Coronavirus vs 2008 Financial Crisis

The COVID-19 pandemic has pushed global markets into unprecedented territory. What does this mean for investors and what can we expect from here?

History doesn’t repeat itself, but it often rhymes. It is still too early to draw any conclusions about the lasting impact of the COVID-19 crisis, whether it is going to be more similar to the 2008 GFC, WWII or the Great Depression.

However, we do have data for PremiaLab Pure Factors® in 2008. In this spirit we look at this “stress test data” and compare current markets and factors behavior vs 2008.

 

CORONAVIRUS VS 2008 FINANCIAL CRISIS

 

The COVID-19 pandemic has pushed global markets into unprecedented territory. What does this mean for investors and what can we expect from here?

History doesn’t repeat itself, but it often rhymes. It is still too early to draw any conclusions about the lasting impact of the COVID-19 crisis, whether it is going to be more similar to the 2008 GFC, WWII or the Great Depression.

However, we do have data for PremiaLab Pure Factors® in 2008. In this spirit we look at this “stress test data” and compare current markets and factors behavior vs 2008.

 

SIMILARITIES

  • During the sell off with vol spiking, market beta across asset classes are reacting very much in line vs 2008
  • Fixed Income, Commodity and FX Trend factors did well in 2008 and continue to be well-positioned today

 

DIFFERENCES

  • Equity Low Vol is impacted by the beta compression while Quality confirms its defensiveness with a fast rebound
  • Commodities are holding well with Carry and Trend factors doing even better currently than in 2008

 

Global Benchmark

 

FX Pure Factors

 

Global Equity Pure Factors

 

US Equity Pure Factors

 

Fixed Income Pure Factors

 

Commodity Pure Factors

 

Credit Pure Factors

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