Erik ten Hag fielded an inexperienced XI in the friendly match in Spain, which saw LaLiga's second from bottom side race to a 2-0 lead inside the first 14 minutes.
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Martial pulled one back just after the 20-minute mark, foxing Cadiz goalkeeper Jeremias Ledesma with his dink into the middle of the goal.
A deflected effort from 17-year-old midfielder Kobbie Mainoo got the Red Devils level early in the second half but goals from Ruben Sobrino and Tomas Alarcon saw Cadiz run out 4-2 winners.
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The result won't set off too many alarm bells with Martial, Donny van de Beek, Scott McTominay, Victor Lindelof, Aaron Wan-Bissaka and Martin Dubravka the only players with some degree of seniority to feature.
It shouldn't harm their chances of bringing in Dutch forward Cody Gakpo, who was heavily linked with a move to Old Trafford in the summer.
Gakpo, whose been in excellent form at the World Cup amid the continuation of the reports linking him with Man United says he is a better place to deal with speculation now and would entertain a move to United, where he could follow manager Erik ten Hag, Lisandro Martinez and Antony from the Eredivisie.
"That was a tough period," Gakpo said in Dutch newspaper NRC. "I learned from that. I'm going to do it differently. What comes, that comes.
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"Suppose you want to go from RKC (Waalwijk) to PSV, but that club is not coming. Then you can panic.
"I thought about Manchester United, but when that didn't happen, I couldn't remember. And I started to doubt. Leeds United did come. Should I go there?
"Now I wait everything. I haven't heard from Manchester United yet. When they come, I'll think about it. I also seek the help of God in these decisions."
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