Highlights

  • Quantitative investment specialists at AlphaSimplex analyze realized risk during and after key market events such as the Great Financial Crisis, the European Banking Crisis, the Taper Tantrum, and Covid-19.
  • Few investors could have known prior to February 2020 that the Covid-19 crisis would occur (an unknown unknown). On the other hand, volatility and correlations are much more consistent and somewhat predictable over time.
  • Volatility surprise is “not surprisingly” the most impactful during and immediately after crisis events. What is more interesting is when volatility surprise is negative for prolonged periods after a crisis.
  • Asset class correlations have changed drastically as the inflation theme has entered the markets in 2021, resulting in negative correlation surprise on realized risk. The impact of these new relationships between asset classes will continue to filter into portfolios and change realized volatility should the world continue to shift into that direction.
All investments are subject to risk, including risk of loss.

The views and opinions expressed are as of 6/30/2021 and may change based on market and other conditions. There can be no assurance that developments will transpire as forecasted, and actual results may vary.

This material is provided for informational purposes only and should not be construed as investment advice. This material may not be redistributed, published, or reproduced, in whole or in part.

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