SEN Asset Management has published its second quantitative research report.

This report applies historical stress testing and quantitative risk analysis to the current SEN AM equity portfolio, analysing portfolio behaviour during the Covid-19 crash of 2020 and the 2022 interest rate shock.

The analysis covers stress scenario simulation, correlation dynamics under crisis conditions, VaR/CVaR estimation and drawdown analysis, with a focus on how portfolio structure changes under market stress.

One of the key findings is how rapidly diversification weakens during systemic crises, while certain positions with low stress correlation can provide meaningful portfolio resilience.

Research written by Carl-Fredrik Ekström, Head of Research & Analysis at SEN Asset Management.