From the excellent Damien Boey at Credit Suisse overnight:
Overnight, we saw another incredibly sharp sell-off in equities, while volatility spiked. Interestingly, bonds rallied strongly in the Asian session on the back of the 30% drop in oil prices – but the rally failed to carry through into the close. Interbank liquidity tightened materially, with FRA-OIS spreads widening beyond 50bps, their highest level since March 2018. Corporate credit spreads also widened.
Within equities, we saw:
- Pure value detract 1.4% of alpha.
- Pure momentum detract 0.24% of alpha.
- Selected pure quality factors, such low volatility, low leverage and profitability add around 0.8-0.9% worth of alpha. Other pure quality factors, such as growth and earnings certainty subtracted 0.4% of alpha.
