If you think it is quiet… it is.

Published on 26-09-2017 12:48:5426 September 2017

In June we highlighted the low level of volatility in global equity markets. This low volatility regime has continued through the summer and, as Exhibit 1 shows, now represents a dramatic and sudden break with 2016. For the Datastream developed markets index, if measured by the percentage of days with a greater than 25bps close-to-close daily move, the summer of 2017 represents the quietest period for developed markets since inception of the index in 1973. Investors should perhaps consider that market volatility is on average 50% above current levels when building portfolios for the longer-term.

Exhibit 1: Percentage of days with > 25bps close-to-close daily move in developed market equity index

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