News & events

Mixed signals

by The Arkus Risk Team

  • Volatilities were almost all down compared to the Medium-to-High levels of February. Asset volatilities were all medium to low relative to their 12-month averages.
  • Realized volatility (of the Euro Stoxx50 index over 30 days) fell from 12.8% to 10.8% (medium).
  • Equity market price moves were sharply positive. Volatility trends were all down. Sector volatilities spanned a range of 8-14% and were low relative to the last 12 months. Especially Information Technology saw a sharp drop in volatility, down from 26.4% to 13.5%.
  • Sovereign bond price moves were either unchanged or slightly negative. Volatility trends were all down (high down to medium) with the exception of Italy where volatility increased from 5.1% to 6.6% (low to medium).
  • FX moves were largely unchanged with the exception of the Pound. The pound gained another 1.7% over the month and is currently up 4.5% year-to-date against the euro. Volatility moves were all sharply downwards and ended at 4-7%. Volatilities relative to the euro were all low with the exception of the pound which remains in a high volatility regime.
  • Option volatility will probably have been low, as underlying price moves during the month were steady and moderate. Volatility of volatility remains low as well, but European and US markets showed a diverging direction. Europe increase from 80% to 101% while in the US it decreased from 113% to 73%.
  • Commodities’ price moves positive but moderate. Volatility moves were down. e.g. Oil decreased from 30% to 23% (medium down to low), Copper decreased from 23% to 16% (high down to low) and Gold largely slightly up from 8% to 9% (low).
  • Real Estate (equity) price moves largely unchanged. Volatility moves were down and finished at a tight range of 9-10% (US and Europe down from medium to low, Japan down from high to low).
  • PE Funds and hedge funds showed small losses with a decrease in volatility from 2.7% to 1.8% for the average hedge fund (still low) and decrease from 11.7% to 9.1% (high down to medium) for the average PE fund.

Read the full Market Risk Report here.here.