This year’s broad-based market corrections are painful, but they’re relatively modest affairs in terms of volatility. That’s the message from the Global Managed Volatility risk-managed benchmark (G.B16.MVOL), which continues to favor a mostly risk-on bias.
G.B16.MVOL’s analytics look for a relatively high level of volatility to signal a warning sign. But those signs are far and few between lately, a clear disadvantage for the strategy this year. For details on the strategy rules and metrics in the tables below, see this summary.
For the other two risk-managed benchmarks, which look at a different set of analytics, the persistent risk-off signals in recent history continue to deliver an edge, if only in relative terms. Global Momentum (G.B16.MOM) and Global Managed Drawdown (G.B16.MDD) are outperforming G.B16.MVOL and the unmanaged benchmark (G.B16) by wide margins year to date.
The catalysts that unleashed this year’s bearish bias — inflation, the Ukraine war and rising interest rates — don’t appear to be set to fade, which suggests that G.B16.MDD and G.B16.MVOL’s advantages will stick around. ■