Milliman FRM Market Commentary: August 2018

In August, U.S. stocks extended its lead over non-U.S. stocks by the widest margin year-to-date. In this month’s FRM Market Commentary, Milliman’s Joe Becker addresses the following:

  • Down six out of the last seven months, emerging market (EM) stocks extended their slide in August, falling another 2.6%. They now trail US stocks by 16.4% YTD, much of which is attributable to a stronger dollar.
  • The S&P 500 notched its fifth consecutive positive monthly return and its 27th out of the last 30.
  • From its March 9, 2009 financial crisis low through August, the S&P 500 has:
    • Climbed 329%
    • Increased its nominal 12-month dividend by 90%
    • Generated a total return (with dividend reinvestment) of 423%
    • Run for 2,389 days without a 20% drawdown (although came close in Oct. 2011)
  • Small-cap stocks have moved higher six straight months generating a 20% cumulative return.
  • US equity market volatility remained exceptionally low in August while EM volatility broke above its five-year average.
  • The correlation of the S&P 500 to global ex-US equities increased again in August, as did its correlation to the U.S. aggregate bond market, amidst falling interest rates.

To learn more, download the full commentary at

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