News & events

Tariff Man

The Arkus Risk Team
  • Volatilities were all up. Asset volatilities were mostly medium with the exception of Foreign Exchange (still low).
  • Realized volatility (of the Euro Stoxx50 index over 30 days) rose very significantly from 5.3% to 13.7% (low up to high).
  • Equity market price moves were all down with volatility trends all up significantly. Sector volatilities spanned a range of 9%-19% and were medium relative to the last 12 months.
  • Sovereign bond price moves were mostly up. Volatility trends were either down or unchanged with the exception of the US which increased from 3.4% to 4.3% (medium up to high).
  • FX moves against the EUR were mixed. The Euro lost 3.2% against the Yen, lost 2.2% against the Swiss Pound, was largely unchanged against the Dollar but gained 2.8% against the British Pound. Volatility moves were largely unchanged and remain low. FX Volatility is ranging between 3.5% and 6%.
  • Option volatility will probably have been high, as underlying price moves during the month were significant and volatility of implied volatility in Europe (Vstoxx) and the US (Vix) was very high.
  • Commodities’ price moves were mostly down (Oil -11.4%, Copper -9%), with the exception of Iron Ore (+12.4%) and Gold (+1.6%). Volatilities were all up (low up to medium). Especially Oil saw a large increase in volatility from 18.3% (low) to 28.1% (medium).
  • Real Estate (equity) price moves were mixed. While the US and Europe saw a small decline in valuations (-0.1% and -0.4% respectively), Japan saw a 1.3% increase. Volatility moves were also mixed with the US and Europe slightly decreasing (still medium) but Japan increasing from 7.4% to 11.4% (low up to medium).
  • PE Funds showed strong gains again (+3%) whereas hedge funds were down (-1%). Volatility increased from 0.9% to 2.1% for the average hedge fund (still low) and from 5.9% to 6.2% (still low) for the average PE fund.

Read the full Market Risk Report Here.