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 March 29, 2013, except for U.S. data, which are as of March 28, 2013.
| Predicted volatility by industry |
| U.S. market |
| 10 most volatile |
|---|
| Airlines | 22.7 | -0.6 | | Building products | 20.3 | -2.0 | | Automobiles | 20.2 | -3.3 | | Energy equipment & svcs. | 19.7 | -0.8 | | Household durables | 19.4 | -1.6 | | Construction materials | 19.3 | -1.3 | | Metals & mining | 19.2 | -1.5 | | Marine | 19.0 | 0.4 | | Auto components | 18.4 | -2.8 | | Personal products | 18.3 | -1.0 |
| Â | | 10 least volatile |
|---|
| Food products | 13.9 | -0.9 | | Diversified telecom. svcs. | 14.0 | -1.7 | | Pharmaceuticals | 14.0 | -1.6 | | Beverages | 14.0 | -1.9 | | Tobacco | 14.0 | -1.5 | | Food & staples retailing | 14.1 | -1.5 | | Thrifts & mortgage finance | 14.1 | -1.6 | | Household products | 14.2 | -1.4 | | Independent power prod. | 14.3 | -1.5 | | Health-care equip. & supp. | 14.5 | -1.4 |
|
| Â |
| Index volatility |
 |
| Â |
| Predicted volatility by currency* |
| Developed markets | | 10 most volatile |
|---|
| New Zealand dollar | 8.8 | -0.8 | | Swedish krona | 8.6 | -0.8 | | Japanese yen | 8.2 | 0.8 | | Australian dollar | 7.9 | -0.8 | | Norwegian krone | 7.8 | -0.9 | | Swiss franc | 7.8 | -0.1 | | Euro | 7.2 | -0.2 | | Danish krone | 7.2 | -0.2 | | British pound | 6.2 | 0.2 | | Canadian dollar | 5.9 | -0.1 |
| Â | | Emerging markets | | 10 most volatile |
|---|
| Hungarian forint | 12.6 | -1.4 | | Namibian dollar | 12.5 | -0.8 | | South African rand | 12.4 | -0.8 | | Polish zloty | 10.8 | -1.4 | | Czech koruna | 9.9 | -1.2 | | Serbian dinar | 9.9 | -0.7 | | Brazilian real | 9.2 | -0.1 | | Mexican peso | 8.9 | -0.7 | | Romanian new leu | 8.8 | 0.2 | | Russian ruble | 8.4 | -1.5 |
|
| Â |
| Predicted volatility by country** |
| Developed markets |
| 5 most volatile |
|---|
| Greece | 31.9 | 0.0 | | Spain | 17.8 | -1.7 | | Italy | 17.5 | -1.2 | | Portugal | 16.9 | 0.4 | | Ireland | 16.7 | -0.3 |
| Â | | 5 least volatile |
|---|
| Canada | 9.9 | -1.7 | | South Korea | 11.1 | -0.7 | | New Zealand | 11.3 | -0.9 | | Australia | 11.6 | -1.2 | | Denmark | 11.8 | -2.0 |
|
| Emerging markets |
| 10 most volatile |
|---|
| Egypt | 23.9 | -3.4 | | Thailand | 16.2 | 1.7 | | China | 16.1 | -0.1 | | Turkey | 16.0 | 1.6 | | U.A.E. | 15.6 | 1.5 |
| Â | | 10 least volatile |
|---|
| South Africa | 9.1 | -0.5 | | Chile | 10.6 | -1.1 | | Czech Republic | 10.7 | -0.7 | | Mexico | 10.9 | -0.9 | | Hungary | 11.0 | -1.5 |
|
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| Country-country correlations** |
| Developed markets |
| Highest correlations |
|---|
| France | Belgium | 0.7 | | France | Germany | 0.7 | | France | Netherlands | 0.7 | | Spain | Italy | 0.7 | | Germany | Netherlands | 0.7 |
| Â | | Lowest correlations |
|---|
| U.S. | South Korea | -0.5 | | Japan | Germany | -0.3 | | U.S. | Hong Kong | -0.3 | | U.S. | Singapore | -0.3 | | Japan | Belgium | -0.3 |
|
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| Emerging markets |
| Highest correlations |
|---|
| Pakistan | Morocco | 0.4 | | Czech Repub. | Hungary | 0.3 | | Indonesia | Philippines | 0.3 | | Malaysia | Morocco | 0.3 | | Czech Repub. | Poland | 0.3 |
| Â | | Lowest correlations |
|---|
| India | Chile | -0.2 | | China | India | -0.2 | | China | Brazil | -0.2 | | Mexico | U.A.E. | -0.2 | | Russian Fed. | Morocco | -0.2 |
|
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| Risk in Asia |
 |
 | | Multiasset-class data |
| Risk |
|
|---|
| US T-Note 10-year (yield) | 1.85% | 10 | 0.67% | -0.05% | | US IG (spread) | 193 bps | -4 | 10.71% | 0.35% | | US HY (spread) | 400 bps | -35 | 14.02% | 0.05% | | EUR Gov 10-year (yield) | 1.34% | 4 | 0.75% | -0.04% | | EUR IG (spread) | 241 bps | -21 | 16.35% | -0.36% | | EUR HY (spread) | 462 bps | -33 | 16.46% | -0.04% |
|
| Asset correlations |
|
|---|
| US T-Note 10-year (yield) | 1 | -0.43 | -0.53 | 0.69 | -0.44 | -0.33 | 0.57 | 0.52 | 0.46 | | US IG (spread) | | 1 | 0.67 | -0.37 | 0.36 | 0.34 | -0.33 | -0.29 | -0.37 | | US HY (spread) | | | 1 | -0.41 | 0.42 | 0.36 | -0.35 | -0.31 | -0.38 | | EUR Gov 10-year (yield) | | | | 1 | -0.47 | -0.34 | 0.42 | 0.41 | 0.49 | | EUR IG (spread) | | | | | 1 | 0.57 | -0.34 | -0.32 | -0.36 | | EUR HY (spread) | | | | | | 1 | -0.18 | -0.16 | -0.3 |
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| *Numeraire: U.S. dollar. **In excess of the global market; emerging markets section includes only countries in the FTSE Emerging Markets index. |
| Source: Axioma |
