Short-term risk in Axioma’s global multi-asset class model portfolio dropped another 0.69% to 5.73% as of Friday, July 19, 2019. The decrease was once again driven by a 1% decline in standalone share-price volatility and was therefore primarily reflected in the equity buckets. At the same time, fixed-income securities and gold also saw their share of overall risk decline amid the latest flight-to-quality movements. However, they still remained largely uncorrelated with stock markets, due to the constant shift in focus between geo-political concerns, economic-growth expectations and central bank policies. The contribution from oil, on the other hand, rose by 1.2 percentage points to 4.5%, as escalating tensions in the Middle East pushed up both the price and the volatility of the commodity.
Please refer to figures 7-10 of the current Multi-Asset Class Risk Monitor (dated July 19, 2019) for further details.