Asset classes across the spectrum were either flat or negative for the month of November.  US Fixed Income posted both the least negative return at -0.2% and the lowest monthly volatility (annualized) at 2.1%.  Whereas, Emerging Market Equities exhibited the most volatile price path, exhibiting nearly a 20% annualized volatility during the month. Commodities had the most negative return for the month, losing investors nearly slightly more than 6%.

Of note is that even as asset prices were flat or declined, risk of extreme loss (e.g. tail risk), declined nearly across the board for the 3rd month in a row.  Tail risk in US Equities and Foreign Developed Equities dropped below Commodities, US REITs, & Foreign REITs, making them the least risky asset classes behind US Equities.


Broad Asset Classes

 

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   BROAD ASSET CLASS RISK & RETURN FOR NOVEMBER

BROAD ASSET CLASS RISK OF EXTREME LOSS (CVAR) FOR SEPTEMBER, OCTOBER, & NOVEMBER

Fixed Income

 

Broad Fixed Income subclasses were mostly flat in November, with US Investment Grade Corporates squeaking out 30 bps of return for investors.  However, the biggest change in the market was the continued decline in risk of extreme loss (e.g. tail risk) in US Long Term Treasuries for the second month in a row.  For the first time this quarter, US Long Term Treasuries are exhibiting a similar risk of extreme risk to other risky fixed income subclasses such as Local Currency Denominated Foreign Fixed Income and US High Yield Corporates.  

 

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FIXED INCOME RISK OF EXTREME LOSS (CVAR) FOR SEPTEMBER, OCTOBER, & NOVEMBER

Equities
 

US Small Cap Equities led the month with  a little over a 1% rate of return, with Small Cap Growth barely beating out its value counterpart. Foreign Emerging Equity lost it's October steam and led the declining subclasses with a 4.4% loss for the month. For the 3rd straight month equity markets both domestic and foreign experienced a decreased risk of extreme loss (e.g. tail risk).  The least risky subclass for the first time this quarter is Foreign Developed Equity, whereas the most risky equity investments remain Foreign Emerging Equities.

 

 

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EQUITIES RISK OF EXTREME LOSS (CVAR) FOR SEPTEMBER, OCTOBER, & NOVEMBER

Alternatives

 

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ALTERNATIVES SUBCLASS RISK & RETURN FOR NOVEMBER

ALTERNATIVES RISK OF EXTREME LOSS (CVAR) FOR SEPTEMBER, OCTOBER, & NOVEMBER

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