March volatility risk newsletter - Black Swan
The Arkus Risk Team
- Volatilities were massively up. Equity markets and Commodities volatility spiked.
- Realized volatility (of the Euro Stoxx 50 index over 30 days) doubled from 14.6% to 28.0% (high).
- All the observed equity markets closed the month in a loss position. Sector volatilities spanned a range of 7%-19% and were all high.
- Sovereign bond price moves were all up, but Volatility trends were mixed (Italy and Germany fell while US and Japan rose). Volatility regimes ended in a range of 2.5% to 5%.
- FX moves against the EUR were mixed. Euro gained 1.7% against the US Dollar, lost 0.9% against the Japanese Yen, lost 0.6% against the Swiss Franc and gained 2.9% against the British Pound. FX volatility moves were all upwards. FX Volatility is ranging between 4% and 10%, with Japanese Yen being the highest mover (€/Yen rose 5.7% to 10.1% - medium up to high).
- Option volatility spiked both in Europe (Vstoxx) and in the US (VIX).
- Commodities’ price moves were mixed: Oil (Brent) lost 22.2%, Gold gained 5.7%, Copper gained 2.2%, Iron Ore gained 5.1%. Volatilities were all up except for copper, regimes moved up to high except for copper which is back to low.
- Real Estate (equity) price moves were all negative: Europe (-7.2%), US (-5.8%), Japan (-11.2%). Volatility moves were significantly up, ranging from 27% to 33%. All observed markets ended in a high regime.PE Funds lost 11.7% while the Hedge Funds slightly gained (+0.4%). Volatility for the average hedge fund rose from 2.4% to 4.7% (high) and changed from 11.1% to 23.0%(high) for the average PE fund.
Read the full Market Risk Report Here.