Selling continues to squeeze our trio of risk-managed strategy benchmarks, although two of the three are still looking impressive on a relative basis. For details on the strategy rules and metrics in the tables below, see this summary.
Global Momentum (G.B16.MOM) and Global Managed Drawdown (G.B16.MDD) posted substantially lesser declines last week vs. the benchmark, Global Beta 16 (G.B16), which shed 2.4% and is off 11.3% year to date.
The downside outlier for the risk-managed benchmarks: Global Managed Volatility (G.B16.MVOL), which matched the benchmark’s decline this week and has fallen almost as much as G.B16 so far in 2022. The reason: the volatility model that drives G.B16.MVOL’s risk-management process is struggling in the current risk-off climate. Why? Volatility overall remains relatively modest. But as recent events show, an extended correction can unfold without a vol spike.
G.B16.MOM and G.B16.MDD employ different risk-management engines, and the differences continue to offer a clear advantage this year.
The big-picture takeaway: no one risk-management system shines all the time. ■