Latest Equity Risk Monitor Commentary
Global country and style risk remain elevated; Asset diversification plunges in the US; Turkish lira’s risk surges.
Risk rises in the US, but nowhere else; Factor volatility is low compared with recent history, but not longer-term; Value’s strength evident across markets.
Most equity markets have soared since the 2020 downturn; Equity risk still above pre-pandemic levels; Post-vaccine rotation reflected in both sector and style performance.
Emerging Markets outperform Developed but remain riskier; US Energy shares take a beating; Developed currencies keep calm vs. the greenback.
Despite the recent jump, US Value’s correlations with other style factors remain stable; China among the riskiest regions; China’s style risk surges.
Factor volatility drives up US market risk; US small-cap stocks hold on to their advantage; Asset return dispersion widens in Asia Pacific ex-Japan.
Developed Markets take a hit, as Emerging Markets remain flat; US tech shares dragged down by threat of rising interest rates; US asset diversification climbs to pre-pandemic levels.
Value finally picks up some steam; Exposure to Value lifts last year’s sector losers in the US; UK small-cap shares strongly outperform.
High volatility stocks continue to outperform in developed markets; US Energy now the best performing sector, as oil prices rally; Norwegian krone strengthens but remains riskiest developed currency.
One year into the pandemic, China is the big winner, but still the riskiest; Emerging Markets now riskier than Developed; US market rallies as stocks in the trading frenzy tumble.
GameStop’s rally pushes Russell 2000’s specific risk to “dot-com bubble” levels; US Large Caps keep losing ground to Small Caps; The Chinese yuan strengthens against the greenback.
Country volatilities ease, despite surging pandemic; Asset correlations drop to 12-month low, driving down risk; Is the sector rotation over?
