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Term structure

Asset class returns, most notably fixed income ones, exhibit term structure in both expected risk and return. Accounting for this correctly is essential for asset allocation and captures this accurately to drive correct calls on diversification of risk.

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Term structure of risk

The chart shows how the expected risk varies with investment term for various asset classes.

 
 

Change over quarter

Change in term structure of risk

The chart shows how the term structure of risk has changed over the past quarter. Risk is defined as the standard deviation or volatility of the expected growth rate over the investment term.

 
 

Change over year

Change in term structure of risk

The chart shows how the term structure of risk has changed over the past year. Risk is defined as the standard deviation or volatility of the expected growth rate over the investment term.