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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.