Milliman Market Monitor London - 30 September 2017

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By Neil Dissanayake, Peter Lin | 09 October 2017
The FTSE 100 dropped by 0.7% in September as the £ Sterling recovered due to an increasing likelihood of Bank of England raising its official bank rate earlier than expected. The Eurostoxx 50 index returned over 5% during the month, one of the strongest monthly gains in 2017. The US and Japanese equity markets also made positive advances in the month. Overall, realised volatility on the major equity indices retreated to historically low levels during September. After a few spikes in August, the volatility risk premium also subsided to close to 2% on the major equity indices. In the bond markets, both corporate and government bond values decreased in September.