Logo
RiskAPI
Time to Manage Your Risk

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.

06 March 2012

One-Click Portfolio Stress Test

An exciting part of this latest version of the RiskAPI Add-In is the addition of several new Market Macro keywords that enable instant portfolio stress testing. Click on the image below to view a quick demo of the stress test in action.

Click here to view the market macro stress test in action.

The system applies user-defined underlier price and implied volatility stresses and re-evaluates positions to determine individual and total P&L impacts. In addition, a very handy feature is the ability to select hypothetical index moves and see how these translate into potential moves in an equity, future, or option position. For example, users can input a hypothetical 3% drop in the S&P 500. The system will translate this into corresponding moves in each option underlier (or direct equity position) and then re-evaluate the entire portfolio based on these moves. The result is a P&L impact identifying whether the portfolio would lose money or not.

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.

01 March 2012

Extreme Gold

Yesterday (February 29th) saw what can only be classified as an extreme downward move in gold prices: A -5.05% change in the spot price over the span of a single day. To see how this event stacked up, we ran GCY0 (the RiskAPI symbol for physical gold) through the system using a start date of December 31st, 2007. Here is what we found:

  • Largest Positive Return: 10.27% (September 17th, 2008)
  • Largest Negative Return: -7.68% (October 10th, 2008)
  • One Standard Deviation: 1.39% (as of February 28th)
  • 99% Confidence Historical Simulation VaR: 3.8% (as of February 28th)
  • By every measure, this was a very rare event. To put it in perspective, out of the 1,077 return events that occurred between 12/31/20007 and 2/28/2012, only 8 exceeded -4% in size, or about 0.083% - less than 1%.

    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.

    <<  1 2 3 4 5 [67 8 9 10  >>