Arrow_Blue_Orange.pngA Strong Market ... but on Thinning Ice?

With the US remaining riskier than most benchmarks


While equity markets were strong overall in Q2—and risk levels did not stand out—some trends were troubling and investors should be cognizant of them. This report contains a detailed analysis of what happened to top-line risk and its drivers across the globe in the quarter, as well as a detailed analysis of style factor performance. We take particular note of the unusually poor performance of a number of style factors on which many investors bet, continuing the trend of the last few quarters. It has been our experience, albeit difficult to prove statistically, that unusually anomalous factor performance may be a harbinger of a change in the market’s direction.

Authors: Axioma Applied Research Team

 
Melissa R. Brown, CFA 
Managing Director, Applied Research

Natan Borshansky
Manager, Applied Research

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Diana R. Rudean, PhD
Director, Applied Research

Christoph V. Schon. CFA, CIPM
Executive Director, Applied Research

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Olivier d'Assier
Executive Director, Applied Research APAC
Arrow_Blue_Orange.pngA Strong Market ... but on Thinning Ice?



While equity markets were strong overall in Q2—and risk levels did not stand out—some trends were troubling and investors should be cognizant of them. This report contains a detailed analysis of what happened to top-line risk and its drivers across the globe in the quarter, as well as a detailed analysis of style factor performance. We take particular note of the unusually poor performance of a number of style factors on which many investors bet, continuing the trend of the last few quarters. It has been our experience, albeit difficult to prove statistically, that unusually anomalous factor performance may be a harbinger of a change in the market’s direction.
WHITEPAPER

Author: 
Applied Research Team
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