Short-term risk in Axioma’s global multi-asset class model portfolio plunged by 1.33% to 12.22% as of Friday, Feb. 23, 2018. The decline was almost entirely due to an almost 2% drop in standalone equity standard deviation. However, the stock holdings still accounted for close to 80% of total portfolio volatility, with the risk decomposition by asset class remaining largely unchanged. Diversification also continued to be compressed, as the strong positive relationship between equity and FX returns persisted, while the correlation between stocks and bonds stayed close to zero.
Please refer to figures 7-10 of the current Multi-Asset Class Risk Monitor (dated Feb. 23, 2018) for further details.