Market Sensitivity

This week, I wanted to highlight the Market Sensitivity (Beta) factor as our Factor Profile tool currently has it flagged as Overbought in both the US and the broader global market.

Per our discussion last week, the long-term premia for Market Sensitivity is expected to be down over time:

As you can see below, however, the factor has caught a bid in the short-term. Yet, in both cases we can see that the steep upward slope that started in early April 2018 appears to be tailing off, suggesting a flattening and eventual reversion.

US Market - Trailing 12 Months

• In the US, cumulative return is up 1.49% since April 2, and 1.42 standard deviations above the historical mean on a normalized basis.

Global Market - Trailing 12 Months

• In the worldwide market, cumulative return is up 1.04% since April 2, and currently sitting at 1.24 standard deviations above the mean on a normalized basis.

We'll continue to track Market Sensitivity and update on how the trend develops. In the meantime, if you'd like to see the impact of any factor on your portfolio's performance and risk profile, or would like to better understand how we measure the relationships between factors, please don't hesitate to reach out.

I hope those of you in the US enjoy the Memorial Day weekend / official kickoff of summer, and that everyone has a great weekend.

Regards,
Omer