How is the macro shock propagating across industry groups?
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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
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