Market risk report: December Edition
The Arkus Risk Team
- Volatilities showed a mixed trend. Equity markets volatility was down, Commodity volatility was up, the volatilities of all other assets remained relatively unchanged.
- Realized volatility (of the Euro Stoxx 50 index over 30 days) decreased from 13.7% to 6.5% (high up to low).
- Most of the equity markets closed the month in a gain position. Sector volatilities spanned a range of 8%-16% and were all medium to low.
- Sovereign bond price moves were all down. Volatility moves were down (but small) for Germany and US and slightly up for Japan. Volatility regimes were mixed finishing in a range of 2.9% to 5.5%, all medium up to high.
- FX moves against the EUR were mild, but the EUR depreciated against most major currencies' Euro lost 1.3% against the US Dollar, lost 0.2% against the Japanese Yen, gained 0.1% against the Swiss Franc and lost 1.3% against the British Pound. FX volatility moves were all down. FX Volatility is ranging between 3.4% and 4.5%.
- Option volatility was down both in Europe (Vstoxx) and in the US (Vix).
- Commodities’ price moves were mostly negative except for Brent crude (+1.25%): Gold lost -3.0%, Copper lost -0.4%, Iron Ore lost -1.6%. Volatilities were all up but still in a low-medium regime.
- Real Estate (equity) price moves were positive again in Europe (+2.7%) while US lost -1.8% and Japan lost -1.9%. Volatility moves were mixed, ranging from 8.7% to 12.2%. The US and Japan ended in a medium and high volatility regime respectively while Europe ended in a low volatility regime.
- PE Funds were down (-1.7%) and Hedge Funds slightly up (+0.6%). Volatility for the average hedge fund rose from 1.3% to 1.6% (low up to medium) and changed from 9.3% to 8.7% (high) for the average PE fund.
Read the full Market Risk Report Here.