Tuesday, January 21, 2014

Quick Overview of MSCI Europe Market Internals

Of the three developed MSCI World regions, Europe continues to have the highest beta--led by the financial sector (a common theme across all regions).

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MSCI Europe remains quite overbought, in spite of a slight pullback more recently.  In contrast, MSCI North America and MSCI Pacific have fewer companies making persistent new highs:

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Volume turnover in Europe is the highest among the three regions, led by the Financial and Health Care sectors:

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Followed closely by North America, Europe has the highest 65-day correlation with the MSCI World Index-- a measure that has, however, declined since the beginning of this year:

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Performance in MSCI Europe has been better than the World average over the last 1- and 3-month time periods:

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Putting together a number of our technical variables, we calculate a statistic to approximate the risk building in a particular system.  For the MSCI Europe, the trend has been gradually up over the last couple of years.

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Conversely, our risk indicators for the Asia Pacific and North American regions have remained relatively stable or started trending down.

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