INTERACTIVE

Riskwatch for January 23, 2017

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
U.S. indexesCurrentChange
Russell 1000 10.5 -1.5
Russell 2000 15.5 -0.7
 
U.S. sectorsCurrentChange
Energy 23.0 -1.7
Financials 15.9 -1.3
Real estate 15.3 0.8
Telecommunication services 15.0 1.2
Utilities 14.5 1.1
Health care 14.5 0.7
Materials 13.8 -2.6
Information technology 13.6 -1.4
Industrials 13.1 -0.6
Consumer discretionary 12.3 -1.5
Consumer staples 10.1 -0.3
Index volatility
Predicted volatility by currency*
Developed markets
10 most volatileCurrentChange
British pound 12.0 -0.2
Japanese yen 11.4 0.9
New Zealand dollar 11.2 -1.1
Norwegian krone 11.0 -0.6
Australian dollar 10.1 -1.0
Swedish krona 9.6 0.4
South Korean won 9.0 -0.8
Euro 8.9 0.5
Danish krone 8.9 0.4
Swiss franc 8.9 0.1
 
Emerging markets**
10 most volatileCurrentChange
South African rand 19.3 0.0
Brazilian real 17.8 -0.5
Colombian peso 16.7 -1.3
Russian ruble 16.2 -0.9
Mexican peso 15.2 2.1
Polish zloty 11.2 0.2
Turkish lira 11.2 1.1
Hungarian forint 10.7 0.4
Chilean peso 10.5 -0.1
Romanian new leu 9.1 0.4
Predicted volatility by country*
Developed markets
5 most volatileCurrentChange
Italy 17.9 -2.4
Japan 17.3 -3.7
Portugal 17.2 -3.2
Spain 16.9 -2.9
Ireland 16.3 -3.3
 
5 least volatileCurrentChange
Canada 10.4 -1.9
Singapore 11.7 -1.7
New Zealand 11.8 -1.3
United States 12.4 -1.7
Australia 12.4 -1.9
Emerging markets**
10 most volatileCurrentChange
Egypt 28.3 7.1
Greece 25.3 -4.7
Turkey 18.7 -2.4
Thailand 17.3 0.5
Brazil 17.2 0.2
 
10 least volatileCurrentChange
Malaysia 10.6 -1.5
Czech Republic 10.8 -1.4
Hungary 10.8 -1.4
Russian Federation 10.9 -0.7
Chile 11.2 -0.3
Country-country correlations**
Developed markets
Highest correlationsCurrent
France Netherlands 0.8
France Germany 0.8
Spain France 0.76
Germany Netherlands 0.76
France Italy 0.76
 
Lowest correlationsCurrent
Spain U.S. -0.43
U.S. South Korea -0.40
U.S. Japan -0.38
U.S. Portugal -0.38
U.S. France -0.34
Emerging markets
Highest correlationsCurrent
Czech Republic Hungary 0.38
Pakistan Morocco 0.35
Brazil Mexico 0.31
Poland Hungary 0.30
Mexico Chile 0.27
 
Lowest correlationsCurrent
China Mexico -0.37
China South Africa -0.31
China Indonesia -0.30
China Thailand -0.28
India Malaysia -0.26
Russell 1000 correlations
Median asset-asset correlations for rolling 20- and 60-day periods for all assets in the index.
Multiasset-class data
Risk
LevelChangeStandard deviationChange
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%
Euro 1.05 -2.90% 8.93% 0.45%
British pound 1.24 -16.16% 11.96% -0.24%
Japanese yen 116.63 -3.04% 11.45% 0.91%
Asset-class correlations
U.S.
10-year
U.S.
inv. grade
U.S. high yieldEuro gov't
10-year
Euro
inv. grade
Euro high yieldRussell 1000Russell 2000FTSEEuroPoundYen
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
Euro -0.12 -0.16 -0.05 -0.01 -0.06 -0.14 0.00 -0.05 0.20 1.00 0.57 0.40
British pound 0.26 -0.26 -0.34 0.20 -0.17 -0.34 0.30 0.28 0.51 0.57 1.00 -0.05
Japanese yen -0.45 0.16 0.35 -0.39 0.26 0.28 -0.32 -0.31 -0.33 0.40 -0.05 1.00
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.
Source: Axioma