Low risk shares enjoy calendar-driven bounce

Research Signals - September 2022

The month of September lived up to its reputation as a risk-off month in stock markets, fortifying positive performance for 60-Month Beta across each of our coverage regions (Table 1). It was a rough month for stocks on increasing concerns about the impact of interest rate hikes by central banks fighting inflation at a time of slowing global economic activity, as confirmed by the manufacturing sector's dip into contraction territory, according to the J.P.Morgan Global Manufacturing PMI™.

• US: The most highly shorted shares, as measured by Demand Supply Ratio, sold off last month
• Developed Europe: Price Momentum remained a highly favored theme, with Rational Decay Alpha posting its fourth consecutive month of positive performance
• Developed Pacific: Low risk shares returned to favor, as gauged by 60-Month Beta
• Emerging markets: High momentum shares, such as those gauged by Industry-adjusted 12-month Relative Price Strength, outperformed last month

Table 1

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This article was published by S&P Global Market Intelligence and not by S&P Global Ratings, which is a separately managed division of S&P Global.