Skip to main content

1 follower
3 questions
30 posts

Do you have questions about Banking?

Log in to ask questions about Banking publicly or anonymously.

What's on the Radar for Crypto Journalists?
What's on the Radar for Crypto Journalists?

The Equity "It Factor" (Breaking down Sam Burns' Risk Models on Volatility, Credit Spreads, Momentum, and Risk Appetite)

Hey all, @Nick Correa are back at it again, this time breaking down how Sam Burns uses his equity risk model to determine an ideal stock/bond allocation (the riskier the market is, the more bonds and fewer stocks you would want to own).

We get into key topics such as volatility and momentum, and we also take a look at Burns' own model, the Monitor of Analysts' Earnings Revisions (MAER), and what it indicates about which sectors (financials, energy, industrials, etc.) are the most attractive at this time.

Please enjoy! And comment if you have any questions or want clarification about Sam's process. Charts below

Link to the original interview:

Global Equity Risk Model:

Components of the equity risk model:

Dividing the MSCI "All Country World Index" (stocks) by 10 year Treasury index (bonds) can indicate investors' appetite for risk (

When high volatility stocks are doing well, that too is a sign that investors are putting their foot on the gas pedal:

Same when high beta stocks are outperforming the low volatility equities:

Interestingly, financials and energy now comprise a large part of the high beta index:

Here is Sam Burns' MAER rankings about which sectors have the best analyst earnings revisions (top to bottom):

Analyst are tripping over each other to update their earnings estimates for financials:

Thanks so much @Farrell Murphy and @Weston Nakamura - and, of course, the one and only @Nick Correa !
@Jeremiah S @John Ahearn @Jaymes Rosenthal @Moritz Heiden @Matt Daniell... (More)

Sam ColtExChangemaker
"So called Business Engineer"

For those of you worried about real yields and inflation.

From the DB default study 
From the DB default study 

I have the full default report dm me if you want it.