Allied Risk Analytics

Historical Market RISK Analysis

#risk #datascience #economics #sp500 #sectors | Allied Risk AnalyticsWeekly sector risk recap: More tariff policy uncertainty, including the "tariff pause", induced significant shifts in market risk expectations across major U.S. economic sectors over the past week ending April 11. Materials (XLB) stands out with a dramatic 30% increase in implied volatility, suggesting investors are suddenly much more concerned about risks in this sector. Real Estate (XLRE) shows minimal change, indicating stable risk perception. Most other sectors are experiencing decreasing risk expectations, with Industrials (XLI) and Consumer Discretionary (XLY) showing the largest declines in implied volatility at around 15-19%. Energy (XLE), Financials (XLF), Utilities (XLU), and Technology (XLK) all show moderate decreases in implied volatility between 4-12%. These patterns suggest that the "pause" and other tariff uncertainty is particularly worrying for the Materials sector. #Risk #DataScience #Economics #SP500 #Sectors

#financialrisk #datascience #economics #investments | Allied Risk AnalyticsMid-week factor performance spotlight: All five major investment factors experienced negative returns over the past week due to tariff-policy-induced volatility, with Value (VLUE) performing the worst at -6%. Size (SIZE) followed with a -5% decline, while Quality (QUAL) and Low Volatility (USMV) both dropped by -4%, and Momentum (MTUM) showed the smallest decline at -3%. Unsurprisingly, the factors with higher current average near-the-money option-implied volatility generally experienced larger losses over the past week, with Value (VLUE) showing both the highest current implied volatility (0.52) and the worst performance. Conversely, Low Volatility (USMV) lives up to its name with the lowest implied volatility (0.18), although its performance was not significantly better than other factors. This negative performance across all factors suggests a challenging week for factor-based investment strategies, regardless of which investment style investors favored. #FinancialRisk #DataScience #Economics #Investments

Tariff chaos has caused a significant increase in market risk expectations… | Allied Risk AnalyticsTariff chaos has caused a significant increase in market risk expectations across all S&P 500 sectors over the past week, with some sectors showing particularly dramatic rises. The Industrials sector (XLI) leads with a staggering 105% increase in implied volatility, followed by Energy (XLE) at 78% and Technology (XLK) at 76%. Real Estate (XLRE) is also showing substantial concern with a 75% increase. Other sectors, including Consumer Discretionary (XLY), Utilities (XLU), Financials (XLF), and Materials (XLB), have experienced volatility increases ranging from 45% to 63%. The current implied volatility levels are highest in Materials, Technology, and Consumer Discretionary sectors (all around 0.45), suggesting investors are particularly concerned about risk in these areas. This widespread surge in put option volatility indicates a dramatic shift in market sentiment toward greater caution, with investors increasingly seeking protection against potential downside risks across the entire market.

There have been significant shifts in market risk expectations across the… | Allied Risk AnalyticsThere have been significant shifts in market risk expectations across the S&P 500 industry sectors for the week ending on March 28, 2025. The Materials sector (XLB) saw the biggest increase of 66% in traded near-term near-the-money put option implied volatility, suggesting investors are bracing for potential turbulence in this area. The Financials sector (XLF) also shows elevated risk perception with a 27% rise in implied volatility, while Consumer Discretionary (XLY) follows with a 16% increase. In contrast, several sectors are seeing reduced risk expectations from put options, with Real Estate (XLRE) showing the largest decline at approximately 21%, followed by Energy (XLE) and Utilities (XLU) with decreases of about 12% and 9% respectively. Technology (XLK) shows a minimal decrease, while Industrials (XLI) remains essentially unchanged. These shifting patterns suggest investors are focusing left-tail risk concerns toward cyclical sectors like Materials and Financials and have more sanguine views toward traditionally defensive sectors like Real Estate and Utilities.

Market perceptions of risk across S&P 500 sectors have changed as of March… | Allied Risk AnalyticsMarket perceptions of risk across S&P 500 sectors have changed as of March 21, 2025, in comparison to the previous week, based on data from traded put options. The most recent current put-option-implied volatility levels (a measure of expected downside risk) show that the Materials (XLB) and Energy (XLE) sectors had the highest implied volatility. The percentage change in these risk measurements over the past week shows that Real Estate (XLRE) and Materials (XLB) sectors have experienced substantial increases in expected downside risk (around 59% and 54% respectively), while Consumer Discretionary (XLY) has seen the largest decrease in perceived downside risk (down about 25%). Other sectors like Energy, Utilities, Industrials, Technology, and Financials are all showing reduced risk expectations compared to last week.

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