2013 continues to sport far fewer risk on/off days than the last few years, with only 2 days added to the tally in May: 1 risk off and 1 risk on. The big risk off drop on the first day of the month gave way to a risk on rebound the next day, with normal trading the rest of the month. Not even the broad selloff in stocks and metals at the end of the month was enough to qualify as a risk off day, as it was offset by gains in grains.
That brings the year to date total of risk on days to 4, and risk off days to 2, with all 6 of those days coming in April and May. The 6-month moving average is hovering in the 5-7% range, below the 2002-2008 range (10% to 20%) and significantly below the typical levels from the last couple of years (20% to 35%).
(Disclaimer: past performance is not necessarily indicative of future results.)
We define risk on as an average gain of over 1% for “risk” assets; risk off is an average loss of over -1% for “risk” assets. (Click here for a more detailed breakdown.) Prior to 2008, the yearly average of risk on/risk off days stayed between 10% to 20%. So far, 2013 has gone in a very different direction, with only 4.9% of days this year qualifying as “risk on” or “risk off.”
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