DIVERSIFICATION and the VOLATILITY RISK PREMIUM
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1 DIVERSIFICATION and the VOLATILITY RISK PREMIUM November 9, 2017 Harin de Silva President Analytic Investors, LLC Wells Fargo Asset Management is a trade name used by the asset management businesses of Wells Fargo & Company.
2 Volatility Risk Premium () q = Risk Neutral Volatility of Asset E(Volatility) q Option Implied Volatility E(Volatility) q Option Implied Volatility Actual Volatility q Complexities in Calculation q Calculation of implied volatility q Time Horizon q Rationale: Compensation for sellers of volatility for the bearing the risk between high levels of uncertainty 2
3 Realized for S&P500 The market tends to consistently overprice volatility January 1996 June 2017 Volatility level (SPX) 100% 80% 60% 40% 20% 0% Implied Volatility (VIX) Realized Volatility (25 Day) janv-96 juin-96 nov-96 avr-97 sept-97 févr-98 juil-98 déc-98 mai-99 oct-99 mars-00 août-00 janv-01 juin-01 nov-01 avr-02 sept-02 févr-03 juil-03 déc-03 mai-04 oct-04 mars-05 août-05 janv-06 juin-06 nov-06 avr-07 sept-07 févr-08 juil-08 déc-08 mai-09 oct-09 mars-10 août-10 janv-11 juin-11 nov-11 avr-12 sept-12 févr-13 juil-13 déc-13 mai-14 oct-14 mars-15 août-15 janv-16 juin-16 nov-16 avr-17 Realized volatility risk premium Overpriced Underpriced 40% 20% 0% -20% -40% -60% Implied minus Realized Volatility Spread Average Spread: 4.34 janv-96 juin-96 nov-96 avr-97 sept-97 févr-98 juil-98 déc-98 mai-99 oct-99 mars-00 août-00 janv-01 juin-01 nov-01 avr-02 sept-02 févr-03 juil-03 déc-03 mai-04 oct-04 mars-05 août-05 janv-06 juin-06 nov-06 avr-07 sept-07 févr-08 juil-08 déc-08 mai-09 oct-09 mars-10 août-10 janv-11 juin-11 nov-11 avr-12 sept-12 févr-13 juil-13 déc-13 mai-14 oct-14 mars-15 août-15 janv-16 juin-16 nov-16 avr-17 Source: Bloomberg. 3
4 Median Spread 5,0% Realized Spread 4,0% 3,0% 2,0% 1,0% 0,0% ASSET CLASS: Commodity Currency Equity Fixed Income 4
5 Volatility Risk Premia in Equity, Fixed Income, Currency and Commodity Markets Exposure Bloomberg Ticker Implied Volatility Realized Volatility Mean Median Standard Deviation Skewness Kurtosis Commodity Coffee KC1 Comdty 34.4% 30.2% 4.2% 4.6% 8.3% Commodity Corn C 1 Comdty 31.0% 28.9% 2.1% 2.6% 7.9% Commodity Gold GC1 Comdty 19.7% 18.8% 0.9% 1.1% 5.8% Commodity Natural Gas NG1 Comdty 49.8% 45.4% 4.4% 4.1% 12.6% Commodity Soybean S 1 Comdty 25.4% 23.1% 2.3% 2.7% 6.2% Commodity Wheat W 1 Comdty 33.5% 32.3% 1.2% 1.7% 8.6% Commodity WTI Crude CL1 Comdty 36.3% 33.6% 2.7% 3.6% 10.4% Currency EUR-GBP EURGBP Curncy 8.2% 7.7% 0.5% 0.7% 1.7% Currency EUR-USD EURUSD Curncy 10.1% 9.3% 0.9% 0.9% 2.1% Currency GBP-USD GBPUSD Curncy 9.2% 8.5% 0.7% 0.8% 2.0% Currency USD-JPY USDJPY Curncy 10.6% 9.7% 1.0% 1.4% 3.2% Equity Australia AS51 Index 18.5% 16.7% 1.9% 2.4% 6.4% Equity Eurozone SX5E Index 22.2% 21.6% 0.6% 1.9% 7.6%
6 Volatility Risk Premia in Equity, Fixed Income, Currency and Commodity Markets (cont.) Exposure Bloomberg Ticker Implied Volatility Realized Volatility Mean Median Standard Deviation Skewness Kurtosis Equity France CAC Index 21.6% 21.4% 0.1% 1.3% 7.6% Equity Germany DAX Index 21.5% 20.8% 0.7% 1.9% 7.1% Equity Hong Kong HSI Index 24.0% 22.3% 1.7% 2.5% 8.7% Equity Japan NKY Index 23.7% 22.5% 1.2% 3.0% 10.0% Equity Netherlands AEX Index 20.3% 19.4% 0.9% 2.2% 7.6% Equity Switzerland SMI Index 17.2% 16.5% 0.7% 1.8% 7.3% Equity United Kingdom UKX Index 18.2% 17.2% 0.9% 1.9% 6.8% Equity United States SPX Index 18.0% 17.0% 1.0% 2.2% 7.4% Fixed Income US 10YR Note TY1 Comdty 6.1% 5.7% 0.4% 0.5% 1.5% Fixed Income US Long Bond US1 Comdty 10.7% 10.0% 0.7% 0.9% 2.3%
7 Spread vs Realized Volatility ( ) 4,4% Coffee 4,0% Natural Gas 3,6% WTI Crude Realized Spread 3,2% Japan 2,8% Soybean 2,4% Australia Hong Kong Corn United States Netherlands 2,0% United Kingdom Germany Switzerland Eurozone 1,6% Wheat 1,2% USD-JPY US Long Bond Gold France EUR-USD 0,8% GBP-USD EUR-GBP 0,4% US 10YR Note 4% 7% 10% 13% 16% 19% 22% 25% 28% 31% 34% 37% 40% Realized Volatility Asset Class: Û Commodity o Currency l Equity p Fixed Income 7
8 Median Ratios 1,20 1,18 Realized Ratio 1,15 1,13 1,10 1,08 1,05 1,03 1,00 ASSET CLASS: Commodity Currency Equity Fixed Income 8
9 Ratio vs Realized Volatility ( ) Realized Ratio 1,18 1,16 1,14 1,12 1,10 1,08 EUR-USD US 10YR Note GBP-USD EUR-GBP USD-JPY United Kingdom Switzerland US Long Bond Australia United States Japan Netherlands Hong Kong Soybean Germany Eurozone Gold France Coffee WTI Crude Corn Natural Gas 1,06 Wheat 1,04 4% 8% 12% 16% 20% 24% 28% 32% 36% 40% Realized Volatility Asset Class: Û Commodity o Currency l Equity p Fixed Income 9
10 Ratio Correlation vs Return Correlation 1 0,9 0,8 Ratio Correlation 0,7 0,6 0,5 0,4 0,3 0,2 0,1 0-0,1 0 0,1 0,2 0,3 0,4 0,5 0,6 0,7 0,8 0,9 1 Absolute Price Return Correlation Corr Pairs: Û Commodity o Currency l Equity p Fixed Income X Asset Class 10
11 Risk and Return of Portfolios Equity Commodity Currency Fixed Income Equal Asset Equal Asset Class Annualized Excess Return 4.38% 13.45% 19.97% 17.38% 11.25% 14.17% Annualized Risk 15.48% 9.72% 13.72% 16.25% 10.83% 10.47% Sharpe Ratio
12 Regression of Portfolio Excess Returns on Pure Factor Portfolios Equity Commodity Currency Fixed Income Equal Asset Class R Square Intercept Market Value Momentum Small Size Low Beta Profitability Bond Beta (-0.13) 0.61 (6.31)** (-2.11)* 0.53 (2.35)* 0.52 (1.61) (-1.26) 0.13 (0.33) (-2.05)* 1.13 (4.36)** (-0.09) 0.18 (0.43) (-0.27) 0.32 (1.13) (-2.37)* (-0.86) (-1.85) 1.44 (4.08)** 0.19 (1.63) (-1.27) (-0.17) 0.15 (0.39) (-1.79) 0.06 (0.12) (-1.20) 1.03 (2.45)* 0.42 (3.06)** (-2.04)* 0.39 (1.22) 0.63 (1.39) 0.12 (0.30) 0.34 (0.62) 0.03 (0.07) 0.89 (3.86)** 0.30 (4.03)** (-1.98)* 0.20 (1.17) 0.41 (1.62) (-1.62) 0.06 (0.19) (-1.61) 12
13 Volatility Risk Premium () q Magnitude of is related to underlying asset volatility should probably be viewed in ratios as opposed to spreads q Correlation between across assets is very closely related to the correlation of the underlying asset returns q Diversify exposure using relationship between asset class returns as a guide q Risk parity approach is particularly appropriate given differing volatility of asset classes q Returns to diversified portfolio cannot be explained by typical risk factors 13
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