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Bearing down on high-risk shares

06 July 2022

Research Signals - June 2022

Investors continue to grapple with an elevated level of macro risks, fearing that central bank efforts to control inflation may trigger a recession if interest rates are raised too far too fast. In turn, a heightened level of risk aversion swept across global equity markets (Table 1), as sentiment remained negative in many regions, including the US where stocks officially entered bear market territory.

  • US: Low risk shares were highly favored last month, as demonstrated by double-digit spreads awarded to 60-Month Beta
  • Developed Europe: The risk-off trade was further accompanied by avoidance of the most highly shorted shares based on Demand Supply Ratio scores
  • Developed Pacific: High momentum shares struggled in June, dragging down performance of Industry-adjusted 12-month Relative Price Strength
  • Emerging markets: Investors turned to low-risk shares and away from momentum, as gauged respectively by 24-Month Value at Risk and Rational Decay Alpha

Table 1

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This article was published by S&P Global Market Intelligence and not by S&P Global Ratings, which is a separately managed division of S&P Global.

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