Arkus Focus June 2017
by Niall O'Connor
- Volatility remained low; in some cases close to all-time lows. Most assets’ volatility remained low relative to its 12-month averages with the exception of commodities at medium.
- Realised volatility (of the Eurostoxx index over 30 days) fell from 15.3% to 9.3% (medium down to low).
- Equity market price moves were again upwards during the month. Volatility trends were mixed. Sector volatilities ended at 6-13%. Sector volatilities were all low relative to the last 12 months, with the exception of IT which rose to medium.
- Sovereign bond price price moves were small. Volatility moves were downwards, ending at 4% (and down to just 0.7% in Japan). Germany fell to low, Japan stayed low and the US was low.
- In FX the euro strengthened again post the French election. Volatility trends were downwards: e.g. €/£ down to 6.2%. Dollar volatility remained low, Yen remained medium and Sterling volatility fell from medium to low relative to the euro.
- Option price moves were downwards, although gold rose slightly. Volatility of volatility for the US rose to 184% (medium up to high).
- Commodities’price moves were mixed with oil down and gold up. Volatility moves were mostly upwards e.g. Oil down to 31.8% (low up to medium).
- Real Estate (equity) price moves were mixed. Volatility moves were also moderate outside Japan and finished at 9-13% (all low, except Japan up to medium). PE Fund and hedge fund prices were fractionally down, with volatility changes in PE and hedge funds up.
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