Milliman FRM Market Commentary: September 2018

In Q3 2018, the S&P 500 posted its best quarterly return since 2013. In this month’s commentary, Milliman’s Joe Becker addresses the following:

• With a 0.6% return in September, the S&P 500 locked in a 7.7% return for Q3 2018, its best since Q4 2013.
• Out of the last 25 calendar quarters, the S&P 500 has generated just three quarterly losses, only one of which exceeded 1%.
• As U.S. stocks continued their run, emerging market (EM) stocks extended their losing streak, declining for their second straight month and the seventh out of the last eight.
• After climbing six straight months for a total return of 20%, small cap stocks took a breather in September, declining more than 3%.
• After an exceptionally low August, U.S. equity volatility edged even lower in September. In contrast, EM equity volatility remained elevated, again hovering above its five-year monthly average.
• The correlation of the S&P 500 to global ex-U.S. equities declined in September, while its correlation to the U.S. aggregate bond market increased to its highest level since February.

To learn more, download the full commentary at

Leave a Reply