Coronavirus -- Comparing Factor Performance During Three Crises

The global spread of the novel coronavirus has materially impacted our lives and the economy, resulting in one of the worst global public health crises in modern times. It’s rarely been the case that an epidemic has influenced markets and the economy in this way. While every market crisis is unique, we compare what’s going on today to two historical crises:
  • The September 11, 2001 terrorist attacks and immediate aftermath
  • The Global Financial Crisis of 2008

What similarities and differences exist across these three periods from a factor perspective, and what lessons can we take away?

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Source for hedge fund index data: HFR