Using Quantitative Tools to Analyse the COVID-19 Crisis

CFA UK Webinar

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July 7, 2020

We all know we are living through unprecedented times. But how different is the current crisis from similar episodes in the past?

In this webinar, Qontigo’s Christoph Schon demonstrates how quantitative tools, such as factor risk models and stress tests, can be used to make sense of the recent market environment. He shows how the combination of ultra-low interest rates and mushrooming debt level, has rendered many traditional defensive strategies ineffective. High-quality corporate bonds, mortgage REITs, and stocks with high dividend yields were hit particularly hard, especially when compared with the Global Financial Crisis—as investors favored large, profitable companies with low levels of leverage.

That said, Christoph suggests the recent strong demand for ‘fallen-angel’ debt, not least fueled by extensive central-bank buying, also shows that there are still market players out there, who view the current trough as an opportunity.

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Christoph V. Schon, CFA, CIPM
Executive Director, Applied Research