We’re telling Intech® clients this quarter that our risk measures of volatility point to increasing signs of suppressed global-equity risk. This trend intensifies the likelihood of a large negative shock in equity markets when volatility levels increase in the future.
Today, the way forward is likely asymmetric: the likelihood of a tail event is greater than it used to be, but the probability of incremental gains of a smaller magnitude are the likely outcome. This implies that you should prepare for the less likely but more significant move lower in equity markets.
Download the full quarterly report for more detail on the level of market stability in U.S., non-U.S. and emerging markets.
You can also monitor these measures of equity market stress on a daily basis using the new Intech Equity Market Stress Monitor®. We update the monitor daily using the previous day’s closing prices. You can use the monitor to gain insight to market risk regimes, contextualize beta risk management and complement your conventional risk metrics.
Learn more about the Intech Equity Market Stress Monitor® today. Download our guide to the monitor below.
