Gov = Ibbotson SBBI intermediate-term government bonds
Inflation = BLS series, December-December, cpiai.txt
1) Without inflation correction.
Stocks and LT Corp: ρ = 0.05, optimum 13/87
Stocks and LT Gov: ρ = 0.03, optimum 24/76
Stocks and IT Gov: ρ = 0.15, optimum 12/88
2) With inflation correction.
Stocks and LT Corp: ρ = 0.11, optimum 33/67
Stocks and LT Gov: ρ = 0.06, optimum 46/54
Stocks and IT Gov: ρ = 0.00, optimum 36/64
Notice that there is not a single one that shows an optimum allocation of over 50% stocks, and that most of them are far lower. Here's the chart for the pair with the highest stock allocation: Stocks and long-term government bonds, 1926-1965, inflation corrected.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.