How is the macro shock propagating across industry groups?

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How is the macro shock propagating across industry groups?

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Since 27 Feb, the average S&P 500 stock is down ~7%.

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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.

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The instinct is to call this an energy shock. That’s wrong.

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Energy is fifth in the transmission.

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The drivers, in order:

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Corporate credit (HY spreads)

Risk aversion (VIX)

Real rates

Rate volatility

Energy

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Continue reading our analysis by downloading the PDF below

Author
Amit Khanna

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