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Latest Equity Risk Monitor Commentary
US short-horizon statistical-fundamental gap widens; Banks’ woes caused Value’s return to plunge in Europe; Trading volume has increased, but only in Financial stocks.
Risk of US Financials jumps in the wake of SVB collapse; US small caps more impacted by banking turmoil; US dollar weakens as rate hike expectations fall.
Lower factor volatility has driven down overall risk over the past 12 months; Most, but not all, factors participated in the volatility decline; Momentum’s potential turnaround.
Risk Forecasts down again BUT: Return Dispersion trending down; Correlation trending up.
Risk spreads raise potential red flag in the US; Equity trading picks up globally; Turkey risk in the lead in the aftermath of the devastating earthquake
US small cap 12-month returns turn positive after a strong week, but small caps remain risky; Short-term asset correlations have fallen substantially, driving overall volatility down; Factor returns reflect shift in sentiment to increased risk tolerance
Earnings reports lift US sectors; Liquid stocks extend gains worldwide; Developed Markets ex-USA fare better year to date
Individual developed market currency risk falls, but aggregate risk remains high; Momentum suffers while Value soars; Trading volume remains low, especially in Information Technology and Communications Services.
US Risk-On Rally led by Market Sensitivity, Volatility Factors; Emerging/Developed Diversification Ratio Continues to Grow
Europe reports best start of the year; Asset-asset correlations plummet in Emerging Markets; Russia and Brazil’s risks converge.
