While many have called the pandemic a Black Swan, Nassim Taleb himself recently published a piece in which he argues that it is very much a “white swan: something that would eventually take place with great certainty”. Regardless of what colour you think the swan is, the current crisis is a severe outlier with significant impact.
Besides the growing human tragedy, the covid-19 outbreak has already had wide-ranging economic and financial implications that are affecting all markets and every portfolio. Risk measures, from implied volatility to credit spreads, indicate that global markets are likely to remain volatile for some time.
Given this high-level of unpredictability, it is essential to put the current market turbulence in perspective. ALPIMA allows asset managers, wealth managers and professional investors to do so with unparalleled clarity via interactive dashboards that highlight the true drivers of risk and performance within portfolios.
The charts below were generated on the ALPIMA platform.
The top chart shows daily returns of a dynamic USD-denominated multi-asset portfolio built with the ALPIMA platform. The bottom chart shows the drawdowns experienced by the same portfolio. This highlights that while the one-day impact of 18 Mar on this portfolio was the largest in recorded history, the drawdown so far, at -6%, while sudden and sharp, is still well below the maximum drawdown recorded during the 2008/09 global financial crisis (-11.68%). This is obviously not a prediction, but an observation meant to help put things in perspective.
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Source: ALPIMA. Data as of 27 Mar 20.