Axioma’s ROOF™ Scores were created to quantify market sentiment—in other words, bullish or bearish?

Investors seemed surprised by the market reaction Monday to news of a resumption of the trade war between the world’s two biggest economies, but should they have been?

While seasonality has been widely explored, we decided to see if clarity could be obtained by looking at it through the lens of a metric based on Axioma risk models.

The stock market’s version of the Ellsberg paradox states that investors exhibit ambiguity aversion, in the sense that they prefer risks with known probability measures over risks with unknown ones. Since the probability measure governing future stock market prices is clearly unknown, we can conclude that market volatility is a reflection of investors’ aversion to both risk and ambiguity ...

If the last three months of market volatility seem eerily familiar, it is because they are.