Gavekal Capital: Realized Equity Volatility Is Creeping Higher

Thursday, February 5, 2015

Realized Equity Volatility Is Creeping Higher

Equity volatility looks like it made a low last fall. The 20-day moving average of the standard deviation of daily price changes for the MSCI World Index made a low on September 18th, 2014. Since that day, the average standard deviation for the MSCI World Index has increased by over 80%. However, from a historical perspective realized volatility is still relatively restrained.

We have a noticed a pickup in volatility over the past 15 trading days in the developed markets. In the tables below, we look at the 20-day moving average of the standard deviation of daily price changes sorted by country index. The overall theme in the developed markets is that volatility has risen (cell color has moved from red to green). The exception is Israel, where volatility has decreased over the past 15 trading days. The same goes for Australia but to a lesser extent. Portugal and Canada have had the highest volatility of late while Belgium and Singapore have had the lowest.

Developed Markets Realized 20-day Volatility by Country

In the emerging markets, in general volatility has also increased over the past 15 trading days but not quite as uniform as in the developed markets. China, UAE, Colombia and Qatar have experienced decreases in realized volatility. Greece and Russia, not surprisingly, have had the highest realized volatility. Meanwhile, the Philippines and Taiwan have had the lowest.

Emerging Markets Realized 20-day Volatility by Country

About Gavekal Capital

Gavekal Capital is a US registered investment advisory firm that manages the Gavekal Knowledge Leaders Strategy. Knowledge Leaders are a group of the world’s leading innovators with deep reservoirs of intangible capital. These companies often possess competitive advantages such as strong brand, proprietary knowledge or a unique distribution mechanism. Knowledge Leaders are largely service-based and advanced manufacturing businesses, often operating globally. Gavekal Capital seeks to identify the world’s leading knowledge companies through a proprietary process that analyzes corporate knowledge investments.
We offer the Gavekal Knowledge Leaders Strategy in multiple products for global investors. For more information about our product offerings please visit http://www.gavekalcapital.com.
Blogs are posted by our investment team. Find out more about us at here. Read more about our strategy at www.gavekalcapital.com.

Disclosure

The information presented here is for informational purposes only, and this document is not to be construed as an offer to sell, or the solicitation of an offer to buy, securities. Some investments are not suitable for all investors, and there can be no assurance that any investment strategy will be successful. An investor cannot invest directly in an index. Hyperlinks may be included in this message that provide direct access to other internet resources, including web sites. While we believe these links are to reliable sources, Gavekal has no control over the accuracy or content of information contained on these sites. Although we make every effort to ensure such links are accurate, up to date and relevant, we have no control over pages maintained by external providers. The views expressed by these external providers on their own web pages or on external sites they link to are not necessarily those of Gavekal.
The information listed on this blog is for example purposes only and should not be construed as the investment Advisor's opinion or investment outlook. As of the most recent quarter end, the named companies may have been held by the investment Advisor. Please review the most recent disclosures. For full information including additional policies and full disclosures on the Advisor, please visit our website gavekalcapital.com.