Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
For Philip Seager, Covid-19’s exceptions prove the rules.
The volatility sparked by the global pandemic reached all-time highs in March, says the head of directional strategies at quant firm Capital Fund Management. But it fell back also at record speed, showing a pattern in volatility decay that CFM had seen before.
Similarly, the stock-bond correlation switched to positive but soon returned to familiar, negative territory. Oil futures plunged below zero. But that looks now to have been a one
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