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. Changes in tables are from Dec. 31, 2014, to April 30, 2015; data for charts are as of April 30, 2015.
| Predicted volatility by industry |
| U.S. market |
|
| Energy equip. & svcs. | 25 | 0.4 | | Airlines | 23.5 | 0.9 | | Oil, gas & consumable fuels | 20.9 | -2.2 | | Biotechnology | 20.5 | 1 | | Marine | 20.5 | -3 | | Metals & mining | 18.2 | 0.1 | | Construction & engineering | 17.3 | -0.6 | | Semiconductors & equip. | 16.5 | -0.6 | | Multi-utilities | 16.5 | 0.2 | | Road & rail | 16.1 | 0.3 |
| | |
| Household products | 11.3 | -0.9 | | Tobacco | 11.4 | -0.7 | | Food & staples retailing | 11.7 | -0.5 | | Food products | 12 | -0.7 | | Thrifts & mortgage finance | 12 | -0.5 | | Health care equip. & supplies | 12.1 | -1.2 | | Diversified financial svcs. | 12.2 | -0.8 | | Health care providers & svcs. | 12.3 | -0.6 | | Beverages | 12.3 | -1.2 | | Hotels, restaurants & leisure | 12.5 | -0.5 |
|
| |
| Index volatility |
 |
| |
| Predicted volatility by currency* |
| Developed markets | |
| Norwegian krone | 12 | 3.7 | | New Zealand dollar | 11.5 | 2.8 | | Swiss franc | 11.1 | 3.8 | | Australian dollar | 10.8 | 2.8 | | Swedish krona | 9.7 | 2.3 | | Euro | 9.3 | 2.8 | | Danish krone | 9.3 | 2.9 | | Japanese yen | 8.8 | 0.1 | | Canadian dollar | 8 | 2.4 | | South Korean won | 7.8 | 1.2 |
| | | Emerging markets** | |
| Russian ruble | 29.7 | 8.2 | | Brazilian real | 17.3 | 4.4 | | Colombian peso | 14.5 | 3.8 | | South African rand | 13.2 | 3.1 | | Turkish lira | 11.9 | 1.5 | | Hungarian forint | 11.9 | 2.4 | | Polish zloty | 11 | 2.5 | | Czech koruna | 10.2 | 2.9 | | Mexican peso | 9.5 | 2.1 | | Chilean peso | 8.7 | 0.1 |
|
| |
| Predicted volatility by country* |
| Developed markets |
|
| Greece | 44.7 | 6 | | Portugal | 21.3 | -1.7 | | Ireland | 19.9 | -2.7 | | Italy | 18.1 | -0.7 | | Switzerland | 17.3 | 3.8 |
| | |
| New Zealand | 10.5 | -1.1 | | South Korea | 10.7 | -1.2 | | Canada | 10.8 | -1.1 | | Singapore | 11.6 | -0.8 | | United States | 12.8 | -1 |
|
| |
| Emerging markets** |
|
| United Arab Emirates | 29.2 | -0.2 | | Egypt | 22.8 | -1.4 | | Russian Federation | 21.3 | 2.2 | | China | 20.6 | 6.8 | | Turkey | 20 | 1.5 |
| | |
| Czech Republic | 11.5 | -0.2 | | South Africa | 11.6 | -0.4 | | Philippines | 12.5 | -0.7 | | Chile | 12.6 | -0.4 | | Poland | 12.8 | -0.7 |
|
| |
| Country-country correlations** |
| Developed markets |
|
| France | Germany | 0.76 | | Spain | Italy | 0.73 | | France | Netherlands | 0.73 | | Germany | Netherlands | 0.72 | | France | Belgium | 0.7 |
| | |
| U.S. | Hong Kong | -0.36 | | U.S. | Denmark | -0.36 | | U.S. | Singapore | -0.36 | | U.S. | Netherlands | -0.35 | | U.S. | France | -0.34 |
|
| |
| Emerging markets |
|
| Czech Republic | Poland | 0.37 | | Czech Republic | Hungary | 0.31 | | Malaysia | Mexico | 0.28 | | Mexico | Colombia | 0.28 | | Chile | Peru | 0.27 |
| | |
| China | Indonesia | -0.28 | | China | Malaysia | -0.27 | | India | Brazil | -0.27 | | China | Morocco | -0.26 | | China | South Africa | -0.25 |
|
| |
| Emerging vs. developed market risk |
| Medium-horizon risk; FTSE Emerging vs. FTSE Developed |
 |
| | Multiasset-class data |
| Risk |
|
| U.S. T-Note 10-year (yield) | 2.08% | -13 | 0.67% | 0.08% | | U.S. IG (spread) | 157 bps | -11 | 18.32% | 3.71% | | U.S. HY (spread) | 401 bps | -32 | 25.62% | 2.18% | | EUR Gov’t 10-year (yield) | 0.37% | -23 | 0.51% | 0.01% | | EUR IG (spread) | 62 bps | -5 | 27.32% | -3.30% | | EUR HY (spread) | 238 bps | -7 | 29.84% | 2.92% |
|
| |
| Asset-class correlations |
|
| U.S. T-Note 10-year (yield) | 1 | -0.3 | -0.6 | 0.52 | 0.09 | -0.13 | 0.38 | 0.3 | 0.31 | | U.S. IG (spread) | | 1 | 0.45 | -0.19 | 0.24 | 0.05 | -0.19 | -0.14 | -0.26 | | U.S. HY (spread) | | | 1 | -0.32 | 0.11 | 0.35 | -0.39 | -0.26 | -0.48 | | EUR Gov’t 10-year (yield) | | | | 1 | 0.12 | -0.14 | 0.16 | 0.04 | 0.2 | | EUR IG (spread) | | | | | 1 | 0.26 | 0.12 | 0.16 | 0.06 | | EUR HY (spread) | | | | | | 1 | -0.11 | -0.06 | -0.15 |
|
| U.S. and euro spread curves are now defined as the spread over the swap curve (previously spread over the government curve). Emerging markets sections include only countries in the FTSE Emerging Markets index. *Numeraire: U.S. dollar. **In excess of the global market. |
| Source: Axioma |
