Man Group analyzes cross-asset drawdowns

Investment firm Man Group PLC has released an analysis detailing the dynamics of drawdowns across various asset classes. The study scrutinizes the drawdown profiles of equities, fixed income, gold, and several strategic investment approaches, including trend and value strategies.

The analysis defines a drawdown as 50% of annualized volatility over an unspecified period, with observations derived from daily data. The research meticulously distinguishes and defines significant downturn periods through both algorithmic and manual review processes.

Findings indicate dramatically different drawdown profiles among asset classes. Equities experience the most frequent downturns, while assets like fixed income and gold can remain in drawdown for extended durations. Diversification offers some mitigation but does not consistently resolve all risk management challenges.

Man Group's analysis highlights that thoughtful asset pairing within a portfolio can significantly influence whether the portfolio diversifies risk or exacerbates it. The research utilizes historical data spanning a century, employing the S&P 500 as a proxy for equities, 10-year government bonds for fixed income, physical gold, and various systematic strategies.

The report targets institutional and professional investors, providing deeper insights into risk management and asset class behavior under diverse market conditions.