The Arkus Risk Team
- Volatilities show a mixed but moderate picture. Equity market volatility was up, Commodity volatility was down, all other asset volatilities were relatively unchanged.
- Realized volatility (of the Euro Stoxx50 index over 30 days) increased 7.1% to 13.7% (low up to high)
- Equity markets closed the month higher and, in some cases, reached all-time highs. Sector volatilities spanned a range of 9%-17% and were all medium except for financials (high).
- Sovereign bond price moves were down. Volatility moves were all down but small. Volatility regimes were unchanged finishing in a range of 2.1% to 5.1%, all high except for Italy (high)
- FX moves against the EUR were mild, but the EUR increased against most major currencies. The euro gained +2.2% against the US Dollar, gained +2.1% against the Japanese Yen, gained +1.1% against the Swiss Franc and lost -2.9% against the British Pound. FX volatility moves were all down except for the British Pound which is now considered to be in a high volatility regime. FX Volatility is ranging between 3.8% and 10.2%.
- Option volatility was unchanged as a result of moderate underlying price moves during the month and volatility of implied volatility in Europe (Vstoxx) and the US (Vix).
- Commodities’ price moves were mixed with Gold +3.3%, Brent crude -0.9%, Copper +2.3% and Iron Ore -8.9%. Volatilities were all down significantly (low-medium).
- Real Estate (equity) price moves were positive again with Europe +1.5%, US +3.0% and Japan +2.6%. Volatility moves were mixed, ranging from 8.2% to 13.7%. The US and Japan ended in a low volatility regime ad Europe in a high volatility regime.
- PE Funds and hedge funds were slightly down (-1.4% and -0.2% respectively). Volatility for the average hedge fund changed from 1.7% to 1.3% (low) and changed from 7.9% to 9.3% (medium up to high) for the average PE fund.
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