The highest unemployment rate since the Great Depression. The sharpest quarterly GDP contraction since the Global Financial Crisis (GFC) of 2008. The official end of the post-GFC economic expansion. All of this points to the fact that the world is in the middle of one of the most challenging economic conditions in history.
The Venn team has written extensively about how the market crash surrounding the COVID-19 pandemic has impacted factors. We’ve published an e-book comparing factor performance in the recent crisis to historical crises.
Our colleagues on the Two Sigma Client Solutions Research team (the group responsible for developing new Venn factors and methodologies) conducted further analysis by measuring the “distance” of this crisis to other periods in history using a variety of indicators, including economic conditions, consumer and business confidence measures, and overall market dynamics. They apply the same model used in a 2018 Street View titled “Markets in the Rear-View Mirror (May Be Closer Than They Appear)” to showcase how simultaneous the market and economic impacts were in this recent crisis and how market, economic, and (consumer and business) confidence indicators deteriorated so abruptly compared to the months immediately preceding the crisis.
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