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21 August 2012

U.S. Summer Drought Takes its Toll on the Grain Complex

The intense summer drought has brought about a high volatility rally in nearly every US-based grain contract. Of greatest note is the price of corn, which leads the U.S. market in terms of planted acres, revenue, and therefore sensitivity to drought conditions. Second to the corn crop are soybeans, which have also experienced dramatic moves to the upside in the last several weeks.

Presented below is a rolling 90-day realized volatility chart for spot Corn, from May 1, 2012 to present day:

Here are the current 90-day realized volatility values for Corn, Wheat, and Soybeans:

Grain90-Day Volatility
Corn38.07%
Wheat36.92%
Soybeans31.36%

For comparison purposes, the current 90-day realized volatility of the S&P500 Index is a mere 15.28%.

All calculations are as of 8/20/2012, executed on daily data since 5/1/2012.

The results above were 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.

23 May 2012

S&P 500 Volatility, Euro Correlation Both Increase As Euro Crisis Worsens

As the European debt crisis once again makes headlines, with no indications of a quick solution on the horizon, the US equity market has reacted by suffering from a bout of increased volatility. Should there be any doubt as to why, correlation of the S&P 500 to the Euro has been increasing as well. Below, we present a chart showing rolling 90 day realized volatility of the S&500 index (red line) along with rolling 90-day S&P 500 correlation to the Euro currency (blue line).

All calculations are as of 5/22/2012, executed on daily data since 4/1/2012.

The results above were 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.

03 April 2012

Highest Beta S&P 500 Components

Here are the current top 10 highest beta components of the S&P 500 index:

SymbolBetaVolatilitySectorIndustry
ANR2.6074.16%ENERGYCOAL
GNW2.2767.31%FINANCIALINSURANCE (LIFE)
JDSU2.1861.00%TECHNOLOGYELECTRONIC INSTR. & CONTROLS
MS2.1360.41%FINANCIALMISC. FINANCIAL SERVICES
X2.1059.02%BASIC MATERIALSIRON & STEEL
RF2.0756.92%FINANCIALREGIONAL BANKS
LNC2.0552.99%FINANCIALINSURANCE (LIFE)
HIG2.0554.35%FINANCIALINSURANCE (PROP. & CASUALTY)
C2.0354.78%FINANCIALREGIONAL BANKS
BAC2.0059.89%FINANCIALREGIONAL BANKS

Note that this list is sorted by index component beta vs. the S&P 500. Associated component volatilities (annualized standard deviation) are posted as well. For comparison purposes, the current volatility of the S&P is 22.55%.

All calculations are as of 4/2/2011, executed on 1-year of adjusted daily data.

The results above were 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.

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