Risk asset classes heading into volatility danger zone – SocGen

Hong Kong: Investors lulled by the long downward slide in price swings across global equities and government bonds are about to get a rude awakening as both asset classes are entering “dangerous volatility regimes,” according to Societe Generale.

A study of 12-month expected global equity volatility going back to 1994, weighted for more recent results, shows current low levels occur less than 2 per cent of the time, analysts led by Head of Global Asset Allocation Alain Bokobza said in a September 12 report.

“The current level of equity volatility is very similar to what we saw in February 2007,” he said. “Investors could gear their portfolios for a potential rise in volatility by raising cash (euros) and reducing US equity.”