Man Group Research Hub

Research from Man Group provides a rigorous empirical analysis of cross-asset drawdown dynamics, establishing a clear framework for understanding risk across disparate asset classes. By defining drawdowns as declines exceeding 50% of annualized volatility, the analysis reveals that equity markets experience the most rapid recovery cycles, typically rebounding within 0.4 years, while gold displays more persistent and deeper drawdown profiles. A critical takeaway for institutional portfolios is that traditional diversification often offers limited protection during periods of systemic stress. Specifically, the data indicates that at least one major asset class is in a state of drawdown nearly 96% of the time, challenging the effectiveness of static safe-haven allocations. These insights underscore the necessity for more sophisticated hedging strategies to navigate the nearly constant presence of drawdown environments across global markets.