COVID-19 and Drivers of Equity Returns

Roman Kouzmenko

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.

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.

Source: Global Total Market Equity Model. Learn more about the model here.