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Articles tagged with: SP500

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.

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.

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