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Articles tagged with: Volatility

24 February 2016

Increasing US Equity Market Exposure to Oil

For many equity markets so far this year, one of the single biggest drivers of performance has been the sharp declines in the price of crude oil as well as the sharp increase in oil volatility. With oil moves in excess of 5% now a regular occurrence, you'd be forgiven for suspecting that nearly every passing dramatic high or low open, for the US Equity market at least, has been dictated by whether or not oil has crashed below or recovered above the now all-important $30 level.

The chart below demonstrates that any such suspicion is entirely well-founded.

The chart shows a clear up-trend in US equity market correlation to WTI crude. A very clear conclusion to draw from this from both a portfolio and a risk management perspective is the that the importance of oil prices as an equity risk factor, at least for now, cannot be understated.

All calculations are as of 2/23/2016, executed on 1-year of 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.

04 September 2014

Integrated Custom Data Upload

The latest version of the The RiskAPI Add-In now includes the ability to import custom time series directly via the RiskAPI Add-In from within Excel. Prior to this, importing custom data was only available via uploaded text files on the support website. This new feature makes access to custom data rapid and trouble-free.

Custom data time series are segregated and secured on a per-account basis. The import process (pictured above using the Market Macro keywords mechanism) allows users to assign a custom symbol to any historical data they choose to import. Once the import process takes place, the custom data can be accessed as if it were a listed financial instrument:

Pictured above is the same custom data in the first image being accessed via the custom symbol "CUSTOM.CST". In this example a realized volatility calculation is executed on the imported time series using the Market Macro tool. Custom data can be used to proxy portfolio components, to replace standard indexes for exposure analysis, to analyze historical NAV's, and more.

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 August 2014

S&P 500 Highest Beta Stocks

A look at the 10 (YTD) highest beta constituents of the S&P 500:

Constituent Symbol Beta
TripAdvisor Inc. TRIP 2.542171
Alexion Pharmaceuticals ALXN 2.432534
Facebook FB 2.245835
E*TRADE Financial ETFC 2.204229
Harman Intl Industries HAR 2.038566
Amazon.com AMZN 1.959263
Under Armour A UA 1.907848
Schwab Charles Corp SCHW 1.907240
Biogen Idec Inc BIIB 1.901673
Micron Technology Inc MU 1.873427

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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