Short-term risk in Axioma’s global multi-asset class model portfolio dropped by almost a percentage point from 6.40% to 5.49% as of Friday, March 29, 2019. The decline was almost entirely due to the interaction between share and bond prices becoming more negative. This also significantly increased diversification in the portfolio. The impact from a slightly higher stock market volatility, on the other hand, was completely offset by a lower correlation with foreign exchange rate changes against the US dollar. In terms of the asset class breakdown, the fixed-income holdings in the portfolio saw their combined percentage risk contribution go down by 5 points. The gold and JPY cash holdings also benefitted from a more inverse relationship with stock prices.
Please refer to figures 7-10 of the current Multi-Asset Class Risk Monitor (dated Mar. 29, 2019) for further details.