Tail Risk Report: October 2018 – steady as you go…but stay vigilant

23/10/2018

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​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.

Key takeaways:

  • Despite continuing talk of ‘late-cycle risk’ and ‘recession and inverted yield curves’, our options market signals do not indicate any warning signs of a slowdown in economic activity. To the contrary, they show equity attractiveness to be above its historical average.
  • A key source of tail risk today is inflation, but our signs point to contained – rather than hyper – inflation ahead.
  • Equity attractiveness has rotated regionally. While our signals have generally lauded the US to be the most attractive region to gain equity exposure, we have recently witnessed international equities taking over, particularly so with Japan and emerging markets. Brazil is showcasing the highest expected upside-to-downside of any country globally.


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These are the views of the author at the time of publication and may differ from the views of other individuals/teams at Janus Henderson Investors. Any securities, funds, sectors and indices mentioned within this article do not constitute or form part of any offer or solicitation to buy or sell them.

Past performance is not a guide to future performance. The value of an investment and the income from it can fall as well as rise and you may not get back the amount originally invested.

The information in this article does not qualify as an investment recommendation.

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