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18 January 2012

A Review of 2011: SP500 1-Month Volatility

2011 was quite the year and we have the numbers to prove it. Below is a trailing one-month realized volatility chart for the S&P 500 index. Of note is the spike in August into September, which coincided with some of the worst news from the EU debt crisis hitting the wires:

With a Greek default deadline looming once again in February, 2012 should be no less interesting.

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.

11 November 2011

SP500 Correlation to Euro Spikes

As all eyes have been on the debt crisis in Europe, increasingly volatile US equity market gyrations have continued unabated. If there were any doubt as to the nature of these daily triple-digit Dow moves and double-digit SP500 moves, one need only look at the recent spike in SP500/EUR correlation. Presented below is a chart showing trailing 1-month correlation of the US market Vs. the Euro.

It will be interesting to see if the recent correlation high of 0.816 is breached and/or if this will be a harbinger of perfect correlation (i.e. 1.0) between the Euro currency and the US stock market.

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.

25 October 2011

The Largest Correlation Matrix You've (Probably) Ever Seen

Presented below is a snapshot of a correlation matrix of all 500 S&P index components (equal weighted). Values were shaded to correspond with low correlations (red) and high correlations (green). Correlations based on returns from present going back to Jan 1, 2011.

The full matrix, composed of 250,000 individual calculation results was generated by the RiskAPI system in about 10 seconds. For those interested, the full result set is available for download here.

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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