Don't Look Down: Reflections on Cross-Asset Drawdowns

This report analyzes the historical drawdown characteristics of equities, fixed income, gold, and quantitative factors (Trend, Value, Momentum, Quality) from 1926 to 2026.

Key Takeaways

• 1.Drawdown profiles vary dramatically across major asset classes in terms of depth, frequency, and recovery time.
• 2.While major assets rarely crash simultaneously, it is equally rare for all assets to be in the clear at once.
• 3.Thoughtful asset pairing is essential to ensure a portfolio diversifies risk rather than compounding pain during crises.

Table of Contents

• Methodology
• How different assets draw down
• Equities
• Bonds
• Gold
• Trend
• Value
• Momentum
• Quality
• How drawdowns interact
• Best and worst combinations
• Appendix