Equity Risk Monitors

Volatilities and correlations climb in Europe; US small caps among the big winners of last week; UK Earnings Yield style factor takes off.

November Rebound; “Up and to the Right” vs “Down and To the Right”; Not Enough Winners

Short-horizon predicted risk rose substantially last week, and now exceeds medium-horizon; Outsized style factor returns and US factor reversal last week; Return dispersion is back up.

Global risk appetites plunge; Asset diversification remains high; Israeli market tanks.

Equity Indices Down Globally; Short Horizon Forecasts Exceed Medium Horizon in Japan and Europe, Not Yet In US; Short Horizon Forecasts and the VIX.

Where are all the traders?; And speaking of Energy stocks…; Lower leverage finally pays off.

US market risk inches up as stocks waver; Large Caps outperform in Developed Markets but underperform in Emerging Markets; Sharp decline in Japanese stocks drives jump in risk.

Currency risk fell as US dollar strengthened; US Dollar’s strength drives high return for Exchange Rate Sensitivity; Short-Horizon model has risk down over the quarter, but the trading horizon model shows an 18% increase.

Magnificent 7 stocks weigh on US market; Despite an uptick in risk, low volatility environment persists; Industrials and Materials put pressure on China’s market

EM v DM update; Size Again?

Focus on US Small Caps: Small cap stocks have substantially lagged their large-cap peers this year; Average daily volume down for small caps, but up for large caps; Large shift in small cap sectors, small shift in large cap.

August: Negative Returns on lower Volume, mixed news; Risk Ticks up in Developed Markets.