Short-term risk in Axioma’s global multi-asset class model portfolio surged more than 2 percentage points to 8.87% as of Friday, June 21, 2019. The rise was caused by the increased co-movement of stocks with bond prices and foreign-exchange rates against the US dollar, as market participants once more focused on central bank policy. The changes were most notable for non-US equities, where local stock-market gains were amplified by currency gains against the depreciating greenback. Oil and emerging market stocks experienced the biggest rises in their percentage risk contributions, due to an increased correlation with the US market. US Treasuries and investment-grade corporate bonds also no longer reduced overall risk, due to their increasingly positive interaction with share prices, although contributions for the former still remained close to zero.
Please refer to figures 7-10 of the current Multi-Asset Class Risk Monitor (dated June 21, 2019) for further details.