News & events

Lower for Longer, ever?

The Arkus Risk Team
  • Volatilities were mixed but generally down. Asset volatilities were mostly low-medium with the exception of Government Bonds (all high).
  • Realized volatility (of the Euro Stoxx50 index over 30 days) fell from 13.7% to 8.3% (high down to low).
  • Equity market price moves were all up with volatility trends all down significantly. Sector volatilities spanned a range of 9%-18% and were low-medium relative to the last 12 months.
  • Sovereign bond price moves were up significantly. Volatility trends were all up with the exception of Italy that was unchanged. Most notable German bunds spiked in volatility increases from 2.3% to 4.0%.
  • FX moves against the EUR were mostly down. The Euro lost 1.4% against the Yen, lost 1.8% against the US Dollar, lost 1.3% against the British Pound but gained 0.7% against the Swiss Pound. Volatility moves were largely unchanged and remain low. FX Volatility is ranging between 3.6% and 5.9%.
  • Option volatility will probably have been low, as underlying price moves during the month were moderate and volatility of implied volatility in Europe (Vstoxx) and the US (Vix) decreased significantly.
  • Commodities’ price moves were generally up with Gold (+8.3%) and Iron Ore (+14.1%) showing the strongest gains. Volatilities were all up with the exception of Copper that was unchanged.
  • Real Estate (equity) price moves were mixed. While the US and Japan were largely unchanged Europe showed a considerable decline of -3.3%. Volatility moves were also mixed with the US and Europe unchanged (still medium) and Japan decreasing (medium down to low).
  • PE Funds showed losses of -4.0% whereas hedge funds were up (1.1%). Volatility slightly decreased from 2.1% to 1.8% for the average hedge fund (still low) while the average PE fund volatility spiked from 6.2% to 10.5% (low up to high).

Read the full Market Risk Report Here.