Insights | Research from State Street Markets | Principal Components as a Measure of Systemic Risk

What We Offer

Anticipate market trends with data-driven measures of aggregate flow and positioning, high-frequency inflation, media sentiment, risk regimes, and more.

New Ideas

Unlock new investment angles with award-winning research on themes including AI, private markets, investment strategies, geopolitics, and beyond.

Macro Strategy

Gain deeper vision on market turning points, risks, and opportunities with daily views and analysis on equity, fixed income, and currency markets.

Interactive Access

Engage with the latest analysis, interactive charts, analytic tools, calculation APIs, and more with real-time tools on our Insights platform. Available on desktop and mobile devices.

Connect

Some of the most valuable aspects of research happen through conversation. We regularly meet clients to walk through indicators, share views, and explore applications.

Book A Meeting

Upcoming Events

Latest Research

Views and Analyses

Gain deeper vision on market turning points, risks, and opportunities with daily views and analysis on equity, fixed income, and currency markets.

Research Papers

Unlock new investment angles with award-winning research from collaborations with our roster of 10+ academic partners on themes including Al, private markets, investment strategies, geopolitics, and beyond.

Institutional Investor Indicators

The State Street Institutional Investor Indicators provide investors, policymakers, and the public with insights into the aggregated and anonymized positioning, risk appetite, and portfolio carbon exposures of thousands of institutional investors around the world, representing trillions of dollars in assets.

Partnerships

Academic Partners

Through our network of partnerships with renowned academics, we are constantly searching for the perfect blend of deep expertise and disruptive thinking that leads to valuable ideas.

Data Partners

Strategic partnerships extend our research vision with distinctive indicators of economic and market activity, providing a real-time pulse on emerging trends and uncovering patterns that others miss.

Principal Components as a Measure of Systemic Risk

By Mark Kritzman, State Street Associates

Apr 6, 2019

By Mark Kritzman, Yuanzhen Li, Sebastien Page, and Roberto Rigobon

Published in the Journal of Portfolio Management, Summer 2011

We introduce a method for inferring systemic risk from asset prices, and show how investors might use the absorption ratio as an early warning signal of market stress.

SEE ALL RESEARCH PAPERS

Learn more about Insights

Please contact us to learn more, subscribe or schedule a demo.

Privacy Notice
Legal Disclosure
Product-Specific Disclosure

1.Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Doriot Award for Best Private Equity Research Paper in 2022; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012 and 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010.