Risk Appetite Reversal – dissecting cross-asset moves in the June roundtrip

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Risk Appetite Reversal – dissecting cross-asset moves in the June roundtrip

Portfolio Strategy Research

15 June 2026 | 7:35PM BST

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Risk Appetite Reversal - dissecting cross-asset moves in the June roundtrip

Last week, US Core CPI and UofM inflation expectations drops in investor sentiment (Exhibit 4). Similarly, the Andrea Ferrario

+44(20)7552-4353 |

came in below consensus expectations, while PPI printed correlation among the largest stocks has also started to andrea.ferrario@gs.com

Goldman Sachs International

above. In Europe, the ECB hiked policy rates by 25bp, as pick up, while the average correlation across US sectors

Christian

widely expected. This week, our economists expect the Fed remains very low, below the levels reached in March. Equity Mueller-Glissmann, CFA

+44(20)7774-1714 | christian.mueller-

and BoE to keep policy rates unchanged, and the BoJ to hike Momentum was also weaker MTD, but has started to glissmann@gs.com

by 25bps. bottom out in the US, with Momentum back at YTD highs

Alessandro Giglio

vs. the broader market (Exhibit 5). +44(20)7051-6240 |

After peaking above 1.2 on June 2nd, our Risk Appetite alessandro.giglio@gs.com

Indicator (RAI) dropped sharply over the following 2 weeks Since Thursday, our RAI has started to rebound and Giovanni Ferrannini

(Exhibit 10). On Thursday, the move ranked among the investor sentiment has been boosted further today +44(20)7051-2589 | giovanni.ferrannini@gs.com

sharpest 2‑week declines, particularly when compared with following the news of an US/Iran interim peace agreement. Goldman Sachs International

Porfidiaperiods of elevated RAI (Exhibit 1). The drop was mostly Since last week, markets broadly started to reverse the Elena | +44(20)7051-5240