MARKET RISK REPORT Creeping Upwards May 2018
|
|
- Wilfrid Goodwin
- 5 years ago
- Views:
Transcription
1 MARKET RISK REPORT Creeping Upwards May 2018
2 Executive summary Volatilities in general declined again their very elevated levels of the prior months. Asset volatilities were mixed relative to their 12-month averages, with equities mostly high but FX and bonds mostly low. Realised volatility (of the Eurostoxx index over 30 days) fell from 15.2% to 11.6% (high). Equity market price moves returned to positive on the month. Volatility trends were all downwards again. Sector volatilities ended at 10-2 and were mostly high relative to the last 12 months. Sovereign bond price moves were again small. Volatility moves were small and mixed, ending at 3-4% (but 0.9% in Japan). All were low. FX moves were moderate. Volatility moves were mixed and ended at 5-7%. Volatilities relative to the euro were again low to medium. Option volatility will have been lower than recently as underlying prices during the month were small and volatility of volatility dropped back for the US to 119% (medium). Commodities price moves were small, with the exception of a rally in oil. Volatility moves were also small e.g. Oil fractionally down to 24.4% (high down to medium), and Copper up to 19.3% (low back to high). Real Estate (equity) price moves were positive again. Volatility moves were mixed and finished at 7-1 (ranging from low to high). PE Funds fell fractionally as did hedge funds, with volatility moves mixed. Niall O Connor
3 Table of contents 1. Summary volatility matrix p Key News p Kurtosis & correlation in the equity markets p Equities p Equity Implied Volatility p Fixed Income p Foreign Exchange p (Equity) Options p Commodities p Real Estate (Real Estate Share Prices) & Alternatives p
4 Summary volatility matrix Continuing subdued inflation figures assisted with moderating growth, and coupled with plenty of M&A proved supportive for equity markets. However, in the background, the US 2 year bond yield continued to creep upwards, rising from 2.3% to 2.. We use this as our proxy for riskfree (and minimal duration risk) assets, especially for dollar assets. The impact of a stronger dollar and higher short rates is already being felt in emerging markets, most notably in Argentina and Turkey. We continue to see a potential tipping point as risk-free money becomes more and more attractive, and growth less so. We can t be sure where the tipping point is, but we can t help but feel that at some point risk-free will look at least as attractive as risky (i.e. the reversal of the QE trade forcing investors to go longer duration and lower credit quality). That could well be the source of additional volatility in risk assets. ASSET CLASS EQUITIES VOLATILITY OF VOLATILITY GOVERNMENT BONDS FX VS $ COMMODITIES PROPERTY ALTERNATIVES KURTOSIS CORRELATION AREA LATEST VOLATILITY LATEST Z-SCORE REGIME North America 16.2% 1.1 high Asia ex-japan 11.3% 0.4 medium Europe 10.9% 0.5 high Japan (Nikkei) 9.1% -0.8 low Energy high Consumer Staples 11.6% 1.2 high Financials 10.2% -0.0 medium IT high Volatility of VIX 119% -0.3 medium Volatility of VSTOXX low Germany 3.2% -0.8 low US 3.1% -0.6 low Japan 0.9% -0.6 low Italy 3.6% -2.2 low /$ 5.2% -1.9 low /Yen 4.6% -2.2 low /CHF 2.9% -1.3 low / 6.8% 0.1 medium Oil (Brent) 24.4% 0.3 medium Gold 11.3% 0.6 high Copper 19.3% 0.5 high US 14.7% 0.6 high Europe 6.9% -1.1 low Japan 11.7% 0.1 medium HFRX Global HF 3.4% 0.4 medium Avg PE Fund 117.4% 4.1 high ZCF 1% left (vs for normal curve) Average market correlation with euro equities HIGH 10.4% -0.6 low Note: Throughout the text we refer to volatilities as being "low", "medium" or "High". We define this by defining three equal "sized" regimes over the last 12 months. i.e. High volatility implies that volatility is in the upper third of its statistical range over the last 12 months. The table shows the "z-score" of the volatility of each market, i.e. how many standard deviations above (or below) the mean over the last 12 months each market's volatility is. 4
5 Key News Major Volatility-Driving Events There was plenty of volatility inducing news this month, with geopolitics and high levels of M&A. The US continued to push towards a trade war with China, including banning companies from doing business with the Chinese telecoms equipment manufacturer ZTE American sanctions against Russia caused several large stocks to sharply sell off, and also hit the Ruble. Geopolitical tensions, especially around Syria, caused the oil price to continue to rise. The US 10 year bond yield rose up through 3% and the 2 year through 2. Argentina upped rates to 30.2 to bolster the Peso The Turkish lira also continued to fall The IMF warned on continuing rises in global debt, to a new all-time high of $174trn Facebook s Q1 net profit grew by 63% y/y. Alphabet s grew by 73%. Tesla results showed continuing high levels of cash burn. Its shares were largely unchanged on the month though CBS bid for Viacom. Alibaba bought Ele.me for $10bn. Novartis agreed to pay $9bn for AveXis. Comcast bid $22bn for Sky. Shire looked to be recommending a bid of $64bn from Takeda. T-Mobil announced another merger attempt with Sprint. Sainsbury s said it was merging with Asda. Marathon said it was buying Andeavor. UK inflation surprisingly fell to just 2. GDP ESTIMATES FOR 2016, DEVELOPED COUNTRIES Mar-17 Jun-17 Sep-17 Dec-17 Mar GDP estimates for developed countries were increased for Japan but reduced for the Euro area. GDP ESTIMATES FOR 2016, DEVELOPING COUNTRIES 8% 7% 6% 4% 3% 2% 1% US UK Spain Germany Euro Area Japan France Italy Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 China India Turkey Russia Brazil 2018 GDP growth forecasts for developing countries were increased for Russia, Brazil and Turkey. 5
6 Kurtosis in the equity markets Despite the big moves in markets this year, particularly to the downside, both tails of the distribution have still remained quite well behaved. The left tail ended at vs theoretical, and the right tail at vs CORNISH-FISCHER EXPANSION OF EURO STOXX 50 The left tail ended at vs theoretical, and the right tail at vs ZCF 1% left Z 1% left ZCF 1% right Z 1% right Methodology To capture a measure of both Skewness and Kurtosis we look at the Cornish-Fischer expansion, which gives a good measure of the tails of the equity market. (We use a 60-calendar day rolling basis). The underlying market we plot is the Eurostoxx 50, but other equity markets normally show very similar results. We plot on the chart the expected Z-scores for 1% left tail (i.e. a 99% VaR) and a 1% right tail assuming a normal distribution: +/ We also show the Cornish-Fischer expansion result for the same market. This indicates how far from a normal distribution each tail was. On a long term basis on average the tails are slightly fatter than the normal distribution would suggest, which should not come as a surprise. What is perhaps more surprising is how much variation in fat-tailedness there has been: a daily 99% VaR has varied between -1 and -4.5 standard deviations over time. The biggest variationsfrom +/-2.33 came in 2008 and
7 Inter-market correlations with EU equities 10 INTER-MARKET CORRELATIONS 1 AVERAGE CORRELATION North America Japan Bunds (negative) /$ Average Average correlation dropped again to just 1 (medium down to low), as FX correlation fell again. Equity correlations fell slightly again on the month. 1 MULTI-ASSET PORTFOLIO Average asset Multi-asset portfolio Diversification impact 3. AVERAGE VOLATILITIES We also look at a hypothetical multi-asset portfolio consisting of equities, bonds, gold, oil and hedge funds. Average asset volatility fell from 13.2% to 10.2%, but the benefit of (multi-asset) diversification reduced from -6.6% to -4.. In combination portfolio volatility dropped fractionally from 6. to 5.7%. 0.8% PORTFOLIO VOLATILITY Note: The chart shows 30-day correlation over time between different markets and the pan-euro equity market. Higher levels of correlation will in general lead to less ability to diversify risks, and higher portfolio volatility for given position holding volatility. 7
8 Equities Stock price STOCK PRICE PERFORMANCE: REGIONS (LOG SCALES) , % Europe ,000 North America Europe Asia ex-japan Japan (rh axis) Major equity indices performance returned to positive across the board. North America was +0.4%, Asia ex-japan was +1.2% while Europe rebounded +4.3%%, and the Nikkei was +4.7%. STOCK PRICE PERFORMANCE: SECTORS (LOG SCALES) Energy Consumer Staples IT Financials, rh axis Sector price moves were again very mixed. Energy was +9.4% on rising oil prices, Financials +0.6%, while IT was +0. and Consumer Staples -2.4% % FINANCIALS 0. IT 9.4% ENERGY 2.4% CONSUMER STAPLES 8
9 Equities Volatility EQUITY VOLATILITY: REGIONS North America Europe Asia ex-japan Japan (Nikkei) 10.9% EUROPE Regional volatility moves were all downwards, sharply so for most regions and especially so for Japan. North America fell to 16.2% (high), Asia ex-japan fell to 11.3% (high to medium), Europe fell to 10.9% (high) and Japan (Nikkei) fell from 24.8% to 9.1% (high to low) EQUITY VOLATILITY: SECTORS Energy Consumer Staples IT Financials Sector volatility moves were also downwards, but remained elevated relative to Energy fell to 16. (high) Consumer Staples rose to 11.6% (high), Financials fell to 10.2% (high to medium) and IT fell to 19. (high). 9
10 Equity Implied Volatility Market-Implied Near Term Outlook Implied Volatility Implied volatilities dropped, but were still high compared with (the possibly artificial) levels of The VIX fell from 20.0 to 15.9, while European implied volatility (VSTOXX) fell again from 17.4 to 13.7 on the month. IMPLIED VOLATILITY VIX VSTOXX 20 VSTOXX VIX Implied vs. Realised Volatility Both (European equity) realised and implied volatility fell sharply on the month. The ratio of implied/realised was broadly unchanged at 119%. This ratio remains fractionally above a neutral level, suggesting that the market expected there wouldn t be too much volatility-inducing news over the next 30 days compared to the last 30 days. IMPLIED VS. REALISED VOLATILITY 119%IMPLIED/REALISED VOLATILITY Bond selloff (Jun) US tax reform (Nov) Inverse VIX (Jan) Good economic growth (Sep) Trade wars (Feb) 5 - Implied Realised Implied / Realised (rh axis) Note: Note: the implied/realised volatility ratio gives an indication as to whether the market sees an event in the next 30 days (the implied volatility period) which will increase realised volatility (implied/realised >10, e.g. within 30 days prior to the Greek elections during the Greek crisis) or a period of relative calm after high realised volatility (implied/realised <10, e.g. immediately after Draghi s calming whatever it takes comments). 10
11 Fixed Income 10-Year Government Bond Futures PRICES OF 10Y BOND FUTURES Prices Government bond price moves were again quite small. They were all slightly negative on the month. German bonds were -0.4%, US bonds were -1.3% and Japanese bonds -0.1% Germany US Japan Italy SPANISH 10Y BOND YIELD Spanish bond yields fell rose fractionally to 1.3% Spain Yield VOLATILITY OF 10Y BOND FUTURES 8% 7% 6% 4% 3% 2% 1% Volatility Volatility moves were small and mixed on the month, and remained well below those of equities. German bonds fell to 3.2% (high back down to low), US bonds fell to 3.9% (high) and Japanese bonds rose to 1.4% (low up to high, on a very compressed range, compared to the last 12 months). 11 Germany US Japan Italy
12 Foreign Exchange = stayed unchanged vs. 0.8 % vs. 1.8% vs. $ Prices FX moves were again relatively moderate during the month. The Dollar rose by +1.8% vs the euro. The Yen lost -0.8% and Sterling was unchanged FX RATES VS /$ /JPY /100 / (rh axis) 0.95 Volatility FX volatility moves were mixed. /$ fell to 5.2% (medium down to low), /Yen fell to 4.6% (medium down to low), but / rose to 6.8% on Brexit uncertainties (low up to medium, relative to 12 month averages). VOLATILITY OF FX RATES VS. 5.2% vs. $ 6.8% vs. 4.6% vs. 12% 1 8% 6% 4% 2% / /Yen /$ Note: The charts show currencies vs. the. Axes on the first chart are inverted to show conventional currency quotations, but with higher on the chart representing a stronger currency vs. the euro. 12
13 (Equity) Options Option volatility is mainly driven by the volatility of volatility and moves in prices of the underlying instruments affecting options deltas. Volatility of Implied Volatility Volatility of implied volatility dropped again towards more normal levels in a historical context: they fell in the US to 119% and in Europe to 9. Volatility of volatility is unlikely to have been a big driver of option volatility during the month. VOLATILITY OF VOLATILITY % US EUROPE Major (Regional Equity) price moves (Equity) prices saw smaller moves during the month, although Europe and Japan rallied hard mid-month. Price moves could have been drivers of option volatility, in some equities at least; moves in other asset classes were much smaller. 1 Volatility of VIX Volatility of VSTOXX CHANGE IN PRICES OF EQUITY INDICES, 30 DAYS North America EU Asia ex-japan Japan Note on Treatment: Options show more complex behaviour than the other instruments we look at in this report, so we make some simplifying assumptions. As Calls and Puts are in effect polar opposites and in and out of the money options behave very differently, it is hard to generalise all options behaviour. However, we look at the two key drivers: volatility of implied volatility and major price movements of the underlying security. Implied volatility (via an option's Vega) drives option prices, so a big indicator of option price volatility is the volatility of implied volatility. But usually the biggest driver of individual option prices is the movement of the underlying (via the option Delta): a move in either direction will cause the option to go more in or out of the money (and a corresponding change in the option s Delta and price volatility). As a proxy for this, we look at the 30-day price swing of equity market indices; options on bonds or FX could of course behave differently. The 30-day period is relatively close to the time to maturity of many options. Calls and Puts will respond in opposite fashions: calls becoming more volatile (relative to the size of the underlying notional) as prices rise. 13 Note on Convertibles: Convertibles are in effect a combination of a bond and a call option, with the bond portion usually making little contribution to the instrument volatility unless the option is significantly out of the money. As such, convertible portfolios volatilities will tend to behave similarly to call option portfolios, and this commentary can be applied to convertibles as well as options.
14 7. OIL Commodities Prices Commodity price moves were small with the exception of oil. Oil rose by +7. on US/Iranian geopolitics and lack of Venezuelan production. Copper rose +0.9%, and Gold was almost unchanged at - 0.3%. 0.3% GOLD COMMODITIES PRICES 0.9% COPPER ,800 1,600 1,400 1,200 1, Volatility Oil (Brent) Copper (indexed) Iron Ore Gold (rh axis) Volatility moves were generally small. Oil fell fractionally to 24.4% (high down to medium), Gold was also fractionally down to 11.3% (high), while Copper rebounded to 19.3% (low back to high). COMMODITIES VOLATILITY Oil (Brent) Copper Gold Note: all prices refer to near futures rather than spot with the exception of iron ore which is a spot price. 14
15 Real Estate (Real Estate Share Prices) REAL ESTATE (REIT) PRICES 2,300 2,250 2,200 2,150 2,100 2,050 2,000 1,950 1,900 1,850 1,800 3,400 3,300 3,200 3,100 3,000 2,900 2,800 2,700 2,600 2,500 2, %EUROPE 1.1% US Europe Japan (rh axis) US (rh axis) Real estate equities price moves were again positive on the month. Europe was +3.8%, the US was +1.1% while Japan was JAPAN REAL ESTATE (REIT) VOLATILITY Europe Japan US Volatility moves were mixed during the month. US rose to 14.7% (medium up to high), Europe fell to 6.9% (medium down to low) and Japan fell to 11.7% (high down to medium) Note: Note that for property we look at indices of the share prices of REITs, and not the underlying property directly, for which little real-time data is available. This is usually consistent with funds which tend to invest in property indirectly, e.g. via REITs or property companies. As REITs are usually focused on commercial property, residential property may also follow a slightly different pattern to that discussed in this article. 15
16 Alternatives ALTERNATIVES PRICES 1,250 1,200 1,150 1,100 1,050 1,000 Global Hedge Funds (EUR) Avg PE Fund (indexed) UK PE funds fell -0., while the average hedge fund lost -0.1%. 3.4% HFRX volatility 8% 7% 6% 4% AI VOLATILITY 3% 3.9% AVERAGE PE FUND 2% 1% Global Hedge Funds (EUR) an average PE fund Volatility of hedge funds fell to 3.4% (high down to medium) while the average PE fund rose to 3.9% (low up to medium by the standards of the last 12 months). 16
17 Definitions To avoid repetitions, the term volatility refers to annualised, 30-day average realised volatility in local currency unless otherwise specified. As such, it may be lower than, and lag, shorter-term market volatility in times of high market volatility. Charts show data up until 30th April 2018, and the commentary was written on or before 12th May Disclaimer The commentarydoes not constitute, and is not intended to constitute, investmentadvice. Any views expressed in this report are based on historical market data and as such cannot be interpreted as being forward-looking, or to constitute forecasts. Past movements are not necessarily indicative of future movements. Employeesof IRML/ARKUS FS may hold positions in securities mentioned. All expressions of opinion reflect the judgment of IRML/ARKUS FS at this date and are subject to change. Information has been obtained from sources considered reliable, but we do not guarantee that the report is accurate or complete. This document is not for US clients or distribution to the US. Arkus Financial Services Arkus is the brand under which IRML S.A. operates and provides services This document is the property of IRML/Arkus FS and should not be copied or distributed to any third party without the prior consent of IRML/Arkus FS please contact us regarding distribution rights.
18
MARKET RISK REPORT Earthquakes
MARKET RISK REPORT Earthquakes November 2018 Executive summary Volatility changes were all upwards on the month, outside FX. Asset volatilities were almost all high relative to their 12-month averages,
More informationVolatility moves were almost all downwards in February. They were low relative to their 12-month averages almost everywhere.
Executive summary Volatility moves were almost all downwards in February. They were low relative to their 12-month averages almost everywhere. Realised volatility (of the Eurostoxx index over 30 days)
More informationMARKET RISK REPORT. Fairer Weather
MARKET RISK REPORT Fairer Weather May 2016 Executive summary Volatilities dropped for most assets during April outside Japan. Volatilities ended low to medium relative to their 12-month averages. Realised
More informationMARKET RISK REPORT. (Un)happy New Year
MARKET RISK REPORT (Un)happy New Year February 2016 Executive summary Volatility trends were again sharply upwards during January, with the exception of government bonds. Volatilities ended mostly High
More informationMARKET RISK REPORT Just a Glitch?
MARKET RISK REPORT Just a Glitch? January 2019 Executive summary Volatility changes were mostly upwards on the moderate levels of November, outside FX. Asset volatilities were almost all high relative
More informationMARKET RISK REPORT Inflection
MARKET RISK REPORT Inflection February 2019 Executive summary Volatility changes were mostly downwards on the high levels of December, outside FX and Government Bonds. Asset volatilities were almost all
More informationMARKET RISK REPORT BACK TO NORMAL?
March 2013 MARKET RISK REPORT BACK TO NORMAL? Executive Summary February started positively but quickly saw corrections as the Italian election produced an inconclusive result, the US sequestration caused
More informationFinancial Market Outlook: Further Stock Gain on Faster GDP Rebound and Earnings Recovery. Year-end Target Raised
For Market Commentary Interviews Contact: Lisa Villareal, 973-367-2503/lisa.villareal@prudential.com Financial Market Outlook & Strategy: FurtherStock Gains Likely, Year-end Target Raised. Bond Under Pressure
More informationQ QUARTERLY PERSPECTIVES
Q2-219 QUARTERLY PERSPECTIVES Tavistock Wealth - Investment Team Outlook Christopher Peel - John Leiper - Andrew Pottie - Sekar Indran - Alex Livingstone India Turnbull - Jonah Levy - James Peel Welcome
More informationQuarterly market summary
Quarterly market summary 4th Quarter 2016 Economic overview Economies around the world appear to be relatively resilient, with data signalling that in many countries, economic activities are expanding
More informationQUARTERLY REPORT FOURTH QUARTER 1998
MAIN FEATURES The EU currencies appreciated by 5% against the US dollar but fell by 10.5% against the Japanese yen. These currency movements contributed to a small gain (about 1%) in the Union s average
More informationB-GUIDE: Market Outlook
Quarterly Market Outlook: Quarter 1 2018 on 5 th January 2018 Investment Outlook for 1 st Quarter 2018 Accelerating Global Economy Supports the Rising Earnings Equity Thailand US Europe Japan Asia Bond
More informationGlobal Equites declined from Concern over Trade War
Quarterly Market Outlook: Quarter 2 2018 on 3 April 2018 Global Equites declined from Concern over Trade War Investment Outlook for 2 nd Quarter 2018 Equity Thailand U.S. Europe Japan Asia Bond Thailand
More information[ ] MACRO & MARKET COMMENTARY. » U.S. started the process to draft plans on a further $200 billion in Chinese
July 16, 2018 [ ] MACRO & MARKET COMMENTARY» U.S. started the process to draft plans on a further $200 billion in Chinese imports after tensions between the two largest economies in the world intensified,
More informationGlobal Investment Outlook & Strategy
PRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook & Strategy February 2017 Global Stock Market Rally likely to Continue with Solid Q4 Earnings & Stronger 2017 Earnings, ECB
More informationEurozone Economic Watch Higher growth forecasts for January 2018
Eurozone Economic Watch Higher growth forecasts for 2018-19 January 2018 Eurozone Economic Watch January 2018 Eurozone: Higher growth forecasts for 2018-19 Our MICA-BBVA model estimates a broadly stable
More informationNational Monetary Policy Forum. Chris Loewald, Head: Policy Development and Research 10 April 2016 Pretoria
National Monetary Policy Forum Chris Loewald, Head: Policy Development and Research 1 April 1 Pretoria In the April 17 MPR Executive summary & overview of the policy stance Overview of the world economy
More informationA sudden drop in risk appetite
* A sudden drop in risk appetite The eruption of US equity market volatility, with global spillover effects, is a delayed reaction to a rather significant increase in bond yields since the second part
More information[ ] WEEKLY CHANGES AGAINST THE USD
January 22, 2018 [ ] MACRO & MARKETS COMMENTARY» The U.S economy and inflation expanded at a Modest to Moderate pace during December 2017, while wages continued to push higher according to the Federal
More informationNavigating the storm Investing in ideas to aid diversification
Navigating the storm Investing in ideas to aid diversification April 2017 Richard Batty Fund Manager, Multi Asset This presentation is for Professional Clients only and is not for consumer use. Please
More informationSeven-year asset class forecast returns
For professional investors and advisers only. Seven-year asset class forecast returns 2017 Update Seven-year asset class forecast returns 2017 update Introduction Our seven-year returns forecast largely
More informationMULTI-ASSET CLASS 1 EQUITIES: DEVELOPED COUNTRIES 1 EQUITY EMERGING COUNTRIES 2
10 2 3 6 8 9 13 14 MULTI-ASSET CLASS 1 EQUITIES: DEVELOPED COUNTRIES 1 EQUITY EMERGING COUNTRIES 2 Alpha Current Previous Alpha Current Previous Alpha Current Previous weight weight weight weight weight
More information[ ] WEEKLY CHANGES AGAINST THE USD
February 19, 2018 [ ] MACRO & MARKETS COMMENTARY» Last week, Global stock markets witnessed one of their best weeks in almost six years after two consecutive weeks in the red. The last week rally was mainly
More information2015 Market Review & Outlook. January 29, 2015
2015 Market Review & Outlook January 29, 2015 Economic Outlook Jason O. Jackman, CFA President & Chief Investment Officer Percentage Interest Rates Unexpectedly Decline 4.5 10-Year Government Yield 4 3.5
More information[ ] WEEKLY CHANGES AGAINST THE USD
February 12, 2018 [ ] MACRO & MARKETS COMMENTARY» In the early hours of last Friday, U.S Congress approved a major budget deal that opens the door for more increase in defense and non-defense spending
More informationGLOBAL FIXED INCOME OVERVIEW
2016 Global Market Outlook Press Briefing GLOBAL FIXED INCOME OVERVIEW Edward A. Wiese, CFA, Head of Fixed Income November 18, 2015 Global Fixed Income Outlook: Summary Environment Developed market yields
More informationMarkets Overview Pulse & Calendar Economic scenario
Uncertainty has a big impact on the behaviour of households and companies Unexpected events and their second round effects imply that to some extent it is unavoidable Economic policy should avoid increasing
More informationAsset Allocation Monthly
For professional investors Asset Allocation Monthly October 2015 Joost van Leenders, CFA Chief Economist, Multi Asset Solutions joost.vanleenders@bnpparibas.com +31 20 527 5126 Uncertainty about US monetary
More informationPrudential International Investments Advisers, LLC. Global Investment Strategy October 2009
Prudential International Investments Advisers, LLC. Global Investment Strategy October 2009 By John Praveen, Chief Investment Strategist For Market Commentary Interviews Contact: Lisa Villareal, 973-367-2503/lisa.villareal@prudential.com
More informationINVESTMENT OUTLOOK March 2016
Austrasse 56 P.O. Box 452 94 Vaduz, Liechtenstein asset@imt.li www.imt.li INVESTMENT OUTLOOK 03.2016 19 March 2016 Since mid-february markets have calmed significantly and risky assets have enjoyed a clear
More informationEconomic Indicators. Roland Berger Institute
Economic Indicators Roland Berger Institute October 2017 Overview Key points Economic Indicators A publication, compiled by the Roland Berger Institute, that provides you with the most important macroeconomic
More informationPerformance Summary June 2015
Performance Summary June 2015 SA Metropolitan Fire Service Superannuation Scheme Funds SA is responsible for investing the assets of the SA Metropolitan Fire Service Superannuation Scheme. In this summary,
More informationMarket Watch. July Review Global economic outlook. Australia
Market Watch Latest monthly commentary from the Investment Markets Research team at BT. Global economic outlook Australia Available data for the June quarter is consistent with a moderation in GDP growth
More informationUSDKZT volatility hit a two-year low
RESEARCH AND KNOWLEDGE MANAGEMENT 22 November 2017 USDKZT volatility hit a two-year low USDKZT traded in the range of 330-334/USD in the past two weeks with a 30-day historical volatility touching a 2-year
More informationHigh yield and emerging market bonds continue rally
Markit iboxx monthly report April 216 High yield and emerging market bonds continue rally April saw corporate and emerging market bond returns continue to gain amid a calmer economic backdrop. Calmer markets
More informationEconomic Outlook: Global and India. Ajit Ranade IEEMA T & D Conclave December 12, 2014
Economic Outlook: Global and India Ajit Ranade IEEMA T & D Conclave December 12, 2014 Global scenario US expected to drive global growth in 2015 Difference from % YoY Growth October Actual October Projections
More informationEurozone Economic Watch. July 2018
Eurozone Economic Watch July 2018 Eurozone: A shift to more moderate growth with increased downward risks BBVA Research - Eurozone Economic Watch July 2018 / 2 Hard data improved in May but failed to recover
More informationGlobal Investment Outlook & Strategy
PRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook & Strategy March 2017 Global Stock Markets Rally likely to Continue, Driven by Strong Earnings & Strengthening GDP Growth.
More informationAPPENDIX ECONOMIC INDICATORS DEVELOPED ECONOMIES
QUARTERLY INVESTMENT STRATEGY Third Quarter 15 19 APPENDIX ECONOMIC INDICATORS DEVELOPED ECONOMIES Purchasing Managers EMERGING ECONOMIES Purchasing Managers US Eurozone Japan Brazil Russia India China
More informationNovember PRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook & Strategy
PRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook & Strategy November 2015 John Praveen, PhD Chief Investment Strategist FOR MORE INFORMATION CONTACT: Theresa Miller Phone:
More informationAll the BRICs dampening world trade in 2015
Aug Weekly Economic Briefing Emerging Markets All the BRICs dampening world trade in World trade in has been hit by an unexpectedly sharp drag from the very largest emerging economies. The weakness in
More informationEric C. Elbell, CFA, CAIA Area Senior Vice President. Kyongdo Min, CPA, CFA Area Vice President. April 11, 2018
Eric C. Elbell, CFA, CAIA Area Senior Vice President Kyongdo Min, CPA, CFA Area Vice President April 11, 2018 Agenda We will address three key topics: Headline events that impacted markets during the quarter
More informationFinancial Market Outlook: Stock Rally Continues with Faster & Stronger GDP Rebound, Earnings Recovery & Liquidity
For Market Commentary Interviews Contact: Lisa Villareal, 973-367-2503/lisa.villareal@prudential.com Financial Market Outlook & Strategy: Further Stock Gains with Macro Sweet Spot & Earnings Recovery.
More informationThe Current Risk Landscape. Axioma Insight Findings Melissa R. Brown, CFA
The Current Risk Landscape Axioma Insight Findings Melissa R. Brown, CFA About Axioma Axioma provides portfolio construction, risk modeling and performance attribution tools to asset managers and asset
More informationMAY 2018 Capital Markets Update
MAY 2018 Market commentary U.S. ECONOMICS The U.S. added 223,000 jobs to payrolls in May, well above the consensus estimate of 180,000 and the expansion average of around 200,000. Sector job gains were
More informationOUTLOOK. What s in store for investors in 2019?
OUTLOOK What s in store for investors in 2019? The key phrase for 2018 has been volatility. The prices of stocks and bonds have fluctuated significantly as investors tried to digest a range of political
More information[ ] WEEKLY CHANGES AGAINST THE USD. » The Bank of England raised its benchmark interest rate to its highest level in MACRO & MARKET COMMENTARY
August 06, 2018 [ ] MACRO & MARKET COMMENTARY» The Bank of England raised its benchmark interest rate to its highest level in almost a decade. Raising the interest rate is suggesting that inflation continues
More informationWEEKLY CHANGES AGAINST THE USD MACRO & MARKETS COMMENTARY
July 03, 2017 [ W E E K LY E C O N O M I C C O M M E N TA R Y ] WEEKLY ANALYSIS FOR THE MOST CRITICAL ECONOMIC AND FINANCIAL DEVELOPMENTS MACRO & MARKETS COMMENTARY» Central banker s comments dominated
More information[ ] WEEKLY CHANGES AGAINST THE USD
January 15, 2018 [ ] MACRO & MARKETS COMMENTARY» The European central bank (ECB) has indicated it should revisit its communication stance in early 2018, according to the ECB s minutes of December meeting
More information[ ] WEEKLY CHANGES AGAINST THE USD
February 26, 2018 [ ] MACRO & MARKETS COMMENTARY» Federal Reserve officials see the economic growth and the acceleration of inflation as a good signal to continue to raise interest rate gradually over
More informationEconomic Indicators. Roland Berger Institute
Economic Indicators Roland Berger Institute November 2018 Overview Key points Economic Indicators A publication, compiled by the Roland Berger Institute, that provides you with the most important macroeconomic
More informationVantage Investment Partners. Quarterly Market Review
Vantage Investment Partners Quarterly Market Review First Quarter 2016 Quarterly Market Review First Quarter 2016 This report features world capital market performance and a timeline of events for the
More informationMarket Watch. Latest monthly commentary from the Investment Markets Research team at BT. March Review Developments in Financial Markets
Market Watch Latest monthly commentary from the Investment Markets Research team at BT. March Review 2018 INSIDE THIS ISSUE Stock markets were blindsided on the first day of March, when US President Donald
More informationMarkets Overview Pulse Economic scenario
TOTAL OUTPUT NEW ORDERS EMPLOYMENT DELIVERY TIMES STOCKS OF PURCHASES INPUT PRICES QUANTITY OF PURCHASES FINISHED GOODS NEW EXPORT ORDERS OUTPUT PRICES WORK BACKLOGS The Markit PMI for the manufacturing
More informationFX BRIEFLY. 12 December Helaba Research. Performance on a month-over-month basis
Helaba Research FX BRIEFLY 12 December 2018 AUTHOR Christian Apelt, CFA phone: +49 69/91 32-47 26 research@helaba.de EDITOR Claudia Windt PUBLISHER: Dr. Gertrud R. Traud Chief Economist/ Head of Research
More informationEurozone. Economic Watch FEBRUARY 2017
Eurozone Economic Watch FEBRUARY 2017 EUROZONE WATCH FEBRUARY 2017 Eurozone: A slight upward revision to our GDP growth projections The recovery proceeded at a steady and solid pace in, resulting in an
More informationOutlook for 2014 Title 1. David Greene, Pioneer Investments
Outlook for 2014 Title 1 David Greene, Pioneer Investments 2014 A year of Transition Transitioning from fiscal tightening to less austerity. Transitioning from Euro-area recession to growth. Transitioning
More informationRisk aware investment.
a b May 2015 For professional clients only/ qualified investors only Risk aware investment. 1. Introduction Integrating risk management into the investment process can improve the choice and sizing of
More informationIMT Asset Management AG Austrasse 56 P.O. Box Vaduz, Liechtenstein
Austrasse 56 P.O. Box 452 9490 Vaduz, Liechtenstein asset@imt.li www.imt.li INVESTMENT OUTLOOK 04.2017 20 April 2017 In March, equity markets continued to rally. Emerging markets outperformed developed
More informationThemes in bond investing June 2009
For professional investors only Not for public distribution March 2011 Themes in bond investing June 2009 Japan outlook: Will Japanese equities jump in the Year of the Rabbit? Introduction There is no
More informationAPPENDIX ECONOMIC INDICATORS DEVELOPED ECONOMIES
16 QUARTERLY INVESTMENT STRATEGY APPENDIX ECONOMIC INDICATORS DEVELOPED ECONOMIES Purchasing Managers Index EMERGING ECONOMIES Purchasing Managers Index US Eurozone Japan Brazil Russia India China Industrial
More informationMARCH 2018 Capital Markets Update
MARCH 2018 Market commentary ECONOMIC CLIMATE Hiring slowed from its fast pace last month the U.S. added 103,000 jobs to nonfarm payrolls in March, below the consensus estimate of 185,000. The U-3 unemployment
More informationBENEFITS OF ALLOCATION OF TRADITIONAL PORTFOLIOS TO HEDGE FUNDS. Lodovico Gandini (*)
BENEFITS OF ALLOCATION OF TRADITIONAL PORTFOLIOS TO HEDGE FUNDS Lodovico Gandini (*) Spring 2004 ABSTRACT In this paper we show that allocation of traditional portfolios to hedge funds is beneficial in
More informationMoving On Up Today s Economic Environment
Moving On Up Today s Economic Environment Presented by PFM Asset Management LLC Gray Lepley, Senior Analyst, Portfolio Strategies November 8, 2018 PFM 1 U.S. ECONOMY Today s Agenda MONETARY POLICY GEOPOLITICAL
More informationLatin America Outlook. 1st QUARTER 2018
Latin America Outlook 1st QUARTER Main messages 1. Strong global growth continues. Forecasts revised up in in most areas. Growth stabilizing in. 2. Growth recovers in Latin America, reaching close to potential
More informationOCTOBER 2018 Capital Markets Update
OCTOBER 2018 Market commentary U.S. ECONOMICS U.S. real GDP grew at an annualized quarterly rate of 3.5% (3. YoY) in Q3, beating expectations of 3.4%. The economy was supported by the strongest consumer
More informationPRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook
PRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook February 2015 Stocks to Fully Rebound from Late 2014/Early 2015 Sell-off with ECB Launching Aggressive QE, Rate Cuts by Several
More informationGlobal Economic Outlook
Global Economic Outlook Will growth continue and at what pace? International Containerboard Conference Chicago November 2018 Lasse Sinikallas Director, Macroeconomics Copyright 2018 RISI, Inc. Proprietary
More informationMan AHL Diversified Futures Ltd
Man AHL Diversified Futures (the "Company") is a futures and options fund and will invest, without limitation, into sectors including stocks, bonds, currencies, interest rates, energies, metals, credit
More informationINVESTMENT NOTE THE GREENBACK MAKES A COMEBACK 7 MAY 2018 DAVE MOHR & IZAK ODENDAAL, OLD MUTUAL MULTI-MANAGERS
INVESTMENT NOTE THE GREENBACK MAKES A COMEBACK DAVE MOHR & IZAK ODENDAAL, OLD MUTUAL MULTI-MANAGERS WEALTH INTELLIGENCE WEEKLY INVESTMENT NOTE THE GREENBACK MAKES A COMEBACK In the past two weeks, the
More informationMay PRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook & Strategy
PRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook & Strategy May 2016 Stocks under Shadow of Brexit Risk & Weak Earnings but likely to Grind Higher with Central Bank Put. Bonds
More informationMarkets Overview Pulse Economic scenario
The slope of the US yield curve has flattened significantly this year despite Fed rate hikes In the past this has often been a harbinger of a major economic downturn In this cycle the signal coming from
More informationGlobal Investment Outlook & Strategy
PRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook & Strategy John Praveen, PhD Chief Investment Strategist FOR MORE INFORMATION CONTACT: Mayura Hooper Phone: 973-367-7930 Email:
More informationMarkets Overview Pulse & calendar Economic scenario
: : : : 8: 1: 1: 1: 1: 18: : : : : : : 8: 1: 1: 1: 1: 18: : : : : : : 8: 1: 1: 1: Markets have reacted in a calm way to the US decision to withdraw from the Iran nuclear deal Despite the increase in geopolitical
More informationMarch PRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook & Strategy
PRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook & Strategy March 2016 Stocks likely to Recover Further with Improving Growth & Recession Fears Easing, Fresh Stimulus from
More information6/11/12 Spanish bank rescue announced. 6/6/12 China cuts interest rates, fueling best day for U.S. stocks in 2012
Trade History Tactical Opportunities Portfolio LPL Financial Research MODEL WEALTH PORTFOLIOS December 31, 2012 The LPL Financial Research asset allocation process, coupled with a strong security selection
More informationIMT Asset Management AG Austrasse 56 P.O. Box Vaduz, Liechtenstein
Austrasse 56 P.O. Box 452 9490 Vaduz, Liechtenstein asset@imt.li www.imt.li INVESTMENT OUTLOOK 08.2017 4 August 2017 The most important debates currently center on the sustainability of the equity bull
More informationCurrency Market Outlook EMPRES-7173
Currency Market Outlook 1 Currency Markets Outlook certainly one lesson is that we should get used to periods of higher volatility Mario Draghi President of the European Central Bank ECB Press Conference
More informationPerformance Summary September 2015
Performance Summary September 2015 SA Metropolitan Fire Service Superannuation Scheme Funds SA is responsible for investing the assets of the SA Metropolitan Fire Service Superannuation Scheme. In this
More informationFIVE KEYS TO EMERGING MARKET OUTLOOK John Lynch Chief Investment Strategist, LPL Financial Jeffrey Buchbinder, CFA Equity Strategist, LPL Financial
LPL RESEARCH WEEKLY MARKET COMMENTARY KEY TAKEAWAYS We favor emerging market and U.S. equities for tactical asset allocations based primarily on our outlooks for global economic growth and earnings. We
More informationGlobal Economic Outlook
Global Economic Outlook Will the growth continue and at what pace? Latin American Conference São Paulo August 2018 Lasse Sinikallas Director, Macroeconomics Copyright 2018 RISI, Inc. Proprietary Information
More informationGLOBAL MARKET OUTLOOK
GLOBAL MARKET OUTLOOK Max Darnell, Managing Partner, Chief Investment Officer All material has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. performance is no
More information2011 Ringgit Bond Market Outlook
211 Ringgit Bond Market Outlook Wan Murezani Wan Mohamad Head Fixed Income Research 211 Investor Briefing 22 March 211 MALAYSIAN RATING CORPORATION BERHAD Clarity and Integrity www.marc.com.my Disclaimer
More informationDEVELOPMENTS IN THE COST COMPETITIVENESS OF THE EUROPEAN UNION, THE UNITED STATES AND JAPAN MAIN FEATURES
DEVELOPMENTS IN THE COST COMPETITIVENESS OF THE EUROPEAN UNION, THE UNITED STATES AND JAPAN MAIN FEATURES The euro against major international currencies: During the second quarter of 2000, the US dollar,
More informationSEPTEMBER Overview
Overview SEPTEMBER 214 Global growth. Global growth has been weaker than expected so far this year, as economic activity disappointed in a number of major countries in the first six months (Figure 1).
More informationBuilding Portfolios Holistically requires a Customised Approach to Each Asset Class
Building Portfolios Holistically requires a Customised Approach to Each Asset Class Andrew Lill Chief Investment Officer, Asia-Pacific Morningstar Investment Management 2017 Morningstar, Inc. All rights
More informationMonthly Market Snapshot
ly Market Snapshot NOVEMBER 2016 The ly Market Snapshot publication provides commentary on the global economy and the performance of financial markets Key insights Equity markets recovered in November
More informationMonthly Economic Report
Monthly Economic Report April 19, 2018 Copyright Mizuho Research Institute Ltd. All Rights Reserved. 1. The Japanese Economy: the business conditions DI deteriorated; FY2018 fixed investment plans were
More informationGlobal Macroeconomic Monthly Review
Global Macroeconomic Monthly Review August 14 th, 2018 Arie Tal, Research Economist Capital Markets Division, Economics Department 1 Please see disclaimer on the last page of this report Key Issues Global
More informationElston Blend Model Market Update
Blend Model Market Update September 2018 Snapshot of the month The S&P/ASX 100 Accumulation Index declined -1.3% while the MSCI World ex Australia NR Index (A$) ended +0. higher. The A$ appreciated +0.
More informationThe international environment
The international environment This article (1) discusses developments in the global economy since the August 1999 Quarterly Bulletin. Domestic demand growth remained strong in the United States, and with
More informationFive years into the crisis. Is the world more stable or more unstable? Page 2 I Dublin, June 2013 Pioneer Investment Conference.
Five years into the crisis. Is the world more stable or more unstable? Page 2 I Dublin, June 2013 Pioneer Investment Conference. % of GDP The Debt Issue in Developed Markets Developed Markets Debt-to-GDP
More informationUpdate on Oil Prices. Looking at the market s response as the oil price has fallen
Update on Oil Prices Looking at the market s response as the oil price has fallen Introduction and recap Frontier s Capital Markets and Asset Allocation Team (CMAAT) released a publication on oil in December
More informationMarket and Economic Charts. Retail Fund Management Team Investec Asset Management
Market and Economic Charts Retail Fund Management Team Investec Asset Management 30 April 2010 Looking at Markets Global SA Economics Major Index Performance Major Index Performance Market Drivers Inflation
More informationInternational Monetary Fund
International Monetary Fund World Economic Outlook Jörg Decressin Deputy Director Research Department, IMF April 212 Towards Lasting Stability Global Economy Pulled Back from the Brink Policies Stepped
More informationQuarterly Economic Outlook: Quarter on 25 September 2018 Strong Economic Expansions amidst Uncertainty of Trade War
Foregin Direct Investment (Billion USD) China U.S. Asia World Quarterly Economic Outlook: Quarter 3 2018 on 25 September 2018 Strong Economic Expansions amidst Uncertainty of Trade War Thai Economy: Thai
More informationMonetary and Financial Update
(SR billion) October 18 Monetary and Financial Update A slow recovery in private sector lending Key Indicators Percent, year-to-august Year-to- Year-to- Indicator August August 17 18 M3.. Credit to private
More informationWorld Economic outlook
Frontier s Strategy Note: 01/23/2014 World Economic outlook IMF has just released the World Economic Update on the 21st January 2015 and we are displaying the main points here. Even with the sharp oil
More informationUK Economic Outlook July 2017
www.pwc.co.uk/economics Contents 1 2 3 4 Global outlook UK economic trends and prospects UK housing market outlook Nowcasting current GDP growth PwC 2 Global growth in 2017 should be slightly stronger
More informationFinancial Market Outlook & Strategy: Stocks Bottoming On Track to Recovery. Near-term Risks
For Market Commentary Interviews Contact: Lisa Villareal, 973-367-2503/lisa.villareal@prudential.com Financial Market Outlook & Strategy: Stocks Bottoming On Track to Recovery. Near-term Risks John Praveen
More information