Download This PaperFactors & The Coronavirus: How the Coronavirus Crash Has Impacted Factor Returns
45 Pages Posted: 7 Apr 2020
Date Written: April 1, 2020
Abstract
The purpose of this paper is to document and summarize factor returns related to the decline in the stock market due to COVID-19 (“the Coronavirus Crash”). Factor spreads from January 1, 2020 through March 31, 2020 are multiples of historical spreads. For example, the Value-Growth spread observed in March, 2020 is -14.2%, which is the second lowest spread observed from 1951 to present. The paper also expands the research literature by documenting results for factor spreads within twelve large sectors. For example, the Value-Growth spread within 8 of the 12 sectors described herein is -20% or lower.
The text of the paper includes highlights of key findings available from Trendline’s proprietary factor database of over 5,000 factor indexes. The Appendix includes returns for over 800 factor indexes across the broad market and key sectors.
Keywords: Value Investing, Value, Growth Investing, Growth, Factor Investing, Factors, Low Volatility, Liquidity, Momentum, Quality, Size, Coronavirus, COVID-19
JEL Classification: G10, G11, G12
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