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Market Risk Index: What is the Current Sentiment?

  • Writer: Lester Davids
    Lester Davids
  • May 6
  • 2 min read

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Data as of Tuesday, 06 May at 10h35


Daily Time Frame


As of Friday (02 May), sentiment was as follows (slide number 4 of 47):


The indicator is a custom-built risk and sentiment index, designed to assess market risk appetite, including whether sentiment is at an extreme position (i.e. excessively bullish or excessively bearish).


  1. Components:


    • Copper: Copper often serves as a proxy for global economic activity. A decline in copper prices could signal slowing economic growth, increasing risk.

    • High Beta vs Low Beta: High beta stocks tend to be more volatile than low beta stocks. A widening spread between high and low beta returns might indicate increased risk aversion.

    • Growth vs Value: Growth stocks typically outperform value stocks in bull markets. A shift towards value stocks could suggest investors are becoming more cautious.

    • EM Currencies: Emerging market currencies can be sensitive to risk appetite. A weakening of EM currencies could signal increased risk aversion.

    • AUD/USD: The Australian Dollar is often used as a proxy for global risk sentiment. A decline in AUD/USD could indicate increased risk aversion.

    • Consumer Staples vs Consumer Discretionary: Consumer staples are generally considered defensive assets. A shift towards consumer staples could suggest investors are seeking safety.

    • Semiconductors vs S&P 500: The semiconductor sector is cyclical and sensitive to economic downturns. Underperformance of semiconductors relative to the broader market could signal increased risk.

    • Russell 2000 ETF: This ETF tracks small-cap stocks, which are generally considered riskier than large-cap stocks. Underperformance of the Russell 2000 could suggest increased risk aversion.

    • U.S. Dollar Index (Inverse): A strengthening US Dollar often signals a flight to safety, suggesting increased risk aversion.


Lester Davids

Senior Investment Analyst: Unum Capital

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