EQUITY RISK MONITOR HIGHLIGHTS
WEEK ENDED SEPTEMBER 20, 2024
New Higher Risk Equilibria
Markets reacted favorably to the widely anticipated US Federal Reserve’s 50-basis point rate cut last week, and risk models did not show any significant changes in their forecasts or decomposition of market risk in any of the markets we cover.
Risk forecasts have come down considerably from the peaks in late August, and most models appear to have settled at a new, higher equilibrium state:
See Chart 7, “Predicted Risk” Various Equity Risk Monitors September 20, 2024
Weak Leadership
The buoyant returns seen across most markets last week, including Emerging Markets and US Small Cap may not be all that they seem. It would appear that gains were somewhat concentrated, with fewer than half of all stocks in most markets beating the index overall, the notable exception being Europe:
See Chart 24, "Weekly Asset Return Proportion Ahead of Index" in various Equity Risk Monitors, September 20, 2024
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