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30 August 2011

Precious Metals Volatility

Here are the current realized volatility values for the major precious metals:

Name90-Day Realized Volatility
Gold21.16%
Silver39.94%
Platinum17.41%
Palladium28.16%

Of note is the relatively low volatility of Platinum, which is most likely due to its lack of participation in the flight-to-quality/safe heaven trade resulting out of the US & EU debt crises.

The table 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.

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:

SymbolVolatility
MMI73.40%
JDSU73.01%
NSM68.53%
PCS68.33%
MWW60.97%
ANR58.10%
NVDA57.80%
FFIV57.16%
TMK57.07%
AKS56.89%

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.

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