Changes in Tail Risk (Extreme Loss) for all Major Asset Classes

Investors saw a decline in the risk of extreme loss across all 20 major asset sub-classes with the exception of Foreign Fixed Income (Local Currency) and Small Cap Equities.

Changes in tail risk for fixed income subclasses of treasuries, foreign fixed income, corporates & Tips

  • The biggest declines in tail risk (risk of extreme loss) for fixed income assets, took place in US Long Term Treasuries and US High Yield Corporate Debt
  • Local Currency Foreign Fixed Income was the only Fixed Income subclass that experienced an increase in tail risk

RISK AND RETURN FOR ALL MAJOR ASSETS CLASSES: US EQUITY, FOREIGN EQUITY, US FIXED INCOME, FOREIGN FIXED INCOME, & ALTERNATIVES

  • Foreign Emerging Equity returned the greatest of any major asset class by closely beating out Foreign REITs, although this was returned with nearly 33% more volatility
  • Commodities was the only major asset class that didn't have a positive return this week

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