Man Group studies drawdowns across equities, bonds, gold, trend, value, momentum, and quality. It argues diversification helps, but pain rarely disappears completely: all seven assets have never drawn down together, yet periods with nothing in drawdown are only just above 4% of history.
Don’t Look Down: Reflections on Cross-Asset Drawdowns
Man Group
Henry Neville
Research
17 Pages
Key Takeaways
Drawdowns Differ Widely: Equities recover in less than 5 months on average, while gold drawdowns last 1.5 years and fall almost one third.
Diversification Still Hurts: Across 7 assets, all have never drawn down together, but 6 overlapped only 0.6% and zero drawdowns occurred just 4%.
Pairing Matters Most: Fixed income, gold, and momentum overlapped in drawdown 6.8% of history, compared with 4.1% expected by chance alone historically.
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