Prisma Newsletter: June 2022
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Summary
- In June, Prisma’s risk indicators continued to show “high risk,” which is typically associated with lower returns and higher volatility.
- ERIC, an equally weighted combination of all Prisma indicators, was above the 55% risk level throughout the month, which is something very rare and extreme. The last time this was the case was in December 2018 and COVID-19.
- Following ERIC to manage equity exposure would have resulted in a 9% outperformance year-to-date.
- Since the beginning of the year, our credit indicator has called for “High risk” and even “Very high risk” since the end of January, correctly anticipating the tightening of financial conditions that have caused the credit spread to rise significantly.
- Our macroeconomic indicator has been showing “Very high risk” since the start of the year, indicating a complicated macroeconomic situation, well ahead of many macro indicators and investment banks, which only recently began to indicate a rising risk of recession.