KEY TAKEAWAYS Equity momentum is strong and volatility measures have been on the decline. However, valuations continue to look less attractive. We expect a modest rise in interest rates in the short term. Inflation-linked bonds appear to be an attractive
As well as rising prices overall, the kindest equity markets might be identified as those with low volatility (reducing the risk of loss), low correlations (implying strong diversification potential), and moderate-to-high dispersion (offering opportunities to outperform). To summarize this month’s
Chris discusses defensive portfolio exposures that can create potential buffers to volatility, for when it reappears. While the 2019 market rebound has undone much of the damage from 2018’s year-end drubbing, the brutal selloff offers a key reminder for investors
COMMENTARY As December’s price swings in U.S. equities fade into history, VIX has declined back to the low teens and – despite the potential for an upset from today’s Federal Reserve announcement – the volatility gauge closed last night at
COMMENTARY As December’s price swings in U.S. equities fade into history, VIX has declined back to the low teens and – despite the potential for an upset from today’s Federal Reserve announcement – the volatility gauge closed last night at
Emerging Markets Charts & Views Emerging markets (EM) started 2019 on a strong footing and, as a result, some excessive valuation gaps have been partially closed. Yet, we continue to see opportunities in all EM segments (equity, bonds in hard
Volatility is usually seen as something bad, a foe to long-term performance; but the insights it provides may actually make it more of a friend that can be used to help strengthen portfolio resilience. Volatility’s historical relationship with market drawdowns
Looking back at 2018, it was a year when European corporate earnings continued to grow, while market volatility was surprisingly high. The volatility was a result of both political noise and the fear of a slowdown in global growth. Volatility
Strategy Espresso Rotation among factors has continued recently, with elevated volatility, as equity investors switch between optimistic and defensive positioning. These moves are not surprising, as it is common to see heightened levels of volatility in late economic cycles. Interestingly,
Strategy Espresso In October, global equities endured their worst performance since May 2012, with US growth posting a negative return of almost 2 standard deviations. Last week we continued to witness the same bearish sentiment that we did in October. The increased
Technology stocks could remain volatile for some time amid the potential for slower earnings growth at some companies and greater regulatory scrutiny. There will likely be a dispersion of returns among the FAANG stocks, given different valuations and where they
October's reputation for higher market risk was maintained, as volatility, correlation and dispersion all rose from September's levels for the S&P Global 1200, and each of its regional components. It was a particularly chaotic month for South American equities. Brazil's
Strategy Espresso It was another rollercoaster week. After months of focusing on the good news and shrugging off the bad, US equity market sentiment sharply reversed, leaving most major US indices only modestly positive for the year. After that, European
Regional view – Asia With tensions between the two sides likely eroding the confidence of consumers and entrepreneurs, investors should brace for greater market volatility ahead.
Abstract The Sharpe Ratio has become a standard measure of portfolio management performance, taking into account the risk side. In that framework, the consideration of risk is reduced to returns volatility. The Sharpe Ratio does not encompass extreme risk, especially
Abstract Didier Maillard Professor Emeritus at CNAM, Senior Advisor on Research – Amundi didier.maillard-ext@amundi. com The Sharpe Ratio has become a standard measure of portfolio management performance, taking into account the risk side. In that framework, the consideration of risk
Macro and market perspectives Renewed volatility in risk assets has contrasted with a bright growth outlook: The BlackRock Growth GPS suggests potential upside surprises to the consensus. Some market participants believe trouble spots such as Turkey are due to quantitative
The Weekly Brief With the U.S. equity market under selling pressure in early September, the MSCI World has registered its worst week since late March, down almost -1.5%. This occurred in a context where the probability of an escalation of
RPM EDUCATIONAL # 8. Key point: Although trend following is the dominating strategy in the CTA universe, there are also other sub strategies with different characteristics. Whereas trend following is superior in trending markets and persistent crises; during non-trending periods
Index Dashboard: Risk & Volatility August is often a quiet month for equity markets and – excepting heightened volatility in a few international hotspots – 2018's edition looks set to be typical. Since our last report, U.S. equity volatility and
Turkey is in a genuine currency crisis. The lira fell 30% over 3 days. Fundamentally speaking, the reason for the Turkish meltdown is primarily a large current account deficit (6% of GDP) and reliance on outside capital. Markets don’t care
Stock returns are volatile. For July 1963 to December 2016 (henceforth 1963–2016), the equity premium—the difference between the monthly return on the market portfolio of US common stocks (Market) and the one-month US Treasury bill rate—averages a hefty 0.51% per
Key Points Systematic rebalancing raises the likelihood of improving long-term risk-adjusted investment returns. The benefits of rebalancing result from opportunistically capitalizing on human behavioral tendencies and long-horizon mean reversion in asset class prices. Investors who “institutionalize contrarian investment behavior” by
Are we ready to confront it? The world is not yet completely out of the 2007- 2008 financial crisis, but the risk of a new crisis already arises. The theme of “regime shift” (volatility, interest rate, inflation, etc.) has resurfaced,
In July, shared U.S. equity risk declined while individual risks rose: market volatility fell and dispersion increased. Naturally, correlations also declined. The higher S&P 500 dispersion this month was in part due to the mixed reactions to Q2 earnings; most
Asset Allocation Consensus Equities June 2019 on Youtube: https://t.co/WD3mMy1JgI
