October 16, 2017 01:00 AM
Riskwatch for Oct. 16, 2017
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-term fundamental risk model. The first set of tables is designed to capture U.S. market sectors plus 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 table 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 U.S. and eurozone government yields, investment-grade and subinvestment-grade spreads as well as correlations among those asset classes and selected currencies. Data are as of Sept. 29, 2017. Change compares to the previous quarter.
U.S. market volatility*
*US4 risk model forecast
Predicted volatility by currency*
Predicted volatility by country*
Korean risk surprisingly steady
This chart shows expected risk for the Korean Stock Price index and the South Korean won since the beginning of 2016. Despite increased political tension coming from neighboring North Korea, equity risk has ticked up only very slightly since the end of August, while risk in the won has remained near recent low levels.
|U.S. 10-year T-note (yield)||2.35%||2.16 bps||59.20%||-0.02%|
|U.S. inv.-grade (spread)||59 bps||-2.19 bps||27.37%||-0.03%|
|U.S. high yield (spread)||271 bps||-16.04 bps||57.02%||-0.10%|
|European gov't 10-year (yield)||0.49%||-2.19 bps||52.63%||-0.03%|
|European inv.-grade (spread)||65 bps||3.1 bps||37.58%||0.00%|
|European high yield (spread)||209 bps||-18.42 bps||89.95%||0.04%|
|Russell 1000||Russell 2000||FTSE||Euro||Pound||Yen|
|U.S. 10-year T-note (yield)||1.00||-0.10||-0.53||0.64||-0.17||-0.05||0.36||0.42||0.18||-0.31||-0.15||-0.54|
|U.S. inv.-grade (spread)||-0.10||1.00||0.46||-0.10||0.17||0.17||-0.21||-0.16||-0.19||0.01||0.08||0.11|
|U.S. high yield (spread)||-0.53||0.46||1.00||-0.39||0.12||0.20||-0.47||-0.38||-0.47||0.13||0.14||0.35|
|European gov't 10-year (yield)||0.64||-0.10||-0.39||1.00||-0.29||-0.16||0.15||0.22||0.13||-0.07||0.01||-0.48|
|European inv.-grade (spread)||-0.17||0.17||0.12||-0.29||1.00||0.48||-0.05||-0.07||-0.12||-0.13||-0.04||0.13|
|European high yield (spread)||-0.05||0.17||0.20||-0.16||0.48||1.00||0.00||0.03||-0.10||-0.05||-0.05||0.13|
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.