Panic shook the financial markets this week. In times of crisis, it is often difficult to gain a systematic view and to “see the forest from the trees”, when there is an overflow of information and endless articles on individual companies, markets or asset classes. We also learned in the financial crisis that everything is interconnected, and more so when we have periods of stress.

In order to get a systematic view of global markets and to make these connections visible to everyone, we are starting to maintain an interactive Cross-Asset Class Dashboard that shows how global markets (ETFs) are correlated, which ones are outliers and which ones to look out for. We originally developed this dashboard for a large hedge fund whose analysts needed to spot signals and cut the noise across many markets and geographies.

The methodology of the dashboard is described in a paper by Samantha Cook, Alan Laubsch and myself, “A network-based method for visual identification of systemic risks“, but it’s easy to get a hang of it through the in-built tour in the dashboard as well.

In short, reading the dashboard we see that most markets on Thursday closed with over 95% negative moves – even flight to safety assets such as JPY and CHF had negative returns. There was a heavy flight to USD and modest gains by some bond indices even though the Total Bond Index was the biggest negative outlier. Many Asian and European Equity markets had 3 sigma moves.

Friday brought relief and most markets rallied as seen below with a typical “risk on” pattern and strong correlations in equity markets.

But go explore yourself how the markets are connected. We’ll be upating this every day.

If you are interested in starting to understand physical interdependencies, I recommend you read Lubos Pernis’ post on “Coronavirus Is Disrupting the Supply Chains – We Are Mapping How“.

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