Chinese stocks recorded the biggest increase in risk in the first quarter, while risk across U.K. stocks dropped the most over the period.
In a review of market volatility published Wednesday, risk analytics firm Qontigo said the STOXX China A 900 index saw an increase in risk of 38.5% in the first quarter compared with the fourth quarter.
Qontigo's review of other large indexes showed that the STOXX Japan 600, STOXX Asia Pacific 600, STOXX Asia Pacific 600 ex-Japan, Russell 2000 and STOXX Emerging 1500 indexes all saw increases in risk, ranging from a 10.8% to 18.1% rise.
Risk declined in other markets, with the biggest drop for the STOXX U.K. 180 index, which fell 37.4% in the first quarter. The drop was due to the certainty that followed an agreement on the U.K.'s withdrawal from the European Union, said Melissa Brown, global head of applied research at Qontigo and author of the review, in an interview. U.K. risk was 13% as of March 31, down from 20.7% as of Dec. 31.
The Russell 2000 index continued to have the highest risk among the indexes tracked, at 26.6%.
U.S. large-cap risk was unchanged in the first quarter, but U.S. stocks accounted for more risk in the STOXX Global 1800 than its weight in the index would suggest, Qontigo said.
The review said a bet on U.S. stocks is now adding more risk to a global portfolio than in the previous quarter, due to the widening gap between stock weight and risk.
After dropping slightly in the fourth quarter for the first time in two years, the STOXX USA 900 index's risk ticked back up slightly to 17.9%, from 17.7%.
Inflation concerns and the steepening of the yield curve had a substantial impact on equity price volatility in the quarter, Qontigo added.
Qontigo said both U.S. sectors and style factors entered a rotation, producing positive returns compared with the previous quarter. Value stocks were up 4.4% in the quarter and recorded the best gains since the second quarter of 2009.