News & events

Tightrope Walk

The Arkus Risk Team
  • Volatilities were almost all down. Asset volatilities were very low with a few exceptions for government bonds and real estate.
  • Realized volatility (of the Euro Stoxx50 index over 30 days) fell from 9.5% to 5.3% (low).
  • Equity market price moves were positive with volatility trends all down significantly. Sector volatilities spanned a range of 6%-13% and were low relative to the last 12 months.
  • Sovereign bond price moves were mostly down. Volatility trends were unchanged with the exception of German Bunds increasing from 3.6% to 4.2% (medium to high).
  • FX moves were small with the exception of CHF. The Swiss pound lost 2.4% against the Euro. Volatility moves were all unchanged or lower, especially the British pound declined in volatility from 10.5% (high) to 5.1% (low)
  • Option volatility will probably have been low, as underlying price moves during the month were not significant and implied volatility in Europe (Vstoxx) and the US (Vix) was almost unchanged (still low)
  • Commodities’ price moves were mixed. Oil continued its rise (+6.4%), Iron Ore (+5.9%), with Gold and Copper largely unchanged. Volatilities were all down (all low). Especially Gold dropped in volatility from 11.3% (high) to 8.2% (low)
  • Real Estate (equity) price moves were noticeably negative with aggregate valuations in Europe, Japan and the US decreasing between 1.4% and 3.7. Volatility moves were mixed with the US and Europe increasing (low to medium) but Japan decreasing (medium to low).
  • PE Funds showed strong gains again (+4.4%) whereas hedge funds were unchanged. Volatility decreased further from 1.1% to 0.9% for the average hedge fund (still low) and from 7.4% to 5.9% (medium to low) for the average PE fund.

Read the full Market Risk Report here.