Style risk for the Russell 2000 has dropped from the six-month peak reached in September. That said, many factors—Market Sensitivity, Value, and Profitability, to name a few—remain near the high-ends of their six-month volatility ranges. Market risk has been the main driver of the steep decline in the total risk of the Russell 2000 over the past couple of months, while style risk boosted the fall.
The Russell 2000 saw a decline in risk of 170 basis points since the 18.2% September high, as measured by the Axioma Small Cap medium-horizon fundamental model. Industry risk declined slightly, while stock-specific risk (which is only a small part of total benchmark risk) was relatively flat over the same period. Investors who make bets on US small-cap stocks, having the Russell 2000 as their benchmark, could see a shift in tracking error and may want or need to make portfolio changes. In particular, those using style factors could see a very different bottom line from those who make industry bets.
See graph from the US Small Cap Equity Risk Monitor as of 7 November 2019: