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.

Posted 03.20.20 Melissa R. Brown, CFA

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.

Posted 03.19.20 Christoph Schon, CFA, CIPM

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.

Posted 03.19.20 Olivier d'Assier

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.

Posted 03.16.20 Melissa R. Brown, CFA

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.

Posted 03.11.20 Christoph Schon, CFA, CIPM

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.

Posted 03.10.20 Olivier d'Assier

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.

Posted 03.06.20 Melissa R. Brown, CFA

The Market Rout by the Numbers

The STOXX USA 900 index fell about 6.5% from February 24 through 25, with other markets around the world seeing similar declines.

Posted 02.26.20 Melissa R. Brown, CFA