Skip to main content
MENU
Subscribe
  • Subscribe
  • Account
  • LOGIN
  • Topics
    • Alternatives
    • Consultants
    • Coronavirus
    • Courts
    • Defined Contribution
    • ESG
    • ETFs
    • Hedge Funds
    • Industry Voices
    • Investing
    • Money Management
    • Opinion
    • Partner Content
    • Pension Funds
    • Private Equity
    • Real Estate
    • Russia-Ukraine War
    • SECURE Act 2.0
    • Special Reports
    • White Papers
  • Rankings & Awards
    • 1,000 Largest Retirement Plans
    • Top-Performing Managers
    • Largest Money Managers
    • DC Money Managers
    • DC Record Keepers
    • Largest Hedge Fund Managers
    • World's Largest Retirement Funds
    • Best Places to Work in Money Management
    • Excellence & Innovation Awards
    • Eddy Awards
  • ETFs
    • Latest ETF News
    • Fund Screener
    • Education Center
    • Equities
    • Fixed Income
    • Commodities
    • Actively Managed
    • Alternatives
    • ESG Rated
  • ESG
    • Latest ESG News
    • The Institutional Investor’s Guide to ESG Investing
    • Climate Change: The Inescapable Opportunity
    • Impact Investing
    • 2022 ESG Investing Conference
    • ESG Rated ETFs
  • Defined Contribution
    • Latest DC News
    • DC Money Manager Rankings
    • DC Record Keeper Rankings
    • Innovations in DC
    • Trends in DC: Focus on Retirement Income
    • 2022 Defined Contribution East Conference
    • 2022 DC Investment Lineup Conference
  • Searches & Hires
    • Latest Searches & Hires News
    • Searches & Hires Database
    • RFPs
  • Performance Data
    • P&I Research Center
    • Earnings Tracker
    • Endowment Returns Tracker
    • Corporate Pension Contribution Tracker
    • Pension Fund Returns Tracker
    • Pension Risk Transfer Database
    • Future of Investments Research Series
    • Charts & Infographics
    • Polls
  • Careers
  • Events
    • View All Conferences
    • View All Webinars
    • 2022 Innovation Investing Conference
    • 2022 Defined Contribution East Conference
    • 2022 ESG Investing Conference
    • 2022 DC Investment Lineup Conference
    • 2022 Alternatives Investing Conference
Breadcrumb
  1. Home
  2. INTERACTIVE
April 28, 2014 01:00 AM

RiskWatch for April 28, 2014

  • Tweet
  • Share
  • Share
  • Email
  • More
    Reprints Print

    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. Another chart 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 government yields, investment-grade and subinvestment-grade spreads for the U.S. and eurozone as well as correlations between those asset classes. Data are as of March 31, 2014.

    Predicted volatility by industry
    U.S. market

    10 most volatileCurrentChange
    Marine

    21.2

    1.8
    Biotechnology

    19.6

    4.4
    Airlines

    18.5

    1.6
    Household durables

    17.1

    -0.7
    Building products

    17.1

    0.6
    Metals & mining

    16.6

    0.6
    Automobiles

    16.6

    0.4
    Construction materials

    15.8

    1.5
    Energy equipment & svcs.

    15.7

    1.0
    Office electronics

    15.2

    2.0
     

    10 least volatileCurrentChange
    Tobacco

    11.4

    1.3
    Household products

    11.7

    0.7
    Food products

    11.9

    0.8
    Independent power producers

    12.1

    1.1
    Water utilities

    12.1

    1.0
    Food & staples retailing

    12.2

    1.2
    Health care providers & svcs.

    12.3

    1.3
    Beverages

    12.4

    0.9
    Thrifts & mortgage finance

    12.6

    0.9
    Media

    12.7

    1.3
     
    Index volatility
     
    Predicted volatility by currency*

    Developed markets
    10 most volatileCurrentChange
    Norwegian krone

    10.2

    -0.5
    New Zealand dollar

    9.6

    -0.6
    Swedish krona

    9.5

    -0.7
    Australian dollar

    8.6

    -0.1
    Japanese yen

    8.2

    -1.0
    Swiss franc

    7.1

    -0.4
    Canadian dollar

    6.4

    0.6
    Euro

    6.1

    -0.4
    Danish krone

    6.1

    -0.4
    British pound

    5.9

    -0.5
     

    Emerging markets**
    10 most volatileCurrentChange
    South African rand

    11.1

    -0.6
    Turkish lira

    10.5

    1.5
    Brazilian real

    10.2

    -0.4
    Hungarian forint

    10.0

    -0.6
    Indian rupee

    9.4

    -1.1
    Polish zloty

    9.1

    -0.9
    Mexican peso

    8.7

    -0.9
    Chilean peso

    8.4

    1.1
    Russian ruble

    8.4

    1.1
    Czech koruna

    7.8

    -0.9
     
    Predicted volatility by country*
    Developed markets

    5 most volatileCurrentChange
    Greece

    28.0

    0.9
    Ireland

    19.3

    -0.5
    Japan

    19.1

    1.7
    Spain

    17.3

    1.2
    Portugal

    17.0

    0.8
     

    5 least volatileCurrentChange
    Canada

    10.5

    0.9
    South Korea

    11.2

    0.0
    New Zealand

    11.5

    0.8
    Singapore

    12.0

    0.5
    Norway

    12.5

    0.6
     
    Emerging markets**

    10 most volatileCurrentChange
    Egypt

    21.2

    -0.4
    Turkey

    20.9

    0.4
    Thailand

    19.7

    -0.6
    U.A.E.

    19.1

    -0.4
    Russian Federation

    19.0

    6.1
     

    10 least volatileCurrentChange
    Malaysia

    10.8

    -0.7
    Czech Republic

    11.1

    -0.1
    South Africa

    11.2

    0.4
    Hungary

    11.6

    0.6
    Taiwan

    12.7

    -0.4
     
    Country-country correlations**
    Developed markets

    Highest correlationsCurrent
    France

    Germany

    0.69
    Spain

    Italy

    0.68
    Germany

    Netherlands

    0.67
    France

    Belgium

    0.66
    France

    Netherlands

    0.65
     

    Lowest correlationsCurrent
    U.S.

    South Korea

    -0.45
    U.S.

    Singapore

    -0.40
    Japan

    Germany

    -0.36
    U.S.

    Japan

    -0.34
    U.S.

    Denmark

    -0.33
     
    Emerging markets

    Highest correlationsCurrent
    Thailand

    Indonesia

    0.40
    Czech Rep.

    Poland

    0.34
    Czech Rep.

    Hungary

    0.33
    Chile

    Peru

    0.27
    Russian Fed.

    Poland

    0.24
     

    Lowest correlationsCurrent
    China

    India

    -0.26
    India

    Czech Rep.

    -0.26
    China

    South Africa

    -0.23
    India

    Poland

    -0.23
    Brazil

    Malaysia

    -0.22
     
    Eastern European currency volatility
     
    Multiasset-class data
    Risk

    LevelChange (bps)Standard deviationChange
    U.S. T-Note 10-year (yield)

    2.73%

    -30

    0.77%

    0.02%
    U.S. IG (spread)

    170 bps

    -10

    12.40%

    0.67%
    U.S. HY (spread)

    371 bps

    -8

    19.86%

    2.30%
    EUR Gov't 10-year (yield)

    1.57%

    -37

    0.55%

    -0.01%
    EUR IG (spread)

    131 bps

    -18

    21.23%

    0.23%
    EUR HY (spread)

    255 bps

    -52.0

    15.57%

    -0.96%
    Asset-class correlations

    U.S. 10YU.S. IGU.S. HYEU Gov't 10YEUR IGEUR HYRussell 1000Russell 2000FTSE
    U.S. T-Note 10-year (yield)

    1.00

    -0.24

    -0.36

    0.57

    -0.16

    -0.15

    0.08

    0.05

    0.10
    U.S. IG (spread)

    1.00

    0.71

    -0.19

    0.29

    0.43

    -0.22

    -0.18

    -0.32
    U.S. HY (spread)

    1.00

    -0.20

    0.30

    0.40

    -0.24

    -0.19

    -0.33
    EUR Gov't 10-year (yield)

    1.00

    -0.23

    -0.24

    0.18

    0.16

    0.09
    EUR IG (spread)

    1.00

    0.60

    -0.06

    0.00

    -0.33
    EUR HY (spread)

    1.00

    -0.18

    -0.13

    -0.38
    Emerging markets sections include only countries in the FTSE Emerging Markets index. *Numeraire: U.S. dollar. **In excess of the global market.

    Source: Axioma

    Recommended for You
    Stay-at-home stocks fizzle
    Stay-at-home stocks fizzle
    TIPS' yields turn positive
    TIPS' yields turn positive
    Fed indicator doesn't show recession on horizon
    Fed indicator doesn't show recession on horizon
    Alternatives: Investing Across the Spectrum
    Sponsored Content: Alternatives: Investing Across the Spectrum

    Reader Poll

    May 9, 2022
    SEE MORE POLLS >
    Sponsored
    White Papers
    Are Factors a Thing of the Past?
    Q2 2022 Credit Outlook: Carry On
    Leverage does not equal risk
    Is there a mid-cap gap in your DC plan?
    Out of the Shadows: The Revolution in Shadow Accounting
    The pivotal role of fixed income markets in the ESG revolution
    View More
    Sponsored Content
    Partner Content
    The Industrialization of ESG Investment
    For institutional investors, ETFs can make meeting liquidity needs easier
    Gold: the most effective commodity investment
    2021 Investment Outlook | Investing Beyond the Pandemic: A Reset for Portfolios
    Ten ways retirement plan professionals add value to plan sponsors
    Gold: an efficient hedge
    View More
    E-MAIL NEWSLETTERS

    Sign up and get the best of News delivered straight to your email inbox, free of charge. Choose your news – we will deliver.

    Subscribe Today
    May 9, 2022 page one

    Get access to the news, research and analysis of events affecting the retirement and institutional money management businesses from a worldwide network of reporters and editors.

    Subscribe
    Connect With Us
    • RSS
    • Twitter
    • Facebook
    • LinkedIn

    Our Mission

    To consistently deliver news, research and analysis to the executives who manage the flow of funds in the institutional investment market.

    About Us

    Main Office
    685 Third Avenue
    Tenth Floor
    New York, NY 10017-4036

    Chicago Office
    130 E. Randolph St.
    Suite 3200
    Chicago, IL 60601

    Contact Us

    Careers at Crain

    About Pensions & Investments

     

    Advertising
    • Media Kit
    • P&I Content Solutions
    • P&I Careers | Post a Job
    • Reprints & Permissions
    Resources
    • Subscribe
    • Newsletters
    • FAQ
    • P&I Research Center
    • Site map
    • Staff Directory
    Legal
    • Privacy Policy
    • Terms and Conditions
    • Privacy Request
    Pensions & Investments
    Copyright © 1996-2022. Crain Communications, Inc. All Rights Reserved.
    • Topics
      • Alternatives
      • Consultants
      • Coronavirus
      • Courts
      • Defined Contribution
      • ESG
      • ETFs
      • Hedge Funds
      • Industry Voices
      • Investing
      • Money Management
      • Opinion
      • Partner Content
      • Pension Funds
      • Private Equity
      • Real Estate
      • Russia-Ukraine War
      • SECURE Act 2.0
      • Special Reports
      • White Papers
    • Rankings & Awards
      • 1,000 Largest Retirement Plans
      • Top-Performing Managers
      • Largest Money Managers
      • DC Money Managers
      • DC Record Keepers
      • Largest Hedge Fund Managers
      • World's Largest Retirement Funds
      • Best Places to Work in Money Management
      • Excellence & Innovation Awards
      • Eddy Awards
    • ETFs
      • Latest ETF News
      • Fund Screener
      • Education Center
      • Equities
      • Fixed Income
      • Commodities
      • Actively Managed
      • Alternatives
      • ESG Rated
    • ESG
      • Latest ESG News
      • The Institutional Investor’s Guide to ESG Investing
      • Climate Change: The Inescapable Opportunity
      • Impact Investing
      • 2022 ESG Investing Conference
      • ESG Rated ETFs
    • Defined Contribution
      • Latest DC News
      • DC Money Manager Rankings
      • DC Record Keeper Rankings
      • Innovations in DC
      • Trends in DC: Focus on Retirement Income
      • 2022 Defined Contribution East Conference
      • 2022 DC Investment Lineup Conference
    • Searches & Hires
      • Latest Searches & Hires News
      • Searches & Hires Database
      • RFPs
    • Performance Data
      • P&I Research Center
      • Earnings Tracker
      • Endowment Returns Tracker
      • Corporate Pension Contribution Tracker
      • Pension Fund Returns Tracker
      • Pension Risk Transfer Database
      • Future of Investments Research Series
      • Charts & Infographics
      • Polls
    • Careers
    • Events
      • View All Conferences
      • View All Webinars
      • 2022 Innovation Investing Conference
      • 2022 Defined Contribution East Conference
      • 2022 ESG Investing Conference
      • 2022 DC Investment Lineup Conference
      • 2022 Alternatives Investing Conference