News & events

Loading

by The Arkus Risk Team

  • Volatilities show a mixed picture. Asset volatilities were mostly still low-to-medium but with occasional outliers in each asset class.
  • Realized volatility (of the Euro Stoxx50 index over 30 days) fell from 10.8% to 9.5% (medium).
  • Equity market price moves were positive with volatility trends were mostly unchanged. Sector volatilities spanned a range of 7-15% and were low relative to the last 12 months, with the exception of Financials which saw an increase in volatility from 9.8% (Low) to 12.3% (Medium).
  • Sovereign bond price moves were mostly unchanged. Volatility trends were mixed with Germany and the US unchanged (Medium), Japan up (medium to high) and Italy down (Medium to low).
  • FX moves were more pronounced than previous month. The Euro lost 1.5-2% against the Dollar, Yen and Swiss Pound. The pound was almost unchanged. Volatility moves were moderately higher, with the exception of the pound which increased sharply from 6.7% to 10.5% (high).
  • Option volatility will probably have been moderate, as underlying price moves during the month were more significant and implied volatility in Europe (Vstoxx) and the US (Vix) saw a swift but so far temporary jump.
  • Commodities’ price moves were mixed, as was volatility. Oil extended its gains and reduced volatility even further from 22% to 13% (low). Copper and Iron Ore were largely unchanged (low) but Gold losing around 2% with volatility increasing from 9% (medium) to 11% (high).
  • Real Estate (equity) price moves were strongly positive with aggregate valuations in Europe, Japan and the US increasing between 2.7-4.2% in March. Volatility moves were slightly up but still low historically.
  • PE Funds showed strong gains whereas hedge funds showed minor losses. Volatility decreased further from 1.8% to 1.1% for the average hedge fund (still low) and from 9.1% to 7.4% (still medium) for the average PE fund.

Read the full Market Risk Report here.here.