Bearing down on high-risk shares
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
IHS Markit provides industry-leading data, software and technology platforms and managed services to tackle some of the most difficult challenges in financial markets. We help our customers better understand complicated markets, reduce risk, operate more efficiently and comply with financial regulation.
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.
- July 2022 Model Performance Report
- Securities Finance July Snapshot 2022
- iBoxx SGD Monthly Update: August 2022
- iBoxx USD Asia ex-Japan Monthly Update: August 2022
- Stocks rally as bears take a summer recess
- iBoxx ALBI Monthly Update: August 2022
- Dividend Forecasting Bi-weekly Brief APAC (02 Aug 22)
- Are ransomware events considered in your Operational Resilience Plans for third party service providers?
Join our webinar on Thursday, 19 May as we explore the impact of sustained inflation on dividend payments in 2022… https://t.co/jUwPoVmJFw
Join our webinar next week in partnership with Supply Management Insider as the industry experts unveil the necessa… https://t.co/iibJIqHM00