There was limited protection in equity market factors from the COVID-19 sell-off in February. A low volatility index actually underperformed the SPX benchmark in February although it still showed better returns year to date. A growth-focused index outperformed value for the year, but a surprise result has been the protection from holding international and emerging market equity benchmarks. The high valued US market has been taken down into a correction by a virus.
When there is a common factor impacting all strategies, as expected, there will be increased correlation within an asset class and there will be limited diversification benefits for investors.
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