Volatility moves were almost all downwards in February. They were low relative to their 12-month averages almost everywhere.
|
|
- Jocelyn O’Connor’
- 5 years ago
- Views:
Transcription
1
2 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) rose just fractionally from 10. to 10.6% (low). Equity market price moves were upwards during the month. Volatility trends were all downwards. Sector volatilities ended at 6-9% (but with Energy at 13%). Sector volatilities were all low relative to the last 12 months. Sovereign bond price moves were also positive. Bond volatility moves were downwards, ending at 4% (but down to 1.2% in Japan). All three major regions had low volatility. FX price moves were bigger than of late with the euro weaker. Volatility trends were downwards: e.g. / down to 5.8%. Volatilities were low for all major currencies relative to the euro. Option volatility will likely have been mixed, driven not by volatility of volatility, which was flat, but with some large moves in underlying prices during the month. Volatility of volatility for the US ended at 76% (low). Commodities price moves were small, with Oil falling but Gold up. Volatility moves were downwards e.g. Oil down to 18% (low). Real Estate (equity) price moves were generally upwards. Volatility moves were small and finished at 10-11% (all low). PE Funds prices were fractionally down, with volatility trends in PE and hedge funds down. 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 Volatility changes were downwards again almost everywhere. It s a full 10 years on from 2007 when equity market volatility had all but disappeared. And the parallels don t stop there: equity markets and debt to GDP have reached new highs, there is a hunt for yield and investment managers are missing volatility target ranges to the downside and have started asking us how to increase their volatility. And yet in the face of this the list of tail risks remains long: US rate rises, French and German national elections, a possible post-brexit breakup of the UK and/or EU, the ECB starting to taper, rising inflation in the UK and US, and further fallout from the lower oil price in oil producing countries as deficits remain high. It seems very unlikely that volatility will remain so low for long. ASSET CLASS EQUITIES VOLATILITY OF VOLATILITY GOVERNMENT BONDS FX VS $ COMMODITIES PROPERTY ALTERNATIVES KURTOSIS CORRELATION AREA LATEST VOLATILITY LATEST Z-SCORE REGIME North America 5.4% -1.2 low Asia ex-japan 5.9% -1.8 low Europe 7.3% -1.0 low Japan (Nikkei) low Energy 13.2% -1.0 low Consumer Staples 7.6% -0.8 low Financials low IT 5.6% -1.4 low Volatility of VIX 76% -0.7 low Volatility of VSTOXX low Germany low US 3.9% -0.5 low Japan 1.2% -1.4 low Italy 7.5% 1.8 HIGH /$ 5.8% -1.0 low /Yen 7.9% -0.6 low /CHF 3.5% -0.5 low / 7.9% -0.6 low Oil (Brent) 17.6% -1.8 low Gold 9.3% -1.5 low Copper 26.5% 1.7 HIGH US 10.9% -1.2 low Europe 10.2% -0.8 low Japan 11.1% -0.8 low HFRX Global HF 2.8% -0.2 medium Avg PE Fund 3.7% -1.2 low ZCF 1% left (vs for normal curve) Average market correlation with euro equities medium 33% 0.7 HIGH 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 Newsflow picked up after a lull in the first two months of the year. Stockmarkets in the US hit new record highs The US imposed new sanctions on Iran after it conducted a missile test. North Korea also tested a missile, and the dictator s half-brother was assassinated in Malaysia The Trump administration asked the Treasury to re-examine the onerous requirements of the Dodd-Frank act. The US trade deficit reached a new post-2012 high boosted by a strong Dollar US inflation rose to 2.5% in January on higher oil prices. UK inflation rose to 1.8%, with the weaker pound not yet fully captured The spread between French and German bond yields continued to widen on increasing fears of a eurozone breakup The ECB denied that it was considering tapering its bond purchase programme General Motors and the major mining companies posted good earnings figures. Toshiba announced a $6bn write-down. AIG announced a $3bn quarterly loss. Hanjin Shipping announced bankruptcy. Lloyds made its best annual profit since 2006 PSA Group agreed to buy GM s European operations. Kraft Heinz announced a $143bn takeover of Unilever, but shortly afterwards withdrew it. Verizon reduced the amount of its bid for Yahoo after it was discovered that Yahoo had been the subject of two successful hacking attempts. The merger between Anthem and Cigna was also blocked after last month s judgement against the merger of Aetna and Humana on anti-trust concerns. The merger between the LSE and Deutsche Börse was close to collapse Japanese GDP grew by 1. in India s economy grew by a claimed 7% in Q Nigeria s economy continued to deteriorate with oil prices lower, and it had its first negative annual GDP in 25 years 2.5% % 1. GDP ESTIMATES FOR 2016, DEVELOPED COUNTRIES 0.5% Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 9% 8% 7% 6% 5% 4% 3% 2% 1% US UK Spain Germany Euro Area Japan France Italy 2017 GDP estimates for developed countries were once again revised up for most countries. The exception was the US which was nudged downwards GDP ESTIMATES FOR 2016, DEVELOPING COUNTRIES Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 China India Turkey Russia Brazil 2017 GDP growth forecasts for developing countries were revised down again for Brazil and Turkey. 5
6 Kurtosis in the equity markets The left tail of the eurozone equity market distribution drifted back towards its theoretical normal and finished at The right tail also stayed close to its theoretical normal level CORNISH-FISCHER EXPANSION OF EURO STOXX 50 The left tail of the eurozone equity market distribution drifted back towards its theoretical normal and finished at 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 variations from +/-2.33 came in 2008 and
7 Inter-market correlations with EU equities INTER-MARKET CORRELATIONS 10 4% AVERAGE CORRELATION North America Japan Bunds (negative) /$ Average Average correlation rose again from 29% to 33% (high). Average correlations remained high during the month, led by North American equities and Bunds. 3 25% 2 15% 1 5% -5% -1-15% MULTI-ASSET PORTFOLIO Average asset Multi-asset portfolio Diversification impact 2.4% AVERAGE VOLATILITIES 1. PORTFOLIO VOLATILITY We also look at a hypothetical multi-asset portfolio consisting of equities, bonds, gold, oil and hedge funds. Average asset volatilities fell again from 10.4% to 8. during the month, while the benefit of (multi-asset) diversification reduced from -5.7% to -4.3% as correlations increased. In combination portfolio volatility dropped from 4.7% to 3.7%; and reached a new 12-month low. 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) Equity indices rallied strongly during the month. North America rose +3.4% including making new record highs, Asia ex-japan rose +2.3% and Europe +2.5%. The Nikkei rose, but by just +0.4%. STOCK PRICE PERFORMANCE: SECTORS (LOG SCALES) % FINANCIALS Energy Consumer Staples IT Financials, rh axis Sector price moves were mostly strongly positive. IT rose +4.5% for the second month in a row, Financials +2.2% and Consumer Staples +4.2%, while Energy fell back -2.6% on a lower oil price % IT 2.6% ENERGY 4.2% CONSUMER STAPLES 8
9 Equities Volatility EQUITY VOLATILITY: REGIONS 45% 4 35% 3 25% 2 15% 1 5% 14. NIKKEI North America Europe Asia ex-japan Japan (Nikkei) Regional volatilities all fell again on the month. North America ended at 5.4% (low), Asia ex-japan at 5.9% (low), Europe at 7.3% (low), and Japan to 14. (low). EQUITY VOLATILITY: SECTORS 4 35% 3 25% 2 15% 1 5% Energy Consumer Staples IT Financials between 6-9% All sector volatilities Sector volatility moves were more mixed. They ended at 6-9%, with Energy the outlier again at 13.2%. All sectors ended with low volatility. 9
10 Equity Implied Volatility Market-Implied Near Term Outlook Implied Volatility Implied volatilities were relatively unchanged on the month. The VIX rose from 12.0 to 12.9 while European implied volatility (VSTOXX) fell from 17.4 to IMPLIED VOLATILITY VIX VSTOXX VSTOXX VIX Implied vs. Realised Volatility (European equity) implied volatility was again down on the month while realised volatility was close to flat. So the ratio of implied/realised fell back from 173% to 154%. This ratio is still well above a neutral level, suggesting that the market expected there would continue to be volatilityinducing news over the next 30 days compared to the last 30 days; the Dutch election might be a case in point here. IMPLIED VS. REALISED VOLATILITY 45% 4 35% 3 Fed hints at June rate rise (May) Fed hints at rate rise (Sep) Italian referendum (Dec) % IMPLIED/REALISED VOLATILITY 25% % % Brexit (Jun) Trump victory (Nov) 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 all positive on the month. German bonds rose +2.4%, and Japanese were +0.5%, with US bonds also +0.5% Germany US Japan Italy SPANISH 10Y BOND YIELD Spanish bond yields rose to 1.6% as fears of a eurozone breakup increased Spain Yield VOLATILITY OF 10Y BOND FUTURES 9% 8% 7% 6% 5% 4% Volatility Volatilities were down on the month. German bond volatility fell to 4. (high down to low), the US to 3.9% (medium down to low) and Japanese bonds fell slightly to 1.2% (low compared to the last 12 months). 3% 2% 1% Germany US Japan Italy 11
12 Foreign Exchange 0.4% vs. 2.6% vs. 1.6% vs. $ Prices FX moves were more pronounced last month, with the Dollar +1.6%, the Yen +2.6% vs the euro. Sterling rose, but by just +0.4% FX RATES VS. /$ /JPY /100 / (rh axis) Volatility FX volatility moves were all downwards. /$ fell to 5.8% (medium down to low), / to 7.9% (medium down to low), and /Yen to 7.9% (medium down to low relative to 12 month averages.) VOLATILITY OF FX RATES VS. 5.8% vs. $ 7.9% vs. 7.9% vs. 3 25% 2 15% 1 5% / /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 was relatively unchanged on the month, with the US ending at 76% (low) and Europe at 7 (medium back down to low relative to the last 12 months.) Volatility of volatility is unlikely to have been a driver of option volatility during the month. 25 VOLATILITY OF VOLATILITY 20 76% US EUROPE Volatility of VIX Volatility of VSTOXX Major (Regional Equity) price moves (Equity) prices saw relatively big moves during the month (and correlations between major indices have been unusually low over the last few months.) Underlying price moves are likely to have been a driver of option volatility. CHANGE IN PRICES OF EQUITY INDICES, 30 DAYS 2 15% 1 5% -5% -1-15% 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 Commodities 0.2% OIL 3.7% GOLD Prices Commodity price moves were small during the month. Oil fell, by -0.2% on the month. Gold rose +3.7% (despite rising risk asset prices) while Copper reversed last month s gain with a slight loss of -0.9% after making a new 12-month high on higher global economic growth prospects. Iron Ore also made a new 12-month high. COMMODITIES PRICES 0.9% COPPER ,400 1,300 1,200 1,100 1, Oil (Brent) Copper (indexed) Iron Ore Gold (rh axis) Volatility Volatility changes were down for most assets; Oil finished down again at 18% (low) while Gold fell slightly to 9% (low) but Copper rose again to 27% (high on a very narrow range). 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 2,400 2,300 3,600 3, %EUROPE 2,200 3,200 2,100 3,000 2,000 1,900 2,800 2, % US 1,800 2,400 Real estate equities price moves once again reversed the prior month s moves and were generally up on the month along with most risk assets. Europe was up +4.5%, the US +3.3% while Japan was down -0.9%. 0.9% JAPAN Europe Japan (rh axis) US (rh axis) REAL ESTATE (REIT) VOLATILITY Europe Japan US Volatility moves were small. The US fell to 10.9% (low), Japan dropped to 11.1% (low) and Europe was flat at 10.2% (low). 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, Global Hedge Funds (EUR) Avg PE Fund (indexed) PE funds finally had a negative month at -0.1%, while the average hedge fund rose again, this time by +1.. AI VOLATILITY 2.8% HFRX volatility 12% 1 8% 14% 6% 3.7% AVERAGE PE FUND 4% 2% Global Hedge Funds (EUR) Avg PE Fund Global hedge fund volatility fell slightly to 2.8% (medium) while the volatility of an average of PE fund fell to just 3.7% (medium back down to low 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 28th February 2017, and the commentary was written on or before 12th March Disclaimer The commentary does not constitute, and is not intended to constitute, investment advice. 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. Employees of 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 Creeping Upwards May 2018
MARKET RISK REPORT Creeping Upwards May 2018 Executive summary Volatilities in general declined again their very elevated levels of the prior months. Asset volatilities were mixed relative to their 12-month
More informationMARKET 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 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 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 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 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 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 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 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 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 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 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 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 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 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 informationQuarterly Currency Outlook
Mature Economies Quarterly Currency Outlook MarketQuant Research Writing completed on July 12, 2017 Content 1. Key elements of background for mature market currencies... 4 2. Detailed Currency Outlook...
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 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 informationQuarterly market summary
Quarterly market summary 1st Quarter 2017 Economic overview Data appears to signal that economic activity is picking up around the world, with many forecasts for growth being revised upwards. This has
More informationZenith Monthly Economic Report October 2011
Zenith Monthly Economic Report October 211 ECONOMIC STATISTICS SUMMARY Cash Rate Inflation Rate (%) Unemployment Rate (%) GDP Annual Growth (%) Country Latest Last Change Latest Change Latest Change Past
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 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 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 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 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 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 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 informationAxioma s new Multi-Asset Class (MAC) Risk Monitor highlights recent trends in market and portfolio
Introducing the New Axioma Multi-Asset Class Risk Monitor Christoph Schon, CFA, CIPM Axioma s new Multi-Asset Class (MAC) Risk Monitor highlights recent trends in market and portfolio risk. The report
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 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 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 informationMay market performance. Index. Index. Global economies
JUNE 2016 The recovery in equity and commodity prices from February lows continued into May with the third straight month of equity and commodity price rises. Oil prices continued to move higher, up another
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 informationThe Prospects Service
The Prospects Service LEADING ECONOMIC ANALYSIS, FORECASTS AND DATA Global Prospects, September 2017 Toplines The combination of rising consumer confidence, low borrowing costs and declining unemployment
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 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 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 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 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 informationGlobal Markets Update QNB Economics 01 May 2016
Global Markets Update QNB Economics 1 May 16 Executive Summary Key Takeaways Weaker than expected US GDP led to lower US sovereign bond yields while better than expected Eurozone GDP led to higher European
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 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 informationKBC INVESTMENT STRATEGY PRESENTATION. Defensive August 2017
KBC INVESTMENT STRATEGY PRESENTATION August 2017 Investment climate Key rate trends and outlook 2,0 2,0 1,5 VS EMU 1,5 0,5 0,5 0,0 0,0-0,5-0,5 - - 07-2012 07-2013 07-2014 07-2015 07-2016 07-2017 07-2018
More informationAugust iboxx bond monitor: UK bonds continue surge
Markit iboxx monthly report August 2016 August iboxx bond monitor: UK bonds continue surge Bonds provided relatively flat returns last month as the possibility of a US rate rise saw investors continue
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 informationEuropean Bond Spreads, Yield Curves And Volatility
European Bond Spreads, Yield Curves And Volatility A client posed the question a few years ago during one of the many rolling sovereign credit crises then roiling the Eurozone as to when the whole thing
More informationAustralian Dollar Outlook
Tuesday, 31 March 015 Australian Dollar Outlook Still Under Pressure We have revised our AUD forecasts for this year down slightly to reflect developments over recent months. We now expect the AUD to end
More informationMonthly Market Snapshot
ly Market Snapshot AUGUST 2017 The ly Market Snapshot publication provides commentary on the global economy and the performance of financial markets Key insights In August, global equities marginally increased,
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 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 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 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 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 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 informationThe decline of commodity prices: A matter of concern?
The decline of commodity prices: A matter of concern? Oil and metals prices are down significantly this year For oil this seems to be predominantly driven by supply factors The decline of metal prices
More informationECFIN/C-1 Fourth quarter 2000
ECFIN/C-1 Fourth quarter 2000 ECFIN/44/4/00-EN This document exists in English only. European Communities, 2001. MAIN FEATURES During the fourth quarter of 2000, the euro appreciated against the US dollar,
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 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 informationQuarterly market summary
Quarterly market summary 3rd Quarter 2017 Economic overview Economic data released during the quarter seemed to signal a continuation of synchronised global recovery in almost all regions. This is being
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 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 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 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 informationMACRO INVESTMENT OUTLOOK
MACRO INVESTMENT OUTLOOK AUGUST 18 INVESTMENT STRATEGY AND DYNAMIC MARKETS TEAM, MULTI ASSET GROUP GLOBAL SHARES CONSTRAINED BY TRADE WAR FEARS BUT AUSTRALIAN SHARES RELATIVELY RESILIENT 5 Australia -
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 informationFinancial Market Outlook: Stocks Rebounding from July Correction, Further Gains Likely. Bond Yields Range Bound
For Market Commentary Interviews Contact: Lisa Villareal, 973-367-2503/lisa.villareal@prudential.com Financial Market Outlook & Strategy: Stocks Rebounding from July Correction, Further Gains Likely. Bond
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 informationSummary of macroeconomic forecasts GDP Growth Inflation Curr. Account / GDP Fiscal balances / GDP
ECONOMIC RESEARCH DEPARTMENT Summary of macroeconomic forecasts GDP Growth Inflation Curr. Account / GDP Fiscal balances / GDP % 216 e 217 e 218 e 216 e 217 e 218 e 216 e 217 e 218 e 216 e 217 e 218 e
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 informationWEEKLY CHANGES AGAINST THE USD MACRO & MARKETS COMMENTARY
July 10, 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» The minutes of FOMC meeting in June
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 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 information1. THE ECONOMY AND FINANCIAL MARKETS
3 5 6 7 8 9 1 11 1 13 1 15 16 3 5 6 7 8 9 1 11 1 13 1 15 16 1. THE ECONOMY AND FINANCIAL MARKETS 1.1. MACROECONOMIC CONTEXT According to the most recent IMF estimates, world economic activity grew by 3.1%
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 informationSeptember PRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook & Strategy
PRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook & Strategy September 2015 Stock Market Volatility likely to Remain Elevated in Near-term on China Concerns & Fed Uncertainty.
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 informationECONOMIC OUTLOOK FINALLY, SYNCHRONIZED GLOBAL GROWTH
ECONOMIC OUTLOOK FINALLY, SYNCHRONIZED GLOBAL GROWTH Augustine Faucher Chief Economist November 13, 2017 Senior Economic Advisor Chief Economist BETTER GROWTH THIS YEAR, AND AN UPGRADE TO 2018 World output,
More informationSEPTEMBER 2018 Capital Markets Update
SEPTEMBER 2018 Market commentary U.S. ECONOMICS Non-farm payrolls added 134,000 jobs in September, missing the consensus estimate of 185,000. However, net revisions to the two months prior totaled +87,000
More informationFINANCIAL FORECASTS ECONOMIC RESEARCH. January No. 1. What will be the characteristics of euro-zone financial markets in 2016?
ECONOMIC RESEARCH January - No. What will be the characteristics of euro-zone financial markets in? We believe investors will be faced with the following characteristics in euro-zone financial markets
More informationGlobal Macroeconomic Monthly Review
Global Macroeconomic Monthly Review October 16 th, 2018 Arie Tal, Research Economist Capital Markets Division, Economics Department Please see disclaimer on the last page of this report 1 Key Issues Global
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 informationQuarterly market summary
Quarterly market summary 4th Quarter 2017 Economic overview Further evidence of synchronised global economic improvement was signalled by higher measures of economic activity and company profits, along
More informationA year after being elected the USA s 45 th president, Donald Trump can boast a strong economic situation although few of his own making
A year after being elected the USA s 5 th president, Donald Trump can boast a strong economic situation although few of his own making A year on from Donald Trump s election victory, everything has improved,
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 informationP R O F E S S I O N A L S O N LY. Milan IFTA Conference "Sailing to the Future" October 2017
P R O F E S S I O N A L S O N LY Milan IFTA Conference "Sailing to the Future" October 2017 Frédéric Leroux Global Fund Manager Head of Cross Asset Team 2 The Importance of Being a Risk Manager 3 Over
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 informationINVESTMENT MARKET UPDATE UBC FACULTY PENSION PLAN
INVESTMENT MARKET UPDATE UBC FACULTY PENSION PLAN MIKE LESLIE, FACULTY PENSION PLAN NEIL WATSON, LEITH WHEELER FEBRUARY 12, 2014 Presenters Mike Leslie Executive Director, Investments Faculty Pension Plan
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 informationWEEKLY CHANGES AGAINST THE USD
December 04, 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» The U.S senate passed the long-awaited
More informationNOT JUST A BOND PROXY
GLOBAL LISTED INFRASTRUCTURE: NOT JUST A BOND PROXY This research paper will explore the often misunderstood impact of interest rates on Global Listed Infrastructure and differentiate between the short
More informationGuaranteed Investment Fund
Guaranteed Investment Fund As at 30th September 2018 Management of some of the Guaranteed Investment Fund tranches was transferred from Insight Investment to St Andrews Life Assurance (SALA). The tables
More informationFOREIGN EXCHANGE RESERVES
FOREIGN Management of Norges Bank s foreign exchange reserves 4 16 FEBRUARY 17 REPORT FOR FOURTH QUARTER 16 Contents Management of the foreign exchange reserves... 3 The foreign exchange reserves... 4
More informationPrudential International Investments Advisers, LLC. Global Investment Strategy March 2010
Prudential International Investments Advisers, LLC. Global Investment Strategy March 2010 By John Praveen, Chief Investment Strategist For Market Commentary Interviews Contact: Lisa Villareal, 973-367-2503/lisa.villareal@prudential.com
More informationPRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook
PRUDENTIAL INTERNATIONAL INVESTMENTS ADVISERS, LLC. Global Investment Outlook September 2013 Financial Market Outlook: Stocks likely to Remain in Modest Uptrend with Low Rates & Plentiful Liquidity, Improving
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 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 informationB-GUIDE: Economic Outlook
Aug-12 Apr-13 Dec-13 Aug-14 Apr-15 Dec-15 Aug-16 Apr-17 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Quarterly Economic Outlook: Quarter 4 2017 4 January 2018 B-GUIDE: Economic Outlook The economy
More informationNOT JUST A BOND PROXY
GLOBAL LISTED INFRASTRUCTURE: NOT JUST A BOND PROXY This research paper will explore the often misunderstood impact of interest rates on Global Listed Infrastructure and differentiate between the short
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 information