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Articles tagged with: Risk

06 March 2020

Market Risk Effects from Coronovirus II

The recent spread of covid19 has also seen rapid changes in asset/sector correlations:

This is a matrix representing the return correlation across multiple assets (Gold, WTI Oil, US 10-Year Rates, US Equity Markets and multiple market sectors; healthcare, utilities, banks, and energy) through Feb 20.

Here is the same matrix through March 5th. Note the higher correlations across all assets other than Gold.

To emphasize the point, the above shows a rolling average matrix cross correlation, showing the average pairwise correlation increasing since the covid19 epidemic hit Western Europe.

All calculations are as of 3/5/2020, executed on daily data since 12/31/2019.

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 2020

Market Risk Effects from Coronovirus

A look at how the recent spread of covid19 has expressed itself in rapidly increasing US Equity market volatility:

This is a rolling, 30-day SPX volatility chart. The increase has been profound in its speed and impact.

All calculations are as of 3/5/2020, executed on daily data since 12/31/2019.

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.

17 October 2017

PortfolioScience to Sponsor 2017 Eze Advance

We are pleased to announce that PortfolioScience will once again be sponsoring the Eze Software Group's Client Conference.

From the conference website:

 

Eze Advance is the industry’s premier investment management conference, offering 3 days of engaging industry discussions, product training, and networking in a luxurious setting. With more than 25 sessions across 4 tracks, we’ll have something for everyone.

 

The conference agenda can be found here

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