How Have Equity Factors Reacted to Intraday Volatility?

In volatile markets, such as those we’ve seen recently, stock prices can move very quickly in a short period. To react to market events as they unfold, institutional investors seek data such as factor returns derived from real-time index levels. To approximate these returns for the value and growth factors, we use intra-day tick data from the MSCI USA Value and MSCI USA Growth Indexes, respectively. With this approach, we can track how value reacted versus growth as trading unfolded on Jan. 24 and Jan. 25. Early on Jan. 24, investors holding large-cap growth stocks lost more than those holding large-cap value stocks; the trend reversed with a late afternoon growth-stock rally. Factor performance was quite different on Jan. 25. Growth suffered losses throughout the day and fell rapidly over the last hour of trading.

How to interact with this plot: Use the legend to select an index. At the bottom, select two dates to compare.

Source: MSCI Real Time Indexes Data. U.S. equity market is represented by the MSCI USA Index.