Gravity continues to weigh on our trio of active risk-managed strategy benchmarks. Global Momentum (G.B16.MOM) posted a slight edge via a tiny fractional loss last week, but the general decline trend is obvious across the board. For details on the strategy rules and metrics in the tables below, see this summary.
The formerly high-flying Global Managed Volatility (G.B16.MVOL) remains the downside outlier this year, shedding 12%. By contrast, the other two benchmarks are off by less than 3%. In all three cases, however, the red ink is still light vs. the unmanaged benchmark: Global Beta 16 (G.B16), which has tumbled nearly 13% year to date.
The trouble continues to be linked to blowback from three key headwinds: the war in Ukraine, elevated inflation and rising interest rates. All three are taking a toll on the economic outlook, in varying degrees, depending on the country and region. Suffice to say, the net result is an ongoing deterioration in the risk appetite generally and there’s no reason to think anything’s about to change in the immediate future. ■