When it comes to European Sectors, don’t bank on Banks!
Banks in the Eurozone have suffered from the impact of the pandemic. Since the market peak of Feb. 19, the EURO STOXX Banks index has recorded a drop of 46%.
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Bank credit spreads: Will this time be different?
As share prices plummeted in late February and early March, corporate-bond risk premia exploded at rates not seen since the aftermath of the Lehman Brothers default.
How the coronavirus killed portfolio diversification
The extraordinary market movements over the past few weeks have thrown long-established cross-asset class correlations into disarray.
As COVID Cases Soar, So Do Investor Fears — and the Parallels Are Striking
There is no denying the psychological impact that the word “pandemic” can have on investors globally, especially when it is followed by headlines containing the words “global recession".
Quant quake comparison? This looks worse
Our recent blog post on factor performance discussed factor returns on an absolute and risk-adjusted basis during the recent market downturn.
USD Corporate Risk: Big Changes in Risk Profiles, Viewed Through the Lens of the Axioma Factor-based Fixed Income Risk Model
It’s no surprise that the risk of corporate portfolios has increased substantially in the past few weeks.