Quant Quake 2020? As Factor Volatility Mirrors Market Volatility, Most Returns Head in the Wrong Direction
Equity investors, needless to say, have faced a brutal market since February 20. But factor-based investors have experienced additional pain from factor returns.
Treasury yields are up and stocks are down… And that spells double trouble for corporate bonds
Since the beginning of the equity sell-off in the last week of February, credit spreads have widened rapidly and significantly.
Equity Markets Fell, Are Angels Next?
The well-publicized fall in equity markets may have overshadowed a potentially much more impactful risk from the corporate bond market – that of fallen angels.
Steep and Swift So Far, This Dive Isn’t Over, if History Is Any Guide
We likely to have further to go in this downturn, and it could take a long time for the market to retrace its steps back to its January level.
Time to put the stress (test) on the coronavirus for a change…
Stress testing is a good way of estimating the impact of another stock-market downturn on other asset classes.
Sectors Have Feelings Too: Developing a Sector-Based Sentiment Indicator
Last year we introduced the Qontigo ROOF Scores as a market sentiment indicator. Recently, it occurred to us that a similar indicator could be derived using sectors.
Markets — and Factor Returns — Run Wild: Time to Check Your Bets
Indeed, the magnitudes of recent market swings have been substantial, and probably seemed even worse given the relatively low levels of volatility prior to February.