Tail Risk Report: December 2018 – what will move?



​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.


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