When the Dust Flies: How Volatility Events Affect Asset Class Performance

PGIM Institutional Advisory & Solutions

March 2020

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Market volatility is inevitable over time, but what happens when the dust settles? Specifically, how do stocks and bonds perform during such events? Is asset class performance leading into an event different than after the event?

First IAS defines two types of volatility events: “spikes” and “post peaks.”

A volatility spike event is a significant sudden increase in volatility, and IAS measures asset class performance while “the dust is flying.”

In contrast, a volatility post peak event is a period of high volatility followed by returning to its pre-peak level, and IAS measures how asset classes perform “after the dust has settled.”

In this paper, the team examines 26 volatility spike events, and 25 post peak events, across a 68-year span, in a variety of market environments.

 

DOWNLOAD THE EXECUTIVE SUMMARY this PDF opens in new window

 

DOWNLOAD THE WHITE PAPER on volatility, this PDF opens in new window

 

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