Janus Henderson’s US-based Multi-Asset Solutions Team present their latest Tail Risk Report, using options market prices to infer expected tail gains and losses for each asset class.

Key takeaways:

• Growth: Global equity attractiveness is below average levels. From a relative point of view, Japan is marginally more attractive relative to other developed markets.
• Currency and Rates: Overall, duration remains attractive globally, yet much less attractive than a few months ago. Within currencies, the Japanese yen is showcasing strength – consistent with its reputation as a “risk off” trade.
• Commodities: Precious metals continue to exhibit a very high tail-based Sharpe ratio and the energy sector is showing better-than-average attractive levels.