Market Brief for 9th June

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Market Brief for 2016-06-09

Global Market View in 1 Second

Stock Markets and Commodities remain in a strong upward trend after last week’s US Jobs report which caused the US Dollar to weaken. Macroeconomic Data signal a weakening global economy. George Soros returns to trading with Big, Bearish Bets on his expected global economic turmoil.

Most Important Financial News & Developments

Country / Asset Comment
United States Soros Returns To Trading With “Big, Bearish” Bets On Economic Turmoil
South Korea Currency Wars Re-escalate As Bank Of Korea suprisingly cuts interest rates
United States Goldman Turns Downright Gloomy, Warns to Prepare For A Major Drawdown
Global Global Stocks “Most Expensive” In 6 Years As Bond Yields Hit Record Lows

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Today’s Important Macroeconomic Indicators

South Korea re-escalates currency wars by cutting interest rates. China’s Exports waeken further while imports stabilize. UK Manufacturing Production show strength, is this the result of a weak Pound? South Africa experiences its first year over year GDP contraction since 2009.

Country Indicator Last Previous
South Korea Interest Rate 1.25% 1.5%
China Exports -4.1% -1.8%
China Imports -0.4% -10.9%
China Inflation YoY 2.0% 2.3%
China PPI YoY -2.8% -3.4%
UK Manufacturing Production 2.3% 0.1%
UK Industrial Production 1.6% -0.2%
South Africa GDP Annual Growth Rate -0.2% 0.5%
Brazil Inflation Rate YoY 9.32% 9.28%

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Global Market Risk Monitor

Global Stock Market Risk Indicators signal reduced risk in markets. Bonds Risk Indicators also signal reduced risk while the US Yield Curve signals expected slowing growth. Currencies Risk Indicators are showing low risk with the exception of the British Pound showing out of the charts Risk due to the upcoming EU Referendum.

Stock Markets Risk (Volatility) Today
(2016-06-09)
1 Week Ago
(since 2016-06-02)
1 Month Ago
(since 2016-05-11)
US Vol. Curve (IVTS – VIX/VXV) Low 0.84 Low 0.83 Low 0.82
US S&P 500 (VIX) Low 14.08 Low 13.63 Low 13.63
Europe (VSTOXX) Low 23.35 Medium 23.93 Medium 23.93
UK (VFTSE) Medium 18.63 Low 15.8 Medium 15.8
Stock Market Indicators
US Basic vs Luxury Sector (XLP/XLY) Rising 0.68 ▲ Rising 0.67 (0.01) Rising 0.68 (-0)
US Utilities vs Trans. Sector (XLU/IYT) Rising 0.35 ▲ Rising 0.35 (0) Rising 0.36 (-0.01)
US Industrials vs Trans. Sectors (DIA/IYT) Rising 1.27 ▲ Rising 1.28 (-0.01) Rising 1.28 (-0.01)
US vs Emerging Stocks (SPY/EEM) Rising 6.1 ▲ Rising 6.32 (-0.03) Rising 6.27 (-0.03)
S&P 500 % Stocks > 50 Moving Average 73.8 4.53% 68.4 9.5% ▲ 71.6 18.65% ▲
S&P 500 % Stocks > 200 Moving Average 75.8 0.8% 74.6 1.07% ▲ 70 14.16% ▲

The table presents the absolute values of the indicators while Low, Medium, High labels display the Risk Condition. IVTS monitors US Stock Volatility. Indicator values (5-day Median) below 0.96 shows Low Risk, 0.96-1.02 Medium Risk & higher than 1.02 High Risk. VIX, VSTOXX & VFTSE calculate the average of Z-scores for 125 & 250 days periods. Values lower than -0.5 signify Low Risk, between -0.5 and 1 Medium Risk and greater than 1 imply high risk. Rising 10-day Moving Average slopes of XLP/XLY, XLU/IYT, DIA/IYT, SPY/EEM ratios signify Elevated Risk since US Low Risk Sectors outperform Risky Sectors. Breadth Indicators display % of stocks of S&P 500 above the 50-day and 200-day moving average. Rising values indicate Reduced Risk.

Bonds Markets Risk Today
(2016-06-09)
1 Week Ago
(since 2016-06-02)
1 Month Ago
(since 2016-05-11)
US Stocks VS Bonds (SPY:TLT) Falling 1.6 ▼ Falling 1.61 (-0.01) Falling 1.59 (0)
Junk Bonds vs US Bonds (JNK:TLT) Falling 0.27 ▼ Falling 0.27 (-0) Falling 0.27 (0)
Emerging Bonds vs US Bonds (EMB:TLT) Falling 0.85 ▼ Falling 0.85 (-0) Falling 0.85 (-0)
US TIPS vs US Long-term Bonds (TIP:TLT) Falling 0.87 ▼ Falling 0.87 (-0) Falling 0.88 (-0.01)
US Yield Curve Shape Today
(2016-06-09)
1 Week Ago
(since 2016-06-02)
1 Month Ago
(since 2016-05-11)
US Yield Curve (10y-2y) 0.93 1.09% 0.95 -2.11% ▲ 1.05 -11.43% ▲
US Yield Curve (10y-3m) 1.41 -7.24% 1.53 -7.84% ▲ 1.53 -11.88% ▲

SPY:TLT monitors the US Stocks & Bonds relationship. A Falling SPY/TLT signifies rising Risk since investors buy US Low Risk Bonds more than US Stocks. A Falling JNK/TLT ratio signifies rising Risk since investors buy Long-term Low Risk US Bonds more than high yield/risk bonds. A falling EMB/TLT ratio signifies rising Risk since Investors buy safe Long-term US Bonds more than Emerging High Risk Bonds. A falling TIP/TLT ratio signifies Rising risk since investors believe global growth and inflation is falling and buy TLT. US Yield Curve indicators monitor the US Yield curve slope. Rising values signify expected economic growth acceleration and falling market risk.

Currency Markets Risk Today
(2016-06-09)
1 Week Ago
(since 2016-06-02)
1 Month Ago
(since 2016-05-11)
Euro FX Volatility Medium 10.74 Medium 10.13 Low 10.13
Yen FX Volatility Medium 11.37 Medium 11.24 Medium 11.24
Australian $ Implied Volatility Low 10.88 Medium 11.71 Medium 11.71
Canadian $ Implied Volatility Low 9.53 Medium 10.5 Medium 10.5
New Zealand $ Implied Volatility Low 12.15 Medium 12.99 Medium 12.99
Mexican Peso Implied Volatility Medium 14.77 Medium 14.15 Medium 14.15
Turkish Lira Implied Volatility Low 13.59 Low 14.89 Low 14.89
Euro / Hungarian Implied Volatility Low 6.65 Low 6.55 Low 6.55

Currency Risk monitors the Future (Implied) Volatility (used to quantify Risk) forecasted by the market. When investors are afraid of Market Risk they sell high yielding currencies moving back to the safety of the US Dollar causing increased currency Volatility. Indicators above calculate the average of Z-scores for 125 & 250 days periods. Values lower than -0.5 signify Low Risk, between -0.5 and 1 Medium Risk and greater than 1 imply high risk.The Table above displays absolute values of volatility while Low, Medium, High display the risk conditions.

Commodities Risk Today
(2016-06-09)
1 Week Ago
(since 2016-06-02)
1 Month Ago
(since 2016-05-11)
Crude Oil Volatility Low 35.17 Low 36.64 Low 36.64
Gold Volatility Medium 18.76 Low 16.05 Medium 16.05

During Rising Risk periods, the volatility (risk) of Crude Oil and/or Gold increases. Indicators calculate the slope of 10-day MA

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Global Markets Snapshot

Stock Markets remain in a strong uptrend mainly due to a weakening US Dollar and a delayed US Fed decision to increase interest rates after last week’s weak US Jobs Report. US Sectors signal a bull market US stock market mood. At the same time however, Bonds are in strong bull market. Who is right Stocks or Bonds? The US Dollar weakness caused rising uptrend for all major currencies. Commodities are experiencing an uptrend due to mainly US Dollar weakness.

Stock Markets Today
(2016-06-09)
1 Week Trend
(since 2016-06-02)
1 Month Trend
(since 2016-05-11)
3 Months Trend
(since m3date)
US S&P 500 (SPY) 212.37 0.33% 210.91 1% ▲ 206.5 1.88% ▲ 202.17 4.87% ▲
US NYSE (NYA) 10638.4 0.37% 10487.6 1.75% ▲ 10332.2 2.06% ▲ 10013.6 5.6% ▲
Europe (Stoxx 600) 344.56 -0.49% 344.35 0.13% ▲ 333.11 2.93% ▲ 340.86 -0.03% ▲
UK (FTSE 100) 6301.52 0.27% 6185.61 1.77% ▲ 6162.49 2.35% ▲ 6139.79 4.39% ▲
Germany (DAX) 10217 -0.69% 10208 0.12% ▲ 9975.32 1.71% ▲ 9990.26 3.93% ▲
France (CAC 40) 4448.73 -0.61% 4466 -0.6% ▲ 4293.27 3.06% ▲ 4472.63 -1.28% ▲
Japan (Nikkei 225) 16830.9 0.93% 16562.5 -0.74% ▲ 16646.3 1.52% ▲ 16852.3 1.13% ▲
China (Shanghai) 2927.16 -0.3% 2925.23 0.47% ▲ 2835.86 3.18% ▲ 2864.37 2.37% ▲
Hong Kong (HSI) 21297.9 -0.14% 20859.2 2.59% ▲ 19915.5 6.2% ▲ 20199.6 6.57% ▲
India (Sensex) 27020.7 0.04% 26843.1 1.15% ▲ 25790.2 5.56% ▲ 24623.3 8.98% ▲

Indicators display the daily closing price & return of each market. Trends Indicators calculate return for the period and the market’s tendency using the Breakout System. When the current price is above the highest market’s value for the specific timeframe it signifies a positive trend while when current price is below the lowest market’s value signifies negative trend.

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US Stock Sectors Today
(2016-06-09)
1 Week Ago
(since 2016-06-02)
1 Month Ago
(since 2016-05-11)
3 Months Ago
(since 2016-05-11)
Energy (XLE) 69.39 -0.23% 66.8 3.74% ▲ 65.65 6.02% ▲ 61.83 12.01% ▲
Financials (XLF) 23.62 0.08% 23.85 -0.76% ▲ 23.15 0.94% ▲ 22.41 5.35% ▲
Industrials (XLI) 57.15 0.63% 56.04 2.11% ▲ 55.87 1.44% ▲ 54.06 5.66% ▲
Consumer Discretionary (XLY) 79.5 0.11% 79.63 0.39% ▲ 78.9 -1.27% ▲ 77.57 2.46% ▲
Materials (XLB) 48.45 0.58% 47.26 3.09% ▲ 46.2 4.51% ▲ 44.2 9.86% ▲
Information Technology (XLK) 44.29 0.2% 44.04 0.48% ▲ 42.49 3.48% ▲ 43.08 3.19% ▲
Health Care (XLV) 72.48 0.35% 72.53 1.21% ▲ 69.71 2.72% ▲ 67.24 6.12% ▲
Consumer Staples (XLP) 53.88 0.6% 53.22 1.28% ▲ 53.63 -0.33% ▲ 52.55 2.79% ▲
Utilies (XLU) 50.27 0.6% 49.3 2.01% ▲ 49.34 2.26% ▲ 48.3 4.27% ▲

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Bonds Today
(2016-06-09)
1 Week Ago
(since 2016-06-02)
1 Month Ago
(since 2016-05-11)
3 Months Ago
(since 2016-05-11)
US 10 Year Bonds 130.2 -0.08% 129.2 0.77% ▲ 130.2 0% ▲ 128.2 1.56% ▲
US 30 Year Bonds 168 0.48% 166 2.25% ▲ 166 1.76% ▲ 162.2 3.64% ▲
US Junk Bonds (JNK) 35.63 0.45% 35.07 1.63% ▲ 34.94 1.95% ▲ 34.03 4.03% ▲
German Bunds 165.36 0.6% 164.49 0.74% ▲ 163.82 0.72% ▲ 161.17 2.3% ▲
Japanese bonds 151.95 -0.01% 152.02 -0.07% ▲ 151.97 0.05% ▲ 150.64 0.5% ▲
Emerging Bonds (EMB) 112.98 0.52% 111.12 1.86% ▲ 111.56 1.51% ▲ 107.99 4.03% ▲
UK Gilts 122.81 0.01% 121.97 0.91% ▲ 121.53 1.14% ▲ 120.38 1.66% ▲
French Bonds 157.78 -1.31% 158.97 -0.63% ▲ 158.18 -0.57% ▲ 155.74 0.92% ▲
Italian Bonds 141.88 0.29% 139.36 1.74% ▲ 137.91 2.63% ▲ 138.94 1.54% ▲

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Currencies Today
(2016-06-09)
1 Week Ago
(since 2016-06-02)
1 Month Ago
(since 2016-05-11)
3 Months Ago
(since 2016-05-11)
US Dollar Index 93.59 -0.27% 95.56 -1.92% ▲ 94.11 -0.22% ▲ 94.8 -2.2% ▲
EUR/USD 1.14 0.45% 1.12 2.08% ▲ 1.14 -0.24% ▲ 1.13 2.93% ▲
GBP/USD 1.46 0.14% 1.44 0.95% ▲ 1.45 0.69% ▲ 1.45 3.21% ▲
USD/JPY 106.71 -0.55% 108.72 -2.55% ▲ 108.69 -1.7% ▲ 111.25 -6.11% ▲
AUD/USD 0.75 0.32% 0.72 3.3% ▲ 0.73 1.26% ▲ 0.76 0.45% ▲
NZD/USD 0.7 0.66% 0.68 3.24% ▲ 0.68 2.87% ▲ 0.68 6.27% ▲
CAD/USD 0.79 0.86% 0.76 3.23% ▲ 0.78 1.28% ▲ 0.77 5.17% ▲
CHF/USD 1.04 0.78% 1.01 3.02% ▲ 1.03 1.22% ▲ 1.03 2.97% ▲

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Commodities Today
(2016-06-09)
1 Week Ago
(since 2016-06-02)
1 Month Ago
(since 2016-05-11)
3 Months Ago
(since 2016-05-11)
CRB Industrials 455.15 0.15% 449.89 1.1% ▲ 454.02 0.19% ▲ 436.94 6.25% ▲
Baltic Dry Index 610 0.66% 606 -0.33% ▲ 579 2.69% ▲ 388 58.85% ▲
Baltic Tanker Index 479 -1.64% 493 -3.23% ▲ 496 -4.2% ▲ 502 -3.04% ▲
Crude Oil 52.72 2.37% 49.94 6.01% ▲ 47.96 10.22% ▲ 41.79 26.91% ▲
Copper 2.07 0.93% 2.11 0.19% ▲ 2.09 -1.1% ▲ 2.18 -5.3% ▲
Gold 1267.55 1.69% 1240.1 4.74% ▲ 1276.55 -0.6% ▲ 1228.5 2.12% ▲

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Current Global Macroeconomic Environment

The latest PMI numbers signal a weakening global economy with most major countries experiencing a mild weakening growth. Moreover, US inflation expectations remain low signalling another measure of weakness.

Global PMI Manufacturing PMI Services PMI
Country May April 3 Months Trend May April 3 Months Trend
Global PMI 50 50.1 3m (50.2) : -0.2 51.4 51.9 3m (51.6) : -0.2
United States 50.7 50.8 3m (51) : -0.3 51.3 52.8 3m (51.8) : -0.5
Europe 51.5 51.7 3m (51.6) : -0.1 53.3 53.1 3m (53.17) : 0.13
China 49.2 49.4 3m (49.43) : -0.23 51.2 51.8 3m (51.73) : -0.53
Japan 47.7 48.2 3m (48.33) : -0.63 50.4 49.3 3m (49.9) : 0.5
United Kingdom 50.1 49.4 3m (50.17) : -0.07 53.5 52.3 3m (53.17) : 0.33
Brazil 41.6 42.6 3m (43.4) : -1.8 37.3 37.4 3m (37.77) : -0.47
Russia 49.6 48 3m (48.63) : 0.97 51.8 54.2 3m (52.67) : -0.87
India 50.7 50.5 3m (51.2) : -0.5 51 53.7 3m (53) : -2

Global Inflation Expectations Today
(2016-06-09)
1 Week Ago
(since 2016-06-02)
1 Month Ago
(since 2016-05-11)
US Inflation Expectations 1.45 -2.03% 1.51 -3.97% ▲ 1.51 -4.61% ▲

Manufacturing and Services PMI give a good snapshot of an economy’s condition. Values greater than 50 signify a growing economy while less than 50 a shrinking economy. A country’s PMI dynamic is monitored by comparing the last value to the previous month to it’s 3 and 6 month moving averages. US Inflation expectations display the 5-year future inflation expectation of the market. A rising indicator indicates higher US economic growth & inflation and lowered risk while reduced value indicates rising risk and lowered economic growth.

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The information contained on the Asset Macro Newsletter is for information & educational purposes only. Asset Macro does not hold itself out as providing financial or investment advice or other advice via the Asset Macro Newsletter. AssetMacro would like to remind you that the data contained in this newsletter is not necessarily real-time nor accurate.

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Market Brief for 13th May



Daily Market Brief for 2016-05-13

Global Market View in 1 Second

MarketRiskC

Global Market Risk Monitor

MarketRiskC

Stock Markets Risk Today
(2016-05-13)
1 Week Ago
(since 2016-05-06)
1 Month Ago
(since 2016-04-15)
US S&P 500 (VIX) Low -0.83 Low -0.76 Low -1.02
US Nasdaq (VXN) Low -0.7 Low -0.64 Low -1.35
US Vol. Curve (IVTS – VIX/VXV) Low 0.81 Low 0.81 Low 0.79
Europe (VSTOXX) Medium -0.44 Medium 0.08 Low -1.94
UK (VFTSE) Low -0.8 Medium -0.14 Low -0.96
Japan (VXJ) Medium -0.13 Medium 0.42 Medium 0.82
US Luxury vs Basic Products (XLY/XLP) Rising 1.47 ▲ Rising 1.49 ▲ Rising 1.5 ▲
US Trans. vs Utilities (TRAN/UTIL) Rising 11.37 ▲ Falling 11.74 ▼ Falling 12.04 ▼
Emerging vs US Stocks (EEM/SPY) Rising 0.16 ▲ Rising 0.16 ▲ Rising 0.17 ▲

IVTS monitors US Volatility Curve. Ratio below 0.96 shows Low US Stock Risk, 0.96-1.02 Medium Risk & higher than 1.02 High Risk. Volatility Indicators monitor Stock Risk calculated by 10-day Mov. Average slopes. Rising slopes indicate elevated risk while falling reduced risk. Rising XLY/XLP, TRAN/UTIL, EEM/SPY ratios signify Low Risk since Risky US Sectors outperform Low Risk Sectors

Bonds Markets Risk Today
(2016-05-13)
1 Week Ago
(since 2016-05-06)
1 Month Ago
(since 2016-04-15)
US Stocks VS Bonds (SPY:TLT) Rising 1.57 ▲ Falling 1.56 ▼ Rising 1.59 ▲
US Bond Slope (SHY:TLT) Rising 0.65 ▲ Rising 0.65 ▲ Rising 0.65 ▲
US Junk Bonds vs Bonds (JNK:TLT) Rising 0.27 ▲ Rising 0.27 ▲ Rising 0.26 ▲
Emerging Bonds vs US Bonds (EMB:TLT) Rising 0.85 ▲ Rising 0.85 ▲ Rising 0.85 ▲
US TIPS vs Bonds (TIP:TLT) Rising 0.87 ▲ Falling 0.88 ▼ Rising 0.87 ▲

SPY:TLT monitors the US Stocks & Bonds relationship. A Rising SPY/TLT signifies Low Risk since investors buy US Stocks more than US Safe Bonds. SHY/TLT monitors the US Bond Yield Curve Slope. A falling SHY/TLT signifies rising Risk since investors move in the safety of long-term bonds. A rising JNK/TLT ratio signifies Low Risk since investors buy high yield bonds more than safe Long-term US Bonds. A rising EMB/TLT ratio signifies Low Risk since Investors buy Emerging High Risk Bonds more than safe Long-term US Bonds. A rising TIP/TLT ratio signifies low risk since investors believe global growth and inflation is high and buy TIPS.

Currency Markets Risk Today
(2016-05-13)
1 Week Ago
(since 2016-05-06)
1 Month Ago
(since 2016-04-15)
Global FX Volatility Medium -0.06 Medium 0.04 Medium -0.35
Australian $ Implied Volatility Medium -0.01 Medium 0.68 Medium -0.15
Canadian $ Implied Volatility Medium 0.03 Medium 0.75 Medium 0.69
New Zealand $ Implied Volatility Medium 0.61 Low -0.73 Low -0.52
Mexican Peso Implied Volatility Medium 0.82 High 1.18 High 1.04
Turkish Lira Implied Volatility Low -0.66 Medium -0.1 Low -1.13
Euro / Hungarian Implied Volatility Low -1.15 Low -1.54 Low -2.04

Currency Risk monitors the Future (implied) Volatility (and Risk) forecasted by the market. When investors are afraid of Market Risk they sell high yielding currencies monitored moving back to the safety of the US Dollar causing increased currency Volatility. Indicators above calculate the average of Z-scores for 125 & 250 days periods. Values lower than -0.5 signify Low Risk, between -0.5 and 1 Medium Risk and greater than 1 imply high risk.

Commodities Risk Today
(2016-05-13)
1 Week Ago
(since 2016-05-06)
1 Month Ago
(since 2016-04-15)
Crude Oil Volatility Low -0.86 Low -0.75 Low 1.72
Gold Volatility Medium -0.07 Medium 0.24 High -1.29

During Rising Risk periods, the volatility (risk) of Crude Oil and/or Gold increases. Indicators calculate the slope of 10-day MA

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Global Markets Snapshot

GlobalMarkets1

Stock Markets Today
(2016-05-13)
1 Week Trend
(since 2016-05-06)
1 Month Trend
(since 2016-04-15)
3 Months Trend
(since m3date)
US S&P 500 (SPY) 206.56 0.03% 0.78% ▲ -0.7% ▲ 7.09% ▲
US NYSE (NYA) 10334.4 0.02% 0.52% ▲ -0.25% ▲ 8.41% ▲
Europe (Stoxx 600) 333.11 -0.49% 0.08% ▲ -3.16% ▼ 3.98% ▲
UK (FTSE 100) 6104.19 -0.95% -0.21% ▼ -4.07% ▼ 4.81% ▲
Germany (DAX) 9862.12 -1.13% 0.1% ▲ -2.29% ▲ 7.96% ▲
France (CAC 40) 4293.27 -0.54% -0.61% ▼ -4.84% ▼ 4.44% ▲
Japan (Nikkei 225) 16646.3 0.41% 3.09% ▲ 5.21% ▲ 5.94% ▼
China (Shanghai) 2835.86 -0.04% -5.4% ▼ -7.53% ▼ -0.03% ▲
Hong Kong (HSI) 19915.5 -0.7% -2.61% ▼ -5.88% ▼ 8.71% ▲
India (Sensex) 25489.6 -1.17% 1.03% ▲ 1.37% ▲ 11.06% ▲

Comment: Indicators display the daily closing price & return of each market. Trends Indicators calculate return for the period and the market’s tendency using the Breakout System. When the current price is above the highest market’s value for the specific timeframe it signifies a positive trend while when current price is below the lowest market’s value signifies negative trend.

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US Stock Sectors Today
(2016-05-13)
1 Week Ago
(since 2016-05-06)
1 Month Ago
(since 2016-04-15)
3 Months Ago
(since 2016-04-15)
Energy (XLE) 65.83 0.27% 0.63% ▲ 2.2% ▲ 16.35% ▲
Financials (XLF) 23.16 0.04% 0.56% ▲ 0.78% ▲ 9.76% ▲
Industrials (XLI) 55.75 -0.21% 0.87% ▲ -0.39% ▲ 8.36% ▲
Consumer Discretionary (XLY) 79.05 0.19% 0.44% ▲ -0.28% ▲ 8.26% ▲
Materials (XLB) 46.4 0.43% 1.33% ▲ 1.27% ▲ 12.21% ▲
Information Technology (XLK) 42.37 -0.28% 1.03% ▲ -4.81% ▼ 3.87% ▲
Health Care (XLV) 69.3 -0.59% -0.42% ▲ -1.1% ▲ 4.35% ▲
Consumer Staples (XLP) 53.92 0.54% 1.79% ▲ 2.3% ▲ 5.75% ▲
Utilies (XLU) 49.63 0.59% 0.98% ▲ 2.08% ▲ 8.46% ▲

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Bonds Today
(2016-05-13)
1 Week Ago
(since 2016-05-06)
1 Month Ago
(since 2016-04-15)
3 Months Ago
(since 2016-04-15)
US 10 Year Bonds 130.2 0% 0.08% ▲ 0% ▲ -0.61% ▼
US 30 Year Bonds 166 0.55% 1.16% ▲ 0.48% ▲ -0.06% ▼
US Junk Bonds (JNK) 34.94 0% 0.66% ▲ 0.9% ▲ 8.21% ▲
German Bunds 163.82 -0.22% 0.2% ▲ 0.29% ▲ -0.32% ▲
Japanese bonds 151.97 0.07% 0.07% ▲ 0.16% ▲ 0.39% ▼
Emerging Market Bonds (EMB) 111.78 0.2% 0.76% ▲ 0.44% ▲ 5.66% ▲
UK Gilts 121.42 -0.09% 0.56% ▲ -0.29% ▼ -0.26% ▼
French Bonds 158.18 -0.32% 0.22% ▲ 0.15% ▲ 2.4% ▲
Italian Bonds 137.91 -0.24% -0.03% ▲ -0.92% ▼ 0.27% ▲

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Currencies Today
(2016-05-13)
1 Week Ago
(since 2016-05-06)
1 Month Ago
(since 2016-04-15)
3 Months Ago
(since 2016-04-15)
US Dollar Index 94.11 0.33% 0.41% ▲ -0.87% ▼ -3.44% ▼
EUR/USD 0.88 0.21% 0.01% ▲ -1.21% ▼ -2.38% ▼
GBP/USD 0.69 -0.27% -0% ▼ -2.37% ▼ -0.97% ▼
JPY/USD 108.69 0.12% 1.28% ▲ -0.48% ▼ -3.4% ▼
AUD/USD 1.36 0.66% 1.86% ▲ 5.14% ▲ -2.75% ▼
NZD/USD 1.46 -0.1% 0.96% ▲ 0.58% ▲ -3.01% ▼
CAD/USD 1.28 -0.23% -0.17% ▼ 0.02% ▲ -6.84% ▼
CHF/USD 0.97 -0.39% 0.05% ▲ 0.13% ▼ -2.25% ▼

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Commodities Today
(2016-05-13)
1 Week Ago
(since 2016-05-06)
1 Month Ago
(since 2016-04-15)
3 Months Ago
(since 2016-04-15)
CRB Industrials 453.99 -0.01% -0.05% ▼ 1.4% ▲ 7.37% ▲
Baltic Dry Index 579 -2.53% -11.2% ▼ 3.39% ▲ 98.97% ▲
Baltic Tanker Index 496 -0.8% -4.62% ▼ -1.59% ▼ -7.29% ▼
Crude Oil 47.91 1.03% 5.6% ▲ 10.98% ▲ 36.57% ▲
Copper 2.07 -1.24% -3.58% ▼ -6.66% ▼ -5.12% ▲
Gold 1267.95 -0.86% -1.93% ▼ 1.32% ▲ 0.57% ▲

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Today’s Important Macroeconomic Indicators

Macro1

Country Indicator Last Forecast Previous Comments
mc1 mc1 xw1 xm1 xm1 xm1

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Most Important Financial News & Developments

Country / Asset Comment
United States xd1

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Current Global Macroeconomic Environment

Macrol1

Global PMI Manufacturing PMI Services PMI
Country May April 3 Months Trend May April 3 Months Trend
Global PMI 50.1 50.5 3m (50.2) : -0.1 51.9 51.5 3m (51.37) : 0.53
United States 50.8 51.5 3m (51.2) : -0.4 52.8 51.3 3m (51.27) : 1.53
Europe 51.7 51.6 3m (51.5) : 0.2 53.1 53.1 3m (53.17) : -0.07
China 49.4 49.7 3m (49.03) : 0.37 51.8 52.2 3m (51.73) : 0.07
Japan 48.2 49.1 3m (49.13) : -0.93 49.3 50 3m (50.17) : -0.87
United Kingdom 49.2 51 3m (50.33) : -1.13 52.3 53.7 3m (52.9) : -0.6
Brazil 42.6 46 3m (44.37) : -1.77 37.4 38.6 3m (37.63) : -0.23
Russia 48 48.3 3m (48.53) : -0.53 54.2 52 3m (52.37) : 1.83
India 50.5 52.4 3m (51.33) : -0.83 53.7 54.3 3m (53.13) : 0.57

Global Inflation Expectations Today
(2016-05-13)
1 Week Ago
(since 2016-05-06)
1 Month Ago
(since 2016-04-15)
US Inflation Expectations 1.53 2% -0.65% ▼ 10.07% ▲

Manufacturing and Services PMI give a good snapshot of an economy’s condition. Values greater than 50 signify a growing economy while less than 50 a shrinking economy. A country’s PMI dynamic is monitored by comparing the last value to the previous month and to it’s 3 and 6 month moving averages.

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AssetMacro Market Brief for 12/05/2016

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Asset Macro Daily Market Brief for 2016-05-11

Global Market Risk Monitor

MarketRiskC

Stock Markets Risk Today
(2016-05-11)
1 Week Ago
(since 2016-05-04)
1 Month Ago
(since 2016-04-13)
US S&P 500 (VIX) Low 13.63 ▼ High 16.05 ▲ High 13.84 ▲
US Nasdaq (VXN) Low 16.27 ▼ High 19.32 ▲ Low 16.26 ▼
US Vol. Curve (IVTS – VIX/VXV) Low 0.79 ▼ High 0.85 ▲ Low 0.8 ▼
Europe (VSTOXX) High 23.89 ▲ High 27.04 ▲ Low 22.31 ▼
UK (VFTSE) High 17.15 ▲ High 19.12 ▲ Low 14.38 ▼
Japan (VXJ) Low 26.49 ▼ High 27.55 ▲ Medium 28.31
US Luxury vs Basic Products (XLY/XLP) High 1.49 ▲ High 1.5 ▲ High 1.5 ▲
US Trans. vs Utilities (TRAN/UTIL) High 11.78 ▲ High 11.62 ▲ Low 12.09 ▼
Emerging vs US Stocks (EEM/SPY) High 0.16 ▲ High 0.16 ▲ High 0.17 ▲

IVTS monitors US Volatility Curve. Ratio below 0.96 shows Low US Stock Risk, 0.96-1.02 Medium Risk & higher than 1.02 High Risk. Volatility Indicators monitor Stock Risk calculated by 10-day Mov. Average slopes. Rising slopes indicate elevated risk while falling reduced risk. Rising XLY/XLP, TRAN/UTIL, EEM/SPY ratios signify Low Risk since Risky US Sectors outperform Low Risk Sectors

Bonds Markets Risk Today
(2016-05-11)
1 Week Ago
(since 2016-05-04)
1 Month Ago
(since 2016-04-13)
US Stocks VS Bonds (SPY:TLT) High 1.59 ▲ High 1.58 ▲ High 1.59 ▲
US Bond Slope (SHY:TLT) High 0.65 ▲ High 0.65 ▲ High 0.65 ▲
US Junk Bonds vs Bonds (JNK:TLT) High 0.27 ▲ High 0.27 ▲ High 0.26 ▲
Emerging Bonds vs US Bonds (EMB:TLT) High 0.85 ▲ High 0.85 ▲ High 0.85 ▲
US TIPS vs Bonds (TIP:TLT) High 0.88 ▲ High 0.88 ▲ High 0.87 ▲

SPY:TLT monitors the US Stocks & Bonds relationship. A Rising SPY/TLT signifies Low Risk since investors buy US Stocks more than US Safe Bonds. SHY/TLT monitors the US Bond Yield Curve Slope. A falling SHY/TLT signifies rising Risk since investors move in the safety of long-term bonds. A rising JNK/TLT ratio signifies Low Risk since investors buy high yield bonds more than safe Long-term US Bonds. A rising EMB/TLT ratio signifies Low Risk since Investors buy Emerging High Risk Bonds more than safe Long-term US Bonds. A rising TIP/TLT ratio signifies low risk since investors believe global growth and inflation is high and buy TIPS.

Currency Markets Risk Today
(2016-05-11)
1 Week Ago
(since 2016-05-04)
1 Month Ago
(since 2016-04-13)
Global FX Volatility Medium 0.61 Medium 0.76 Medium -0.47
Australian $ Implied Volatility Low -0.59 Medium -0.42 Medium -0.35
Canadian $ Implied Volatility Low -0.73 High 1.28 Medium 0.97
New Zealand $ Implied Volatility High 1.08 Medium -0.42 Low -0.62
Mexican Peso Implied Volatility Medium 0.63 Medium 0.75 Medium 0.28
Turkish Lira Implied Volatility High 1.25 High 2.43 Low -0.59
Euro / Hungarian Implied Volatility High 1.97 Medium 0.92 Low -2.48

Currency Risk monitors the Future (implied) Volatility (and Risk) forecasted by the market. When investors are afraid of Market Risk they sell high yielding currencies monitored moving back to the safety of the US Dollar causing increased currency Volatility. Indicators above calculate the average of Z-scores for 125 & 250 days periods. Values lower than -0.5 signify Low Risk, between -0.5 and 1 Medium Risk and greater than 1 imply high risk.

Commodities Risk Today
(2016-05-11)
1 Week Ago
(since 2016-05-04)
1 Month Ago
(since 2016-04-13)
Crude Oil Volatility Low 42.28 ▼ High 44.76 ▲ High 48.79 ▲
Gold Volatility High 18.04 ▲ High 19.47 ▲ Low 17.96 ▼

During Rising Risk periods, the volatility (risk) of Crude Oil and/or Gold increases. Indicators calculate the slope of 10-day MA

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Global Markets Snapshot

GlobalMarkets1

Stock Markets Today
(2016-05-11)
1 Week Trend
(since 2016-05-04)
1 Month Trend
(since 2016-04-13)
3 Months Trend
(since m3date)
US S&P 500 (SPY) 208.45 1.24% 1.11% ▲ 1.23% ▲ 11.69% ▲
US NYSE (NYA) 10424.1 1.29% 0.56% ▲ 1.81% ▲ 12.94% ▲
Europe (Stoxx 600) 336.24 0.91% 0.2% ▲ 0.48% ▼ 7.63% ▲
UK (FTSE 100) 6162.49 0.09% 0.83% ▲ -1.28% ▲ 7.97% ▲
Germany (DAX) 10045.4 0.65% 1.2% ▲ 2.91% ▲ 12.02% ▲
France (CAC 40) 4316.67 -0.5% -0.17% ▼ -3.87% ▼ 4.89% ▲
Japan (Nikkei 225) 16579 0.08% -0.52% ▼ 5.26% ▲ 3.07% ▼
China (Shanghai) 2837.04 0.16% -5.16% ▼ -6.17% ▼ 3.31% ▲
Hong Kong (HSI) 20055.3 -0.93% -2.29% ▼ -2.19% ▼ 8.14% ▲
India (Sensex) 25597 -0.68% 1.97% ▲ 3.74% ▲ 6.56% ▲

Comment: Indicators display the daily closing price & return of each market. Trends Indicators calculate return for the period and the market’s tendency using the Breakout System. When the current price is above the highest market’s value for the specific timeframe it signifies a positive trend while when current price is below the lowest market’s value signifies negative trend.

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US Stock Sectors Today
(2016-05-11)
1 Week Ago
(since 2016-05-04)
1 Month Ago
(since 2016-04-13)
3 Months Ago
(since 2016-04-13)
Energy (XLE) 65.45 1.76% -0.59% ▼ -1.53% ▲ -1.53% ▲
Financials (XLF) 23.4 1.43% 1.43% ▲ -0.59% ▲ 6.8% ▲
Industrials (XLI) 56.34 1.72% 1.26% ▲ 1.26% ▲ 13.43% ▲
Consumer Discretionary (XLY) 80.52 1.28% 1.19% ▲ 3.01% ▲ 15.37% ▲
Materials (XLB) 46.36 1.67% 0.43% ▼ 0.43% ▲ 2.07% ▲
Information Technology (XLK) 42.8 1.3% 1.78% ▲ -3.89% ▼ -3.89% ▲
Health Care (XLV) 70.56 0.84% 0.83% ▲ 1.1% ▲ 5.52% ▲
Consumer Staples (XLP) 54.06 0.99% 2.39% ▲ 2.39% ▲ 6.5% ▲
Utilies (XLU) 49.16 0.1% 0.8% ▲ 0.99% ▲ 1.78% ▲

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Bonds Today
(2016-05-11)
1 Week Ago
(since 2016-05-04)
1 Month Ago
(since 2016-04-13)
3 Months Ago
(since 2016-04-13)
US 10 Year Bonds 130.2 0% 0.15% ▲ 0.93% ▲ 1.56% ▼
US 30 Year Bonds 165.1 0% 0.61% ▲ 2.55% ▼ 2.55% ▼
US Junk Bonds (JNK) 34.95 0.78% 0.2% ▲ 0.2% ▼ 8.24% ▼
German Bunds 164.26 0.13% 0.75% ▲ 0.57% ▲ -0.8% ▲
Japanese bonds 151.92 0.08% 0.04% ▲ 0.16% ▲ 0.16% ▼
Emerging Market Bonds (EMB) 111.3 0.44% 0.32% ▲ 0.32% ▼ 0.32% ▼
UK Gilts 121.43 0.11% 0.12% ▲ 1.99% ▼ 0.87% ▼
French Bonds 158.51 0.09% 0.72% ▲ 0.72% ▼ 2.74% ▲
Italian Bonds 137.95 -0.25% -0.22% ▲ -0.22% ▼ -0.22% ▲

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Currencies Today
(2016-05-11)
1 Week Ago
(since 2016-05-04)
1 Month Ago
(since 2016-04-13)
3 Months Ago
(since 2016-04-13)
US Dollar Index 94.22 0.08% 0.52% ▲ -0.9% ▼ -1.48% ▼
EUR/USD 0.88 -0.24% 0.47% ▲ -1.2% ▼ -2.72% ▼
GBP/USD 0.69 0.04% 0.18% ▲ -1.6% ▼ -0.81% ▼
JPY/USD 108.56 -0.49% 1.48% ▲ -0.58% ▼ -4.41% ▼
AUD/USD 1.36 -0.16% 1.17% ▲ 3.68% ▲ -3.02% ▼
NZD/USD 1.47 -0.95% 1.01% ▲ 1.37% ▲ -0.25% ▼
CAD/USD 1.29 -0.6% 0.03% ▲ 0.78% ▲ -6.18% ▼
CHF/USD 0.97 -0.17% 1.42% ▲ 0.71% ▼ -2.14% ▼

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Commodities Today
(2016-05-11)
1 Week Ago
(since 2016-05-04)
1 Month Ago
(since 2016-04-13)
3 Months Ago
(since 2016-04-13)
CRB Industrials 454.02 -0.06% -0.13% ▼ 1.6% ▲ 7.7% ▲
Baltic Dry Index 594 -3.57% -12.9% ▼ -6.46% ▲ 67.8% ▲
Baltic Tanker Index 500 -1.57% -3.66% ▼ -9.75% ▲ -9.75% ▼
Crude Oil 45.46 4.6% 4.6% ▼ 3.79% ▲ 3.79% ▲
Copper 2.1 -0.29% -4.08% ▼ -7.67% ▼ 1.11% ▲
Gold 1266 0.15% -1.44% ▼ 2.19% ▼ 2.7% ▼

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Today’s Important Macroeconomic Indicators

Macro1

Country Indicator Last Forecast Previous Comments
mc1 mc1 xw1 xm1 xm1 xm1

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Most Important Financial News & Developments

Country / Asset Comment
United States xd1

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Current Global Macroeconomic Environment

Macrol1

Country Manufacturing PMI Services PMI
May April 3 Months Trend May April 3 Months Trend
Global 50.1 50.5 3m (50.2) : -0.1 51.9 51.5 3m (51.37) : 0.53
United States 50.8 51.5 3m (51.2) : -0.4 52.8 51.3 3m (51.27) : 1.53
Europe 51.7 51.6 3m (51.5) : 0.2 53.1 53.1 3m (53.17) : -0.07
China 49.4 49.7 3m (49.03) : 0.37 51.8 52.2 3m (51.73) : 0.07
Japan 48.2 49.1 3m (49.13) : -0.93 49.3 50 3m (50.17) : -0.87
United Kingdom 49.2 51 3m (50.33) : -1.13 52.3 53.7 3m (52.9) : -0.6
Brazil 42.6 46 3m (44.37) : -1.77 37.4 38.6 3m (37.63) : -0.23
Russia 48 48.3 3m (48.53) : -0.53 54.2 52 3m (52.37) : 1.83
India 50.5 52.4 3m (51.33) : -0.83 53.7 54.3 3m (53.13) : 0.57

Manufacturing and Services PMI give a good snapshot of an economy’s condition. Values greater than 50 signify a growing economy while less than 50 a shrinking economy. A country’s PMI dynamic is monitored by comparing the last value to the previous month and to it’s 3 and 6 month moving averages.

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Market Risk Widget

Market Risk Radar Widget monitors specific financial markets highly sensitive to different types of risk. The Global Risk signal is an average of multiple subsidiary signals covering different markets.The combination of these markets has historically predicted successfully crisis initiated from specific countries (Asian Crisis 1997, European Debt Crisis 2010) or Asset classes (US Stock Market Crashes of 1987, 2000, 2008, US Subprime Crisis 2007).



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Volatility Risk Premium

Volatility Trading uses Investment strategies generating High and Stable profits analogous to the long-term success of insurance companies. Volatility Investments aim to receive the Volatility Risk Premium. Volatility Investment Strategies are executed by using variance swaps or volatility swaps.

Volatility Risk Premium is the return investor A gets as compensation for insuring investor B for risk of losses during sudden increases in market volatility and extreme market events like financial crisis. Technically, volatility premium is the profit gained from the difference between implied and realized volatility.

Volatility Risk Premium versus Insurance Premium (term)

Volatility Risk Premium is similar to the insurance premium insurance companies receive for insuring clients against extreme events like flood.

The insurance premium exists because the implied risk (what clients pay to get insured) is higher than the actual risk (what insurance companies pay out in case of flood) for these catastrophes occurring.

In finance markets, most participants in options are options buyers willing to hedge their portfolios. Selling options is regarded dangerous and hence is avoided. Hence the price paid by buyers to get insured against extreme events is high since demand is much larger than supply for insurance.

The imbalance between demand and supply is very high after a market crisis when investor protection demand spikes whereas investors willing to offer protection decreases. As a result, volatility trading is the one of the best investments after major market crisis.

Extreme Event Insurance example (term)
Insurance company A insures clients for flood. Typically this is a profitable business with occasional payouts more than covered by premiums received. Suddenly, a 200 year storm occurs. Insurers suffer losses and raise their insurance premiums. Citizens became afraid of potential future floods and hence demand more insurance protection for future floods.

High demand and low supply for insurance produces very high flood insurance rates but the probability of future floods occurring has not changed. A 200 year storm has remained a 200 year storm. As a result, the best time to issue insurance policies is immediately after a crisis when risk premium is highest.

Volatility

Volatility measures how a price changes over a specified period of time. Volatility is measured in daily returns (percentage changes in prices).

The most commonly used measure of return volatility is standard deviation which measures the dispersion of returns. Standard deviation is one of the main characteristics of a normal distribution.

Volatility Formula

Volatility Formula

Volatility Example

If stock X moves up 10% one year, and down 10% next year for the last 10 years, it has annualized volatility of 10%. Stock Y which moved 20% up and 20% down on alternating years for the last 10 years, it has volatility of 20%.

Even though both stocks end the 10 years unchanged from where they began, stock Y has twice the volatility of stock X. Stock X is considered superior investment because it has less risk in generating the same as stock Y.

Stock X volatility means that there is 95% probability (2 standard deviations) that the stock price iwll move between 10% and 30% on average annually.

Daily Returns can be calculated for stocks, bonds, commodities, currencies an investment portfolio volatility or a strategy.

Volatility calculated from past historical data and returns is also called historical volatility.

Return Volatility can be measured from weekly or monthly rates of returns but daily returns are the most precise.

Other volatility forms used in form are Actual Volatility and Implied Volatility.

Annualized Volatility is used to calculate investment performance metrics like Sharpe Ratio

Variance Swap

Variance Swap or Volatility Swap are instruments used for Volatility Trading.

Volatility Trading deploys Investment strategies generating High and Stable profits analogous to the long-term success of insurance companies. Volatility Investments aim to receive the volatility premium.

Variance Swap Example

The market is pricing that over the next year, S&P 500 will have a volatility of 30%. The historical volatility of S&P 500 is 15%. Your view, is that the market will remain calm. To gain a profit from this assessment you enter a contract in which at the end of the year, you will pay $1,000 multiplied by the upcoming actual volatility. In return you will receive $1,000 times the fixed volatility of 30%.

At the end of the year, if the actual volatility was 15%, your profit is: $1,000 x (30-15) = $15,000 minus transaction costs.

A volatility swap is the same as a variance swap since volatility is the root square of variance.

Variance Swap

Volatility Premium
is the return investor A gets as compensation for insuring investor B for risk of losses during sudden increases in market volatility and extreme market events like financial crisis. Technically, volatility premium is the profit gained from the difference between implied and realized volatility.

Volatility Premium versus Insurance Premium

Volatility Premium is similar to the insurance premium insurance companies receive for insuring clients against extreme events like flood.

The insurance premium exists because the implied risk (what clients pay to get insured) is higher than the actual risk (what insurance companies pay out in case of flood) for these catastrophes occurring.

In finance markets, most participants in options are options buyers willing to hedge their portfolios. Selling options is regarded dangerous and hence is avoided. Hence the price paid by buyers to get insured against extreme events is high since demand is much larger than supply for insurance.

The imbalance between demand and supply is very high after a market crisis when investor protection demand spikes whereas investors willing to offer protection decreases. As a result, volatility trading is the one of the best investments after major market crisis.

Extreme Event Insurance example
Insurance company A insures clients for flood. Typically this is a profitable business with occasional payouts more than covered by premiums received. Suddenly, a 200 year storm occurs. Insurers suffer losses and raise their insurance premiums. Citizens became afraid of potential future floods and hence demand more insurance protection for future floods.

High demand and low supply for insurance produces very high flood insurance rates but the probability of future floods occurring has not changed. A 200 year storm has remained a 200 year storm. As a result, the best time to issue insurance policies is immediately after a crisis when risk premium is highest.

Up Capture

Up Capture and Down capture is the percentage in which an investment participated in both the upside and downside of another benchmark investment.

The Up Capture and Down capture of the benchmark is 100. If investment has up capture of 80, it is participating in 80% of the upside of the market over a given period.

Up Capture Example
Upside Capture, Up Capture

An investment with a down capture of 50 has participated in only 50% of the downside of the market.

The most appropriate investments are those that participate in rising markets (that is have high Up Capture), but have a strong history of not participating in falling markets (that is have Low Down Capture).

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