Latest Equity Risk Monitor Commentary
All US sectors up despite GDP data; Risk surges in China as market drops; Momentum fares better in Emerging Markets.
Spread between short-horizon statistical and fundamental forecasts widens in the US; Sector exposures to Momentum and Market Sensitivity have changed substantially this year; Market Sensitivity returns have reversed course.
Spread between short-horizon statistical and fundamental forecasts widens in the US; Sector exposures to Momentum and Market Sensitivity have changed substantially this year; Market Sensitivity returns have reversed course.
US investors show shift in style factor preferences; The volatility of Volatility remains volatile; Rising market on lower volume may signal a lack of conviction.
Small Caps big winners in first-half 2021; Russell 2000’s industry risk spikes after rebalancing; Risk spreads widen in Asia Pacific ex-Japan.
Volatility continues to drop; Growth stocks thrive in China; Correlations spike in Japan.
US market falters on Fed’s signals, as risk continues to fall; UK and Australia short-horizon risk at pre-pandemic levels; High volatility stocks stage a comeback in global markets.
Info Tech’s comeback pushes US market to new records; Asset correlations plummet worldwide; Meme stocks drive up Russell 2000 trading volume.
US small-cap returns outpace large caps; Russell 2000’s specific risk soars, led by AMC and GameStop; US dollar strengthens.
Emerging Markets’ country risk rises as total risk ebbs; Momentum’s return ticks up globally; India’s equity market surges to the top, despite humanitarian crisis.
US and Japan now the second- and third-riskiest countries after China; Plunging factor volatility drives decline in China’s risk; Small-cap shares outperform worldwide.
Info Tech tanks; Value stages a comeback; Volatility and Growth now among the riskiest style factors.
