Our analysis for the GVC commences on 21st February 2020. The results show that Large Cap, Quality and Growth factors outperformed with positive premiums. Our analysis also shows that the impact of GVC has been much more severe in the first 30 days than the previous crisis, both in terms of speed and depth. Based on this pattern of performance, small cap and value style managers faced major headwinds during the GVC. Managers with high market beta also faced challenges. In the final section we present Australian equity managers that exhibit high sensitivity to Quality and Low sensitivity to Market – a winning combination for the current bear market.
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