The anticipation of a third round of quantitative easing, or QE3, from the Federal Reserve rekindled investors’ appetite for risk during the summer months.

Equities generally fared well ahead of the announcement of more asset purchases, with the stock market in the euro zone outperforming its counterpart in the U.S. thanks to an easing of tension in the euro zone. The prices of most commodities also climbed until mid-September.

Reduced demand for safe havens took the shine off high-grade government bonds like U.S. Treasuries, but the latter were supported by the prospect of an extended period of very loose monetary policy. Finally, the euro rebounded against the dollar to its highest level since the spring.

However, the boost to risky assets from QE3 may already be over.

The prices of equities and commodities have generally fallen since mid-September. And while the European Central Bank brought the euro zone back from the brink in the summer with a conditional pledge to buy potentially unlimited amounts of government bonds, the central bank’s plan does not address troubled countries’ lack of competitiveness which has contributed to weak growth and excessive debt.

Societe Generale's cross-asset class research group notes, poor performance of the S&P 500 since QE3 announcement (-1.6 percent) may well be an initial sign of a loss of impact from the Fed’s policy. During the first two phases of QE carried out by the Fed, U.S. stocks appreciated by around 48 percent at their peaks, on an annualized basis.

The Fed bought around $2 trillion of securities since November 2008, pushing rates to historical lows. While the Fed sees the need to reduce interest rates as it takes over the U.S. Treasury and mortgage-backed securities markets, the ECB's actions are more aimed at reducing divergences between peripheral nations and the core.

As SocGen notes, it remains unclear how and when the Fed would exit this situation and in Europe, bond market volatility remains notably elevated relative to the U.S. and Japan as policy action absent a political, fiscal, and banking union remains considerably less potent.

Aside from equities and bonds, analysts at SocGen also looked at the impact of central banks’ actions on currencies and commodities. 

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