Riskwatch, the quarterly feature of Pensions & Investments, has a few changes.
The first set of tables now includes market volatility data by indexes and U.S. market sectors. The Russell 1000 index chart shows median asset-to-asset correlations for rolling 20- and 60-day periods for all assets in the Russell index. In the multiasset-class data, new currencies were added: the British pound, the euro and the Japanese yen.
Risk overall for the quarter as well as correlations were “somewhat surprisingly low,” said Melissa Brown, managing director, applied research at Axioma Inc., New York. Risk also was down across the board for non-U.S. developed markets. In emerging markets, Greece was replaced by Egypt as the riskiest market; Greece had been in the top spot for several years, Ms. Brown said.
The “Trump bump” — the general market reaction since the Nov. 8 election of Donald Trump to the U.S. presidency — had widely varying risk impact on sectors that usually tend to see risk move in the same direction, Ms. Brown said. But in the fourth quarter certain sectors such as telecommunications services and utilities showed some big increases while others such as materials, energy and financials showed big decreases, she said. The same disparity was found in currencies.