Sample Research Archive 2016 iii

What Just Happened? Bond Market Panic. -21 November 2016

In the aftermath of the U.S. elections bond markets have been in a panic. Our market risk analysis show that the likelihood of such moves was quite apparent.

What Just Happened? Global equity market risk is back where it was just before the 2008 crash. -8 November 2016

It doesn’t matter who wins the U.S. election. For more than two years, downside risk in global markets has been at the same level it reached just before the demise of Lehman Brothers in 2008. 
Don’t confuse low volatility with low risk. What matters is how fat the downside tails are and that information is simply invisible to the standard deviation of returns. 

What Just Happened? U.S. Equity Bulls: On the Cliff Edge. -14 October 2016. 

It’s not just the chart pattern that’s reminiscent of October 1987. Tails are even fatter than they were then. A repeat of 19 October 1987 now looks like a 1 day in 25 year event. 

What Just Happened? From ‘Low Volatility’ ETFs to the VIX, on Friday September 9th Market Risk Was Pretty Much Business as Usual. -12 September 2016 

Market moves in US equities on Friday generated headlines. From the worst loss since June in the S&P 500, to the volatility of ‘Low Volatility’ ETFs, to the surge in the VIX, there was nothing remarkable given the daily risk levels we observed before Labour Day.