Time to Manage Your Risk

22 August 2011

Correlation of Gold to S&P 500 Plummets

Since July, the correlation of Gold to the S&P 500 index has fallen off a cliff. This behavior has highlighted the magnitude of the flight-to-safety trade that has propelled gold to record highs this summer. The chart below illustrates this dramatic de-coupling.

A common opinion held throughout QE1 & 2 was that equities were benefiting from an inflationary environment. This may be at an end:

The chart above was calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.

19 August 2011

S&P 500 Top 10 Most Volatile Components

Here are the current most volatile stocks in the S&P 500:


Volatility is defined as the annualized standard deviation of lognormal returns. This is equivalent to realized volatility as defined by option traders. Calculations are all YTD, as of Aug 18th, 2011.

All of the above were calculated using The RiskAPI Add-In.

16 August 2011

S&P 500 Index: 7/28/2011-8/4/2011

The events in the equity markets in the last 10 days have been nothing less than extraordinary, to say the least.Here are some stats on the S&P 500 Index prior to July 28th:

  • YTD Return: 6.43%
  • YTD Realized volatility: 13.05%
  • YTD Correlation to gold: 0.05

Here are the same stats with data since 7/28 included.

  • YTD Return: -6.49%
  • YTD Realized volatility: 19.67%
  • YTD Correlation to gold: -0.18

Very significant market impacts have taken place here.

All of the above were calculated using The RiskAPI Add-In.

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