2020 has been disruptive and financial markets have been shaken up dramatically. This paper analyzes the shifts in market dynamics and drills down market factors’ behavior in terms of correlation structure using Premialab Pure Factors®, proprietary benchmarks on risk premia and factor performances, and the return dispersion across implementations by key providers in the marketplace.
The research covers three distinct time periods (Pre-Covid, Covid Period, Post-Covid) to highlight the disruptions and transition into a new market regime.
