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Combined oil, ruble shocks could pose threats to holdings across asset classes

Economics

By Lauren Stevens  |  December 18, 2014

December has been marked by two significant macro events: the fall of the Russian ruble and the continual decline of oil prices. On Tuesday, the ruble hit record lows against the dollar, despite the central bank raising interest rates from 10.5% to 17%. The same day, oil prices dropped to five-year lows, and analysts expect further drops.

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To identify and hedge against unintended sources of exposure, we ran a stress test on a sample portfolio containing U.S. equities and fixed income holdings. Using FactSet's Multi-Asset Class risk model, we can run stress tests on any asset classes, against individual shocks or multiple shocks. In this scenario we tried Oil rising 30% and RUB/USD FX Rate declining 30%.

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In isolation, the Oil and Ruble shocks do not have much impact on the portfolio. Combined, however, the events hurt the portfolio significantly more.

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FactSet helps you understand your portfolio’s true vulnerabilities by stress-testing it under extreme market scenarios. Learn more about our Multi-Asset Class risk model at our U.S. Investment Process Symposium, or email us to schedule a demo.

Lauren Stevens

Senior Vice President, Senior Director Strategy, Content & Technology Solutions

Ms. Lauren K. Stevens is Senior Vice President, Senior Director Strategy for FactSet’s Content and Technology Solutions at FactSet. In this role, she is responsible for analyzing market research and determining the direction of the FactSet content, cloud, and technology strategy. Since joining FactSet in 2006, she has worked as a Consultant until 2008 and then as an Economic Specialist until 2013 when she assumed her current role. Ms. Stevens earned her B.S. in Policy Analysis from Cornell University.

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