Short-term risk in Axioma’s global multi-asset class model dropped 1.33% to 7.53% as of Friday, June 28, 2019, driven lower by a mixture of lower stock market volatility and a reduced co-movement of equity returns and exchange-rate changes against the US dollar. The effect was most notable in the three equity buckets, which accounted for almost 70% of the overall risk reduction. Meanwhile, US Treasuries remained uncorrelated with share prices, while the market focus shifted between geopolitical risk, trade deal hopes and central bank policies. Corporate bonds, on the other hand, actively raised portfolio risk, as credit spreads retained their strong inverse relationship with interest rates and stock prices.
Please refer to figures 7-10 of the current Multi-Asset Class Risk Monitor (dated June 28, 2019) for further details.