Citi Risk Aversion Signal Turns Bearish for First Time in a Year
- Global Risk Aversion Macro Index rises from three year low
- Analysts warn signal may not work well amid subdued volatility
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A potential equity trading signal based on global risk aversion turned bearish yesterday for the first time since the middle of last year, according to Citigroup Inc.
The 20-day moving average of the bank’s Global Risk Aversion Macro Index crossed above its 100-day moving average, generating a negative-risk signal, strategists including Jeremy Hale wrote in a note to clients. The index, a combination of risk measures across asset classes, has risen from a more than three-year low reached in July.