Systemic Risk’s Historic Spike

Please see below the latest ‘Chart of the Week’ from State Street Global Markets


This week Tim Graf, head of Global Macro Strategy for EMEA, highlights the heightened fragility apparent in the recent movements of ‘risky asset’ prices.

“Our Systemic Risk Index captures the underlying fragility of equity markets. Last week saw a large jump in this index – the most extreme witnessed in quite some time – due to drivers of volatility such as coronavirus fears and mark-downs to global growth. If we calculate a faster-moving rate of change of this Index, the compressed jump over the last week is exceed only by that seen during surprise yuan devaluation of August 2015. Investors would do well to consider owning safe havens and limiting risk exposure for longer than most other volatility events might have warranted.”


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