During the current pandemic caused by the coronavirus (COVID–19), we must ask two questions: (1) what is the core risk we might be exposed to? and (2) what systems if any might collapse as a result of it?
What does the data say? This is all speculation, and as a quant, I don’t like to speculate. I like to analyze. Here is what the market is telling us.
- (1) Uncertainty Magnified: We don’t know what is going on
- (2) The Market Smells a Skunk: Cross-asset trends are consistent with past crisis periods
- (3) The Search Begins for Crisis Alpha: Momentum profits from coordinated moves