Short-term risk in Axioma’s global multi-asset class model portfolio rose 0.41% to 13.50% as of Friday, March 6, 2020, driven by a mixture of higher currency volatility, a stronger co-movement of FX and interest-rate returns, and a less negative interaction between share prices and exchange rates against the USD. The latter was caused by stock markets see-sawing—ending the week slightly in the black—while foreign currencies strongly appreciated against the dollar. This led to a weaker perceived correlation of US and non-US equities, which lowered the risk contributions from both categories. Non-USD fixed-income securities, on the other hand, saw their volatility-reducing properties shrink, as a closer co-movement with exchange rates made them appear more correlated across currencies.
Please refer to figures 7-10 of the current Multi-Asset Class Risk Monitor (dated March 6, 2020) for further details.