Risk trade tariffs
Research Signals - November 2018
The risk-off trade, which prevailed in October, carried over to November, as markets reacted to trade and tariff headlines over the course of a month that culminated with the G-20 summit in Buenos Aires. In turn, low beta was again a successful signal in several of our developed market coverage universes (Table 1). While crude oil prices slumped and Brexit uncertainty loomed, US-China relations and their impact on global growth remain forefront, as international trade flows were the main drag on the new orders component of the J.P.Morgan Global Manufacturing PMI which remained unchanged last month.
- US: 60-Month Beta posted a second month of strong performance, complemented by Demand Supply Ratio and Implied Loan Rate, gauges of short sentiment
- Developed Europe: Measures based on analyst outlook were negative signals for the month, as captured by the downturn in 3-M Revision in FY2 EPS Forecasts, reversing its trend of positive performance in two-thirds of months since the start of 2017
- Developed Pacific: Investors favored recently underperforming shares, as gauged by short-term reversal metrics such as 5-day Industry Relative Return
- Emerging markets: Valuation was a highly rewarded style, represented by factors such as Forward 12-M EPS-to-Enterprise Value
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.
- How banks can keep pace with XVA
- Using quotes to measure CRT MBS liquidity trends
- RiskTech100® 2019: Andrew Aziz discusses our recent FRTB award win
- Distressed Loan Settlement: A Time for Change
- Factor and style model performance: 2018 in review
- Investors Can Get Ahead of Cyber Risk – Here’s How
- A good start for credit - but will it last?
- Market downturn sparks debate on investment research spend, regardless of MiFID II’s payment rule.
Our private markets group will be exhibiting at next week's Asia Private Equity forum in Hong Kong. Click on the bu… https://t.co/ysrwN0GmuS