Global risk Appetite Indicator Still Negative

Goldman Sachs analysts believe the positioning-driven recovery of risky assets, particularly equities, post-Brexit is likely to fade, and hence, they remain defensive in their asset allocation. Christian Mueller-Glissmann and colleagues point out in their July 11 research piece titled “Risky risk appetite reversal; Bonds to Neutral over 3-months” that post-Brexit, while risky assets have rallied again, risk-off assets too are making new highs.

Global risk appetite indicator still negative

Mueller-Glissmann and team created a global risk appetite indicator to track risk appetite on a real-time basis and across both regions and assets. The indicator is based on 1y rolling z-scores of several indicators of risk appetite across assets. The GS analysts explain that a sharp rise in the index can send...