Cross-Asset Correlations in the Corona Crisis

STOXX
By February 26, 2021 17:29

Cross-Asset Correlations in the Corona Crisis

Cross-Asset Correlations in the Corona Crisis

Analyzing multi-asset portfolio risk during COVID and beyond

The extraordinary market movements of 2020 had a considerable impact on the correlations between major asset classes. Some long-established interactions, such as the co-movement of share prices and sovereign yields, decoupled or even reversed temporarily, while the US dollar transformed from risky asset to safe haven. The inverse relationship of stock markets and credit spreads, on the other hand, not only remained remarkably stable, but even intensified as the crisis unfolded. In this paper, we take a closer look …

STOXX
By February 26, 2021 17:29

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