Bond Markets

Exhibit-01 (above)

Chart-01 shows national benchmark bond return indices for the five countries (in local currency), and the equal-weight M5 basket, rebased to 18 months ago.

Exhibit-02 (below)

Table-01 in Exhibit-02 refers to latest 36 months, giving return and risk measures, current distances from highs and lows, as well as information on the distribution of monthly rates of change.

Exhibit-03 (above)

Normalised risk and return data from Table-01 are illustrated graphically in the scatters of Chart-02. Observed risk is shown horizontally, annualised return vertically. A dashed diagonal indicates equilibrium of risk and return. The scatter to the left refers to current data, the one to the right shows values 12 months ago.

Exhibit-04 (below)

Chart-03 plots actual benchmark bond yields (smoothed) across the latest ten years.

Exhibit-05 (above)

Also across the latest ten years, Chart-04 shows performance of return indices for each of the five national bond markets, rebased to a value of 100 at inception.

Exhibit-06 (below)

Chart-05 displays bond markets in terms of trailing 3-year normalised rates of return, plotted across 10 years.

Exhibit-07 (above)

Corresponding to the previous exhibit, Chart-06 plots 3-year normalised observed risk. Unlike the popular risk-proxy volatility, observed risk, a metric developed by Agathos, is directional. Here it is shown with its naturally negative value, placing low risk readings at the top of the chart.

Exhibit-08 (below)

Table-02 shows actual values for the equal weight composite, and national bond return indices at fixed points in time: ten, five and three years ago, 12 months ago, latest year-end and last month. Please note that all baskets have an identical base value of 100 at the end of 1999. In the lower portion of the table, corresponding rates of return are indicated. The best (green) and worst (red) performing market of each period is highlighted.

Exhibit-09 (above)

Chart-07 plots only the M5 basket, across the last ten years, re-basing the value to 100 at the starting point of the graph. In the lower portion, drawdown from peak value is shown.

Exhibit-10 (below)

Returning to numerical information, Table-03 investigates similarities, or differences across the five national bond markets in the latest ten years. Value changes shown in the upper portion of the table could already be gauged from previous illustrations. Here, each national bond market is subjected to a regression analysis with the equal-weight composite.

Exhibit-11 (above)

Chart-08 gives annualised returns calculated from 31.12.1999 to date.