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  2. INTERACTIVE
February 23, 2015 12:00 AM

Riskwatch for Feb. 23, 2015

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    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 Dec. 31, 2014.

    Predicted volatility by industry
    U.S. market

    10 most volatileCurrentChange
    Energy equip. & svcs.

    24.6

    10.8
    Marine

    23.5

    7.2
    Oil, gas & consumable fuels

    23.1

    11
    Airlines

    22.6

    5.9
    Biotechnology

    19.5

    3.4
    Metals & mining

    18.1

    4.4
    Construction & engineering

    17.9

    5.5
    Semiconductors & equip.

    17.1

    4.7
    Automobiles

    17

    3.5
    Office electronics

    16.9

    3.7
     

    10 least volatileCurrentChange
    Water utilities

    13.2

    2.7
    Insurance

    13.2

    2.9
    Diversified financial svcs.

    13.1

    2.7
    Hotels, restaurants & leisure

    13

    2.9
    Health-care providers & svcs.

    12.9

    3.1
    Food products

    12.8

    3
    Thrifts & mortgage finance

    12.5

    2.5
    Food & staples retailing

    12.2

    2.8
    Tobacco

    12.1

    2.6
    Household products

    12.1

    2.9
     
    Index volatility
     
    Predicted volatility by currency*

    Developed markets
    10 most volatileCurrentChange
    Japanese yen

    8.7

    2.6
    New Zealand dollar

    8.6

    1.2
    Norwegian krone

    8.3

    1.7
    Australian dollar

    8

    1.4
    Swedish krona

    7.4

    0.5
    Swiss franc

    7.3

    2
    South Korean won

    6.7

    1.7
    Euro

    6.5

    1.9
    Danish krone

    6.5

    1.9
    British pound

    5.6

    0.9
     

    Emerging markets**
    10 most volatileCurrentChange
    Russian ruble

    21.5

    11.5
    Brazilian real

    12.9

    4.3
    Colombian peso

    10.7

    3.7
    Turkish lira

    10.4

    1.5
    South African rand

    10.1

    1.6
    Hungarian forint

    9.4

    1.4
    Chilean peso

    8.6

    0.6
    Polish zloty

    8.4

    2.2
    Mexican peso

    7.4

    1.3
    Czech koruna

    7.2

    1.7
     
    Predicted volatility by country*
    Developed markets

    5 most volatileCurrentChange
    Greece

    38.6

    13.4
    Portugal

    23

    2.1
    Ireland

    22.6

    3.8
    Italy

    18.8

    2.4
    Japan

    18.8

    4.6
     

    5 least volatileCurrentChange
    New Zealand

    11.6

    2.4
    South Korea

    11.8

    2.2
    Canada

    11.9

    3.6
    Singapore

    12.4

    3
    Switzerland

    13.5

    3.4
     
    Emerging markets**

    10 most volatileCurrentChange
    United Arab Emirates

    29.4

    8.4
    Egypt

    24.2

    5.3
    Russian Federation

    19

    3.1
    Turkey

    18.4

    2.6
    Pakistan

    17.8

    0.8
     

    10 least volatileCurrentChange
    Morocco

    11.4

    2.3
    Czech Republic

    11.7

    2.8
    South Africa

    12

    2.7
    Hungary

    12.3

    2.4
    Chile

    13

    2.5
     
    Country-country correlations**
    Developed markets

    Highest correlationsCurrent
    France

    Germany

    0.75
    Spain

    Italy

    0.73
    France

    Netherlands

    0.72
    France

    Belgium

    0.7
    Germany

    Netherlands

    0.68
     

    Lowest correlationsCurrent
    U.S.

    South Korea

    -0.38
    U.S.

    Singapore

    -0.38
    U.S.

    Denmark

    -0.31
    Japan

    Germany

    -0.31
    U.S.

    Hong Kong

    -0.31
     
    Emerging markets

    Highest correlationsCurrent
    Czech Rep.

    Poland

    0.35
    Mexico

    Colombia

    0.32
    Chile

    Peru

    0.26
    Egypt

    U.A.E.

    0.26
    Poland

    Hungary

    0.26
     

    Lowest correlationsCurrent
    Russia

    Colombia

    -0.3
    India

    Brazil

    -0.27
    China

    U.A.E.

    -0.24
    China

    Colombia

    -0.24
    India

    Chile

    -0.24
     
    Energy market extra-market volatility**
    Oil-related industry extra-market risk
     
    Multiasset-class data
    Risk

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

    2.17%

    -33

    0.59%

    0.00%
    U.S. IG (spread)

    217 bps

    48

    20.04%

    4.35%
    U.S. HY (spread)

    517 bps

    105

    24.21%

    5.00%
    EUR Gov’t 10-year (yield)

    0.54%

    -40

    0.45%

    -0.04%
    EUR IG (spread)

    117 bps

    -11

    17.72%

    0.61%
    EUR HY (spread)

    328 bps

    29

    24.24%

    4.47%
     
    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

    -0.35

    -0.47

    0.63

    -0.18

    -0.11

    0.47

    0.34

    0.32
    U.S. IG (spread)

    1

    0.76

    -0.26

    0.27

    0.23

    -0.19

    -0.07

    -0.3
    U.S. HY (spread)

    1.00

    -0.30

    0.30

    0.23

    -0.28

    -0.14

    -0.41
    EUR Gov’t 10-year (yield)

    1.00

    -0.18

    -0.14

    0.31

    0.24

    0.23
    EUR IG (spread)

    1.00

    0.28

    -0.13

    -0.04

    -0.26
    EUR HY (spread)

    1.00

    -0.08

    0.00

    -0.19
    Emerging markets sections include only countries in the FTSE Emerging Markets index. *Numeraire: U.S. dollar. **In excess of the global market.

    Source: Axioma

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