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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
US
- Even though the constant interventions from central banks in the past year to prevent the global economy from falling into a deflationary depression have led to a compression of volatility, lower credit spreads and a sharp recovery in global equities, investors should not underestimate a potential rise in uncertainty that would offset some the gains they have realized in the past few months.
- Typical hedges against periods of rising uncertainty and price volatility are US Treasuries, the Dollar, the JPY and Gold.
- In this chart, we calculate the monthly average performance of the classic 'safe' assets when the VIX rises above 20 (which we define as a 'high volatile' regime) since January 1990 (VIX inception).
- Interestingly, gold is the best performer in 'high-volatility' regime, averaging 70bps in monthly returns, followed by US Treasuries (68.5bps), silver (62bps) and then JPY (56bps).
- The US Dollar 'only' averages 7bps in monthly returns when VIX rises above 20.
- As expected, equities perform negatively when VIX surges, averaging -44bps in monthly returns.
Source: Bloomberg/MNI
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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