Market volatility risk report - January 2020
The Arkus Risk Team
- Volatilities showed a mixed trend. Equity markets volatility was broadly up while Commodities volatility was down.
- Realized volatility (of the Euro Stoxx 50 index over 30 days) increased from 6.5% to 12.3% (medium).
- Most of the equity markets closed the month in a gain position. Sector volatilities spanned a range of 9%-11% and were all low.
- Sovereign bond price moves were mostly down. Volatility instead went up for Germany, US and Italy and slightly down for Japan. Volatility regimes ended in a range of 2% to 6%, all medium up to high.
- FX moves against the EUR were mild and mixed. Euro gained 1.9% against the US Dollar, gained 1.1% against the Japanese Yen, lost 1.5% against the Swiss Franc and lost 0.6% against the British Pound. FX volatility moves were mixed as well. FX Volatility is ranging between 3% and 10%, with British Pound being the highest mover (€/£ rose from 4.1% to 9.8% - low up to high -).
- Option volatility was up both in Europe (Vstoxx) and in the US (Vix).
- Commodities’ price moves were all positive: Oil (Brent) gained +5.7%, Gold gained +3.9%, Copper gained +5.9%, Iron Ore gained +2.6%. Volatilities were all down, settling in a low regime.
- Real Estate (equity) price moves were positive again in Europe (+3%) while US lost 1.6% and Japan lost 1.8%. Volatility moves were mixed, ranging from 6% to 12%. The US and Europe ended in a medium regime while Japan ended moved to a low volatility regime.
- PE Funds were up (+3.3%) and Hedge Funds also slightly gained (+0.7%). Volatility for the average hedge fund rose from 1.6% to 2% (medium) and changed from 8.7% to 9.8% (high) for the average PE fund.
Read the full Market Risk Report Here.