Tag Archives: financial risk management

Milliman FRM Market Commentary: March 2018

March validated February’s initiation of a new, higher volatility regime. In this month’s commentary, Milliman’s Joe Becker addresses the following:

• March capped off the S&P 500’s first negative quarterly return since Q3 2015 and the first negative Q1 since 2009.
• After not experiencing a single daily move of more than 2% through all of 2017, the S&P 500 has now seen 6 such moves through February and March.
• If “taper tantrum” was an fitting moniker for the 2013 reaction to the prospect of ending the Fed’s QE, the volatility in early 2018 might well be referred to as the “tightening, tech, trade-tariff tantrum,” as markets reacted to tighter monetary policy, a data breach at Facebook and the prospect of a tariff-induced trade war.
• While not as high as it was in February, volatility in March was still above its five-year average and much higher than it was in 2017.
• Falling interest rates boosted the U.S. Aggregate bond market, reducing its correlation to equities and improving it as a diversifier, while the correlation between U.S. and foreign equities increased.

To learn more, download the full commentary at MRIC.com.

Milliman FRM Market Commentary: February 2018

Volatility awakened in February after a two-year hibernation. In this month’s commentary, Milliman’s Joe Becker addresses the following:

• After 15 consecutive months of positive returns, the global equity market posted its first negative monthly return since October 2016 and its highest monthly volatility since June 2016.
• Up more than 7% year-to-date into late January, the global equity market quickly changed direction and sold off more than 9% in less than two weeks.
• February saw 12 daily moves in the S&P 500 of at least 1%, already 50% more than 2017’s total of eight. In addition to higher realized volatility, the VIX spiked to its highest level since August 2015.
• The start of February’s downturn coincided with two economic data surprises. Larger-than-expected growth in both payrolls and average hourly earnings triggered fears that the Federal Reserve would begin to tighten policy at a faster rate than previously expected.
• As is often the case in times of market stress, February’s downturn saw correlations across market segments and asset classes push higher.

To learn more, download the full commentary at MRIC.com.

Milliman FRM Market Commentary: January 2018

Without missing a beat, global equities continued their rally into 2018. In this month’s commentary, Milliman’s Joe Becker, Adam Schenck, and Jeff Greco address the following:

• After rising 1.5% in December and finishing the year 24% higher, the global equity market roared out of the gate in January, climbing 5.5% and notching its best start to a new year since 1994.
• Emerging market equities led the way, rising nearly 10% before finishing the month up 8.2%. That brings its 12-month return to 41.3%, its best since April 2010.
• With the exception of emerging market equities, volatility edged slightly higher around the globe in January, but remained in a historically low range. The VIX reached its highest level since August.
• In the United States, consumer discretionary stocks led all sectors, rising 9.2% on the month, while interest-rate-sensitive utilities lagged as the majority of the yield curve pushed sharply higher.
• The Federal Reserve left its interest rate unchanged at its January 31 meeting, but noted that, “Inflation on a 12-month basis is expected to move up this year and to stabilize around the committee’s 2 percent objective over the medium term.”

To learn more, download the full commentary at MRIC.com.

Top 15 global articles and reports for 2017

Milliman’s most viewed articles worldwide in 2017 covered topics related to healthcare in the United States, the rise of InsurTech, and the challenges of IFRS 17. (For summaries and links to all of the articles, click here.)

Here is the list of the top global articles and reports for the year:

15. MACRA: Key Considerations for health plans, By Colleen Norris and Mary van der Heijde

14. Multiemployer Pension Funding Study, By Kevin Campe

13. The American Health Care Act, By Jason Karcher

12. MACRA and Medicare Advantage plans: Synergies and potential opportunities, By Christopher Kunkel, Drew Osborne, Lynn Dong, Michael Polakowski, Noah Champagne, and Charlie Mills

11. Effective employee communication: The benefits of best practices, By Jessica Gonchar, Heidi tenBroek, and Sharon Stocker

10. Building blocks: Block grants, per capita caps, and Medicaid reform, By Justin Birrell, Jennifer Gerstorff, Nicholas Johnson, and Brad Armstrong

9. Overview and practical considerations of the new insurance contract standard: IFRS 17, By Gillian Tucker and Andrew Kay

8. InsurTech: Innovation in the P&C insurance space, By Thomas Ryan

7. The employer stop-loss insurance marketplace since the Affordable Care Act, By Mehb Khoja

6. 2017 Public Pension Funding Study, By Rebecca Sielman

5. Summary of individual market enrollment and Affordable Care Act subsidies, By Paul Houchens, Jason Clarkson, and Zachary Fohl

4. Impact of the transition from RAPS to EDS on Medicare Advantage risk scores, By Deana Bell, David Koenig, and Charlie Mills

3. Corporate Pension Funding Study, By Zorast Wadia, Alan Perry, and Charles Clark

2. Pension Funding Index, By Zorast Wadia and Charles Clark

1. Milliman Medical Index, By Christopher Girod, Susan Hart, and Scott Weltz

Global equities extend their positive streak to 13 consecutive months

The end of 2017 will cap off the third decade of performance for the MSCI ACWI Index. Never before has it entered December with a chance to notch a full calendar year of positive monthly returns. This year it heads into December with plenty of momentum, up 23% year-to-date and with a record 13 consecutive months of positive returns.

The latest Milliman FRM Market Commentary by Joe Becker, Adam Schenck, and Jeff Greco reviews more monthly results from the financial markets. To download the report visit MRIC.com.

Milliman FRM Market Commentary: October 2017

Global Equities Set Record With 12th Consecutive Positive Monthly Return

In this month’s commentary, Milliman’s Joe Becker, Adam Schenck, and Jeff Greco address the following:

  • Prior to 2017, dating back to 1988, the global equity market had recorded just one streak of 11 consecutive months of positive returns (ending February 2004). October 2017 marks the first time it has notched 12 consecutive months of positive returns.
  • Notwithstanding their strong growth, earnings multiples remain below their post-crisis peak from August 2016, amid strong 2017 earnings growth.
  • Volatility on the S&P 500 Index touched its 2017 low in October, reaching a level not seen since August 1965.
  • From the start of its time series in 1990 through 2016, the VIX never closed below 10 more than four times in any calendar year. In October it did it 11 times, bringing its 2017 total to 35.
  • EM equities resumed their ascent in October after a small decline in September, bringing their year-to-date (YTD) total return to 26.7%, their best YTD return through October since 2009.
  • Already up 27% YTD through the end of Q3, tech stocks posted their strongest month of 2017, rising 7.7% and bringing their YTD return to 35.7%

To learn more, download the full commentary at MRIC.com.