Janus Henderson: Tail Risk Report – steady as you go…but stay vigilant
Janus Henderson’s US-based Multi-Asset Solutions Team present their latest tail risk report, using options market prices to infer expected tail gains and losses for each asset class.29.10.2018 | 13:55 Uhr
Key takeaways:
- Despite continuing talk of ‘late-cycle risk’ and ‘recession and inverted yield curves’, our options market signals do not indicate any warning signs of a slowdown in economic activity. To the contrary, they show equity attractiveness to be above its historical average.
- A key source of tail risk today is inflation, but our signs point to contained – rather than hyper – inflation ahead.
- Equity attractiveness has rotated regionally. While our signals have generally lauded the US to be the most attractive region to gain equity exposure, we have recently witnessed international equities taking over, particularly so with Japan and emerging markets. Brazil is showcasing the highest expected upside-to-downside of any country globally.
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