8 - May 11, 2016 - Notes On Quantitative Risk Management For Financial Markets.

Notes On Quantitative Risk Management For Financial Markets.
  • Previous Session US Equity Markets results:
  • Dow Jones: 17928.35 ⇒ +222.44 (1.26%)
  • S&P 500: 2084.39 ⇒ +25.70 (1.25%)
  • Nasdaq: 4809.88 ⇒ +59.67 (1.26%)
The Tuesday session showed that are small steps by steps gains all that matter for your portfolio performance in the long run. Positive gains for the main US indices.
Overnight Asian Equity Markets showed mixed results:
  • Nikkei 225 is Up: 16,579.01 ⇒ +13.82 (0.08%).
  • HSI is Down: 20,055.29 ⇒ -187.39 (-0.93%).
  • SHCOMP is Up: 2846 ⇒ + 13 (+0.46%).
  • S&P/ASX 200: 5379 ⇒ +36 (+0.67%).
European Equity Markets are showing losses for the session:
  • FTSE is Down: 6,149.70 ⇒ -6.95 (-0.11%).
  • DAX 30 is Down: 9974.41 ⇒ -70.53 (-0.70%).
  • CAC 40 is Down: 4,294.47⇒ -25.68 (-0.59%).
  • IBEX is Down: 8,652.50 ⇒ -123.48 (1.41%).
  • Euro STOXX 50 is Down: 2,946.05⇒ -32.92 (-1.11%).

US Futures on Equity Markets:
  • E-mini S&P 500 is Down: 2072.00 ⇒ -5.50.
  • S&P 500 is Down: 2073.00 ⇒ -4.60.
  • E-mini NASDAQ 100 is Down: 4381.00 ⇒ -11.50.
  • E-mini Dow is Down: 17796 ⇒ -57.

Foreign Exchange Market:
  • The US DXY is Down against a basket of major economies currencies.

Commodities Markets:
  • Gold is showing gains and so are other metals, while Energy Products are showing mixed results:
  • Gold is Up: 1276.02 ⇒ +11.04 (+0.87%).
  • Crude Oil is Down: 44.35 ⇒ -0.31 (-0.69%).
Results at the time of this writing.
The Economic Calendar:
  • US Economic Calendar:
  • US MBA Mortgage Applications Actual 0.4% vs expected -0.26%.
  • US MBA 30-Year Mortgage Rate Actual 3.82% vs expected 3.88%.
  • US EIA Crude Oil Stocks Change expected consensus 0.5M.
  • US EIA Gasoline Stocks Change: expected 412.6K.
  • US 10-Year Note Auction: Previous 1.765%.
  • US Monthly Budget Statement: Expected consensus $-112B.

  • Canada Economic Calendar:
  • BoC Deputy Gov Wilkins Speech.

  • Euro-Area Economic Calendar:
  • IT 12-Month BOT Auction: Actual -0.140% vs Previous -0.081%.
  • DE 2-Year Schatz Auction: Actual -0.510% vs Previous -0.480%.
  • LV Balance of Trade MAR: Actual €-192M vs Expected €-141.1M.
  • Portugal Inflation Rate YoY APR: Actual 0.5% vs Expected 0.4%.
  • Portugal Inflation Rate MoM APR: Actual 0.4% vs Expected 0.3%.
  • Portugal Unemployment Rate Q1: Actual 12.4% vs Expected 12.4%.
  • Greece Bill Auction and ECB Speech are on schedule.

  • UK Economic Calendar:
  • GB Manufacturing Production MoM MAR: Actual 0.1% vs Expected 0.3%.
  • GB Industrial Production YoY MAR: Actual -0.2% vs Expected -0.4%.
  • GB Industrial Production MoM MAR: Actual 0.3% vs EXpected 0.5%.
  • GB Manufacturing Production YoY MAR: Actual -1.9% vs Expected -1.9%.
  • Manufacturing Output falling the most in 3 years for UK.
Asia and Pacific Economic Calendar:
  • Japan Economic Calendar:
  • JP Leading Economic Index Prel MAR: Actual 98.4 vs Expected 96.4.

  • China Economic Calendar (After the today US session close) :
  • CN New Yuan Loans APR: Expected Consensus CNY900B.
  • CN Outstanding Loan Growth YoY APR: Expected Consensus 14.8%.
  • CN Money Supply M2 YoY APR: Expected Consensus 13.5%.
  • Australia Economic Calendar:
  • Later today we will have information on:
  • Consumer Inflation Expectation.
  • RBA Speech.
Risk Management Advice: After strong gains in the previous session for the US Equity Markets our Risk measures are showing mixed signals with clear retreat on the Risk taking sentiment and Market participants risk assessment for the session. In the US equity markets as well as the ending European equity markets session, there are indications of Risk aversion and so we look for moderate risks to increases in Volatility. This is of course our assessment for the very short term. As we have recommended before as the session advance and more information is gained and assessed we advice in the update of this or any risk management and measurement assessment. We take the risk of noticing that in this session and for the very short term, capital allocation in risk free securities could yield the best results. In addition a portfolio aiming for downside protection for risk assets and capturing Volatility increase could also be considered best choices.
Again we continue assessing incoming data and news and advice on intelligent portfolio allocation or product choice.
That is all that we can say.
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