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Investors on the defensive

04 April 2018

Research Signals - March 2018

Volatility continued to rattle equity markets and global stocks extended their losses off of January highs, posting their worst quarter in over two years. As global economic growth eased to a five-month low in March according to the J.P. Morgan Global Manufacturing PMI™ and trade tensions escalated, flight to safety was the trade of choice as low beta outperformed across our coverage universes (Table 1).

  • US: Investors took cues from analysts and the securities lending market, with strong performance to 3-M Revision in FY2 EPS Forecasts and Implied Loan Rate
  • Developed Europe: High risk and highly shorted names were avoided, as gauged by 24-Month Value at Risk and Demand Supply Ratio
  • Developed Pacific: Regional markets outside Japan saw strong returns to high momentum names (e.g., Industry-adjusted 12-month Relative Price Strength), while hedging against high beta and highly shorted names
  • Emerging markets: Industry Relative TTM Dividend Yield and 24-Month Value at Risk captured investors reliance on the risk-off trade

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