Portfolio Risk Management

Record inflation lifts Eurozone yields to 8-year high; Solid manufacturing and job-market data boost dollar; Tighter spreads offset stock-bond sell-off.

nvestor sentiment ended the week bearish in the US and in global developed markets. It declined to a more negative mood in developed Europe, but just short of a bear level. Sentiment continued to improve, meanwhile, in Asia ex-Japan, global emerging markets and China on the back of the latter’s economic stimulus plans.

Growth continues to underperform in Developed Markets ex-US; US asset-asset correlations nearing two-year highs; Canada—the best performer and among least risky.

Traders discount another rate hike and Treasuries rally; Euro strengthens as ECB hints at positive rates; Portfolio risk falls as share prices rise.

Investor sentiment remained bearish in the US and global developed markets last week, and negative in Europe. In contrast, sentiment continued to recover in Asia ex-Japan, global emerging markets and China, on the back of the Chinese government’s pledge to provide economic, fiscal and monetary support.

Industry risk triples for US small caps; Momentum correlations flip; Trading activity in Emerging Markets plunges.

Accelerating inflation boosts Gilt yields; Pound recovers over higher rates; Portfolio risk eases as currency gains offset equity losses.

US Consumer Staples bucks the trend of defensive sectors; Developed Markets ex-US fares better amid market tumult; Russian ruble becomes biggest winner against greenback.

Last month’s recovery in sentiment was sent into reverse in May with investors in the US, developed world and Asia ex-Japan ending last week bearish. Sentiment also weakened in developed Europe, ending in negative levels but not yet bearish. Investors in emerging markets, Japan and China ended the week neutral.

Abating US inflation pushes yields lower; Credit spreads soar as US stock market extends its losing streak; Surging equity volatility boosts portfolio risk.

The US becomes the biggest loser and riskiest so far in 2022; Global risk appetites continue to fall; Asset dispersion widens worldwide.

The devil is in the details when it comes to performance attribution. Here we explain the differences between risk-based vs. Brinson attribution and how using equity risk models can help you understand your drivers of portfolio risk and return.