| 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-horizon fundamental risk model. The first set of tables is designed to capture U.S. industries, 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. The fixed-income data consist of government yields, investment-grade and subinvestment-grade spreads for the U.S. and eurozone. Correlations between the fixed-income yields, spreads and equity indexes are provided in the multiasset-class section. Data are as of June 29. |
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| Predicted volatility by industry |
| U.S. market |
| 10 most volatile |
|---|
| Airlines | 27.7 | -4.1 | | Building products | 26.2 | -2.1 | | Household durables | 25.8 | -1.3 | | Automobiles | 25.4 | -4.5 | | Energy equipment & svcs. | 24.8 | -3.3 | | Construction materials | 24.7 | -1.1 | | Auto components | 23.9 | -2.9 | | Real estate mgmt. & dev. | 23.8 | -0.9 | | Metals & mining | 23.7 | -4.2 | | Marine | 23.6 | -2.1 |
| | | 10 least volatile |
|---|
| Tobacco | 16.9 | -2.2 | | Divers. telecom svcs. | 17.8 | -3.6 | | Food products | 18 | -2.4 | | Pharmaceuticals | 18 | -2.7 | | Household products | 18.6 | -2.4 | | Food & staples retailing | 18.6 | -3.1 | | Electric utilities | 18.6 | -3.2 | | Multi utilities | 18.7 | -3.3 | | Ind. power producers | 18.7 | -3.1 | | Internet software & svcs. | 18.7 | -3 |
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| |
| Index volatility |
 |
| |
| Predicted volatility by currency |
| Developed markets | | 10 most volatile |
|---|
| Swedish krona | 12.4 | -1.1 | | New Zealand dollar | 12 | -1.1 | | Australian dollar | 11.9 | -1.3 | | Norwegian krone | 11.6 | -1.4 | | Swiss franc | 10.6 | -0.8 | | Euro | 9.6 | -0.9 | | Danish krone | 9.6 | -0.9 | | Canadian dollar | 8.1 | -0.8 | | Japanese yen | 7.9 | -0.1 | | South Korean won | 7.4 | -1.4 |
| | | Emerging markets | | 10 most volatile |
|---|
| Hungarian forint | 18 | -0.5 | | Polish zloty | 15.9 | -0.7 | | Namibian dollar | 15.8 | -0.4 | | South African rand | 15.8 | -0.4 | | Czech koruna | 13.8 | -0.3 | | Brazilian real | 13.7 | 0.5 | | Serbian dinar | 12.3 | -0.6 | | Russian ruble | 12 | 0.7 | | Mexican peso | 11.7 | 0.2 | | Romanian new leu | 11.3 | -1.3 |
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| |
| Predicted volatility by country* |
| Developed markets |
| 5 most volatile |
|---|
| Greece | 37.8 | 7 | | Italy | 23.7 | 0.9 | | Spain | 23.5 | 1.3 | | Finland | 22.8 | -0.7 | | Ireland | 21.5 | -2.5 |
| | | 5 least volatile |
|---|
| Canada | 14.8 | -1 | | New Zealand | 15.2 | -1.5 | | South Korea | 16 | -1.9 | | Australia | 16.8 | -1.5 | | Switzerland | 17.3 | -2.3 |
|
| Emerging markets |
| 10 most volatile |
|---|
| Bangladesh | 36.5 | -7.6 | | Ukraine | 36.5 | 5.2 | | Egypt | 31.8 | 1.5 | | Argentina | 29.6 | 2 | | Vietnam | 29.4 | -1.3 |
| | | 10 least volatile |
|---|
| Lebanon | 12.2 | -1.7 | | Malta | 13 | -1.6 | | South Africa | 13 | -1.8 | | Trinidad and Tobago | 13.3 | -1.7 | | Ecuador | 13.5 | -1.7 |
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| |
| Country-country correlations* |
| Developed markets |
| Highest correlations |
|---|
| France | Netherlands | 0.76 | | Belgium | France | 0.73 | | Italy | Spain | 0.71 | | France | Italy | 0.7 | | France | Germany | 0.69 |
| | | Lowest correlations |
|---|
| U.S. | South Korea | -0.5 | | U.S. | Singapore | -0.4 | | U.S. | Japan | -0.36 | | U.S. | Hong Kong | -0.36 | | U.S. | Denmark | -0.33 |
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| |
| Emerging markets |
| Highest correlations |
|---|
| Qatar | Saudi Arabia | 0.56 | | Qatar | U.A.E. | 0.55 | | Bahrain | Kuwait | 0.5 | | Oman | U.A.E. | 0.49 | | Kenya | Nigeria | 0.48 |
| | | Lowest correlations |
|---|
| Kazakhstan | Trinidad/Tobago | -0.29 | | Kazakhstan | Botswana | -0.28 | | Kazakhstan | Namibia | -0.24 | | Kazakhstan | Ecuador | -0.23 | | Kazakhstan | Chile | -0.21 |
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| |
| Spotlight on Europe |
| Predicted risk of select European countries from Axioma's short-horizon fundamental model |
 |
| |
| Multiasset-class data |
| Risk |
| |
|---|
| US T-Note 10 year (yield) | 1.66% | -56 | 1.03% | 0.01% | | US IG (spread) | 277 bps | 34 | 16.81% | -1.69% | | US HY (spread) | 575 bps | 26 | 20.66% | -1.15% | | EUR Gov't 10 year (yield) | 1.59% | -20 | 1.06% | 0.01% | | EUR IG (spread) | 404 bps | 72 | 23.87% | 1.10% | | EUR HY (spread) | 741 bps | 24 | 30.87% | -2.98% |
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| Asset correlations |
|
|---|
| US T-Note 10 year (yield) | 1 | -0.29 | -0.48 | 0.65 | -0.26 | -0.33 | 0.6 | 0.54 | 0.54 | | US IG (spread) | | 1 | 0.63 | -0.22 | 0.46 | 0.46 | -0.22 | -0.19 | -0.33 | | US HY (spread) | | | 1 | -0.3 | 0.38 | 0.49 | -0.33 | -0.31 | -0.34 | | EUR Gov't 10 year (yield) | | | | 1 | -0.34 | -0.4 | 0.56 | 0.51 | 0.61 | | EUR IG (spread) | | | | | 1 | 0.39 | -0.28 | -0.28 | -0.35 | | EUR HY (spread) | | | | | | 1 | -0.25 | -0.22 | -0.38 |
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| *In excess of the global market. |
| Source: Axioma |
