Estadísticas › Mercados bajistas y drawdowns › Assets in drawdowns
Bonds hedged equities only after 2000, and long puts worked eight times out of eight while losing money overall
| Asset or strategy | During drawdowns | Outside drawdowns | Full sample |
|---|---|---|---|
| S&P 500 | -44.3% | +24.4% | +10.8% |
| Ten year Treasury futures | +10.6% | +3.1% | no informado |
| Gold futures | +9.0% | negative on average | close to zero |
| Long puts | positive in 8 of 8 | no informado | -7.4% |
| Short credit risk | +128% in 2007 to 2009 | no informado | -3.6% |
Annualised returns during and outside the eight episodes in which the S&P 500 fell more than 15 per cent peak to trough on daily data, 1985 to 2018. Drawdown days are 14 per cent of all days under this definition. The fourth quarter of 2018 is treated as out of sample. The study reports no t statistics and no Sharpe ratios for any strategy.
Across the eight post 1985 equity drawdowns the S&P 500 returned minus 44.3 per cent annualised and Treasury futures plus 10.6 per cent. But bonds lost 8.3 per cent in the 1987 crash and were negative in the worst equity quintile before 2000.
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