​​Janus Henderson’s US-based Adaptive Multi-Asset Solutions Team present their latest Tail Risk Report, using market prices to infer expected tail gains and losses for each asset class. In June, options pricing models showed signs of mild inflationary pressures; this is consistent with signals over the past two months.

Key takeaways:

• Option market pricing signals suggest that the attractiveness of inflation-sensitive assets will steadily move higher from lower-than-average levels to normal levels
• Inflation poses risk to financial assets that have rallied in response to the dovish stance taken by the US Federal Reserve
• Asia Pacific equities appear to be the most attractive region globally according to their tail-based sharpe ratio

Please click on the link to access the document.

Tail Risk Report