FYI: We introduce a new risk profile of the equity market – a collection of five reliable indicators of market strain – to help identify different risk regimes and associated tail-risk.•
Conventional risk metrics such as standard deviation, VIX and GARCH tend to be focused on the past or, at best, current levels of volatility; the potential impact of tail-risk events is often overlooked.
•Risk metrics that comprise the Intech Equity Market Stress Monitor address different aspects of the equity markets. They are based on decades of market data and are expressed in a percentile range relevant to a specified equity index.
•Using this monitor, investors can gain additional insight to risk regimes and focus on achieving their investment objectives with greater confidence, and better oversight of their risk budget
Regards,
Ted
https://gallery.mailchimp.com/6750faf5c6091bc898da154ff/files/ac54506d-6d1f-46be-b84b-ed8d8508e054/20190914.IF.MarketStressMonitor.pdf
