INTERACTIVE

Riskwatch for July 24, 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 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 June 30, 2017. Change compares to the previous quarter.
U.S. market volatility*
U.S. indexesCurrentChange
Russell 1000 7.7 -0.5
Russell 2000 12.8 -0.4
 
U.S. sectorsCurrentChange
Energy 20.3 1.2
Telecommunication svcs. 14.3 -0.1
Financials 13.1 -1.7
Real estate 11.6 -2.2
Materials 11.4 -1.7
Health care 11.0 -1.8
Information technology 10.8 -0.7
Industrials 10.7 -1.5
Utilities 10.4 -1.9
Consumer discretionary 9.5 -1.0
Consumer staples 8.0 -1.0
*US4 risk model forecast
Index volatility
Predicted volatility by currency*
Developed markets
10 most volatileCurrentChange
British pound 9.7 -1.52
Japanese yen 9.6 -1.48
New Zealand dollar 9.0 -1.49
Norwegian krone 8.6 -1.77
Australian dollar 8.2 -1.30
Swedish krona 8.2 -1.28
South Korean won 7.8 -1.43
Canadian dollar 7.3 -1.03
Euro 7.1 -1.35
Danish krone 7.1 -1.32
 
Emerging markets**
10 most volatileCurrentChange
South African rand 16.0 -2.84
Brazilian real 12.9 -3.10
Colombian peso 12.8 -2.53
Mexican peso 12.2 -2.78
Russian ruble 12.1 -1.53
Turkish lira 12.1 -1.67
Egyptian pound 10.8 2.18
Polish zloty 9.1 -1.30
Hungarian forint 8.8 -1.38
Chilean peso 8.6 -1.33
Predicted volatility by country*
Developed markets
5 most volatileCurrentChange
Portugal 14.7 -0.79
Italy 14.0 -2.48
Spain 13.0 -1.68
Japan 12.6 -2.14
France 12.6 -0.12
 
5 least volatileCurrentChange
Canada 8.1 -1.23
Singapore 8.6 -1.65
New Zealand 8.8 -1.39
Hong Kong 9.0 -1.49
United States 9.4 -1.46
Emerging markets**
5 most volatileCurrentChange
Greece 20.4 -3.06
Egypt 19.0 -7.92
Qatar 18.0 3.30
Pakistan 17.8 3.72
Brazil 17.3 1.36
 
5 least volatileCurrentChange
Czech Republic 8.1 -1.15
Hungary 8.7 -1.14
Malaysia 8.9 -0.56
Mexico 9.4 -2.05
Chile 9.8 -0.98
Country-country correlations**
Developed markets
Highest correlationsCurrent
France Netherlands 0.77
France Germany 0.76
France Italy 0.74
Spain France 0.73
Germany Netherlands 0.72
 
Lowest correlationsCurrent
Spain U.S. -0.44
U.S. Portugal -0.36
U.S. Hong Kong -0.36
U.S. Japan -0.36
U.S. France -0.35
Emerging markets
Highest correlationsCurrent
Czech Republic Hungary 0.35
Mexico Colombia 0.26
Hungary Morocco 0.24
Peru Colombia 0.24
Mexico Chile 0.24
 
Lowest correlationsCurrent
South Africa India -0.33
China Mexico -0.32
India Taiwan -0.30
China Brazil -0.29
China Colombia -0.26
Volatility surprise
While more than half of global industries saw their risk fall over the last three months, a few -- spanning different parts of the economy -- bucked the trend and experienced a fairly substantial increase in their volatility from the end of last quarter.
Multiasset-class data
Risk
LevelChangeStandard deviationChange
U.S. 10-year T-note (yield) 2.33% -9.6 bps 61.34% -0.05%
U.S. inv.-grade (spread) 61 bps -0.57 bps 30.77% -0.02%
U.S. high yield (spread) 287 bps -7.86 bps 67.24% -0.21%
European gov't 10-year (yield) 0.51% 17.27 bps 55.15% 0.00%
European inv.-grade (spread) 62 bps -11.25 bps 38.07% 0.01%
European high yield (spread) 227 bps -27.67 bps 85.80% -0.07%
Euro** 1.14 6.64% 7.12% -1.35%
British pound** 1.30 3.88% 9.66% -1.52%
Japanese yen** 112.36 0.83% 9.59% -1.48%
Asset-class correlations
U.S.
10-year
T-note
U.S.
investment
grade
U.S.
high
yield
Euro
gov't
10-year
Euro
investment
grade
Euro
high
yield
Russell 1000Russell 2000FTSEEuroPoundYen
U.S. 10-year T-note (yield) 1.00 -0.09 -0.53 0.66 -0.18 -0.09 0.22 0.31 0.09 -0.26 -0.10 -0.48
U.S. inv.-grade (spread) -0.09 1.00 0.48 -0.07 0.20 0.18 -0.13 -0.10 -0.14 -0.03 0.05 0.08
U.S. high yield (spread) -0.53 0.48 1.00 -0.37 0.12 0.22 -0.37 -0.33 -0.42 0.08 0.09 0.32
European gov't 10-year (yield) 0.66 -0.07 -0.37 1.00 -0.30 -0.18 0.07 0.13 0.04 -0.07 0.00 -0.43
European inv.-grade (spread) -0.18 0.20 0.12 -0.30 1.00 0.49 -0.02 -0.04 -0.09 -0.15 -0.06 0.14
European high yield (spread) -0.09 0.18 0.22 -0.18 0.49 1.00 -0.02 0.02 -0.18 -0.14 -0.13 0.15
Euro** -0.26 -0.03 0.08 -0.07 -0.15 -0.14 -0.07 -0.13 0.25 1.00 0.56 0.59
British pound** -0.10 0.05 0.09 0.00 -0.06 -0.13 0.02 0.02 0.24 0.56 1.00 0.29
Japanese yen** -0.48 0.08 0.32 -0.43 0.14 0.15 -0.17 -0.22 -0.02 0.59 0.29 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