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Adding to coronavirus fears, a collapse in oil prices last week
catapulted market volatility to levels not seen since the financial
crisis. We have produced special reports looking at daily factor
and style model performance during this market tumult, beginning
with the initial bounce in volatility at the end of
February that subsequently spilled over into early March. With key
benchmarks continuing to see drastic day-to-day and intraday spikes
and drawdowns and as the near 11-year bull market run officially
ended in a sharp 16-trading-day sell-off, we extend our performance
review into mid-March in the US, as well as month-to-date results
from non-US regions.
High bankruptcy risk and small cap firms continued to lag in US
markets last week, while the least shorted shares outperformed low
beta stocks
Our Historical Growth Model continued to outpace other style
models since January; however, value models surpassed all other
styles as the week progressed
In Developed Europe and Developed Pacific markets, low beta
bested other styles and value continued to suffer, while emerging
markets disfavored high risk stocks and highly shorted shares
Posted 17 March 2020 by Chris Hammond, CFA, Executive Director – Research Signals, IHS Markit
IHS Markit provides industry-leading data, software and technology platforms and managed services to tackle some of the most difficult challenges in financial markets. We help our customers better understand complicated markets, reduce risk, operate more efficiently and comply with financial regulation.
