Effect of Drawdown Strategy on Risk and Return in Nigerian Stock Market

The study examined effect of drawdown on return in the Nigerian stock market. covered period 2005 to 2020. Purposive sampling was employed and sample size comprising 90 regularly traded stocks were used for analysis. Monthly data sourced from CBN statistical bulletin Nigeria Stock Exchange prices, market index, risk-free rate ownership shareholdings, capitalization, book value equity, earnings before interest taxes, total assets study. Fama-MacBeth two-step regression method employed. found that has a negative significant returns but positive risk over whole period. Findings also revealed sub-period are not stable terms magnitude significance return. Our findings contradict a-priori expectation could improve performance through minimization maximization Based investors other participant encouraged use as one investment measures guide investors’ their tolerance disruption or crashes rallies Nigeria.