Latest Equity Risk Monitor Commentary
2022’s rocky start pushes up US market risk; US Value and Earnings Yield extend gains as Growth plunges; Emerging Markets’ volatility remains below that of Developed Markets.
To kick off 2022, we are pleased to present an expanded edition of the Weekly Highlights, which includes — among other things — key observations and takeaways for 2021. We will be covering these in even more detail in our Quarterly Equity Highlights webinar, which will take place on January 11, 2021.
US market risk ticks up as stocks waver; Asset-asset correlations spike; US trading volumes hit new high.
Volatility and correlations soar on Omicron fears; Rising factor volatility drives increased risk; US risk jumps but remains well below historic highs.
US investors play defense ahead of the holidays; Emerging market investors not compensated for higher risk; Turkish lira plunges on rising regulatory risk.
Investors shunning dividend yield; European trading declines amid new COVID restrictions; US dollar strengthens.
Inflation worries flip US style factors; Statistical risk forecasts sound an alarm in China; Brazil turns riskiest emerging market.
Dispersion rises as US market hits new records; US small caps among the big winners; Asset correlations plummet in Asia Pacific ex-Japan.
US Energy by far the best performing sector; Relative riskiness of Emerging Markets vs. Developed Markets plunges; Asset diversification tanks in Japan.
Factor volatility continues to spur US risk; Japan now the riskiest geography; Profitability’s one-year return lowest in China.
US large caps up, as risk nears historical median; China’s risk drops below that of US small caps; Oil-sensitive currencies rise against the US dollar
Market Sensitivity and Volatility decouple; Energy fuels benchmark risk; Trade volumes pick up.
