Content (209)
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White papersBlog | Financials drive the largest negative contributions in pandemic sell-off
Examining industry-weighted contributions to the total return regionally since the market peaked in February 19 highlights that financials have been the largest negative contributors across most regions.
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White papers
Blog | Pandemic sends Quality factor bias into overdrive
Not surprisingly, factor performances have exhibited the same desire for safety that has gripped other corners of the global capital markets this year. Amid the widespread losses since equity markets peaked in mid-February, defensive Quality and Low Volatility factors have strongly outperformed riskier Value and Size, accelerating trends in place for the past 12 months.
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White papers
Blog | Strong dollar is a negative double whammy on overseas returns for US investors
US investors have been licking their wounds from their overseas returns as the weakness in non-US currencies have significantly affected returns. The chart below, which compares global equity returns since the peak in global equity performance on February 19, highlights some divergence in performance between local currency and US dollar returns.
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White papers
Blog | The next big test for markets – a wave of negative EPS revisions
A wave of negative profit warnings looms. Bond-market signals and history can help dimension what’s coming, says Philip Lawlor, head of global markets research.
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White papers
Yield Book Agency Prepayment Model Commentary: COVID-19 Impact and Market Volatility
COVID-19 and the market’s reaction to it are unprecedented. For the past three weeks, the CMM102 was as low as 2.0 and as high as 3.5.
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White papers
Significant initial Russell 1000 outperformance vs Russell 2000 fades during COVID-19 correction
Looking at the performance of the Russell 1000 Index and the Russell 2000 Index over the last six months shows that both markets have been badly impacted by the coronavirus sell-off, with the Russell 1000 incurring losses of 29.7% compared to 37.3% for the Russell 2000 since the peak in February 19.
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White papers
Blog | European equities bear the brunt of the COVID-19 weakness led by financials and industrials
Despite the huge global stimulus response by policy makers, the downturn in global equity markets has remained sizable since they peaked on February 19. Unsurprisingly, being the new epicenter of the Covid-19 outbreak, European equities have taken the brunt of the sell-off, particularly in Italy and Germany, France and Spain. Scandinavian equity markets have held up comparatively better, with falls in the mid-twenties.
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White papers
Blog | Sharp drop in sterling hurts domestically focused FTSE 250 equities hardest
Looking at the performance of the FTSE 100 Index and the FTSE 250 Index over the last 12 months shows that both markets have been badly impacted by the coronavirus sell-off; the FTSE 100 has incurred losses of 30.7% compared to 41.1% for the FTSE 250 since the February 19 peak.
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White papers
Blog | Bond markets start to look beyond the apocalypse
G7 sovereign bond yields fell sharply in Q1, to all-time lows, as fixed income markets moved much faster than equity markets to discount a major economic shock, and possible recession, from the coronavirus contagion. Since early-March, however, government bond yields have recovered sharply and yield curves steepened, in response to the enormous scale of the fiscal and monetary stimulus unveiled by policy makers (with fiscal stimuli of 20% to 25% of GDP in some cases).
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White papers
Blog | Coronavirus-led steep and rapid downturn leads market to search new support levels
Since their peak on February 19, global equities have lost between 20-36% in performance as coronavirus fears have sent investors into a panic. Within fixed income, high-yield credits have registered negative returns of up to 16%, while investment-grade corporates have held up comparatively well.
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White papers
Blog | Coronavirus-led panic drives equity PE ratios down to 2012 levels
With global equities having lost up to 36% in performance since their peak on February 19, what does this mean for equity market valuations? The latest 12-month forward PE ratios show that the US has returned to levels last seen during the 2018 correction, while those of other markets have reached valuations close to 2012 levels.
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White papers
Blog | Index futures and options volume grows as market volatility spikes; CME Group & Cboe
After notching a 1% gain in 2020 through February 21, U.S. small caps as reflected by the Russell 2000® Index took a major turn, losing nearly 22% in the eleven trading days ended March 9.
