Risk Management
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RiskNotes
30 April 2012
Global sector and country correlations demonstrate recent trends: Taiwan & Electronics; HK & Real Estate; MENA & Chemicals; China & Industrial Metals & Industrial Engineering; Russia & Oil & Gas & Utilities; Korea & Tech Hardware. All significant and positive over several years.
25 April 2012
Emerging Market country and industry correlations weaken as returns level out. Factor volatilities remain largely unchanged.
4 April 2012
Positive correlations between and within Emerging Markets industry groups and countries and regions weaken slightly, possibly as a result of widespread slowing of growth in many markets.
This trend is also evident in the weakening of positive correlations between small stocks and industries/countries and negative correlations between large cap stocks and industries/countries.
28 March 2012
Correlations between Emerging Market small stocks and industry and country/regional risk factors continue to converge as returns broadly weaken.
Very stable correlations between major industry and country/region factors.
21 March 2012
Emerging Markets small stocks correlations with major industry groups edge higher as the relative return to small stocks continues to decrease.
This effect is spread across EM countries and major industry groups.
Correlations between industry groups and countries remains very stable.
14 March 2012
Returns to Emerging Markets Size factors are converging over time, generally reducing the relative return to Small stocks.
This effect is borne out in factor correlations, with positive correlations between Small factor and most industries and countries and negative correlations with large stocks.
Correlations between EM industries and countries are strongly positive. Exception is MENA, the returns to which are dragged both by uncertainty following the Arab Spring, increased tensions over Iran and greater dependence on the European market.
10 February 2012
Evidence that MENA correlations with global industry groups are tightening, possibly reflecting optimism associated with relative calm following political upheaval.
Gradual convergence of sub-Saharan Africa to major industry groups now evident in Nigeria.
Indian rupee appears to loosen correlations with other growth factors. This is not reflected in the Indian market factor so may be due to central bank operations.
3 February 2012
Sub-Saharan currencies continue to converge with major industry groups, now joined by Libya.
Increased correlations of Latin American markets x Brazil x Mexico also showing slightly higher correlations with Consumer Staples, Consumer Discretionary and Industrials factors, evidence of strengthening in those markets.
27 January 2012
Selected sub-Saharan currencies, notably Tanzania, Ghana and Kenya show increased volatility and closer correlations with major industry groups, especially Financials, IT and Telecoms as well as with east Asian country factors.
20 January 2012
Notable persistence in existing factor correlations and volatilities, probably reflecting signs of sustainable recovery in the US, with positive consequences for emerging markets and hopes of a lasting solution to the EUR situation.