Janus Henderson: Tail Ris Report - We see softness ahead

Janus Henderson's US-based Multi-Asset Solutions Team presents their latest Tail Risk Report, using options market prices to infer expected tail gains and losses for each asset class. This explains that expected tail loss levels are moving towards their longer-term averages and the so-called “great moderation” may be a thing of the past.

Key takeaways:

• US stocks are now the most attractive region globally compared to last month when non-US equities looked more attractive.
• Both the upside and downside risks to equities increased sharply from last month.
• The team are not overly concerned by the speed at which this happened, believing it to have been driven by the US mid-term elections. Furthermore, the risk levels are not flashing a “recessionary/structural” type of drawdown that does not self-correct.

Please click on the link to access the document.

Tail RiskReport