A Century of Asset Allocation Crash Risk

Samonov & Sorokina

Mikhail Samonov, Nonna Sorokina

Research

56 Pages

Samonov and Sorokina analyze one century of asset allocation crash risk across popular portfolio frameworks. They extend reconstructed returns for sixty forty, diversified multi asset, risk parity, endowment, factor based, and dynamic approaches to study drawdowns and investor abandonment. A central theme is that longer historical awareness and dynamic allocation can reduce unpleasant surprises and support better realized outcomes for investors who tolerate volatility.

Key Takeaways

Extended history lens: Longer datasets reveal deeper crashes and help align expectations with realistic downside.
Dynamic allocation resilience: Adaptive portfolios target smaller drawdowns, lowering abandonment risk when markets stress investors.
Behavior shaped by information: Awareness of past crises encourages sticking with strategies and improves long horizon outcomes.
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