How is the macro shock propagating across industry groups?
Heading 1
Heading 2
Heading 3
Heading 4
Heading 5
Heading 6
Lorem ipsum dolor sit amet, consectetur adipiscing elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco laboris nisi ut aliquip ex ea commodo consequat. Duis aute irure dolor in reprehenderit in voluptate velit esse cillum dolore eu fugiat nulla pariatur.
Block quote
Ordered list
- Item 1
- Item 2
- Item 3
Unordered list
- Item A
- Item B
- Item C
Bold text
Emphasis
Superscript
Subscript
How is the macro shock propagating across industry groups?
Since 27 Feb, the average S&P 500 stock is down ~7%.
Quant Insight’s risk model shows ~80% of that move is macro. Only ~20% is idiosyncratic. This is a macro repricing. See the first chart.
The instinct is to call this an energy shock. That’s wrong.
Energy is fifth in the transmission.
The drivers, in order:
Corporate credit (HY spreads)
Risk aversion (VIX)
Real rates
Rate volatility
Energy
Continue reading our analysis by downloading the PDF below
Related Articles
Crowding Is a Macro Story -Where It Matters
Equity Exposures, Sector Trends & Regime Analysis—In Depth
The market has stopped pricing credit risk.
Equity Exposures, Sector Trends & Regime Analysis—In Depth
Dollar up, stocks down. It's not that simple.
Whats driving the S&P500 now and what to watch