News & events

Wind of change?

The Arkus Risk Team
  • Volatilities were down. Asset volatilities were all low-medium with the exception of Gold (high).
  • Realized volatility (of the Euro Stoxx50 index over 30 days) was unchanged at 8.3% (low).
  • Equity market prices eaked out small gains with volatility trends unchanged. Sector volatilities spanned a range of 7%-11% and were low relative to the last 12 months.
  • Sovereign bond price moves were up significantly (again). Volatility trends were all down finishing the month in a range of 1.2%-6.0% (all medium).
  • FX moves against the EUR were mixed. The Euro lost 1.5% against the Yen, lost 2.2% against the US Dollar, lost 0.8% against the Swiss Pound but gained 1.7% against the British Pound. Volatility moves were largely unchanged and remain low with the exception of the pound (medium). FX Volatility is ranging between 3.4% and 7.0%.
  • Option volatility will probably have been moderate, as underlying price moves during the month were small but volatility of implied volatility in Europe (Vstoxx) and the US (Vix) picked up.
  • Commodities’ price moves were mixed with Gold +0.9%, Oil -2.1%, Copper -1.5% and Iron Ore +3.9%. Volatilities were all down.
  • Real Estate (equity) price moves were moderately positive with Europe +0.1%, The US +1.4% and Japan +2.2%. Volatility moves were small with no change in regime (all low to medium).
  • PE Funds were up +2.2% and hedge funds were unchanged (+0.3%). Volatility was unchanged at 1.8% (low) for the average hedge fund and the average PE fund volatility reduced from 10.5% to 7.6% (high down to medium).

Read the full Market Risk Report Here.