October 15, 2012 01:00 AM
Riskwatch for Oct. 15, 2012
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 Sept. 28.
|Predicted volatility by industry|
|Predicted volatility by currency*|
|Predicted volatility by country**|
|Select developed markets-emerging markets correlations|
|*Numeraire: U.S. dollar. **In excess of the global market.|