Market volatility risk report - February 2020
The Arkus Risk Team
- Volatilities were mostly up. Equity markets and Commodities volatility went upwards.
- Realized volatility (of the Euro Stoxx 50 index over 30 days) increased from 12.3% to 14.6% (high).
- Most of the equity markets closed the month in a loss position. Sector volatilities spanned a range of 6%-17% and were all low up to medium.
- Sovereign bond price moves were all up. Volatility decreased in all observed markets and particularly for US. Volatility regimes ended in a range of 1.5% to 5%, all medium-low expect for Germany which remained high.
- FX moves against the EUR were mild and uniform. Euro lost 1.2% against the US Dollar, lost 1.5% against the Japanese Yen, lost 1.5% against the Swiss Franc and lost 0.8% against the British Pound. . FX volatility moves were mixed. FX Volatility is ranging between 3% and 6%, with Japanese Yen being the highest mover (€/£ rose from 4.4% to 5.7% - low up to medium -).
- Option volatility was up both in Europe (Vstoxx) and in the US (Vix).
- Commodities’ price moves were mixed: Oil (Brent) lost 11.9%, Gold gained 3.9%, Copper lost 10%, Iron Ore gained 3.9%. Volatilities were mostly up, but regimes remained low up to medium except for copper which is no high.
- Real Estate (equity) price moves were all positive: Europe (+1.6%), US (+1.0%), Japan (+4.1). Volatility moves were mixed, ranging from 9% to 13%. All observed markets ended in a medium regime.
- PE Funds were up (+2.1%) and Hedge Funds also slightly gained (+0.1%). Volatility for the average hedge fund rose from 2% to 2.4% (medium up to high) and changed from 9.8% to 11.1% (high) for the average PE fund.
Read the full Market Risk Report Here.