Short-term risk in Axioma’s global multi-asset class model portfolio fell 0.36% to 4.51% as of Friday, May 31, 2019. The decrease was primarily due to a 1.5-precentage point drop in standalone equity volatility. The risk reduction was most pronounced in the emerging-market stock bucket, which experienced a 4-point contraction in its percentage volatility contribution, as its correlation with developed markets decreased notably. Fixed-income assets, gold and the Japanese yen continued to actively lower overall volatility, as their interaction with share prices remained firmly negative in the prevailing flight-to-quality environment.
Please refer to figures 7-10 of the current Multi-Asset Class Risk Monitor (dated May 31, 2019) for further details.