Quant researcher with two centuries of return data reflects on corona-led downturn

The sharp drop in risky asset prices during the most volatile days of March was unprecedented in historic data. However, that doesn’t mean that a fall of a similar magnitude could not have happened in the past, says Laurens Swinkels, director of Robeco quantitative research and board member of the Norwegian Association for Quantitative Finance.

Laurens Swinkels is Researcher at Robeco's Quant Research team. He teaches Finance courses and has published his academic work in peer-reviewed journals. Prior to re-joining Robeco in 2016, he was a Researcher at Norges Bank Investment Management. He was a Researcher at Robeco from 2004 to 2012 and at PensionFactory and APG Asset Management from 1999 to 2004. Photo: PR / Robeco

Even quants with the most reliable models could hardly have predicted Mr. Market's volatile mood and the historic sell-off in risky assets during the first quarter. A simple explanation is that it is unprecedented.

"Quants can only take into account what has already happened in historical data," Laurens Swinkels, director at Robeco quantitative research, says to AMWatch. "We don't see the same sharp drops in historical data."

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