No link between geopolitical risk signals and returns – hedge fund

Gauges of geopolitical risk are better at predicting volatility than equity returns, research from XAI finds

geopolitical-risk.jpg

Common indicators used to quantify geopolitical risk are not useful predictors of market returns, according to analysis carried out by hedge fund XAI Asset Management for Risk.net.

Two measures of geopolitical risk – the Economic Policy Uncertainty Index and the Geopolitical Risk Index – both scored poorly as predicters of returns, the analysis shows.

The firm’s analysts ran the same tests on Cboe’s Vix volatility index, which at times is heavily influenced by geopolitical risk, and reached

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: