Intech Equity Market Stress Monitor®
A fresh perspective on global equity market risk that taps 30 years of volatility expertise.
Not your country? Please choose your country here.
This Website is intended solely for the use of wholesale clients in Australia and their professional consultants and investment advisers and is not for general public distribution.
This material on this website is not intended for distribution to, nor should it be relied upon by, retail clients. If you are a retail or individual investor, then please leave this Website.
Intech is permitted to provide certain financial services to wholesale clients in Australia pursuant to an exemption from the need to hold an Australian financial services licence under the Australian Corporations Act 2001. Intech is regulated by the Securities Exchange Commission of the U.S. under U.S. laws, which differ from Australian laws.
The words ‘Intech,’ ‘we,’ ‘us’ or ‘our’ used herein refer to Intech Investment Management LLC (“Intech”), an investment adviser registered with the United States Securities & Exchange Commission, and ‘you’ or ‘yourself’ may refer to an individual, Independent Financial Advisor, consultant, company, or other entity visiting this website. This website is issued by Intech Investment Management LLC (“Intech”).
Unless stated otherwise, information on this web site is provided by the issuer of the applicable financial product.
Information contained on this Website is published solely for general informative purposes and should not be relied upon as financial product advice. This content has been prepared without taking into account the objectives, financial situation or needs of any person. Before making an investment decision you should consider the appropriateness of the information on this website having regard to these matters and where relevant read any disclosure document relating to a financial product. You should also consider obtaining independent advice before making any investment decisions.
This website is intended only for wholesale clients (as defined by section 761G of the Corporations Act 2001) in Australia and their professional consultants and investment advisers who are who are knowledgeable and experienced in the financial services market and in investment products of this nature.
Should you proceed to access this Website, you will be representing and warranting that you are a “wholesale client” as defined by section 761G of the Corporations Act 2001. The information is not authorized for use in a jurisdiction where distribution is not authorized and is not intended for distribution to retail clients.
The information contained on this web site is believed to be accurate and current at the time of compilation and is provided in good faith. Intech does not accept any responsibility arising in any way (including negligence) for errors in or omissions from information contained on this web site or for any loss or damage (whether direct, indirect or otherwise) suffered by the recipient of the information contained on this web site, or any other person. Intech does not accept any legal responsibility for material published on third party linked sites.
What follows is not an offer or invitation to acquire an investment to, and should therefore not be relied upon by, any person anywhere other than Australia or any person in any jurisdiction where such an offer or invitation would be unlawful. Persons in respect of whom such prohibitions apply must not access this Website.
If you choose to access this Website from locations outside of Australia, you do so at your own initiative and risk, and are responsible for compliance with all applicable laws. Otherwise, please return to intechinvestments.com and choose the appropriate jurisdiction, where you will find investment products and services that are available to you.
This Website is reserved exclusively for non-U.S. persons and should not be accessed by any person in the United States. A “U.S. Person” is defined by U.S. laws and regulations in force from time to time. If you are resident in the U.S., or as a corporation or other entity are organised under U.S. law or administered by or operated for the benefit of a legal or natural U.S. person, you should take professional advice to determine whether you are a U.S. Person and you should not access this Website until you are sure that you are not a “U.S. Person”.
WE BELIEVE THAT THE INFORMATION THAT MAY BE VIEWED ON THIS WEBSITE IS ACCURATE AS AT THE DATE OF PUBLICATION, BUT WE DO NOT GUARANTEE THE ACCURACY OR CURRENTNESS OF THE DATA AND WE DISCLAIM ALL REPRESENTATIONS AND WARRANTIES OF ANY KIND, WHETHER EXPRESS OR IMPLIED, INCLUDING WITHOUT LIMITATION, WARRANTIES OF MERCHANTABILITY, FITNESS FOR PARTICULAR PURPOSES, TITLE AND NON-INFRINGEMENT. FURTHERMORE, THE INFORMATION MAY BE AMENDED BY US AT ANY TIME WITHOUT NOTICE. BY PROCEEDING YOU AGREE TO THE EXCLUSION BY US, SO FAR AS THIS IS PERMITTED UNDER APPLICABLE LAW, OF ANY LIABILITY FOR ANY DIRECT, INDIRECT, PUNITVE, CONSEQUENTIAL, INCIDENTAL, SPECIAL OR OTHER DAMAGES, INCLUDING WITHOUT LIMITATION, LOSS OF PROFITS, REVENUE OR DATA ARISING OUT OF OR RELATING TO YOUR USE OF AND OUR PROVISION OF THIS WEBSITE AND CONTENT REGARDLESS OF THE FORM OF ACTION, WHETHER BASED ON CONTRACT, TORT (NEGLIGENCE), WARRANTY, STATUTE OR OTHERWISE, AND REGARDLESS OF WHETHER WE HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES. IF YOU ARE DISSATISFIED WITH ANY PORTION OF THIS WEBSITE, OR OF THIS IMPORTANT INFORMATION, YOUR SOLE AND EXCLUSIVE REMEDY IS TO DISCONTINUE USE OF THIS WEBSITE.
If you are unsure about the meaning of any information provided on this Website, then please consult your financial or other professional adviser. We do not offer investment advice.
The Intech Equity Market Stress Monitor® is a collection of five metrics we believe are reliable indicators of equity market stress based on our 30-year history of studying volatility. You can use the monitor to gain insight to market risk regimes, contextualize beta risk management and complement your conventional risk metrics.
Consistent with our descriptive approach to understanding markets, these five indicators avoid financial and economic assumptions:
The monitor expresses each metric in percentile ranks for 21 global and regional equity benchmarks. We believe there is heightened market stress when the percentile value is unusually low or high, which generally is associated with an increased likelihood of market dislocation. Simply put, the greater the collection of metrics that are at extreme values, the greater the strain potential in the market.
Using the Intech Equity Market Stress Monitor® requires just three simple steps:
Download an eBook that serves as a guide to the monitor, our latest quarterly report that offers our analysis of the data or our Equity Market Stress Monitor Webinar.
Our founder, E. Robert Fernholz, Ph.D., was born in 1941 in New Jersey. His father was a distinguished German chemist who fled Germany and immigrated to the US in 1935 to join the faculty of Princeton University. Dr. Fernholz's mother, Mary Briganti Fernholz, was the daughter of Italian Immigrants who came to the US in the early 1900s. She held an M.S. degree in Economics from Smith College and worked at Princeton University as a research assistant in the Economics Department.
Growing up in Princeton and attending Princeton Country Day School, Dr. Fernholz graduated high school at Deerfield Academy in Massachusetts in 1958. He majored in mathematics at Princeton University, under the direction of William Feller, and received his B.A .degree magna cum laude in 1962. He earned his Ph.D. in mathematics at Columbia University in 1967, writing his thesis under the direction of Lipman Bers.
More… [CSS expand/collapse section]
Dr. Fernholz began his career as an academic mathematician at the University of Washington, and later held various professorships at City University of New York, Universidad Nacional de Buenos Aires, and Princeton University. Fernholz left Princeton University in 1980 to become Research Director at Arbitrage Management Company. He also worked at Brignoli Models where he worked along-side Dr. Harry Markowitz.
In 1987, Dr. Fernholz founded Intech, basing our mathematical investment process on a 1982 paper he published, “Stochastic Portfolio Theory and Stochastic Market Equilibrium.” He later elaborated on these mathematical methods in his monograph, Stochastic Portfolio Theory (Springer 2002). Dr. Fernholz is also the author of numerous research articles both in pure and applied mathematics as well as statistics and mathematics of finance.
Dr. Fernholz married Luisa Turrin in 1970 and they have two sons: Daniel and Ricardo. Luisa Turrin Fernholz earned a Ph.D. in Statistics from Rutgers University and is Professor Emerita in Statistics at Temple University. Daniel T. Fernholz holds a Ph.D. in Computer Science from the University of Texas at Austin, and Ricardo T. Fernholz earned a Ph.D. in Economics from the University of California, Berkeley and is currently Assistant Professor of Economics at Claremont McKenna College.
Dr. Fernholz and his wife Luisa founded the Minerva Research Foundation in 1993 to promote research in mathematical and statistical sciences and to encourage the participation of women in these disciplines. Luisa Fernholz directs the Foundation, which has given support to the Institute’s School of Mathematics since 2007. Dr. Fernholz is also a trustee at the Institute for Advanced Study, an independent, postdoctoral research center for theoretical research, and the academic home for distinguished scholars like Albert Einstein, Kurt Gödel, John von Neumann and Hermann Weyl.