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 28, 2013.
| Predicted volatility by industry |
| U.S. market |
| 10 most volatile |
|---|
| Airlines | 22.9 | 0.2 | | Automobiles | 22.1 | 1.9 | | Construction materials | 21.9 | 2.5 | | Building products | 21.8 | 1.5 | | Household durables | 21.2 | 1.8 | | Metals & mining | 21.2 | 2.0 | | Energy equipment & svcs. | 20.5 | 0.7 | | Construction & engineering | 20.2 | 2.4 | | Auto components | 20.1 | 1.7 | | Marine | 19.6 | 0.6 |
| | | 10 least volatile |
|---|
| Pharmaceuticals | 14.1 | 0.1 | | Health-care equip. & supp. | 14.6 | 0.2 | | Food products | 14.8 | 0.9 | | Tobacco | 14.9 | 0.9 | | Health-care prov. & svcs. | 15.0 | 0.5 | | Media | 15.0 | 0.2 | | Thrifts & mortgage finance | 15.1 | 0.9 | | Beverages | 15.3 | 1.2 | | Food & staples retailing | 15.5 | 1.4 | | Internet software & svcs. | 15.6 | 1.0 |
|
| |
| Index volatility |
 |
| |
| Predicted volatility by currency* |
| Developed markets | | 10 most volatile |
|---|
| Japanese yen | 11.9 | 3.7 | | Swedish krona | 10.8 | 2.2 | | New Zealand dollar | 10.4 | 1.6 | | Norwegian krone | 10.4 | 2.5 | | Australian dollar | 9.6 | 1.7 | | Swiss franc | 9.2 | 1.4 | | Euro | 8.0 | 0.7 | | Danish krone | 7.9 | 0.7 | | British pound | 6.9 | 0.6 | | Canadian dollar | 6.7 | 0.8 |
| | | Emerging markets | | 10 most volatile |
|---|
| Namibian dollar | 14.2 | 1.8 | | South African rand | 14.2 | 1.8 | | Hungarian forint | 13.5 | 0.9 | | Polish zloty | 12.6 | 1.7 | | Brazilian real | 11.0 | 1.7 | | Mexican peso | 10.8 | 1.9 | | Czech koruna | 10.5 | 0.5 | | Romanian new leu | 10.1 | 1.3 | | Serbian dinar | 9.8 | -0.1 | | Russian ruble | 9.4 | 0.9 |
|
| |
| Predicted volatility by country* |
| Developed markets |
| 5 most volatile |
|---|
| Greece | 32.5 | 0.6 | | Japan | 21.4 | 6.3 | | Portugal | 20.5 | 3.6 | | Spain | 20.1 | 2.3 | | Finland | 19.0 | 4.1 |
| | | 5 least volatile |
|---|
| Singapore | 14.5 | 2.7 | | Australia | 14.2 | 2.6 | | South Korea | 14.0 | 2.9 | | New Zealand | 13.3 | 2.0 | | Canada | 12.5 | 2.6 |
|
| Emerging markets |
| 10 most volatile |
|---|
| Egypt | 24.2 | 0.3 | | Turkey | 21.6 | 5.6 | | U.A.E. | 20.5 | 5.0 | | Thailand | 20.3 | 4.2 | | Indonesia | 20.0 | 5.2 |
| | | 10 least volatile |
|---|
| Chile | 13.9 | 3.3 | | Colombia | 13.3 | 2.0 | | Czech Republic | 13.2 | 2.4 | | Hungary | 13.1 | 2.1 | | South Africa | 12.1 | 3.0 |
|
| |
| Country-country correlations** |
| Developed markets |
| Highest correlations |
|---|
| France | Germany | 0.75 | | France | Belgium | 0.73 | | France | Netherlands | 0.71 | | Germany | Netherlands | 0.69 | | Spain | Italy | 0.68 |
| | | Lowest correlations |
|---|
| U.S. | South Korea | -0.47 | | U.S. | Singapore | -0.41 | | Japan | Germany | -0.41 | | Japan | Belgium | -0.38 | | U.S. | Hong Kong | -0.37 |
|
| |
| Emerging markets |
| Highest correlations |
|---|
| Pakistan | Morocco | 0.35 | | Poland | Hungary | 0.34 | | Malaysia | Morocco | 0.30 | | Czech Repub. | Poland | 0.29 | | Czech Repub. | Hungary | 0.26 |
| | | Lowest correlations |
|---|
| Egypt | Poland | -0.23 | | Indonesia | Poland | -0.23 | | Philippines | Poland | -0.23 | | Brazil | Taiwan | -0.22 | | India | Chile | -0.22 |
|
| |
| Close-up look at select emerging markets |
| Change compares previous quarter |
| Highest risk (non-FTSE EM) |
|---|
| Argentina | 28.6 | | Bangladesh | 26.4 | | Nigeria | 26.1 | | Ukraine | 25.2 | | Vietnam | 24.3 |
| | | Lowest risk (non-FTSE EM) |
|---|
| Slovakia | 12.2 | | Namibia | 12.2 | | Ecuador | 12.0 | | Malta | 11.5 | | Lebanon | 10.8 |
|
| |
| Major markets |
|---|
| China | 17.5 | 1.4 | | Brazil | 14.2 | 3.0 | | Taiwan | 14.8 | 1.1 | | India | 17.2 | 1.8 | | Russian Federation | 16.7 | 3.0 |
| | | Largest increases (non-FTSE EM) |
|---|
| Argentina | 28.6 | 5.0 | | Bangladesh | 26.4 | 3.6 | | Venezuela | 17.6 | 3.3 | | Oman | 16.5 | 3.3 | | Slovakia | 12.2 | 3.2 |
|
| |
| Largest decreases/smallest increases (non-FTSE EM) |
|---|
| Sri Lanka | 16.8 | 1.1 | | Cyprus | 18.8 | 1.1 | | Vietnam | 24.3 | 0.2 | | Bulgaria | 21.7 | -1.2 | | Ukraine | 25.2 | -2.7 |
|
| | Multiasset-class data |
| Risk |
|
|---|
| US T-Note 10 year (yield) | 2.48% | 64 | 0.67% | 0.00% | | US IG (spread) | 221 bps | 28 | 11.62% | 0.91% | | US HY (spread) | 460 bps | 60 | 16.38% | 2.37% | | EUR Gov't 10 year (yield) | 1.74% | 40 | 0.70% | -0.05% | | EUR IG (spread) | 216 bps | -26 | 19.01% | -2.65% | | EUR HY (spread) | 428 bps | -35 | 17.11% | 0.91% |
|
| Asset correlations |
|
|---|
| US T-Note 10 year (yield) | 1.00 | -0.24 | -0.33 | 0.67 | -0.33 | -0.28 | 0.35 | 0.32 | 0.32 | | US IG (spread) | | 1.00 | 0.71 | -0.20 | 0.37 | 0.42 | -0.25 | -0.23 | -0.40 | | US HY (spread) | | | 1.00 | -0.22 | 0.45 | 0.47 | -0.34 | -0.30 | -0.47 | | EUR Gov't 10 year (yield) | | | | 1.00 | -0.34 | -0.26 | 0.30 | 0.30 | 0.38 | | EUR IG (spread) | | | | | 1.00 | 0.59 | -0.19 | -0.15 | -0.37 | | EUR HY (spread) | | | | | | 1.00 | -0.18 | -0.17 | -0.38 |
|
| *Numeraire: U.S. dollar. **In excess of the global market; emerging markets section includes only countries in the FTSE Emerging Markets index. |
| Source: Axioma |
