Janus Henderson’s US-based Multi-Asset Solutions Team present their latest tail risk report, using options market prices to infer expected tail gains and losses for each asset class. The options-implied signals indicate that while all asset classes may appear unattractive, some bright areas remain.
- A catalyst that could pressure all asset classes is an inflation pressured global rise in real rates, which could push central banks into removing monetary stimulus sooner than the markets expect.
- Within the bond and equity market environments, we see the US as most attractive, due respectively to higher relative real rates versus other regions and Washington’s stimulative fiscal policy.
- In bond markets, those regions where real rates are lowest, such as Europe and Japan, appear most susceptible to a sell-off.
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