Bringing you live news and features since 2006 

Tim Edwards

Investors risk complacency as volatility remains surprisingly low, says S&P DJI


US equity volatility, both realised and implied, continues to bump along at depressed levels despite an environment that would appear to harbour significant risk, according to Tim Edwards, senior director, index investment strategy at S&P Dow Jones Indices (S&P DJI).

The S&P DJI January/February Risk & Volatility Dashboard shows that the VIX is down at 11.97, the highest level of volatility in February so far, but well below the long-term average.
Edwards says: “It is now 10 weeks and counting since the S&P 500 moved by more than one per cent in a single trading day, which is the longest streak since the summer of 2014.
“It is a remarkable time. Following a week in which both US and global equity indices breached all-time highs, the economic measurements of volatility show very few visible signs of distress in the market.”
Every one of S&P DJI’s volatility measures has declined since its last report, and only US interest rate volatility currently remains above the trailing 200-day average. The largest decline (in percentage terms) was in euro volatility, which has been steadily falling since the New Year. European equity volatility fell in tandem, and last night’s close of 14.68 for the VSTOXX Index was the lowest in more than two years.
In an environment that would otherwise seem to harbour significant political risks, S&P DJI says that stronger than usual diversification effects have been dampening the market’s swings. The average realised volatility among S&P 500 stocks remains at moderate levels, but correlation among stocks has been unusually low.

Latest News

Figment Europe, a provider of institutional staking infrastructure, writes that it is solidifying its presence in the heart of Europe’s..
Saving and investing app, Moneybox, has doubled the number of ETFs available on the platform, in the light of ‘growing..
Global X ETFs has announced the appointment of Ryan O'Connor as its Chief Executive Officer effective as of April 8, 2024. ..
Value-driven structured credit investing firm, Angel Oak Capital Advisors, LLC, has announced the completed conversions of two of its mutual..

Related Articles

The European ETF market achieved a record 28 per cent growth – reaching over USD1.8 trillion assets under management (AUM)...
Sal Esposito, Zacks Investment Management
Zacks Investment Management started doing investment research in 1978 and in 1992 started its investment management arm, initially with SMAs...
Jeremy Senderowicz, Vedder Price
Jeremy Senderowicz, a member of the Investment Services Group at law firm Vedder Price, has witnessed a steady upswing in...
Graham MacKenzie, Toronto Stock Exchange
The evolution of ETFs has been a multi-decade experience for Toronto Stock Exchange says Graham MacKenzie, managing director, Exchange Traded...
Subscribe to the ETF Express newsletter

Subscribe for access to our weekly newsletter, newsletter archive, updates on the site and exclusive email content.

Marketing by