In last week's Factor Spotlight, we discussed how the Market Sensitivity (Beta) factor was being flagged as Overbought and appeared to be reaching an inflection point. I wanted to quickly follow up as the factor has indeed seen a sell-off on both a cumulative and normalized basis in the global and US markets.
US Market - Trailing 12 Months
- In the US, cumulative return hit a peak of +4.05% on May 17th, and has since fallen to +3.41% on May 31st. Normalized return hit a peak of 1.44 standard deviations above the mean on May 23rd, and has since dropped to 1.18 SD above the mean.
Global Market - Trailing 12 Months
- In the worldwide market, cumulative return saw a recent peak of +2.55% on May 22nd, and has since dropped to +2.11%. On a normalized basis, return peaked on May 22 at +1.28 SD above the mean, and now sits at 0.89 SD above the mean (where it is now flagged as a Neutral factor, but looks to still have room to fall).
Have a great weekend,
PS - Click here if you'd like to learn more about factor trends