Risk-off sentiment returns

Research Signals - April 2022

Markets faced economic headwinds as confirmed by some key data releases including the April J.P.Morgan Global Manufacturing PMI which signaled a downturn in worldwide manufacturing production for the first time in 22 months and an initial estimate of a decline in the US Q1 GDP. Geopolitical tensions, escalating inflation pressures and tighter Covid restrictions in China contributed to a sharp snapback in risk-off sentiment across regional equity markets (Table 1).

• US: Investors favored low risk shares and the least shorted names as gauged by 24-Month Value at Risk and Demand Supply Ratio, respectively
• Developed Europe: Both high momentum and risk-off trades were positive last month, as captured respectively by Industry-adjusted 12-month Relative Price Strength and 60-Month Beta
• Developed Pacific: High dividend payers were rewarded in Japan, as identified by Industry Relative TTM Dividend Yield
• Emerging markets: Investors followed similar themes to other regional markets, with positive performance associated with 24-Month Value at Risk and Demand Supply Ratio

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.