Goldman Sachs Group believes that there are three macro drivers in the current market.

Over the past few months, the market has been affected by widespread macro concerns. Goldman Sachs Group's analysis shows that since this summer, returns have become increasingly macro-driven, with the market paying more attention to three factors: economic growth and real interest rates in the United States, and growth in China.

By tracking the macro risks of the market, Goldman Sachs Group found that in early 2020, the market's macroeconomic attention rose sharply at the beginning of the crisis, declined in the third quarter, and then remained relatively stable until July this year. It shows that macro risk is becoming the focus of market attention, and is increasingly becoming the driving force of cross-asset performance.

In the picture above, Goldman Sachs Group combines growth in the United States, the euro zone and China, as well as real interest rates in the United States as a measure of macro risk. In order to measure the contribution of each factor, Goldman Sachs Group decomposed the model into the following figure:

Throughout history, US economic growth and real interest rate risk seem to dominate other macro factors, thus driving the main macro focus of the market. But the time series is a visual indication of macro events, and the focus on eurozone growth dominated for some time at the height of the European sovereign crisis.

Subsequently, Goldman Sachs Group magnified the "explanation" of a single risk factor for short-term returns. It was later found that the market paid special attention to US economic growth at the beginning of the crisis and began to pay special attention again in recent months.

The trend of focus on China's economic growth is also clear, and the recent focus has steadily risen to its highest level in the past two years, although more generally, the focus on China's growth seems to have begun to fade after peaking in September.

Finally, attention to real interest rates has also increased in recent months, although it has not yet reached the level of March-May.

It is also worth noting that the market pays considerable attention to these three risks-China, US economic growth and real interest rates-but none of them is as dominant as it has sometimes been seen in the past. This helps explain why many investors believe that the current market is cross-driven by a more complex set of factors than usual.

Goldman Sachs Group believes that as these macro factors drive a higher degree of cross-asset performance, investors may need to consider their implicit macro exposure more carefully.