While equity markets were strong overall in Q2 – and risk levels did not stand out – some trends were troubling and investors should be cognizant of them. This report contains a detailed analysis of what happened to top-line risk and its drivers across the globe in the quarter, as well as a detailed analysis of style factor performance. We take particular note of the unusually poor performance of a number of style factors on which many investors bet, continuing the trend of the last few quarters. It has been our experience, albeit difficult to prove statistically, that unusually anomalous factor performance may be a harbinger of a change in the market’s direction.
Authors
Melissa R. Brown, CFA
Managing Director of Applied Research
Olivier d'Assier
Senior Principal, Applied Research - APAC
Christoph Schon, CFA, CIPM
Senior Principal, Applied Research
Diana R. Baechle, PhD
Director, Applied Research
Natan Borshansky
Manager, Applied Research
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