Sample Research Archive 2016 ii
What Just Happened? Last Week’s All Time High for the S&P 500 Was Nothing To Celebrate. -22 August 2016
Last week’s new all-time high for the S&P 500 Index is merely a result of risk inflation. On a level risk basis, the S&P 500 Index would have closed at 2,064 on 15 August 2016, down over 3% from its May 2015 peak.
What Just Happened? There’s Nowhere to Hide in Global Equity Markets. -24 June 2016 The ‘Brexit’-induced panic in equity markets has come at a time when the risk of multi-day drawdowns has already risen dramatically throughout the developed world. The tail of the distribution of 10-day returns in the MSCI World Index is even fatter than the S&P 500. There is a high probability that global equity markets will experience drawdowns exceeding those of August 2011. If that happens they are likely to match the losses of October 2008.
What Just Happened? As Risky as US Equity Markets Are, It’s Worse in Europe. - 15 June 2016.
For months risk levels in European equity markets have been much higher than the already worryingly high levels in the US. Omega Metrics® 10-day risk estimates show a high probability of surpassing last summer’s worst 10 day losses in the FTSE 100 and DAX 30 indices. If that happens, the expected drawdowns exceed those experienced in October 2008.
What Just Happened? Multi-Day risk is exploding in the US equity market. -6 June 2016
The VIX has dropped back to where it was a year ago. But the ‘fear index’ can’t tell you the probability of a severe drawdown over several days. Omega Metrics® 10-day risk estimates show a high probability of exceeding last summer’s worst 10 day loss of 10.4%.
If that happens, the expected loss is 16.2%, matching the drawdown of August 2011.