How have factors in Asia reacted to COVID-19?

How have factor strategies performed in the coronavirus crisis?

When examining factor rotation and volatility in Asian stocks in response to COVID-19, it’s immediately striking how late all markets reacted to the coronavirus threat.

Using factor volatilities as defined by the Axioma Asia risk model, there was no reaction from the markets to the outbreak of the Coronavirus in China in January. Even WHO ’s declaration of an international emergency didn’t increase volatility.

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