Notes On Quantitative Risk Management For Financial Markets.
The previous session showed losses across US Equity Markets.
  • Previous Session US Equity Markets results:
  • Dow Jones: 17,535.32 ⇒ -185.18 (-1.05%)
  • S&P 500: 2,046.61 ⇒ -17.50 (-0.85%)
  • Nasdaq: 4,717.68 ⇒ -19.66 (-0.41%).

The overnight session for Asian and pacific Equity Markets showed losses results:
  • Overnight Asian Equity Markets results:
  • Shanghai: 2,807.51 ⇒ -36.17 (-1.27%).
  • Nikkei: 225 16,644.69 ⇒ -8.11 (-0.05%).
  • Hang Seng Index: 19,826.41 ⇒ -292.39 (-1.45%).

The European Equity Markets are showing losses for the session as well:
  • European Session Equity Markets results:
  • FTSE 100: 6,138.79 ⇒ -28.98 (-0.47%).
  • CAC 40: 4,288.27 ⇒ -13.79 (-0.32%).
  • IBEX: 8,695.40 ⇒ -3.40 (-0.04%).
  • DAX 30: 9869 ⇒ -20 (-0.20 %).
  • EURO STOXX 50: 2,934.41 ⇒ -3.68 (-0.13%).
US Futures on Equity Markets are showing loses as an update at the time of this writing.
  • US Futures On Equity session results:
  • E-mini S&P 500: 2036.75 ⇒ -6.75.
  • S&P 500: 2037.50 ⇒ -6.10.
  • E-mini NASDAQ 100: 4307.25 ⇒ -12.25.
  • E-mini Dow ($5): 17429 ⇒ -60.

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

Commodities Markets:
  • Crude Oil prices have gained strength reaching recent highs; although they had been showing strength at the beginning of the session at the time of time of this writing they are showing mild losses. There is also data pending release early in the session energy market related. Interesting activity could ensue in this market session.
  • More specific results on the Commodities Markets:
  • Crude Oil is Up: 48.14 ⇒ -0.17 (-0.35%).
  • Natural Gas is Down: 2.0180 ⇒ -0.03 (-0.35).
  • Gold Futures Up: 1268.15 ⇒ -10.80 (-0.80%).

The Economic Calendar:
  • US Economic Calendar:
  • US MBA Mortgage Applications 13/MAY: Actual -1.6% vs Expected -0.17%.
  • US MBA 30-Year Mortgage Rate 13/MAY: Actual 3.82% vs Expected 3.83%.
  • US EIA Crude Oil Stocks Change 13/MAY: Expected Consensus -2.83M.
  • US EIA Gasoline Stocks Change 13/MAY: Expected Consensus -150K.
  • US FOMC Minutes: Important release that will offer clues on The Federal Reserve policy direction.

  • Euro-Area Economic Calendar:
  • EA ECB Governing Council Meeting.
  • EA Inflation Rate MoM APR: Actual 0% vs Expected 0.0% - 0.2%.
  • EA Core Inflation Rate YoY Final APR: Actual 0.7% vs Expected 0.7%.
  • EA Inflation Rate YoY Final APR: Actual -0.2% vs Expected -0.2%.
  • DE 10-Year Bund Auction at 0.140%.
  • PT Current Account MAR: Actual €276.5M vs Expected € -359.1M.
  • UK Economic Calendar:
  • GB Unemployment Rate MAR: Actual 5.1% vs Expected 5.1%.

  • Asia and Pacific Economic Calendar:
  • Australia Economic Calendar (Later on the Day):
  • Australia Economic Calendar (Later in the Day):
  • AU Unemployment Rate APR: Expected Consensus 5.8%.
  • AU Employment Change APR: Expected Consensus 12.5K.
  • AU Full Time Employment Chg APR: Expected 26.5K.
  • AU Participation Rate APR: Expected Consensus 64.9%.
  • AU Part Time Employment Chg APR: Expected -12K.
  • Japan Economic Calendar (Later in the Day):
  • JP Machinery Orders MoM MAR: Expected Consensus 0.5%.
  • JP Machinery Orders YoY APR: Expected 0.8% - 0.9%.
  • JP Foreign Bond Investment 14/MAY: Expected ¥384.4B.
  • JP Stock Investment by Foreigners 14/MAY: ¥ -80B.
  • China Economic Calendar:
  • CN MNI Business Sentiment Indicator MAY: Expected 50.58.
Risk Management Advice: The Risk assessment for the session at the time of this writing is again mixed with mild to moderate downside risks. During previous day sessions and weeks we have noticed regarding the short term and mid term Market expectation and behavior and have also noticed on global risks to major economies as well as the lack of strong growth indications from emerging markets economies; this in a context of some good news exposed from the US and Euro Area economies. In spite of that the risk to the downside on growth has remained with some renewed fears of deteriorating conditions. Risk aversion has predominated in the recent markets participant behaviors. As we have been noticing this assessment holds for the very short term, and precisely today there could be important releases from the FOMC minutes that will send a clearer signal on the interest rates policies and the expectations and claims behind such decisions as well as other economic metrics. We also notice that the Crude Oil Market activity could turn very interesting with the recovery showed in recent weeks. We take the risk of anticipating a session, and for the very short term, that despite the Equities and risk assets being under influence of the risk aversion sentiment of recent sessions; the opening activity looks one in which Risk taking could be rewarding. In the presence of uncertainty there signals of some exposure to risk by markets participants. We remark that the tone on the FED release could prove to be a game changing factor in markets themes despite many have been anticipating the future path of the interest rates policies and so these views could have been playing a major factor in recent markets activity which will be contrasted with the official FOMC minutes release. For the session we take on the risk of anticipating that, in terms of the management of risk, the construction of a portfolio with intelligent allocation to Risky assets for smart beta exposure and growth could yield positive results for the very short term. A volatile session cannot be ruled again in line with the news release developments throughout the session, some of which we have noticed above. Again we continue assessing incoming data, news and advice on intelligent portfolio allocation or product choice.
That is all that we can say.
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