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Tag "volatility"

A snapshot of current views on equity, fixed-income and alternative asset classes

A snapshot of current views on equity, fixed-income and alternative asset classes

🕔15:02, 2.May 2019

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

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Index Dashboard: Dispersion, Volatility & Correlation

Index Dashboard: Dispersion, Volatility & Correlation

🕔15:02, 1.May 2019

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

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A roadmap for defensive investing

A roadmap for defensive investing

🕔06:35, 28.Mar 2019

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

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Index Dashboard: Risk & Volatility March

Index Dashboard: Risk & Volatility March

🕔11:02, 21.Mar 2019

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

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Index Dashboard: Risk & Volatility March

Index Dashboard: Risk & Volatility March

🕔11:02, 21.Mar 2019

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

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Seek opportunities, but be aware of short-term volatility

Seek opportunities, but be aware of short-term volatility

🕔17:02, 7.Mar 2019

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

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Is volatility a friend or a foe?

Is volatility a friend or a foe?

🕔11:02, 17.Jan 2019

 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

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Finding opportunity in Europe’s volatility

Finding opportunity in Europe’s volatility

🕔14:04, 16.Jan 2019

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

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Strengthen your Core Through an Allocation in a Eurozone Low Volatility Strategy

Strengthen your Core Through an Allocation in a Eurozone Low Volatility Strategy

🕔15:02, 19.Dec 2018

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,

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Dividend Strategies for Countering Market Volatility

Dividend Strategies for Countering Market Volatility

🕔17:02, 27.Nov 2018

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

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Putting technology stocks volatility in perspective

Putting technology stocks volatility in perspective

🕔14:08, 8.Nov 2018

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

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Index Dashboard: Dispersion, Volatility & Correlation

Index Dashboard: Dispersion, Volatility & Correlation

🕔17:02, 1.Nov 2018

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

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Is It Time to Consider European Low Volatility Again?

Is It Time to Consider European Low Volatility Again?

🕔15:02, 30.Oct 2018

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

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Diversification is key

Diversification is key

🕔03:02, 16.Oct 2018

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.

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Tail Risk Adjusted Sharpe Ratio

Tail Risk Adjusted Sharpe Ratio

🕔09:02, 6.Oct 2018

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

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Tail Risk Adjusted Sharpe Ratio

Tail Risk Adjusted Sharpe Ratio

🕔09:36, 5.Oct 2018

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

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Beware of the Q Trap

Beware of the Q Trap

🕔14:11, 14.Sep 2018

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

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Higher volatility puts low beta strategies in a sweet spot

Higher volatility puts low beta strategies in a sweet spot

🕔05:01, 11.Sep 2018

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

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”I’m in the band” – a CTA Sub Strategy Comparision

”I’m in the band” – a CTA Sub Strategy Comparision

🕔11:04, 28.Aug 2018

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

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August is often a quiet month for equity markets

August is often a quiet month for equity markets

🕔15:02, 23.Aug 2018

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

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Turkish turmoil: When liquidity tightens, idiosyncratic problems can trigger systemic moves.

Turkish turmoil: When liquidity tightens, idiosyncratic problems can trigger systemic moves.

🕔09:02, 14.Aug 2018

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

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Volatility Lessons

Volatility Lessons

🕔15:02, 8.Aug 2018

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

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Rebalance or Rush Hour?

Rebalance or Rush Hour?

🕔13:13, 3.Aug 2018

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

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Where will the next financial crisis come from?

Where will the next financial crisis come from?

🕔10:10, 3.Aug 2018

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,

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Index Dashboard: Dispersion, Volatility & Correlation

Index Dashboard: Dispersion, Volatility & Correlation

🕔15:02, 1.Aug 2018

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

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Asset Allocation Consensus June

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Sign up on #OpinioPro to read all the latest research on #fixedincome, #assetallocation and so much more! Click here: https://t.co/90NYM4HBVh

In UBP's Monthly #Investment #Outlook they write: "After Q1 global weakness, world growth is expected to stabilise in Q2 and progressively recover moving into 2H19". Read the whole outlook here: https://t.co/jlNTFp5V6M

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