RiskWatch provides recent data on volatility and correlation, the two components of risk, for U.S. and global equity and fixed-income markets. The equity data are derived from Axioma's medium-term fundamental risk model. The first set of tables is designed to capture U.S. market sectors plus countries and currencies with the highest and lowest levels of volatility and how that component of risk has changed since the end of the prior quarter. The highest and lowest correlated countries within developed and emerging markets are also highlighted. Another table illustrates how currency volatility has been a major driver of risk in multicountry benchmarks as well as a cause for concern in individual countries. The Russell 1000 correlation chart shows median asset-to-asset correlations for rolling 20- and 60-day periods for all assets in the index. The fixed-income data, detailed in the multiasset-class section, consist of U.S. and eurozone government yields, investment-grade and subinvestment-grade spreads as well as correlations among those asset classes and selected currencies. Data are as of Dec. 31, 2016. Change compares to the previous quarter.
U.S. market volatility
Predicted volatility by currency*
Predicted volatility by country*
Russell 1000 correlations
Median asset-asset correlations for rolling 20- and 60-day periods for all assets in the index.
|U.S. T-note 10-year (yield)||2.46%||15.1 bps||68.26%||-0.14%|
|U.S. inv. grade (spread)||67 bps||-14.6 bps||21.36%||-0.02%|
|U.S. high yield (spread)||155 bps||-45.6 bps||28.14%||-0.05%|
|Euro gov't 10-year (yield)||0.24%||-46.9 bps||56.55%||-0.21%|
|Euro inv. grade (spread)||74 bps||16.3 bps||29.04%||0.07%|
|Euro high yield (spread)||133 bps||9.1 bps||35.42%||0.11%|
|U.S. high yield||Euro gov't|
|Euro high yield||Russell 1000||Russell 2000||FTSE||Euro||Pound||Yen|
|U.S. T-note 10-year (yield)||1.00||-0.22||-0.59||0.68||-0.40||-0.29||0.40||0.40||0.36||-0.12||0.26||-0.45|
|U.S. inv. grade (spread)||-0.22||1.00||0.50||-0.19||0.21||0.34||-0.19||-0.14||-0.34||-0.16||-0.26||0.16|
|U.S. high yield (spread)||-0.59||0.50||1.00||-0.44||0.35||0.58||-0.56||-0.47||-0.71||-0.05||-0.34||0.35|
|Euro gov't 10-year (yield)||0.68||-0.19||-0.44||1.00||-0.52||-0.32||0.19||0.16||0.21||-0.01||0.20||-0.39|
|Euro inv. grade (spread)||-0.40||0.21||0.35||-0.52||1.00||0.49||-0.12||-0.07||-0.18||-0.06||-0.17||0.26|
|Euro high yield (spread)||-0.29||0.34||0.58||-0.32||0.49||1.00||-0.30||-0.21||-0.49||-0.14||-0.34||0.28|
U.S. and euro spread curves are now defined as the spread over the swap curve (previously spread over the government curve). Emerging markets sections include only countries in the FTSE Emerging Markets index.
*Numeraire: U.S. dollar.
**In excess of the global market.