Pricing of risk: calm reprices
This monthly outlook examines how financial markets are pricing risk, rather than attempting to forecast market direction. Our focus remains on constructing portfolios that are resilient across a range of probability-weighted outcomes, consistent with Gyrostat’s absolute-return and capital-protection objectives.
Australian implied volatility has lifted from the exceptionally low levels observed late last year. Measures such as the A-VIX indicate that markets are now pricing a higher cost of uncertainty than during the prior period of compressed risk premia.
View the full article as published in Global Financial Market Review here.
