COVID-19 and Equity Risk Model Correlations
Video
April 28, 2020
Forecast Risk
Global forecast equity-market volatility jumped above 70% in March 2020, even higher than during the 2008 global financial crisis. How to Use Interactive Chart: Click and drag on the bottom sub-chart to zoom in on any period.
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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. How to Use Interactive Chart: Click and drag on the bottom sub-chart to zoom in on any period.
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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. How to Use Interactive Chart: Click on any cell in the heatmap to see corresponding cumulative one-year factor returns on the bottom sub-chart.
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Source: Global Total Market Equity Model. Learn more about the model here.
Factor Models
Factors are the building blocks of many portfolios – the elements capable of turning data points into actionable insights
Hunting a COVID-19 Factor
We observed severe and diverse impacts in equity markets over our study period that suggest one could think of COVID-19 as a "factor"
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