Intech Equity Market Stress Monitor®

Richard Yasenchak, CFA Senior Managing Director Head of Client Portfolio Management
Valerie Azuelos Managing Director, Client Portfolio Manager

Key Ideas

  • We introduce a new risk profile of the equity market – a collection of five reliable indicators of market strain – to help identify different risk regimes and associated tail-risk.
  • Conventional risk metrics such as standard deviation, VIX and GARCH tend to be focused on the past or, at best, current levels of volatility; the potential impact of tail-risk events is often overlooked.
  • Risk metrics that comprise the Intech Equity Market Stress Monitor address different aspects of the equity markets. They are based on decades of market data and are expressed in a percentile range relevant to a specified equity index.
  • Using this monitor, investors can gain additional insight to risk regimes and focus on achieving their investment objectives with greater confidence, and better oversight of their risk budget.