16 August 2011
S&P 500 Index: 7/28/2011-8/4/2011
The events in the equity markets in the last 10 days have been nothing less than extraordinary, to say the least.Here are some stats on the S&P 500 Index prior to July 28th:
- YTD Return: 6.43%
- YTD Realized volatility: 13.05%
- YTD Correlation to gold: 0.05
Here are the same stats with data since 7/28 included.
- YTD Return: -6.49%
- YTD Realized volatility: 19.67%
- YTD Correlation to gold: -0.18
Very significant market impacts have taken place here.
All of the above were calculated using The RiskAPI Add-In.