COVID-19 and Equity Risk Model Correlations
COVID-19 and Drivers of Equity Returns
Forecast Risk
Global forecast equity-market volatility jumped above 70% in March 2020, even higher than during the 2008 global financial crisis.
Source: Global Total Market Equity Model. Learn more about the model here.
Factor Correlations
Correlations also recently spiked, as average absolute pairwise style-factor correlations reached levels slightly above those seen during the global financial crisis and the dot-com bubble.
Source: Global Total Market Equity Model. Learn more about the model here.
Factor Correlations and Returns
Factor pairs such as beta/short-term reversal and dividend yield/size recently reached high absolute correlations.
Source: Global Total Market Equity Model. Learn more about the model here.