Arkus Focus March 2016
by Niall O'Connor
- Volatility trends were mixed during February. Volatilities ended mixed relative to their 12-month averages, with the exception of Japanese assets, which were generally high.
- Realised volatility (of Eurostoxx equities over 30 days) rose from 27.1% to 32.1% (High).
- Equity market price moves were generally small; volatility trends were mixed. Sector volatilities ranged from 10-24%, although Energy fell to 31%. All major sectors had High volatilities relative to the last 12 months, with the exception of Consumer Staples at low.
- Sovereign bond price moves were upward during the month. Bond volatilities were generally up ending at 5% (and 1.3% in Japan). Germany was medium, US and Japan were high.
- FX moves were large, with Sterling weakening on Brexit fears and the Yen strengthening. Volatility trends were mixed: e.g. €/$ up to 9.8% and €/£ down to 9.2%. Volatilities were generally low to medium compared to the last 12 months.
- Option volatility will have dropped as volatility of volatility was sharply down. However moves in underlying prices were large during the month. Volatility of volatility for the US fell to 93% (High).
- Commodities’ price moves reversed and were sharply upwards. Volatility moves were also upwards e.g. Oil up to 71% (High).
- Real Estate (equity) price moves were again strongly downwards intra-month, but recovered some ground by the end. Volatility changes were mixed: down to 19% in the US (medium) and up to 27% in Europe (High), and Japan up to 42%. PE Funds and Hedge Funds prices fell again, with volatility trends mixed.
Read the full Market Risk Report here.
View the online version of our March Newsletter here.