For all of the craziness of the last month, it may be good to step back and think about whether markets on a relative basis have been behaving as expected. Did risky investments lose more to a common shock? Did safer investments perform better relative to a benchmark? We cannot make complete judgments, but we should expect sanity even when there is a significant surprise.
A review of the factor returns shows factor returns that follow expected patterns. Quality firms performed better. Pure value and high beta showed significantly worse performance. The only real surprise may be a high dividend portfolio; however, if investors expect a cash crunch will require dividend cuts and government money may be conditional on an end to dividends and buybacks, this makes sense.
Absolute returns may be surprised by a shock, but relative performance may still follow rational patterns.
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