Axioma Insight™ Quarterly Risk Review
Markets experienced sharp increases in risk during the first quarter, with most, if not all, components of risk contributing to the increase. Global market risk ended the quarter higher than it has been since 2012, although clearly well below the levels seen during recent crises, including the global financial crisis and the European debt crisis. Factor volatilities – country, currency, industry, style – all rose, some quite substantially, with some reaching the top quartile or higher of risk relative to historical levels. Correlations between factors were mixed, with some lower correlations serving to dampen the impact of higher volatility, at least slightly. Correlations across asset classes also saw a few large changes.