Wednesday, March 3, 2010

Risk appetite flattens out? $VIX

Risk appetite flattens out

• Risk Indicator stays in positive territory
Our Equity Risk Appetite Indicator was unchanged last week at +0.55 from +0.56 the week prior, remaining in positive risk seeking territory. Risk appetite has recovered steadily in the latter half of February after it hit neutral during the market sell off.

• Equity volatility and positioning offset each other
Equity volatility saw the biggest increase in risk appetite this week as the VIX closed under 20% for the first time since January. However, lower equity volatility was offset by lower appetite for risk within equity markets themselves, leaving the index overall little changed.

•Equity positioning mixed
MSCI World was flat over the week, with Energy and Materials lagging. Financials were the best performing sector. In the regions, EM ended their recent run of underperformance, marginally outperforming the world last week. Europe continued to lag as sovereign risks there lingered.

Global Risk Radar

• Credit remains stable
Our credit spread component was unchanged on the week as corporate credit
markets continued to withstand a spill over from sovereign risk.

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