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Articles tagged with: Volatility

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.

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.

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