In this whitepaper, we are undertaking an ambitious task of leveraging factor return and benchmark risk data from Axioma’s standard fundamental equity models to:

• Determine whether we are in a risk-tolerant (risk-on) or risk-averse (risk-off) market; and
• Develop a market-sentiment indicator that will help predict the future market risk behavior.

This paper will be beneficial to anyone explaining portfolio performance in a context of risk environment, or those who are trying to develop a view about future market performance.