Creating a Market Sentiment indicator that provides an additional source of market timing information for existing investment strategies
In this whitepaper, we are undertaking an ambitious task of leveraging factor return and benchmark risk data from Axioma’s standard fundamental equity models to:
- Determine whether we are in a risk-tolerant (risk-on) or risk-averse (risk-off) market; and
- Develop a market-sentiment indicator that will help predict the future market risk behavior.
This paper will be beneficial to anyone explaining portfolio performance in a context of risk environment, or those who are trying to develop a view about future market performance.