Tail Risk Report: December 2018 – what will move?

18/12/2018

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​Janus Henderson’s US-based Multi-Asset Solutions Team present their latest tail risk report, using option market prices to infer expected tail gains and losses for each asset class.

Key takeaways:

  • The future trajectory of rates is uncertain and the market is currently projecting nearly three and a half fewer rate hikes in 2020 than the FOMC’s median projection
  • The team’s proprietary options signals model suggests that the market will move towards a hawkish trajectory and that interest rates are more likely to rise than to fall
  • They continue to view inflation risk as the greatest threat to the economy. With inflation shock, central banks would be forced to accelerate tightening aggressively which could make trade expensive and stifle the economy

 

Please click on the link to access the document.

 

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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