Equity Risk Monitors

Market returns mixed as dispersion trends reverse; Momentum leads, High Vol lags.

Volatilities and correlations climb in Europe; Risk surges in the US as market rallies; Asset dispersion widens worldwide.

FAANGs lead market rout in the US; Global Value keeps inching up; Brazil turns second-riskiest emerging market after Russia

China models converge, others remain far apart; UK risk settles down.

The UK equity market keeps calm and carries on; Hidden risks may linger in Chin; The US dollar continues to strengthen.

Market see-sawing drives sharp increase in risk; Investors seeking safer (factor) havens; Despite eye-popping inflation prints, European Real Estate has seen poor returns and higher volatility.

Markets lose staring contest with central banks; Risk up sharply everywhere; Volumes still appear low.

Recent market action has driven country risk higher; In the US, Financials and Energy both contribute less risk than their weight would suggest; UK risk rose, but underlying components do not reflect heightened concerns.

The Japanese yen and Swedish krona have fared worse than the pound, but their volatilities have retreated; UK Exchange Rate Sensitivity Returns have been highly negative; UK leads the pack in 12-month return, but only in local currency.

Worst Day in 2 years leads to: Lower Volatility?(!); Sector and style exposures explain the discrepancy; The short-horizon model risk changes behave more as expected.

Most markets remain below the red line so far in 2022; Defensive sectors prevail; Global trading volume nears 3-year low.

Currency risk remains high as other factor-block risks have fallen; US Dollar’s strength leads to outsized returns for the Exchange-Rate Sensitivity style factor; US Exchange Rate Sensitivities by sector are opposite in sign from their non-US counterparts.