COVID-19’s Impact Across Asset Classes
Video
April 28, 2020
Chenlu Zhou and Juan Sampieri Has the correlation between rates and equities remained negative since the coronavirus outbreak? Read our blog on the topic. How to interact with this plot: Click on any cell in the heatmap to see the corresponding time series of volatilities and correlations. Use the radio buttons to select a model horizon.
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Source: The MSCI Multi-Asset Class Factor Model (MAC). Learn more about the model here. Note: The MAC model adopts the following sign conventions for rates, inflation and credit factors. For rates factors, positive returns correspond to positive Treasury-bond returns and negative interest-rate changes; for inflation factors, positive returns correspond to positive returns of inflation-linked bonds (everything else equal) and negative changes in inflation expectation; and for credit factors, positive returns correspond to positive credit-asset returns (everything else equal) and negative changes in credit spreads.
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